Edited by Ellen Leander Davis, the editor of Operational Risk magazine,
this book collates the work of the leading experts in the field. There is no more
up-to-date and authoritative title on this subject and anyone charged with implementing or
understanding an operational risk management programme at a financial firm will find it
essential reading. All the key issues, from loss data collection, to loss mitigation
strategies are covered in this time-saving volume.
- Highly practical focus explains operational risk regulatory matters and specifically
aids you with the practical implementation of an operational risk programme in your
organisation.
- Provides easy access to the very latest thinking on Operational risk from the biggest
names in the field including: Marco Moscadelli, Marcus Haas, Thomas Kaiser and Maurits
Bakker.
- Collates the latest, most influential and ground-breaking work recently published in,
among others, Operational Risk magazine.
- Makes it easy for first-timers to implement a regulatory compliance framework by
providing an essential route-map that clearly shows you how to do this effectively and
efficiently
- Split into 4 easy access sections:
- Loss data collection and modelling - offers a range of novel, practical
approaches to solve the notoriously complex challenges associated with the collection and
modelling of internal and external loss data.
- Alternative measurement strategies - with detailed guidance on key risk
indicators and scenario testing among other alternative tools, this section offers highly
practical solutions informed by 'real life' situations.
- Conceptualising operational risk management - all about turning
operational risk measurement into action - this section will help you conceptualise your
op risk approach and outline an effective implementation strategy.
- Mitigation strategies - the ultimate goal of most operational risk
strategies, here you will find a range of invaluable case-studies to provide a definitive
assessment of the growing mitigation techniques available.
Ellen Davis is the editor of Operational Risk magazine and BaselAlert.com,
based in London. Previously, she was an editor on Risk magazine, and the editor of Asia
Risk magazine, based in Hong Kong. She originally hails from New York City, where she
had a long freelance career during which her work appeared in Treasury & Risk
Management, Global Finance, BusinessWeek, CFO magazine, and a number of other financial
publications. She holds a BA from Wellesley College and an MBA from New York University.
Table of contents
Introduction
Ellen Davis, Incisive Media
SECTION 1: LOSS DATA COLLECTION AND MODELLING
1 Using Transaction Data to Measure Operational Risk
Peter Hughes
OPRASS
2 Tail Dependency in Operational Risk Models
Ahraz Sheikh, John Gavin,
UBS Investment Bank
3 Correlation and Diversification Effects in Operational Risk Modelling
Antoine Frachot, Thierry Roncalli, Eric Salomon
Crédit Agricole
4 The Modelling of Operational Risk: Experience with the Analysis of the Data
Collected by the Basel Committee
Marco Moscadelli
Bank of Italy
SECTION 2: ALTERNATIVE MEASUREMENT STRATEGIES
5 Quantifying Operational Risk within Banks According to Basel II
M. R. A. Bakker
Delft Institute of Applied Mathematics
6 A Foundation for KPI and KRI
Peter Vinella, Jeanette Jin
PVA International
7 Building Scenarios
Kenji Fujii
UFJ Holdings
8 The Risk Indicator Framework as a Tool for AMA Exposure Analysis
Martin Davies
Causal Events Pty Ltd
SECTION 3: CONCEPTUALISING OPERATIONAL RISK MANAGEMENT
9 Model Behaviour
Christopher Viney
Deakin University
10 Prerequisites for Effective Operational Risk Management and Efficient
Risk-based Decision Making
Marcus Haas; Thomas Kaiser
Frankfurt University; KPMG
11 An Operational Risk Management Framework
Gene Álvarez
12 Aligning Basel II Operational Risk and Sarbanes-Oxley 404 Projects
Nick Bolton, Judson Berkey
UBS
13 Sarbanes-Oxley, Corporate Governance and Operational Risk
Alan D. Morrison
Said Business School
SECTION 4: MITIGATION STRATEGIES
14 Managing Hedge Funds' Exposure to Operational Risks: Parts 1-3
Jean-René Giraud
Edhec-Risk Advisory
15 Reducing Risk Through Insurance
Silke Brandts
Bain & Company
16 What is a Fair Price to Transfer the Risk of Unauthorised Trading? A Case
Study on Operational Risk
Christopher M. Lewis; Yakov Lantsman
The Hartford Financial Services Group; Fitch Risk Management, Inc
Hardback, 360 pages