Measuring Operational and Reputational Risks
A Practitioner's Approach
(Sprache: Englisch)
How to apply operational risk theory to real-life banking dataModelling Operational and Reputational Risks shows practitioners the best models to use in a given situation, according to the type of risk an organization is facing. Based on extensive applied...
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How to apply operational risk theory to real-life banking dataModelling Operational and Reputational Risks shows practitioners the best models to use in a given situation, according to the type of risk an organization is facing. Based on extensive applied research on operational risk models using real bank datasets, it offers a wide range of various testing models and fitting techniques for financial practitioners. With this book, professionals will have a foundation for measuring and predicting these important intangibles.Aldo Soprano (Madrid, Spain) is Group Head of operational risk management at UniCredit Group.
Measuring Operational and Reputational Risk: A Practitioner's Guide maps out the process of risk assessment and mitigation undertaken by risk managers at UniCredit Group in response to the requirements of the Basel II Accord. One of the greatest challenges faced by the Group was the generic definition of 'operational risk' and the need for flexibility on a business-level to integrate the new requirements with the existing control processes. The risk managers at UniCredit had first to set up a dedicated function to co-ordinate and monitor operational risks, where previously these risks were managed by a multitude of processes through a variety of functions.
The book presents a set of risk assessment methods which will be of use to risk managers and quantitative risk analysts for a variety of risk management purposes in unique scenarios. The reader is taken through the processes of risk assessment in view of the Basel Accord requirements, from the identification and evaluation of the calculation dataset, to scenario analysis and analysing insurance for operational risk. The calculation dataset is used for a robust operational loss modelling of capital at risk, for insurance contracts and their effects on individual loss events. The authors present techniques for parametric estimation and analytical methods to select appropriate statistical distributions for severity and frequency of loss classes to obtain VaR for individual business environments. There are also copula-based methods of calculation of overall capital. Finally, the authors present an analysis of insurance policies and models for calculating reputational risk, inextricably linked to operational risk, and a type of exposure which is increasingly important in view of recent large loss events at major banks gaining a great deal of media exposure.
This title presents useful ways of approaching operational risk management to meet the requirements of the Basel II Accord, while the authors' flexible approach (combining LDA and SBA methods) makes its risk analysis meaningful to different types and sizes of financial institution. The title will be valuable to quantitative analysts, quantitative developers and risk managers trying to digest and integrate the new Basel requirements.
The book presents a set of risk assessment methods which will be of use to risk managers and quantitative risk analysts for a variety of risk management purposes in unique scenarios. The reader is taken through the processes of risk assessment in view of the Basel Accord requirements, from the identification and evaluation of the calculation dataset, to scenario analysis and analysing insurance for operational risk. The calculation dataset is used for a robust operational loss modelling of capital at risk, for insurance contracts and their effects on individual loss events. The authors present techniques for parametric estimation and analytical methods to select appropriate statistical distributions for severity and frequency of loss classes to obtain VaR for individual business environments. There are also copula-based methods of calculation of overall capital. Finally, the authors present an analysis of insurance policies and models for calculating reputational risk, inextricably linked to operational risk, and a type of exposure which is increasingly important in view of recent large loss events at major banks gaining a great deal of media exposure.
This title presents useful ways of approaching operational risk management to meet the requirements of the Basel II Accord, while the authors' flexible approach (combining LDA and SBA methods) makes its risk analysis meaningful to different types and sizes of financial institution. The title will be valuable to quantitative analysts, quantitative developers and risk managers trying to digest and integrate the new Basel requirements.
Inhaltsverzeichnis zu „Measuring Operational and Reputational Risks “
Foreword by Alessandro ProfumoForeword
Acknowledgments
1. The development of ORM in UniCredit Group
1.1 Brief history of a fast growing group
1.2 Creating a new function
1.3 Developing a control system
1.4 Challenges in the early stages
1.5 Methodology to measure operational risk
1.6 Training and internal communication focus
1.7 International regulatory challenges
1.8 Reputational risk management
2. The calculation dataset
2.1 Definitions
2.2 Rules of thumb
2.3 Internal loss data
2.4 Minimum loss threshold
2.5 External data
2.6 Business environment and internal control factors, scenarios
2.7 Insurance information
2.8 Scaling data
2.9 The UniCredit Group Operational Risk database evolution
2.10 Final considerations
3. Loss distribution approaches
3.1 Calculation data set building
3.2 General LDA framework
3.3 Operational risk classes
3.4 Parametric estimation and goodness-of-fit techniques
3.5 Applying Extreme Value Theory
3.6 g-and-h distribution theory
3.7 Calculating Operational Capital at risk
3.8 Insurance modelling
3.9 Adjustment for risk indicators
3.10 Operational risk classes aggregation
3.11 The closed form approximation for OpVaR
3.12 Confidence band for capital at risk
3.13 Stress testing
3.14 Loss data minimum threshold setting
3.15 Empirical application on Fitch OpData
3.16 Regulatory capital requirement
3.17 Economic capital requirement
3.18 Integration of operational risk in the budgeting process
4. Analyzing insurance policies
4.1 The role of insurance and risk transfer in risk management
4.2 Qualifying criteria in the Basel 2 capital framework
4.3 A practical application to traditional insurance
5. Managing reputational risk
5.1 Introducing reputational risk
5.2 A financial institution reputational risk exposure
5.3 Managing reputational risk: a matter of policy
5.4 Reputational Risk measuring
5.5
... mehr
A recent example that shocked the industry: Soci,t, G,n,rale
6. Conclusions
Bibliography
6. Conclusions
Bibliography
... weniger
Autoren-Porträt von Aldo Soprano, Bert Crielaard, Fabio Piacenza
ALDO SOPRANO is Managing Director, UniCredit Basel 2 project manager for Central and Eastern European countries. Previously he was Group Head of Operational Risk Management. A Graduate in Economics, he holds a Master in Finance. In his career he has also been responsible for market risk management, credit risk control, capital allocation and more recently Chief Risk Officer of UniCredit Kazakhstan. He is the author of several articles on risk management and was the Chairman of the International Institute of Finance's Working Group on Operational Risk.BERT CRIELAARD works in the Operational Risk Department of UniCredit (Holding) and is group-wide responsible for operational risk management in the Corporate, Private Banking and Asset Management business divisions. Previously he worked in the insurance and asset management industry in Italy and the Netherlands. He is (co-)author of articles on insurance in risk management.FABIO PIACENZA is a senior quantitative analyst at UniCredit Group Operational Risk Management in Milan. Graduated in mathematics, he is author of several articles on operational risk related topics.DANIELE RUSPANTINI works in UniCredit Group Milan in the Operational Risk Management team, graduated in mathematics, he is co author of articles on quantitative risk management.
Bibliographische Angaben
- Autoren: Aldo Soprano , Bert Crielaard , Fabio Piacenza
- 2009, 1. Auflage., 288 Seiten, Maße: 24,4 cm, Gebunden, Englisch
- By Aldo Soprano, Bert Crielaard, Fabio Piacenza et al.
- Verlag: Wiley & Sons
- ISBN-10: 0470517700
- ISBN-13: 9780470517703
Sprache:
Englisch
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