Modeling, Measuring and Hedging Operational Risk / Edition 1 available in Hardcover
- Pub. Date:
Worldwide banks are keen to find ways of effectively measuring andmanaging operational risk , yet many find themselves poorlyequipped to do this. Operational risk includes concerns about suchissues as transaction processing errors, liability situations, andback-office failure. Measuring and Modelling Operational Riskfocuses on the measuring and modelling techniques banks andinvestment companies need to quantify operational risk and providespractical, sensible solutions for doing so.* Author is one of the leading experts in the field of operationalrisk.* Interest in the field is growing rapidly and this is the onlybook that focuses on the quantitative measuring and modelling ofoperational risk.* Includes case vignettes and real-world examples based on theauthor's extensive experience.
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
IntroductionPART I: DATABASE MODELINGDatabase ModelingPART II: STOCHASTIC MODELINGSeverity DistributionsExtreme Value TheoryFrequency DistributionsThe Operational Risk VaRStochastic Processes in Operational RiskPART III: CAUSAL MODELSCausal Models : Applying Econometrics and Time Series Statistics toOperational RiskNon-Linear Models in Operational RiskBayesian Techniques in Operational RiskPART IV: OPERATIONAL RISK MANAGEMENTOperational Risk Reporting, Control and Management- Stress Tests and Scenario Analysis in Operational RiskPART V: HEDGING OPERATIONAL RISKOperational Risk DerivativesDeveloping an OR Hedging ProgramPART VI: OPERATIONAL RISK REGULATORY CAPITALOperational Risk Regulatory CapitalPART VII: MEASURING "OTHER RISKS" -FOREGONE REVENUE MEASUREMENT MODELSAn Enterprise-Wide Model for Measuring Reputational Risk- Measuring Concentration (or Key Personnel) Risk- Using Real Options in Modeling and Measuring Operational and'Other' RisksAPPENDIX -Valuing Networks -Understanding the basics of e-ventures valuation