Edited by Ellen Leander Davis, the editor of Operational Risk magazine, this book collates the work of the leading experts in the field. There is no more up-to-date and authoritative title on this subject and anyone charged with implementing or understanding an operational risk management programme at a financial firm will find it essential reading. All the key issues, from loss data collection, to loss mitigation strategies are covered in this time-saving volume.
Key Features of this Report:
1. Highly practical focus explains operational risk regulatory matters and specifically aids you with the practical implementation of an operational risk programme in your organisation.
2. Provides easy access to the very latest thinking on Operational risk from the biggest names in the field including: Marco Moscadelli, Marcus Haas, Thomas Kaiser and Maurits Bakker.
3. Collates the latest, most influential and ground-breaking work recently published in, among others, Operational Risk magazine.
4. Makes it easy for first-timers to implement a regulatory compliance framework by providing an essential route-map that clearly shows you how to do this effectively and efficiently
5. Split into 4 easy access sections:
- Loss data collection and modelling – offers a range of novel, practical approaches to solve the notoriously complex challenges associated with the collection and modelling of internal and external loss data.
- Alternative measurement strategies – with detailed guidance on key risk indicators and scenario testing among other alternative tools, this section offers highly practical solutions informed by ‘real life’ situations.
- Conceptualising operational risk management – all about turning operational risk measurement into action – this section will help you conceptualise your op risk approach and outline an effective implementation strategy.
- Mitigation strategies – the ultimate goal of most operational risk strategies, here you will find a range of invaluable case-studies to provide a definitive assessment of the growing mitigation techniques available.
Gene Álvarez; Maurits Bakker, PricewaterhouseCoopers; Silke Brandts, Bain & Company; Martin Davies; Antoine Frachot, SOFINCO; Kenji Fujii, UFJ Bank, Ltd; John Gavin, UBS Investment Bank; Jean-René Giraud, Edhec-Risk Advisory; Marcus Haas, Frankfurt University; Peter Hughes, OPRASS; Jeanette Jin, PVA International; Thomas Kaiser, KPMG; Yakov Lantsman, Fitch Risk Advisory; Christopher M. Lewis, The Hartford Financial Services Company; Alan D. Morrison, Saïd Business School, University of Oxford; Marco Moscadelli, Bank of Italy; Thierry Roncalli, Groupe de Recherche Opérationnelle, Crédit Agricole SA; Eric Salomon, Groupe de Recherche Opérationnelle, Crédit Agricole SA; Ahraz Sheikh, UBS Investment Bank; Peter Vinella, PVA International Inc.; Christopher Viney, School of Accounting, Economics and Finance at Deakin University.
SECTION 1: LOSS DATA COLLECTION AND MODELLING
1 Using Transaction Data to Measure Operational Risk
2 Tail Dependency in Operational Risk Models
Ahraz Sheikh, John Gavin,
UBS Investment Bank
3 Correlation and Diversification Effects in Operational Risk Modelling
Antoine Frachot, Thierry Roncalli, Eric Salomon
4 The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
Bank of Italy
SECTION 2: ALTERNATIVE MEASUREMENT STRATEGIES
5 Quantifying Operational Risk within Banks According to Basel II
M. R. A. Bakker
Delft Institute of Applied Mathematics
6 A Foundation for KPI and KRI
Peter Vinella, Jeanette Jin
7 Building Scenarios
8 The Risk Indicator Framework as a Tool for AMA Exposure Analysis
Causal Events Pty Ltd
SECTION 3: CONCEPTUALISING OPERATIONAL RISK MANAGEMENT
9 Model Behaviour
10 Prerequisites for Effective Operational Risk Management and Efficient Risk-based Decision Making
Marcus Haas; Thomas Kaiser
Frankfurt University; KPMG
11 An Operational Risk Management Framework
12 Aligning Basel II Operational Risk and Sarbanes-Oxley 404 Projects
Nick Bolton, Judson Berkey
13 Sarbanes-Oxley, Corporate Governance and Operational Risk
Alan D. Morrison
Saïd Business School
SECTION 4: MITIGATION STRATEGIES
14 Managing Hedge Funds' Exposure to Operational Risks: Parts 1-3
15 Reducing Risk Through Insurance
Bain & Company
16 What is a Fair Price to Transfer the Risk of Unauthorised Trading? A Case Study on Operational Risk
Christopher M. Lewis; Yakov Lantsman
The Hartford Financial Services Group; Fitch Risk Management, Inc.