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Operational Risk Modelling and Analysis: Theory and Practice
Incisive Media, July 2004, Pages: 374
'The modelling of operational risk under the new Basel II guidelines is a major concern to the financial industry. Rather than concentrating on one approach, this book gives an overview of methodology that leads towards a better understanding of operational risk, relevant for the three Pillars of Basel II'
Paul Embrechts, ETH Zurich and London School of Economics
The definitive journey into operational risk - this new multi-contributor title will guide you with the identification, modelling, implementation, analysis and integration of operational risk into your overall risk management framework.- Enables you to make more informed decisions on how to identify and avoid the potential risks as well as fully understand the acceptable risks on a cost-benefit basis
- Divided under three main sections:
1. Database Modelling, Regulatory and Technical Issues;
2. Risk Modelling and Measurement;
3. Case Studies of Implementation of Operational Risk Projects in Large Financial Institutions
- Highlights integral issues such as how to spot the links between indicators of operational risk and the potential losses
- Examines the tensions inherent in the nature of operational risk at both quantitative and qualitative levels
- Outlines the practical day-to-day issues and illustrates workable methodologies with examples, case studies and cutting-edge analysis
- Provides an even mix of both the progressive and in-depth research taking place in academic institutions as well as the actual practical implementation issues
- Provides the tools to cope with differing and complex situations within operational risk
About the author:
Marcelo Cruz is the founder and managing-director of the boutique consulting group RiskMaths in New York. He has over eight years of experience in operational risk modelling and measurement being recognised as a world-renowned expert on the subject. He is the author of the first academic article on operational risk, an application of extreme value theory in risk measurement. His academic interests include an extensive list of technical publications in professional and academic journals and magazines and academic texts on risk management. He is also a member of the Executive Board of GARP (Global Association of Risk Professionals) and acts as an assistant-editor for several publications in the area of finance, risk management and stochastic modeling. Prior to founding RiskMaths, Marcelo led the operational risk methodology development at UBS AG/UBS Warburg as well as working as a derivatives trader for major international investment banks such as JP Morgan for several years. Marcelo holds a PhD in mathematics, an MSc, an MBA and a BSc in economics/econometrics.
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