Modeling, Measuring and Hedging Operational Risk

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9780471515609: Modeling, Measuring and Hedging Operational Risk
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Worldwide banks are keen to find ways of effectively measuring andmanaging operational risk , yet many find themselves poorlyequipped to do this. Operational risk includes concerns about suchissues as transaction processing errors, liability situations, andback-office failure. Measuring and Modelling Operational Riskfocuses on the measuring and modelling techniques banks andinvestment companies need to quantify operational risk and providespractical, sensible solutions for doing so.
* Author is one of the leading experts in the field of operationalrisk.
* Interest in the field is growing rapidly and this is the onlybook that focuses on the quantitative measuring and modelling ofoperational risk.
* Includes case vignettes and real-world examples based on theauthor's extensive experience.

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From the Back Cover:

"Dr Marcelo Cruz is rightfully acknowledged as a world expert inthe quantification of operational risk. He has set out to produce abook that is comprehensive yet also comprehensible tonon-mathematicians - and is to be congratulated for succeeding inthis aim. This book should be regarded as essential reading for allprofessional risk managers, irrespective of their particular lensof perception." Brendan Young, Chairman, Operational Risk ResearchForum

"As a technically trained analyst, Marcelo Cruz summarizes a widerange of mathematical techniques. As an experienced capital marketstrader and risk manager, he provides real world examples of theirrelevance for operational risk. This will be a common referencework in the field for years to come." David M. Rowe, Ph.D., GroupExecutive Vice President for Risk Management Sun Gard Trading andRisk Systems

Operational risk is an important, yet little explored, area withinrisk management. The need to model and measure the risks arisingfrom operational errors and to allocate capital against them willbe soon become a regulatory requirement for financial institutions.In this book, Marcelo Cruz provides a quantitative look at thesubject, presenting several mathematical models that can be usedand adapted to measure, manage and hedge operational risk.

Based on the author's extensive experience, the book maps outstate-of-the-art mathematical and statistical techniques that canbe used to model operational risk. In addition, the book describesa variety of appropriate models that can be applied to specificstructures or areas, including operational risk database modeling,stochastic models, statistical distributions for frequency andseverity, extreme value theory, operational VaR models, artificialintelligence models, dynamic multifactor models, Bayesian analysis,Monte Carlo simulation, stress test/ scenario analysis, realoptions, state-space models and the Kalman filter, Markovianstochastic models and others. These models have been tested withreal data in real operational events. Based on this experience,numerous examples are sited throughout.

Modeling, Measuring and Hedging Operational Risk provides acomplete quantitative reference for all those involved in modelingand managing operational risk as well as for those involved withdeveloping hedging products for operational risk within insurancecompanies and derivatives houses.

From the Inside Flap:

The interest in operational risk has evolved exponentially in thelast few years. Up until the Barings Bank collapse in 1995, theterm had never been used. Dr Marcelo Cruz is one of the firstpeople to attempt to explain clearly and technically the patternsof this new risk. He has been lecturing on operational risk since1997 and wrote one of the first academic articles on it, in1998.

Written in a clear and accessible manner, Modeling, Measuring andHedging Operational Risk is essential reading for all thoseconcerned with this evolving area of risk.

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Book Description John Wiley and Sons Ltd, United Kingdom, 2002. Hardback. Condition: New. 1. Auflage. Language: English . Brand New Book. Worldwide banks are keen to find ways of effectively measuring and managing operational risk, yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so. * Author is one of the leading experts in the field of operational risk. * Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk. * Includes case vignettes and real-world examples based on the author s extensive experience. Seller Inventory # AAH9780471515609

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Book Description John Wiley and Sons Ltd, United Kingdom, 2002. Hardback. Condition: New. 1. Auflage. Language: English . Brand New Book. Worldwide banks are keen to find ways of effectively measuring and managing operational risk, yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so. * Author is one of the leading experts in the field of operational risk. * Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk. * Includes case vignettes and real-world examples based on the author s extensive experience. Seller Inventory # AAH9780471515609

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