Analysis of alternative methods of operational risk transfer across financial industry sectors:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin
Pro Business
2009
|
| Edition: | 1.Aufl. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XX, 160 S. graph. Darst. |
| ISBN: | 9783868059632 |
Staff View
MARC
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|---|---|---|---|
| 001 | BV035709668 | ||
| 003 | DE-604 | ||
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| 007 | t | ||
| 008 | 090904s2009 d||| m||| 00||| eng d | ||
| 020 | |a 9783868059632 |9 978-3-86805-963-2 | ||
| 035 | |a (OCoLC)455584201 | ||
| 035 | |a (DE-599)BVBBV035709668 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-19 |a DE-12 |a DE-355 |a DE-29 | ||
| 082 | 0 | |a 332.1 |2 22/ger | |
| 084 | |a QK 300 |0 (DE-625)141640: |2 rvk | ||
| 100 | 1 | |a Pyć, Agnieszka |d 1980- |e Verfasser |0 (DE-588)138981329 |4 aut | |
| 245 | 1 | 0 | |a Analysis of alternative methods of operational risk transfer across financial industry sectors |c Agnieszka Pyć |
| 250 | |a 1.Aufl. | ||
| 264 | 1 | |a Berlin |b Pro Business |c 2009 | |
| 300 | |a XX, 160 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Zugl.: München, Univ., Diss., 2009 | ||
| 650 | 7 | |a Bankrisiko |2 stw | |
| 650 | 7 | |a Credit Default Swap |2 stw | |
| 650 | 4 | |a Kreditmarkt - Operationelles Risiko - Messung | |
| 650 | 4 | |a Kreditmarkt - Operationelles Risiko - Risikoverteilung - Derivat <Wertpapier> | |
| 650 | 7 | |a Operationales Risiko |2 stw | |
| 650 | 7 | |a Outsourcing |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Unternehmensversicherung |2 stw | |
| 650 | 0 | 7 | |a Risikoverteilung |0 (DE-588)4138417-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Messung |0 (DE-588)4038852-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Operationelles Risiko |0 (DE-588)7518581-7 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 0 | 1 | |a Operationelles Risiko |0 (DE-588)7518581-7 |D s |
| 689 | 0 | 2 | |a Messung |0 (DE-588)4038852-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 1 | 1 | |a Operationelles Risiko |0 (DE-588)7518581-7 |D s |
| 689 | 1 | 2 | |a Risikoverteilung |0 (DE-588)4138417-9 |D s |
| 689 | 1 | 3 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017763445&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017763445 | ||
Record in the Search Index
| _version_ | 1804139430230884352 |
|---|---|
| adam_text | Contents
List of Figures
xviii
List of Tables
xx
I Introduction
1
1
Introduction and Outline
3
1.1
Introduction
................................... 3
1.2
Overview
..................................... 6
1.3
Outline of the Thesis
.............................. 7
II Fundamentals of Operational Risk
9
2
Operational Risk and the Basel II Regulations
11
CONTENTS
2.1 The Basel
II Accord
..............................
2.2
The Basel Definition of Operational Risk
...................
2.3
Regulatory Approaches for Operational Risk Capital Evaluation
......
I7
2.3.1
The Basic Indicator Approach
..................... *■
2.3.2
The Standardized Approach
......................
18
2.3.3
The Advanced Measurement Approach
................
21
2.4
Capital Allocation under the
AMA
Approach
................
22
III Methods of Operational Risk Transfer
25
3
The Most Common Methods of Operational Risk Transfer
27
3.1
Operational Risk Transfer via Outsourcing
.................. 28
3.2
Transferring Operational Risk through Insurance
.............. 34
3.2.1
Standards for Insurance Policies
.................... 34
3.2.2
Types of Insurance Policies for Operational Risk
...........
^
3.2.3
Insurance Coverage Limitations and Concerns
............ 38
3.2.4
Placing Operational Risks in the Probability and Severity Matrix
. 42
3.2.5
Evaluating Capital Savings after Insurance Application
.......
43
CONTENTS_____________________________________________________________xi
4 Alternative
Risk
Transfer
through Operational Risk Derivatives
49
4.1
The Market and Products for Credit Risk
.................. 50
4.1.1
Market Participants
.......................... 53
4.1.2
Credit Default Swaps
.......................... 55
4.1.3
Basket Credit Default Swaps
...................... 57
4.1.4
Portfolio Credit Default Swaps
.................... 59
4.1.5
Tranched Credit Derivatives
...................... 61
4.2
Operational Risk Swaps
............................ 62
4.3
Basket Operational Risk Swaps
........................ 64
4.4
Portfolio Operational Risk Swaps
....................... 66
4.5
Tranched Portfolio Operational Risk Swaps
.................. 67
4.6
Tranched Basket Operational Risk Swaps
................... 70
5
Pricing Operational Risk Swaps
73
IV Operational Risk Quantification Methods
79
6
Modeling Operational Risk
81
6.1
Loss Distribution Approach
.......................... 82
CONTENTS
6.1.1
Frequency Modeling
.......................... 83
6.1.2
Severity Modeling
............................ 85
6.1.2.1 Lognormal
Distribution
................... 86
6.1.2.2
Exponential Distribution
................... 86
6.1.2.3
Gamma Distribution
..................... 87
6.1.2.4
Weibull Distribution
..................... 88
6.1.2.5
Generalized Pareto Distribution
............... 88
6.1.3
Total Loss Calculation
......................... 89
6.2
Risk Measures
................... , 90
6.2.1
Value-at-Risk
.............................. 90
6.2.2
Expected Shortfall
........................... 91
6.3
Monte Carlo Simulation
.......... 92
V Empirical Illustration
95
7
Model Construction and Application
97
7.1
The Data Set
...............
gg
7.2
Fitting Severity Distributions
...........
