Integrating Market, Credit and Operational Risk - Risk Books
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Integrating Market, Credit and Operational Risk

Edited By Lampros Kalyvas, Ioannis Akkizidis, Ioanna Zourka and Vivianne Bouchereau


Covering the three major sources of risk this book gives an excellent overview of the exact methodological steps needed for you to evaluate and manage market, credit and operational risks arising from banking activities. It moves on to reveal the strengths and weaknesses of Basel II and explains ways for you to integrate these sources of financial risk into this regulatory framework.

Publish date: 1 Aug 2006

Availability: In stock

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Integrating Market, Credit and Operational Risk
eBook - Integrating Market, Credit and Operational Risk

Book description

The focus of this timely book is on the construction of a common, reliable and historically based framework for conducting stress tests for the entire banking organisation structure. This will allow you to develop a common integrated framework for the quantification of economic capital and regulatory capital for each source of risk under consideration.

Integrating Market, Credit and Operational Risk will lead you to:

* Identify and measure the risks on an integrated basis

* Model and map the integrated risk that is associated to both your internal and external market, credit and operational business lines

* Align the integrated risks to business objectives through the associated business lines performances

* Evaluate and monitor the probability and impact of each integrated risk based on multi-factorial and multi-dimensional measurements within operations that have high degree of complexity

* Manage the integrated risk in accordance to minimise the overall value of risks as well as their capital requirements

Allocate the resources needed for the integrated risk management within different business lines, department sites etc.

* Deal with the implementation of Basel II for integrated risk assessment

* Acquire alternative proposals for market, credit and operational risks

* Learn all financial and business aspects of the integration among market, credit and operational risks in credit institutions

* Identify, model, map and monitor the integrated risks and/or losses

* Understand what to consider on VaR for unitary as well as integrated risk level

* Know when and where the different sources of risks are integrated

This book presents a unique way for you to evaluate integrated risks within complex operational processes and can be used as a working manual, handbook or reference for anyone working in or studying these sources of risk.

Book details

Book 9781904339960 / EBook 9781908823120
Publish date
1 Aug 2006
155mm x 235mm

Editor biography

Lampros Kalyvas, Ioannis Akkizidis, Ioanna Zourka and Vivianne Bouchereau

Dr Lampros Kalyvas is a risk analyst and his main concerns involve risks undertaken by credit institutions. He is currently employed at the Bank of Greece and he is a visiting lecturer at the University of Ioannina, Greece. He received his PhD in risk management from the University of Macedonia, Greece, his MSc in international banking and financial studies from the University of Southampton, UK, and his BSc in applied informatics from the University of Macedonia, Greece.

Lampros has been employed at the Hellenic Central Securities Depository and has taught at various seminars organised by several institutions. He has also published several scientific papers and presented at several international conferences. His research interests lie in the quantification of market risk, the quantification of credit risk, interest rate modelling, regulatory treatment of credit institutions’ portfolios, securitisation, credit derivatives and risk integration.

Dr Ioannis S. Akkizidis is a consultant in risk management working for IRIS integrated risk management ag, in Zurich, Switzerland. His main interests lie in designing and implementing solutions as well as consulting in the risk-management field for credit institutions. He is the author of the book titled Guide to Optimal Operational Risk & Basel II (New York, 2006).

Ioannis’ first degree is in engineering, whereas his postgraduate master’s degree is in control systems and applied mathematical analysis from the University of Portsmouth, UK. He holds a PhD in artificial intelligence and applied mathematics obtained from University of Wales, UK. He has also published several scientific papers in international journals and presented at several international conferences and events. He has given many talks on the subject of risk optimisation and management. Ioannis has worked worldwide, spending a number of years in business and risk analysis and in implementing advanced solutions in risk analysis for large organisations and financial institutions.

Dr Vivianne Bouchereau is an analyst in the field of risk, quality and process management. She has undertaken projects in the field of business performance and operational risk analysis and optimisation as well as quality management. She is the co-author of a book entitled Guide to Optimal Operational Risk & Basel II" (2006). She has given several seminars and talks on operational risk management and Basel II, and has an extensive academic background and working knowledge in this field.

Vivianne has several years’ working experience in the quality engineering field. She has also written numerous papers on the subject of total quality management and has been a presenter at numerous international seminars and conferences. She obtained her combined bachelor’s and master’s (MEng) in electronic and electrical engineering and her PhD in quality engineering.

Ioanna Zourka works as an examiner in the Risk Analysis and Supervisory Techniques Division at the Department for the Supervision of Credit and Financial Institutions in the Bank of Greece. She received her MSc in statistics and operational research and a BSc in mathematics. Her main focus is on the examination of credit risk models developed by Greek banks and the observance of their adaptation processes in the new sophisticated environment, outlined by the new capital adequacy framework (Basel II).

Ioanna is also responsible for stress-testing exercises in order to examine the sensitivity of the Greek banking system to the changes of critical economic factors. In the past, she has worked in the risk-management and underwriting sector as a credit analyst and developed scoring systems used to determine the creditworthiness of obligors.

Table of contents


Part I: Market Risk

  • Introduction
  • Identifying Risk Factors
  • Market Risk Models
  • Back-testing Stress tests
  • Aspects of Integration

Part II: Credit Risk

  • Introduction
  • Credit Risk Basics
  • Credit Risk Parameters: Definitions and innovative estimations of
  • Credit Risk Modelling
  • Stress testing
  • Regulatory Capital Requirements
  • Aspects of Integration

Part III: Operational Risk in Banking Organizations

  • Introduction
  • Identifying & Measuring Operational Risk
  • Modeling and Monitoring Operational Risk
  • Assessing Operational Risk via Evaluation Analysis
  • Operational Risk Profiling
  • Optimizing Risks
  • Aspects of Integration

Part IV: Characteristics, Strengths and Weaknesses of Basel II

  • Introduction
  • The Framework for Market Risk
  • The Framework for Credit Risk
  • The Framework for Operational Risk
  • Aggregation according to Basel II: Different combination for each credit institution
  • Difficulties on Integrating Different Types of Risks

Part V: Integrated Risk Management Framework

  • Introduction
  • Integrating Market and Credit Risk
  • Integrating Market and Operational Risk
  • Integrating Credit and Operational Risk
  • Dealing with the Weaknesses of Basel II
  • Economic and Regulatory Capital
  • A complete proposal for capital requirements Conclusions & Action Plans

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