Franzetti Operational Risk Modelling and Management

1. Auflage 2010
ISBN: 978-1-4398-4477-9
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 413 Seiten

Taking into account the standards of the Basel Accord, Operational Risk Modelling and Management presents a simulation model for generating the loss distribution of operational risk. It also examines a multitude of management issues that must be considered when adjusting the quantitative results of a comprehensive model.

The book emphasizes techniques that can be understood and applied by practitioners. In the quantitative portions of the text, the author supplies key concepts and definitions without stating theorems or delving into mathematical proofs. He also offers references for readers looking for further background information. In addition, the book includes a Monte Carlo simulation of risk capital in the form of a run-through example of risk calculations based on data from a quantitative impact study. Since the computations are too complicated for a scripting language, a prototypical software program can be downloaded from www.garrulus.com

Helping you navigate the tricky world of risk calculation and management, this book presents two main building blocks for determining how much capital needs to be reserved for operational risk. It employs the loss distribution approach as a model for calculating the risk capital figure and explains risk mitigation through management and management’s actuations.

Zielgruppe

Risk managers and actuaries; researchers and professionals in finance, financial mathematics, and engineering; banking regulators.

Autoren/Hrsg.

Franzetti, Claudio

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

Introduction to Operational Risk
Why Regulate Banks?
Additional Supervision
The Basel Regulatory Effort
Risk and Capital
What Is Operational Risk?
Economic Capital for Operational Risk
Operational Risk under Basel 2
Role of Insurance
Regulation after the Crisis
The Problem Context
General Remarks
The Data Problem
The Dependency Problem
The Insurance Problem
The Mapping Problem
The Management Problem
Strategic Risks of a Bank
AMA Standards
The Knowledge Problem
Probability, Causality and Other Primitives
The Modelling Approach
Simulation and the Monte Carlo Method
General Model Structure
Data Requirements
Data Modelling and Distributions
Run-Through Example: Quantitative Impact Study Data
Correlation of Losses
Risk Measures and Allocation
Insurance Modelling and Mitigation
Mapping Events to Insurance Policies
Mapping Events to Lines of Business
Calculating the Economic Capital
Results of the Run-Through Example
Summary and Conclusion
Managing Operational Risk
Management and Organisation
Environment
Culture
Operational Risk Framework
Operational Risk Structure
Operational Risk Process
Business Environment and Internal Control Factors
Scenario Analysis
Optimising the Insurance Programme
Audit, Reporting and Disclosure of Operational Risk
Risk Management versus Internal Control
Summary and Conclusion
Conclusions
Appendix
Bibliography
Index

Über Autor(innen)

Claudio Franzetti is the chief risk officer of Swiss Export Risk Insurance (SERV) in Zurich and president of Garrulus Enterprise Ltd. He has previously worked at Aon Resolution AG, Deutsche Bank, Swiss Re, and Iris AG.