Quantification of operational risk under Basel II: the good, bad and ugly
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke [u.a.]
Palgrave Macmillan
2008
|
| Edition: | 1. publ. |
| Series: | Finance and capital markets
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIX, 268 S. graph. Darst. 24 cm |
| ISBN: | 0230222668 9780230222663 |
Staff View
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| 245 | 1 | 0 | |a Quantification of operational risk under Basel II |b the good, bad and ugly |c Imad A. Moosa |
| 250 | |a 1. publ. | ||
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| 300 | |a XIX, 268 S. |b graph. Darst. |c 24 cm | ||
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Record in the Search Index
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|---|---|
| adam_text | Contents
List of
Figures
ix
List of Tables
xii
Preface
xiii
List of Acronyms
xvii
1
Preliminary Concepts and Issues
1
1.1
Definition and Measurement of Risk
1
1.2
Classification of Risk
7
1.3
Analysis of Risk
15
1.4
The Rising Importance of Operational Risk
20
1.5
Banks and Banking Regulation
26
1.6
Capital, Capital Adequacy and Related Concepts
30
2
From Basel I to Basel II: A Great Leap Forward?
39
2.1
The Basel Committee
39
2.2
The Basel I Accord
46
2.3
The Basel II Accord
52
2.4
The Pillars of Basel
Π
55
2.5
A Critique of Basel
Π
65
Appendix
2.1 :
Capital Charges under the
ΒΙΑ
and
STA
79
Operational Risk: Definition, Features and Classification
83
3.1
Definition of Operational Risk
83
3.2
The Distinguishing Features of Operational Risk
89
3.3
Classification of Operational Risk
95
3.4
Surveys of Operational Loss Data
110
3.5
External Operational Loss Databases
117
3.6
Internal Operational Loss Databases
122
CONTENTS
Appendix
3.1:
The Foreign Exchange Committee s Sixty
Best Practices
128
Appendix
3.2:
The BCBS s Sound Practices
131
Appendix
3.3:
Description of Some Highly
Publicised Loss Events
132
4
The Advanced Measurement Approach to Operational Risk
137
4.1
Operational Risk Measurement, Assessment
and Modelling
137
4.2
Classification of Operational Risk Models
143
4.3
The Advanced Measurement
Approach(es)
146
4.4
A Critique of the
AMA
156
4.5
Concluding Remarks
169
5
Theoretical and Empirical Studies of Operational Risk
170
5.1
Introduction
170
5.2
Methodological Studies
171
5.3
Empirical Studies
184
5.4
Studies of the Effects of Operational Risk
190
5.5
A Final Thought
194
6
Monte Carlo Simulation: Description and Examples
196
6.1
Introduction
196
6.2
The Basic Idea
197
6.3
Specification of Frequency and Severity Distributions
198
6.4
Fitting Severity Distributions
202
6.5
Modelling Risk Dependence to Calculate the Firm-Wide
Capital Charge
205
6.6
Examples Using Hypothetical Data
209
6.7
Conclusion
225
Appendix
6.1:
Discrete Frequency Distributions
226
Appendix
6.2:
Continuous Severity Distributions
227
7
Operational Risk: Where Do We Stand?
229
7.1
Recapitulation
229
7.2
The
Subprime
Crisis as an Operational Loss Event
234
7.3
Societě
Generale et al.
243
7.4
Operational Risk Management: The Rights and Wrongs
244
7.5
The Good, Bad and Ugly
247
7.6
A Concluding Note
249
References
251
Index
265
|
| adam_txt |
Contents
List of
Figures
ix
List of Tables
xii
Preface
xiii
List of Acronyms
xvii
1
Preliminary Concepts and Issues
1
1.1
Definition and Measurement of Risk
1
1.2
Classification of Risk
7
1.3
Analysis of Risk
15
1.4
The Rising Importance of Operational Risk
20
1.5
Banks and Banking Regulation
26
1.6
Capital, Capital Adequacy and Related Concepts
30
2
From Basel I to Basel II: A Great Leap Forward?
