Operational Risk Toward Basel III

This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper by givingreaders the latest, cutting-edge techniques in OpRisk management. Topics discussed include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, the new capital requirements and regulations in the banking sector in relation to financial reporting (including developing concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.

This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper by givingreaders the latest, cutting-edge techniques in OpRisk management. Topics discussed include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, the new capital requirements and regulations in the banking sector in relation to financial reporting (including developing concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.

Foreword ixAbout the Editor xiAcknowledgments xiiiAbout the Contributors xvPart One Operational Risk Measurement: Qualitative ApproachesChapter 1 Modeling Operational Risk Based on Multiple Experts' Opinions 3Jean-Philippe Peters and Georges HübnerChapter 2 Consistent Quantitative Operational Risk Measurement 23Andreas A. JobstChapter 3 Operational Risk Based on Complementary Loss Evaluations 69Andrea Giacomelli and Loriana PelizzonChapter 4 Can Operational Risk Models Deal with Unprecedented Large Banking Losses? 85Duc Pham-HiChapter 5 Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Services 97Magali Dubosson and Emmanuel FragnièreChapter 6 Operational Risk and Stock Market Returns: Evidence from Turkey 115M. Nihat Solakoglu and K. Ahmet KösePart Two Operational Risk Measurement: Quantitative ApproachesChapter 7 Integrating Op Risk into Total VaR 131Niklas Wagner and Thomas WengerChapter 8 Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach 155Marco Bee and Giuseppe EspaChapter 9 One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk 177María Dolores Martínez Miranda, Jens Perch Nielsen, and Stefan A. SperlichChapter 10 Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models 197Omar Rachedi and Dean FantazziniChapter 11 First-Order Approximations to Operational Risk: Dependence and Consequences 219Klaus Böcker and Claudia KlüppelbergPart Three Operational Risk Management and MitigationChapter 12 Integrating "Management" into "OpRisk Management" 249Wilhelm K. KrossChapter 13 Operational Risk Management: An Emergent Industry 271Kimberly D. KrawiecChapter 14 OpRisk Insurance as a Net Value Generator 289Wilhelm K. Kross and Werner GleissnerChapter 15 Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? 311Simona Cosma, Giampaolo Gabbi, and Gianfausto SalvadoriChapter 16 Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks 337Silke N. Brandts and Nicole BrangerPart Four Issues in Operational Risk Regulation and the Fund IndustryChapter 17 Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems 361John L. Simpson, John Evans, and Jennifer WestawayChapter 18 Operational Risk Disclosure in Financial Services Firms 381Guy Ford, Maike Sundmacher, Nigel Finch, and Tyrone M. CarlinChapter 19 Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators 397Daniela Russo and Pietro StecconiChapter 20 Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime 413Carolyn Vernita CurrieChapter 21 Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River 435Keith H. BlackChapter 22 A Risk of Ruin Approach for Evaluating Commodity Trading Advisors 453Greg N. Gregoriou and Fabrice Douglas RouahChapter 23 Identifying and Mitigating Valuation Risk in Hedge Fund Investments 465Meredith A. JonesIndex 479