Book description
While operational risk has long been regarded as a mere part of "other" risksoutside the realm of credit and market riskit has quickly made its way to the forefront of finance. In fact, with implementation of the Basel II Capital Accord already underway, many financial professionalsas well as those preparing to enter this fieldmust now become familiar with a variety of issues related to operational risk modeling and management.
Written by the experienced team of Anna Chernobai, Svetlozar Rachev, and Frank Fabozzi, Operational Risk will introduce you to the key concepts associated with this discipline. Filled with indepth insights, expert advice, and innovative research, this comprehensive guide not only presents you with an abundant amount of information regarding operational risk, but it also walks you through a wide array of examples that will solidify your understanding of the issues discussed.
Topics covered include:
The main challenges that exist in modeling operational risk.
The variety of approaches used to model operational losses.
ValueatRisk and its role in quantifying and managing operational risk.
The three pillars of the Basel II Capital Accord.
And much more.
Table of contents
 Title Page
 Copyright Page
 Dedication
 Preface
 About the Authors
 CHAPTER 1  Operational Risk Is Not Just “Other” Risks

CHAPTER 2  Operational Risk: Definition, Classification, and Its Place among Other Risks
 WHAT IS RISK?
 DEFINITION OF OPERATIONAL RISK
 OPERATIONAL RISK EXPOSURE INDICATORS
 CLASSIFICATION OF OPERATIONAL RISK
 TOPOLOGY OF FINANCIAL RISKS
 CAPITAL ALLOCATION FOR OPERATIONAL, MARKET, AND CREDIT RISKS
 IMPACT OF OPERATIONAL RISK ON THE MARKET VALUE OF BANK EQUITY
 EFFECTS OF MACROECONOMIC ENVIRONMENT ON OPERATIONAL RISK
 SUMMARY OF KEY CONCEPTS
 REFERENCES

CHAPTER 3  Basel II Capital Accord
 THE BASEL COMMITTEE ON BANKING SUPERVISION
 THE BASEL CAPITAL ACCORD
 PILLAR I: MINIMUM CAPITAL REQUIREMENTS FOR OPERATIONAL RISK
 PILLAR II: CAPITAL ADEQUACY AND REGULATORY PRINCIPLES
 PILLAR III: MARKET DISCIPLINE AND PUBLIC DISCLOSURE
 OVERVIEW OF LOSS DATA COLLECTION EXERCISES
 THE ROLE OF INSURANCE
 COMPLIANCE WITH BASEL II IN PRACTICE
 IMPLEMENTING BASEL II: SOME GENERAL CONCERNS
 SUMMARY OF KEY CONCEPTS
 REFERENCES
 CHAPTER 4  Key Challenges in Modeling Operational Risk

CHAPTER 5  Frequency Distributions
 BINOMIAL DISTRIBUTION
 GEOMETRIC DISTRIBUTION
 POISSON DISTRIBUTION
 NEGATIVE BINOMIAL DISTRIBUTION
 NONHOMOGENEOUS POISSON PROCESS (COX PROCESS)
 ALTERNATIVE APPROACH: INTERARRIVAL TIMES DISTRIBUTION
 EMPIRICAL ANALYSIS WITH OPERATIONAL LOSS DATA
 SUMMARY OF KEY CONCEPTS
 APPENDIX: BASIC DESCRIPTIVE TECHNIQUES FOR DISCRETE RANDOM VARIABLES
 REFERENCES

CHAPTER 6  Loss Distributions
 NONPARAMETRIC APPROACH: EMPIRICAL DISTRIBUTION FUNCTION
 PARAMETRIC APPROACH: CONTINUOUS LOSS DISTRIBUTIONS
 EXTENSION: MIXTURE LOSS DISTRIBUTIONS
 A NOTE ON THE TAIL BEHAVIOR
 EMPIRICAL EVIDENCE WITH OPERATIONAL LOSS DATA
 SUMMARY OF KEY CONCEPTS
 APPENDIX: BASIC DESCRIPTIVE TECHNIQUES FOR CONTINUOUS RANDOM VARIABLES
 REFERENCES

CHAPTER 7  AlphaStable Distributions
 DEFINITION OF AN ALPHASTABLE RANDOM VARIABLE
 USEFUL PROPERTIES OF AN ALPHASTABLE RANDOM VARIABLE
 ESTIMATING PARAMETERS OF THE ALPHASTABLE DISTRIBUTION
 USEFUL TRANSFORMATIONS OF ALPHASTABLE RANDOM VARIABLES
 APPLICATIONS TO OPERATIONAL LOSS DATA
 SUMMARY OF KEY CONCEPTS
 APPENDIX: CHARACTERISTIC FUNCTIONS
 REFERENCES
 CHAPTER 8  Extreme Value Theory
 CHAPTER 9  Truncated Distributions
 CHAPTER 10  Testing for the Goodness of Fit
 CHAPTER 11  ValueatRisk
 CHAPTER 12  Robust Modeling
 CHAPTER 13  Modeling Dependence
 Index
Product information
 Title: Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis
 Author(s):
 Release date: June 2007
 Publisher(s): Wiley
 ISBN: 9780471780519
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