SUMMARY

This book provides an encyclopedic coverage of the major pricing and valuation theories and methods. Topics include:

• The psychology of decision-making;

• Model risk

• Operational risk in retail banking;

• Operations risk and capital allocation.

Return to top | Add to basket | Tell a colleague

  TABLE OF CONTENTS

CONTENTS

Preface
List of panels
List of contributors

STARTING POINTS AND INDUSTRY TRENDS

Operational Risk and Financial Institutions: Getting Started
Stephen Kingsley, André Rolland, Andrew Tinney and Paul Holmes of Arthur Andersen

New Trends in Operational Risk Measurement and Management
Douglas G. Hoffman of Bankers Trust

IMPLEMENTING NEW APPROACHES TO OPERATIONAL RISK

Key Steps in Building Consistent Operational Risk Measurement and Management
Michel Crouhy and Robert Mark of the Canadian Imperial Bank of Commerce and Dan Galai of the Bebrew University, Jerusalem

Defining and Aggregating Operations Risk Information: Applications in Risk Mitigation and Capital Allocation
Jonathan M. Davies, Matthew Fairless, Sonia Libaert, Jason Love, David O'Brien, Peter C. Slater and Tim Shepheard-Wallwyn of Warburg Dillon Read

Measuring and Managing Operational Risk within an Integrated Risk Framework: Putting Theory into Practice
James Lam of Enterprise Risk Solutions and Greg Cameron of Fidelity Investments

Minimising Operational Risk in Financial Conglomerates
Thomas C. Donahoe of Metropolitan Life

Operational Risk in Retail Banking: Promoting and Embedding Risk Awareness Across Diverse Banking Groups
Chris Rachlin of The Royal Bank of Scotland plc

DEVELOPMENTS IN ANALYSING AND QUANTIFYING OPERATIONAL RISK

Analysis of Mishandling Losses and Processing Errors
Mark Laycock of Deutsche Bank AG

Securities Fraud and Irregularities: Case Studies and Issues for Senior Management
Norvald Instefjord and William Perraudin of Birkbeck College and Patricia Jackson of the Bank of England

Psychological Theory and Financial Institutions: Individual and Organisational Influences on Decision Making and Behaviour
Emma Soane, Mark Fenton-O'Creevy, Nigel Nicholson and Paul Willman of the Centre for Organisational Research, London Business School

Measuring the Risk of Using the Wrong Model: A New Approach
Yiannos A. Pierides of the University of Cyprus and Stavros A. Zenios of the University of Cyprus and the University of Pennsylvania

On the Quantification of Operational Risk: A Short Polemic
Michael K. Ong from ABN AMRO

Index

Return to top | Add to basket | Tell a colleague

  QUOTES

″The most useful publication on operational risk…a book containing the 10 commandments of operational risk management. It will certainly become an operational risk bible.″
Paul Dorey, Barclays Bank

Return to top | Add to basket | Tell a colleague

  REVIEW

Reviewed by Paul Dorey, Barclays Bank

The ten commandments

In my opinion this is the most useful publication on operational risk yet produced, valuable both for benchmarking existing risk functions and for giving focus to new ones being established. Over the past few years, many risk managers and financial regulators have been trying to gain a better understanding of operational risk management. Informed guidance on this subject is more than welcome, particularly in a book containing 'the 10 commandments' of operational risk management. It will certainly become an operational risk Bible.

The introductory section, by Stephen Kingsley and the team from Arthur Andersen, cover definitions, key concepts and the fundamentals of roles and accountabilities, before leading into a very practical exposition on the issues and problems of developing operational risk measurement. Doug Hoffman of Bankers Trust has himself built such a management tool, and in the second introductory paper covers the new trends in measurement, the role of risk indicators and how to build an operational loss database.

The remaining 10 articles are widely-based and combine the best cross-section of speakers to be found at a seminar, but with the greater depth of explanation and analysis that we have all been looking for. All the key themes are here: regulatory views of risk, key risk questions for senior management, the importance of risk culture, and how to go about promoting and embedding risk awareness in an organisation. Just the bringing together of these different perspectives in itself provides valuable insight.

Different components of operational risk are covered by specific articles on process errors and failures, fraud and irregularities and model risk. The view of measurement is also suitably wide and covers capital allocation, risk profiling and stress measures, both for the quantifiable and unquantifiable. Failures such as Barings, Morgan Grenfell and the Guinness affair, Daiwa or Drexel Burnham are used for illustration throughout, and remind us of the reality amongst the concepts.

It is hard to pick out particular articles from such a good collection. But for a fresh insight, I was pleased to see the Centre for Organisational Research from the London Business School looking at psychological theory. Cognitive bias and the very nature of decision making were at the core of many of the big operational risk headlines, yet this is only superficially covered by many risk functions.

Return to top | Add to basket | Tell a colleague

  CONTRIBUTORS

Paul Holmes of Arthur Andersen; Douglas G. Hoffman of Bankers Trust; Michel Crouhy and Robert Mark of the Canadian Imperial Bank of Commerce and Dan Galai of the Bebrew University, Jerusalem; Jonathan M. Davies, Matthew Fairless, Sonia Libaert, Jason Love, David O'Brien, Peter C. Slater and Tim Shepheard-Wallwyn of Warburg Dillon Read; James Lam of Enterprise Risk Solutions and Greg Cameron of Fidelity Investments; Thomas C. Donahoe of Metropolitan Life; Chris Rachlin of The Royal Bank of Scotland plc; Mark Laycock of Deutsche Bank AG; Norvald Instefjord and William Perraudin of Birkbeck College and Patricia Jackson of the Bank of England; Emma Soane, Mark Fenton-O'Creevy, Nigel Nicholson and Paul Willman of the Centre for Organisational Research, London Business School; Yiannos A. Pierides of the University of Cyprus and Stavros A. Zenios of the University of Cyprus and the University of Pennsylvania; Michael K. Ong from ABN AMRO
Return to top | Add to basket | Tell a colleague

  CUSTOMERS WHO BOUGHT THIS TITLE ALSO BOUGHT:

  Anti-Money Laundering - Edited By Tim Gough
  The Basel Handbook (2nd edition) - Edited By Michael K. Ong
  Internal Modelling and CAD II - Edited By Various
  SEC Regulation Outside the United States (6th ed) - Edited By Mark Berman
  Implementing Systems Solutions for Financial Risk Management - Robert Scott Levine

Return to top | Add to basket | Tell a colleague