ISBN-10:
0471515604
ISBN-13:
9780471515609
Pub. Date:
02/28/2002
Publisher:
Wiley
Modeling, Measuring and Hedging Operational Risk / Edition 1

Modeling, Measuring and Hedging Operational Risk / Edition 1

by Marcelo G. Cruz

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Product Details

ISBN-13: 9780471515609
Publisher: Wiley
Publication date: 02/28/2002
Series: Wiley Finance Series , #4
Pages: 346
Product dimensions: 7.01(w) x 9.74(h) x 0.98(d)

About the Author

DR MARCELO CRUZ is currently CEO and founder of RiskMaths, aboutique consultancy specialising in the development and validationof complex mathematical and statistical models for risk management,financial asset pricing, capital allocation and financialmanagement strategy. RiskMaths has a particular focus onoperational risk modeling, measurement and hedging with a clientbase that includes large global financial institutions andfinancial regulators. Dr Cruz participates in the regulatorydiscussions on the new Basel Accord and was a member of theIndustry Technical Working Group that proposed the changes on theregulatory capital charges to the Basel Committee on BankingSupervision. Prior to RiskMaths, Dr Cruz worked as a seniorexecutive in the risk management area for various global investmentbanks and led the development of operational risk quantitativemodeling for a large European bank. He has also worked as a seniorderivatives trader and structurer.

Dr Cruz regularly writes for several academic and industry journalsand magazines including The Journal of Risk, RISK magazine, theFinancial Times and Derivatives Week. He has also contributed toseveral risk management books, the most recent of which include'Extremes and Integrated Risk Management', 'Managing Hedge FundRisk', 'Mastering Risk, Volume 2' and 'Advances in OperationalRisk: Firmwide Issues for Financial Institutions'. Dr Cruz is asought-after speaker in risk management conferences and seminarsand had lectured in many countries in Europe, Asia and the Americasas well as leading universities in Europe, USA and Latin America.He holds a Ph.D. in Mathematical Finance, a M.Sc., M.B.A., Diplomaand a B.Sc. in Economics.

Table of Contents

Introduction
PART I: DATABASE MODELING
Database Modeling
PART II: STOCHASTIC MODELING
Severity Distributions
Extreme Value Theory
Frequency Distributions
The Operational Risk VaR
Stochastic Processes in Operational Risk
PART III: CAUSAL MODELS
Causal Models : Applying Econometrics and Time Series Statistics toOperational Risk
Non-Linear Models in Operational Risk
Bayesian Techniques in Operational Risk
PART IV: OPERATIONAL RISK MANAGEMENT
Operational Risk Reporting, Control and Management
- Stress Tests and Scenario Analysis in Operational Risk
PART V: HEDGING OPERATIONAL RISK
Operational Risk Derivatives
Developing an OR Hedging Program
PART VI: OPERATIONAL RISK REGULATORY CAPITAL
Operational Risk Regulatory Capital
PART VII: MEASURING "OTHER RISKS" -
FOREGONE REVENUE MEASUREMENT MODELS
An Enterprise-Wide Model for Measuring Reputational Risk
- Measuring Concentration (or Key Personnel) Risk
- Using Real Options in Modeling and Measuring Operational and'Other' Risks
APPENDIX -
Valuing Networks -
Understanding the basics of e-ventures valuation

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