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Operational Risk Modelling and Management - Claudio Franzetti

Operational Risk Modelling and Management

Buch | Hardcover
414 Seiten
2010
Chapman & Hall/CRC (Verlag)
978-1-4398-4476-2 (ISBN)
CHF 339,95 inkl. MwSt
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In banking regulation, tools are needed to quantify risk and calculate the amount of capital reserve required to mitigate such risk. This book offers a complete model for the quantification of so-called operational risks.
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.

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.

Introduction to Operational Risk. The Problem Context. The Modelling Approach. Managing Operational Risk. Conclusions. Appendix. Bibliography. Index.

Erscheint lt. Verlag 12.11.2010
Reihe/Serie Chapman & Hall/CRC Finance Series
Zusatzinfo 61 Tables, black and white; 96 Illustrations, black and white
Sprache englisch
Maße 156 x 234 mm
Gewicht 703 g
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Wirtschaft Betriebswirtschaft / Management Finanzierung
Betriebswirtschaft / Management Spezielle Betriebswirtschaftslehre Bankbetriebslehre
ISBN-10 1-4398-4476-3 / 1439844763
ISBN-13 978-1-4398-4476-2 / 9781439844762
Zustand Neuware
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