SUMMARY

• Enables you to make more informed decisions on how to identify and avoid the potential risks as well as fully understand the acceptable risks on a cost-benefit basis

• Divided under three main sections: 1. Database Modelling, Regulatory and Technical Issues; 2. Risk Modelling and Measurement; 3. Case Studies of Implementation of Operational Risk Projects in Large Financial Institutions

• Highlights integral issues such as how to spot the links between indicators of operational risk and the potential losses

• Examines the tensions inherent in the nature of operational risk at both quantitative and qualitative levels

• Outlines the practical day-to-day issues and illustrates workable methodologies with examples, case studies and cutting-edge analysis

• Provides an even mix of both the progressive and in-depth research taking place in academic institutions as well as the actual practical implementation issues

• Provides the tools to cope with differing and complex situations within operational risk

• Edited by Marcelo Cruz, a world-renowned leading expert on operational risk modelling and measurement

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  TABLE OF CONTENTS

CONTENTS
SECTION 1 - DATABASE MODELLING, REGULATORY AND TECHNOLOGY ISSUES

Introduction
Marcelo Cruz
RiskMaths

1 Operational Risk - Management Based on the Current Loss Data Situation
Agatha Kalhoff; Marcus Haas
BII; University of Frankfurt

2 Tackling the Insufficiency of Loss Data for the Quantification of Operational Risk
Marcus Haas; Thomas Kaiser
University of Frankfurt; KPMG

3 Contract Management and Operational Risk
Kristiina Vares
Swedish School of Economics and Business Administration

4 Basel II and Operational Risk - An Overview
Carolyn V. Currie
University of Technology, Sydney

5 Implementing Operational Risk Solutions
Deborah Williams
Financial Insights

SECTION 2 - RISK MODELLING AND MEASUREMENT

Introduction
Marcelo Cruz
RiskMaths

6 Integration of Qualitative and Quantitative Operational Risk Data: A BayesianApproach
Paolo Giudici
University of Pavia

7 Stable Modelling of Operational Risk
Anna Chernobai, Svetlozar Rachev
University of California

8 Towards Operational Risk Management
Kaj Nyström, Jimmy Skoglund
Swedbank

9 A Copula-Extreme Value Theory Approach for Modelling Operational Risk
Annalisa Di Clemente; Claudio Romano
University of Rome; Capitalia Bank Holding

10 Cyclicality in the Catastrophic Risk of Financial Institutions
Linda Allen, Turan G. Bali, Yi Tang
Zicklin School of Business

11 Using Stratified Sampling Methods to Improve Percentile Estimates in the Context of Risk Measurement
Neil Hereford, Geoffrey Shuetrim
KPMG

12 Adequate Capital and Stress Testing for Operational Risks
Reimer Kühn; Peter Neu
King's College London; Dresdner Bank AG

SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISK PROJECTS IN LARGE FINANCIAL INSTITUTIONS

Introduction
Marcelo Cruz
RiskMaths

13 The JPMorganChase Operational Risk Environment
JPMorgan Chase

14 Overall Large Bank Operational Risk Framework
Duncan Fairley, David McCall
HBOS

15 Implementing an Integrated Operational Risk Framework
Sok Hui Chng, Him Chuan Lim
DBS Group

NB - This table of contents is provisional until final publication of the book. Changes to subheadings, papers and their sequence may occur.

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  QUOTES

″The modelling of operational risk under the new Basel II guidelines is a major concern to the financial industry. Rather than concentrating on one approach, this book gives an overview of methodology that leads towards a better understanding of operational risk, relevant for the three Pillars of Basel II″
Paul Embrechts, ETH Zurich and London School of Economics

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  AUTHOR BIOGRAPHY

Marcelo Cruz is an adjunct professor at New York University and a senior risk consultant. Formerly he was the group chief risk officer of Aviva, the UK’s largest insurer and asset manager. Previously Marcelo was global head of operational risk analytics and quantitative risk analytics at Lehman Brothers and was the managing director and founder of RiskMaths, a boutique consultancy focused on risk management and more specifically operational risk. He also previously worked at UBS AG for three years as head of operational risk. Before UBS Marcelo worked as a chief economist/strategist for an investment bank and as a derivatives trader (fixed income) for JP Morgan, where he was involved in structuring, managing and trading fixed income derivatives. Marcelo wrote one of the best selling books in risk management (“Modeling, Measuring and Hedging Operational Risk, Wiley 2002), and has written and edited other books in risk management. He is the founder editor-in-chief of The Journal of Operational Risk and sits on the board of other publications. Marcelo was also part of the GARP Board of Trustees. He holds a PhD in Mathematics from the Imperial College in London, a MSc in Financial Mathematics, an MBA and a BSc in Economics.

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  CONTRIBUTORS

Agatha Kalhoff, Marcus Haas, Marcus Haas, Thomas Kaiser, Kristiina Vares, Carolyn V. Currie, Deborah Williams, Paolo Giudici, Anna Chernobai, Svetlozar Rachev, Kaj Nyström, Jimmy Skoglund, Annalisa Di Clemente, Claudio Romano, Linda Allen, Turan G. Bali, Yi Tang, Neil Hereford, Geoffrey Shuetrim, Reimer Kühn, Peter Neu, JPMorgan Chase, Duncan Fairley, David McCall, Sok Hui Chng, Him Chuan Lim
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