100
CONTENTS___________________________________________________________xiii
7.2.1
Fitting the GPD
............................ 101
7.2.2
Confrontation of the GPD with Different Severity Distributions
. . 109
7.3
Evaluation of Risk Measures
..........................
Ill
7.4
Effect of Insurance Coverage on Operational Risk Measures
......... 112
7.5
Effect of Operational Risk Swap on Risk Measures
.............. 118
7.6
Comparison of Insurance and Operational Risk Derivatives
......... 120
VI Closing Remarks
123
8
Summary and Outlook
125
8.1
Summary of the Thesis
............................. 125
8.2
Outlook
..................................... 127
VII
Appendices
129
A Glossary
131
В
Historical Operational Losses
141
С
Matlab
Source Code for Estimating Risk Measures
143
xiv_________________________________________________
Table of Contents
D
Goodness-of-Fit Statistics
147
Bibliography
157
|
| any_adam_object | 1 |
| author | Pyć, Agnieszka 1980- |
| author_GND | (DE-588)138981329 |
| author_facet | Pyć, Agnieszka 1980- |
| author_role | aut |
| author_sort | Pyć, Agnieszka 1980- |
| author_variant | a p ap |
| building | Verbundindex |
| bvnumber | BV035709668 |
| classification_rvk | QK 300 |
| ctrlnum | (OCoLC)455584201 (DE-599)BVBBV035709668 |
| dewey-full | 332.1 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1 |
| dewey-search | 332.1 |
| dewey-sort | 3332.1 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1.Aufl. |
| format | Thesis Book |
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| id | DE-604.BV035709668 |
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| indexdate | 2024-07-09T21:43:57Z |
| institution | BVB |
| isbn | 9783868059632 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017763445 |
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| owner_facet | DE-19 DE-BY-UBM DE-12 DE-355 DE-BY-UBR DE-29 |
| physical | XX, 160 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Pro Business |
| record_format | marc |
| spelling | Pyć, Agnieszka 1980- Verfasser (DE-588)138981329 aut Analysis of alternative methods of operational risk transfer across financial industry sectors Agnieszka Pyć 1.Aufl. Berlin Pro Business 2009 XX, 160 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: München, Univ., Diss., 2009 Bankrisiko stw Credit Default Swap stw Kreditmarkt - Operationelles Risiko - Messung Kreditmarkt - Operationelles Risiko - Risikoverteilung - Derivat <Wertpapier> Operationales Risiko stw Outsourcing stw Theorie stw Unternehmensversicherung stw Risikoverteilung (DE-588)4138417-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Operationelles Risiko (DE-588)7518581-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Operationelles Risiko (DE-588)7518581-7 s Messung (DE-588)4038852-9 s DE-604 Risikoverteilung (DE-588)4138417-9 s Derivat Wertpapier (DE-588)4381572-8 s Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017763445&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pyć, Agnieszka 1980- Analysis of alternative methods of operational risk transfer across financial industry sectors Bankrisiko stw Credit Default Swap stw Kreditmarkt - Operationelles Risiko - Messung Kreditmarkt - Operationelles Risiko - Risikoverteilung - Derivat <Wertpapier> Operationales Risiko stw Outsourcing stw Theorie stw Unternehmensversicherung stw Risikoverteilung (DE-588)4138417-9 gnd Kreditmarkt (DE-588)4073788-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Messung (DE-588)4038852-9 gnd Operationelles Risiko (DE-588)7518581-7 gnd |
| subject_GND | (DE-588)4138417-9 (DE-588)4073788-3 (DE-588)4381572-8 (DE-588)4038852-9 (DE-588)7518581-7 (DE-588)4113937-9 |
| title | Analysis of alternative methods of operational risk transfer across financial industry sectors |
| title_auth | Analysis of alternative methods of operational risk transfer across financial industry sectors |
| title_exact_search | Analysis of alternative methods of operational risk transfer across financial industry sectors |
| title_full | Analysis of alternative methods of operational risk transfer across financial industry sectors Agnieszka Pyć |
| title_fullStr | Analysis of alternative methods of operational risk transfer across financial industry sectors Agnieszka Pyć |
| title_full_unstemmed | Analysis of alternative methods of operational risk transfer across financial industry sectors Agnieszka Pyć |
| title_short | Analysis of alternative methods of operational risk transfer across financial industry sectors |
| title_sort | analysis of alternative methods of operational risk transfer across financial industry sectors |
| topic | Bankrisiko stw Credit Default Swap stw Kreditmarkt - Operationelles Risiko - Messung Kreditmarkt - Operationelles Risiko - Risikoverteilung - Derivat <Wertpapier> Operationales Risiko stw Outsourcing stw Theorie stw Unternehmensversicherung stw Risikoverteilung (DE-588)4138417-9 gnd Kreditmarkt (DE-588)4073788-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Messung (DE-588)4038852-9 gnd Operationelles Risiko (DE-588)7518581-7 gnd |
| topic_facet | Bankrisiko Credit Default Swap Kreditmarkt - Operationelles Risiko - Messung Kreditmarkt - Operationelles Risiko - Risikoverteilung - Derivat <Wertpapier> Operationales Risiko Outsourcing Theorie Unternehmensversicherung Risikoverteilung Kreditmarkt Derivat Wertpapier Messung Operationelles Risiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017763445&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT pycagnieszka analysisofalternativemethodsofoperationalrisktransferacrossfinancialindustrysectors |