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subject:"Basler Akkord"
subject:"Bankenaufsicht"
~person:"Shevchenko, Pavel V."
~person:"Moosa, Imad A."
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Basler Akkord
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Shevchenko, Pavel V.
Moosa, Imad A.
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ECONIS (ZBW)
13
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1
Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II : Combining Different Data Sources for Risk Estimation
Shevchenko, Pavel V.
-
2017
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted...
Persistent link: https://www.econbiz.de/10012954952
Saved in:
2
Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Peters, Gareth
-
2017
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model...
Persistent link: https://www.econbiz.de/10012954954
Saved in:
3
Impact of Insurance for Operational Risk : Is It Worthwhile to Insure or Be Insured for Severe Losses?
Peters, Gareth
-
2017
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...
Persistent link: https://www.econbiz.de/10012954959
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4
Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?
Peters, Gareth
-
2016
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and...
Persistent link: https://www.econbiz.de/10012989980
Saved in:
5
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
Peters, Gareth
;
Shevchenko, Pavel V.
;
Hassani, Bertrand
; …
- In:
The journal of operational risk
11
(
2016
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10013177152
Saved in:
6
Governance indicators as determinants of operational risk
Moosa, Imad A.
- In:
International journal of disclosure and governance
12
(
2015
)
2
,
pp. 132-143
Persistent link: https://www.econbiz.de/10011327685
Saved in:
7
Quantification of operational risk under Basel II : the good, bad and ugly
Moosa, Imad A.
-
2008
Persistent link: https://www.econbiz.de/10003741953
Saved in:
8
Operational risk management
Moosa, Imad A.
-
2007
-
1. publ.
Persistent link: https://www.econbiz.de/10003460619
Saved in:
9
Operational Risk Management
Moosa, Imad A.
-
2007
Written by an experienced academic and practitioner, Operational Risk Management fills a gap in the information available on the Basel 2 Accord and offers valuable insights into the nature of operational risk
Persistent link: https://www.econbiz.de/10012054191
Saved in:
10
Basel 2.5 : a lot of sizzle but little nutritional value
Moosa, Imad A.
- In:
Journal of banking regulation
13
(
2012
)
4
,
pp. 320-335
Persistent link: https://www.econbiz.de/10009721141
Saved in:
11
Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation
Peters, Gareth W.
;
Shevchenko, Pavel V.
;
Young, Mark
; …
- In:
Insurance / Mathematics & economics
49
(
2011
)
3
,
pp. 565-579
Persistent link: https://www.econbiz.de/10009404668
Saved in:
12
Impact of insurance for operational risk : is it worthwhile to insure or be insured for severe losses?
Peters, Gareth W.
;
Byrnes, Aaron D.
;
Shevchenko, Pavel V.
- In:
Insurance / Mathematics & economics
48
(
2011
)
2
,
pp. 287-303
Persistent link: https://www.econbiz.de/10008989317
Saved in:
13
Quantification of Operational Risk Under Basel II: the Good, Bad and Ugly
Moosa, Imad A.
-
2008
The book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It is argued that the advanced measurement approach is not viable in terms of costs and benefits and is likely to distract financial institutions from the...
Persistent link: https://www.econbiz.de/10012106270
Saved in:
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