The Advanced Measurement Approach to Operational Risk - Risk Books
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The Advanced Measurement Approach to Operational Risk

Edited By Ellen Davis

Overview

 


Voted no. 1 in FEN’s top ten technical books for 2006


 


Risk Books present you with this technical guide on how to model op risk with practical advice on how to set up an AMA programme that fully supports the modelling and quantification goals of your organisation.

Publish date: 3 Apr 2006

Availability: In stock

£99.00
OR

Book description

The book firmly focuses on practical solutions to modelling issues.

Helps you set up a strong programme with quantification in mind, providing good quality information for modelling, in order to deliver the numbers you need for regulatory approval, and deliver value to your business lines.

Presents many complex topics in a highly accessible manner.

Five comprehensive sections succinctly guide you through the following key topics:

  • The AMA framework: Outlines a general approach to constructing an advanced measurement approach framework within your firm - the basis upon which any op risk model is built. It provides essential do’s and don’ts as well as step-by step guidance on how best to achieve the goals of your op risk programme. It covers such crucial areas as data selection, granularity, correlation, and diversification.
  • Modelling basics: Gets you fluent in the fundamentals of operational risk modelling with discussion of general concepts and an analysis of the main mathematical models regularly used to analyse loss data.
  • Modelling challenges: Shows you how models can be adjusted to overcome limitations in the underlying data. It includes practical guidance on loss data capture, the effect of data gaps on parameter estimates, expected and unexpected loss calculations and the use of extreme value theory to help mitigate some of the data problems associated with operational risk modelling. Crucially these complex topics are presented in an accessible manner, with plenty of thorough explanation to help you digest and implement the content.
  • Alternative modelling approaches: This section gives you a general framework for thinking about qualitative elements and their role in modelling - including scenario analysis, key risk indicators, and how to overcome the challenges in the modelling of less tangible risks, such as technology risk.
  • Comparative views of implementation: To help you gain a broader understanding of how your colleagues around the world are implementing their op risk solutions - the final section contains an overview of an op risk framework at a US bank, plus implementation studies from Spain and Germany. The German study unveils the results of a major industry survey, outlining "real world" practices in financial services firms, including the strengths and shortcomings of firms’ approaches to solving key op risk challenges.

Book details

ISBN
9781904339885
Publish date
3 Apr 2006
Format
Size
155mm x 235mm

Editor biography

Ellen Davis

Ellen Davis is the head of risk insight in Thomson Reuters’ governance, risk and compliance division and is based in London. Previously she spent 14 years at Incisive Media, where she worked with a cross-company team to shape the online editorial presence of the division that publishes Risk magazine, as divisional online editor. Prior to this she was the editor and publisher of Operational Risk & Regulation magazine, and editor of AsiaRisk magazine based in Hong Kong. Originally from the US, she holds an MBA from NYU’s Stern School of Business and she wrote about capital markets, corporate finance, and emerging markets for various publications while living in New York City during the 1990s. Ellen continues to enjoy discussing the risk management challenges facing individuals, organisations, and regulators around the world.

Table of contents

CONTENT

SECTION 1: THE AMA FRAMEWORK

1. The Advanced Measurement Approach: Getting it Started

Jeremy Quick

2. Practical Decisions to Successfully Model Operational Risk Capital

Michael Haubenstock and Jeff Hause

SECTION 2: MODELLING BASICS

3. Operational Risk Modelling: Where do we go from here?

Rudi DeKoker

4. Operational Risk Economic Capital Measurement: Mathematical Models for Analyzing Loss Data

Gene Alvarez

SECTION 3: MODELLING CHALLENGES

5. Breaking Ground on the Loss Data Challenge: Wachovia’s Approach to Loss Data Capture and Validation

Dee Harris and Tom Longstroth

6. Estimating the Parameters in the Loss Distribution Approach: How can we deal with Truncated Data?

Marco Bee

7. Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures

Marco Moscadelli , Anna Chernobai , and Svetlozar Rachev

8. Test of Extreme Value Theory Applied to Operational Risk Data

Giulio Mignola and Robert Ugoccioni

SECTION 4: ALTERNATIVE MODELLING APPROACHES

9. Scenario Analysis in Operational Risk Management

Sergio Scandizzo

10. Key Risk Indicators: Their Role in Operational Risk Management and Measurement

Jonathan Davies , Mike Finlay , Tara Lenaghen and Duncan Wilson

11. Quantifying the Operational Risks of Technology

Eric Holmquist

SECTION 5: COMPARATIVE VIEWS OF IMPLEMENTATION

12. Operational Risk: Some Issues in Basel II AMA Implementation in US Financial Institutions

Vanada Rao and Ashish Dev

13. AMA Implementation in Germany: Results of BaFIN’s and Bundebank’s Industry Survey

Patrik Buchmüller, Marcus Haas, Bernd Rummel, Karsten Stickelmann

14. Operational Risk Management in Financial Institutions: Some Empirical Evidence from Spain

Ana Fernandez Laviada

Customer Reviews

Average customer reviews for The Advanced Measurement Approach to Operational Risk

Great book for internal auditors and ERM/CRM

Authors gave depth of AMA approach for OP and many useful techniques for internal auditing. Recommend this book for anyone who work with 3 line defenses of financial sector.
Review by Grace (Atlanta GA USA) , 11/11/2013

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