39
2.1
The Basel Committee
39
2.2
The Basel I Accord
46
2.3
The Basel II Accord
52
2.4
The Pillars of Basel
Π
55
2.5
A Critique of Basel
Π
65
Appendix
2.1 :
Capital Charges under the
ΒΙΑ
and
STA
79
Operational Risk: Definition, Features and Classification
83
3.1
Definition of Operational Risk
83
3.2
The Distinguishing Features of Operational Risk
89
3.3
Classification of Operational Risk
95
3.4
Surveys of Operational Loss Data
110
3.5
External Operational Loss Databases
117
3.6
Internal Operational Loss Databases
122
CONTENTS
Appendix
3.1:
The Foreign Exchange Committee's Sixty
Best Practices
128
Appendix
3.2:
The BCBS's Sound Practices
131
Appendix
3.3:
Description of Some Highly
Publicised Loss Events
132
4
The Advanced Measurement Approach to Operational Risk
137
4.1
Operational Risk Measurement, Assessment
and Modelling
137
4.2
Classification of Operational Risk Models
143
4.3
The Advanced Measurement
Approach(es)
146
4.4
A Critique of the
AMA
156
4.5
Concluding Remarks
169
5
Theoretical and Empirical Studies of Operational Risk
170
5.1
Introduction
170
5.2
Methodological Studies
171
5.3
Empirical Studies
184
5.4
Studies of the Effects of Operational Risk
190
5.5
A Final Thought
194
6
Monte Carlo Simulation: Description and Examples
196
6.1
Introduction
196
6.2
The Basic Idea
197
6.3
Specification of Frequency and Severity Distributions
198
6.4
Fitting Severity Distributions
202
6.5
Modelling Risk Dependence to Calculate the Firm-Wide
Capital Charge
205
6.6
Examples Using Hypothetical Data
209
6.7
Conclusion
225
Appendix
6.1:
Discrete Frequency Distributions
226
Appendix
6.2:
Continuous Severity Distributions
227
7
Operational Risk: Where Do We Stand?
229
7.1
Recapitulation
229
7.2
The
Subprime
Crisis as an Operational Loss Event
234
7.3
Societě
Generale et al.
243
7.4
Operational Risk Management: The Rights and Wrongs
244
7.5
The Good, Bad and Ugly
247
7.6
A Concluding Note
249
References
251
Index
265 |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| index_date | 2024-07-02T22:12:14Z |
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| institution | BVB |
| isbn | 0230222668 9780230222663 |
| language | English |
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| physical | XIX, 268 S. graph. Darst. 24 cm |
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| spelling | Moosa, Imad A. 1952- Verfasser (DE-588)115539948 aut Quantification of operational risk under Basel II the good, bad and ugly Imad A. Moosa 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2008 XIX, 268 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd rswk-swf Mathematisches Modell Bank capital Mathematical models Banks and banking, International Risk management Financial risk management Mathematical models Risikomanagement (DE-588)4121590-4 gnd rswk-swf Quantifizierung (DE-588)4176601-5 gnd rswk-swf Internationale Bank (DE-588)4140009-4 gnd rswk-swf Internationale Bank (DE-588)4140009-4 s Risikomanagement (DE-588)4121590-4 s Quantifizierung (DE-588)4176601-5 s Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 u DE-604 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016763998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Moosa, Imad A. 1952- Quantification of operational risk under Basel II the good, bad and ugly Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Mathematisches Modell Bank capital Mathematical models Banks and banking, International Risk management Financial risk management Mathematical models Risikomanagement (DE-588)4121590-4 gnd Quantifizierung (DE-588)4176601-5 gnd Internationale Bank (DE-588)4140009-4 gnd |
| subject_GND | (DE-588)4679731-2 (DE-588)4121590-4 (DE-588)4176601-5 (DE-588)4140009-4 |
| title | Quantification of operational risk under Basel II the good, bad and ugly |
| title_auth | Quantification of operational risk under Basel II the good, bad and ugly |
| title_exact_search | Quantification of operational risk under Basel II the good, bad and ugly |
| title_exact_search_txtP | Quantification of operational risk under Basel II the good, bad and ugly |
| title_full | Quantification of operational risk under Basel II the good, bad and ugly Imad A. Moosa |
| title_fullStr | Quantification of operational risk under Basel II the good, bad and ugly Imad A. Moosa |
| title_full_unstemmed | Quantification of operational risk under Basel II the good, bad and ugly Imad A. Moosa |
| title_short | Quantification of operational risk under Basel II |
| title_sort | quantification of operational risk under basel ii the good bad and ugly |
| title_sub | the good, bad and ugly |
| topic | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Mathematisches Modell Bank capital Mathematical models Banks and banking, International Risk management Financial risk management Mathematical models Risikomanagement (DE-588)4121590-4 gnd Quantifizierung (DE-588)4176601-5 gnd Internationale Bank (DE-588)4140009-4 gnd |
| topic_facet | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung Mathematisches Modell Bank capital Mathematical models Banks and banking, International Risk management Financial risk management Mathematical models Risikomanagement Quantifizierung Internationale Bank |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016763998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT moosaimada quantificationofoperationalriskunderbaseliithegoodbadandugly |