Operational Risk Stress Testing - Risk Books
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Operational Risk Stress Testing

By Evan G Sekeris

Overview

The first book on the market to formally review stress-test modelling in operational risk as well as explore how stress testing is going to affect AMA (Advanced Measurement Approach) modelling. Industry practitioner and author Even Sekeris has written this groundbreaking work to be accessible to risk managers with only a basic understanding of statistics as well as appealing to a more technical audience with chapters focusing on in-depth analysis.

Publish date: 31 May 2017

Availability: In stock

£145.00
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Book description

Meant as a a roadmap towards the unification of the AMA and stress-testing frameworks in operational risk, this book will allow you to better understand the various types of operational risk models that exist, and how to use them. Operational risk managers will learn which direction they need to steer their frameworks in order to simultaneously meet evolving regulatory requirements, as well as derive risk-management benefits.

Chapters include:

  • AMA requirements and modelling
  • Economic capital vs regulatory capital
  • Factor and exposure based modelling
  • Stress testing modelling
  • Scenario analysis for stress testing
  • Convergence of AMA and stress testing models

Book details

ISBN
Book - 9781782722601
Publish date
31 May 2017
Format
Paperback
Size
155mm x 235mm

Author biography

Evan G Sekeris

Evan is a Partner at Oliver Wyman, and was formerly the global head of the Financial Institutions Risk Advisory Practice within Aon’s risk consulting business. Evan’s background covers credit and operational risk but his primary focus is currently on operational risk modelling for stress testing and for Basel 2 Advanced Methodology Approach (AMA) purposes and on helping banks develop an operational risk quantitative framework that can be used for risk management purposes. Evan joined Aon in March of 2013 from the Federal Reserve Bank of Richmond where he was in charge of coordinating the supervision of operational risk models across the System for all US based AMA banks and was responsible for the team that developed the Federal Reserve’s operational risk stress testing model for CCAR.

Table of contents

  1. Introduction

  2. AMA requirements

  3. AMA modelling

  4. Economic capital vs regulatory capital

  5. Factor and exposure based modelling

  6. Introduction to stress testing

  7. Stress testing modelling

  8. Scenario analysis for stress testing
  9. Convergence of AMA and stress testing models
  10. Conclusion

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