Fundamental aspects of operational risk and insurance analytics : a handbook of operational risk
Marcelo G. Cruz; Gareth W. Peters; Pavel V. Shevchenko
| Year of publication: |
[2015]
|
|---|---|
| Authors: | Cruz, Marcelo G. ; Peters, Gareth ; Shevchenko, Pavel V. |
| Publisher: |
Hoboken, NJ : Wiley |
| Subject: | Operationelles Risiko | Operational risk |
| Description of contents: |
"Systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the quantification of operational risk"--
Description [deposit.dnb.de]
; Description [catalogimages.wiley.com]
|
| Extent: | XXII, 899 S., [80] Bl. Ill., graph. Darst. 25 cm x 15 cm |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Handbuch ; Handbook |
| Language: | English |
| Notes: | Literaturverz. S. 851 - 891 Title Page; Copyright Page; Contents; Preface; Acronyms; List of Distributions; Chapter One OpRisk in Perspective; 1.1 Brief History; 1.2 Risk-Based Capital Ratios for Banks; 1.3 The Basic Indicator and Standardized Approaches for OpRisk; 1.4 The Advanced Measurement Approach; 1.4.1 Internal Measurement Approach; 1.4.2 Score Card Approach; 1.4.3 Loss Distribution Approach; 1.4.4 Requirements for AMA; 1.5 General Remarks and Book Structure; Chapter Two OpRisk Data and Governance; 2.1 Introduction; 2.2 OpRisk Taxonomy; 2.2.1 Execution, Delivery, and Process Management 2.2.2 Clients, Products, and Business Practices2.2.3 Business Disruption and System Failures; 2.2.4 External Frauds; 2.2.5 Internal Fraud; 2.2.6 Employment Practices and Workplace Safety; 2.2.7 Damage to Physical Assets; 2.3 The Elements of the OpRisk Framework; 2.3.1 Internal Loss Data; 2.3.2 Setting a Collection Threshold and Possible Impacts; 2.3.3 Completeness of Database (Under-reporting Events); 2.3.4 Recoveries and Near Misses; 2.3.5 Time Period for Resolution of Operational Losses; 2.3.6 Adding Costs to Losses; 2.3.7 Provisioning Treatment of Expected Operational Losses 2.4 Business Environment and Internal Control Environment Factors (BEICFs)2.4.1 Risk Control Self-Assessment (RCSA); 2.4.2 Key Risk Indicators; 2.5 External Databases; 2.6 Scenario Analysis; 2.7 OpRisk Profile in Different Financial Sectors; 2.7.1 Trading and Sales; 2.7.2 Corporate Finance; 2.7.3 Retail Banking; 2.7.4 Insurance; 2.7.5 Asset Management; 2.7.6 Retail Brokerage; 2.8 Risk Organization and Governance; 2.8.1 Organization of Risk Departments; 2.8.2 Structuring a Firm Wide Policy: Example of an OpRisk Policy; 2.8.3 Governance; Chapter Three Using OpRisk Data for Business Analysis 3.1 Cost Reduction Programs in Financial Firms3.2 Using OpRisk Data to Perform Business Analysis; 3.2.1 The Risk of Losing Key Talents: OpRisk in Human Resources; 3.2.2 OpRisk in Systems Development and Transaction Processing; 3.3 Conclusions; Chapter Four Stress-Testing OpRisk Capital and the Comprehensive Capital Analysis and Review (CCAR); 4.1 The Need for Stressing OpRisk Capital Even Beyond 99.9%; 4.2 Comprehensive Capital Review and Analysis (CCAR); 4.3 OpRisk and Stress Tests; 4.4 OpRisk in CCAR in Practice; 4.5 Reverse Stress Test 4.6 Stressing OpRisk Multivariate Models-Understanding the Relationship Among Internal Control Factors and Their Impact on OperationChapter Five Basic Probability Concepts in Loss Distribution Approach; 5.1 Loss Distribution Approach; 5.2 Quantiles and Moments; 5.3 Frequency Distributions; 5.4 Severity Distributions; 5.4.1 Simple Parametric Distributions; 5.4.2 Truncated Distributions; 5.4.3 Mixture and Spliced Distributions; 5.5 Convolutions and Characteristic Functions; 5.6 Extreme Value Theory; 5.6.1 EVT-Block Maxima; 5.6.2 EVT-Random Number of Losses; 5.6.3 EVT-Threshold Exceedances Chapter Six Risk Measures and Capital Allocation |
| ISBN: | 1-118-11839-1 ; 978-1-118-11839-9 |
| Classification: | Unternehmensplanung, Unternehmenskontrolle |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011489766