Description
Operational Risk Modelling and Management
Chapman & Hall/CRC Finance Series
Author: Franzetti Claudio
Language: English
Subjects for Operational Risk Modelling and Management:
Keywords
LDA; Operational Risk; Advanced Measurement Approach; risk management; Ab Ilit; Monte Carlo simulation; Negative Binomial; banking regulations; Operational Risk Management; simulation model; Operational Risk Profile; loss distribution; ES; Basel Accord; Distribution Function; Basel 2; EL; risk capital; Inverse Gaussian; risk mitigation; Basic Indicator Approach; financial industry; Material Misstatement; economic capital; Urn II; AMA standards; Severity Distribution; Cumulated Distribution Function; Conditional Expectation; Negative Binomial Distribution; Extended Reporting Period; Attritional Loss; Compound Distribution; Empirical Cumulated Distribution Function; Pareto Distribution; Risk Measure; Loss Amount
Publication date: 06-2017
· 15.6x23.4 cm · Paperback
Publication date: 11-2010
410 p. · 15.6x23.4 cm · Hardback
Description
/li>Contents
/li>Readership
/li>Biography
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Taking into account the standards of the Basel Accord, Operational Risk Modelling and Management presents a simulation model for generating the loss distribution of operational risk. It also examines a multitude of management issues that must be considered when adjusting the quantitative results of a comprehensive model.
The book emphasizes techniques that can be understood and applied by practitioners. In the quantitative portions of the text, the author supplies key concepts and definitions without stating theorems or delving into mathematical proofs. He also offers references for readers looking for further background information. In addition, the book includes a Monte Carlo simulation of risk capital in the form of a run-through example of risk calculations based on data from a quantitative impact study. Since the computations are too complicated for a scripting language, a prototypical software program can be downloaded from www.garrulus.com
Helping you navigate the tricky world of risk calculation and management, this book presents two main building blocks for determining how much capital needs to be reserved for operational risk. It employs the loss distribution approach as a model for calculating the risk capital figure and explains risk mitigation through management and management?s actuations.
Introduction to Operational Risk. The Problem Context. The Modelling Approach. Managing Operational Risk. Conclusions. Appendix. Bibliography. Index.
Claudio Franzetti is the chief risk officer of Swiss Export Risk Insurance (SERV) in Zurich and president of Garrulus Enterprise Ltd. He has previously worked at Aon Resolution AG, Deutsche Bank, Swiss Re, and Iris AG.
