This specific ISBN edition is currently not available.View all copies of this ISBN edition:
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.
"synopsis" may belong to another edition of this title.
"Dr Marcelo Cruz is rightfully acknowledged as a world expert in the quantification of operational risk. He has set out to produce a book that is comprehensive yet also comprehensible to non-mathematicians - and is to be congratulated for succeeding in this aim. This book should be regarded as essential reading for all professional risk managers, irrespective of their particular lens of perception." Brendan Young, Chairman, Operational Risk Research Forum
"As a technically trained analyst, Marcelo Cruz summarizes a wide range of mathematical techniques. As an experienced capital markets trader and risk manager, he provides real world examples of their relevance for operational risk. This will be a common reference work in the field for years to come." David M. Rowe, Ph.D., Group Executive Vice President for Risk Management Sun Gard Trading and Risk Systems
Operational risk is an important, yet little explored, area within risk management. The need to model and measure the risks arising from operational errors and to allocate capital against them will be soon become a regulatory requirement for financial institutions. In this book, Marcelo Cruz provides a quantitative look at the subject, presenting several mathematical models that can be used and adapted to measure, manage and hedge operational risk.
Based on the author's extensive experience, the book maps out state-of-the-art mathematical and statistical techniques that can be used to model operational risk. In addition, the book describes a variety of appropriate models that can be applied to specific structures or areas, including operational risk database modeling, stochastic models, statistical distributions for frequency and severity, extreme value theory, operational VaR models, artificial intelligence models, dynamic multifactor models, Bayesian analysis, Monte Carlo simulation, stress test/ scenario analysis, real options, state-space models and the Kalman filter, Markovian stochastic models and others. These models have been tested with real data in real operational events. Based on this experience, numerous examples are sited throughout.
Modeling, Measuring and Hedging Operational Risk provides a complete quantitative reference for all those involved in modeling and managing operational risk as well as for those involved with developing hedging products for operational risk within insurance companies and derivatives houses.
The interest in operational risk has evolved exponentially in the last few years. Up until the Barings Bank collapse in 1995, the term had never been used. Dr Marcelo Cruz is one of the first people to attempt to explain clearly and technically the patterns of this new risk. He has been lecturing on operational risk since 1997 and wrote one of the first academic articles on it, in 1998.
Written in a clear and accessible manner, Modeling, Measuring and Hedging Operational Risk is essential reading for all those concerned with this evolving area of risk.
"About this title" may belong to another edition of this title.
Book Description Wiley 2002-01-22, Chichester, 2002. hardback. Condition: New. Seller Inventory # 9780471515609
Book Description Condition: New. Seller Inventory # 86914-n
Book Description 2002. Condition: NEW. 9780471515609 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Seller Inventory # HTANDREE01489266
Book Description John Wiley & Sons, 2017. Paperback. Condition: New. PRINT ON DEMAND Book; New; Publication Year 2017; Fast Shipping from the UK. No. book. Seller Inventory # ria9780471515609_lsuk
Book Description John Wiley & Sons 2002-02-28, 2002. Hardcover. Condition: New. Seller Inventory # 6666-WLY-9780471515609
Book Description John Wiley & Sons Inc. Hardback. Condition: New. New copy - Usually dispatched within 2 working days. Seller Inventory # B9780471515609
Book Description John Wiley and#38; Sons, 2002. HRD. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # FW-9780471515609
Book Description John Wiley & Sons Inc, 2002. Hardcover. Condition: Brand New. 1st edition. 346 pages. 10.25x6.50x1.25 inches. In Stock. Seller Inventory # __0471515604
Book Description Condition: New. New. Seller Inventory # S-0471515604
Book Description Wiley, 2002. Hardcover. Condition: New. 1. Seller Inventory # DADAX0471515604