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第二大类,与操作风险直接相关的书籍
16 | Davis, Ellen | Operational Risk 2.0 | Risk Books | | 2007 | 0 | Introduction, Ellen Davis, OpRisk & Compliance
PART I: WHERE IS OPERATIONAL RISK TODAY?
1 Operational Risk Management - The View from the Trenches, Angus Grandfield, JPMorgan
2 The Advanced Measurement Approach - Finishing It, Jeremy Quick, Guernsey Financial Services Commission
3 Consistent Quantitative Operational Risk Measurement and, Regulation: Challenges of Model Specification, Data Collection and Loss Reporting, Andreas A. Jobst, International Monetary Fund, Monetary and Capital Markets Department
PART II: EXTRACTING VALUE FROM THE AMA
4 Challenges in AMA Implementation: Finding a Balance Between Regulatory and Internal Requirements, Karsten Stickelmann, Deutsche Bundesbank
5 How to Create Value from Loss Data Pooling, Johannes Voit, Deutscher Sparkassen-und Giroverband
6 Beyond Regulatory Compliance - Deriving Value from Operational Risk Data, Alfred Seivold, Federal Deposit Insurance Corporation
7 Driving an Effective and Efficient Control Self-assessment Programme, Lim Him Chuan, DBS Bank Ltd
PART III: OPERATIONAL RISK AND THE ENTERPRISE
8 Creating Value in ORM - a Business Line Perspective, Mike Haubenstock, SunTrust Mortgage
9 Implementing a Practical ORM System in the Context of ERM in an Era of Financial and Regulatory Convergence via Business Process Governance, Guan Seng Khoo, Standard Chartered Bank
10 Delivering Value through Business Continuity Management, Peter Poulos, Morgan Stanley
11 Operational Risk in Enterprise Risk Management, Andrew Brand, Mustafa Cavus, Thread needle Asset Management
PART IV: UNLOCKING THE POTENTIAL OF EFFECTIVE CULTURE AND GOVERNANCE
12 Op Risk Governance: Sustaining the Importance of Operational Risk Management, Ashish Dev, Promontory Financial
13 Operational Risk and Communication Conduits, Eric Holmquist, Advanta Bank Corp.
14 The Role of Reputation Risk in ORM, Ladd Muzzy, Ernst & Young LLP
15 Leveraging Information Technology Governance for Operational Risk Management, Ramakrishnan S. Kannan, i-flex Consulting
| 17 | Chernobai, Anna S., Svetlozar T. Rachev, and Frank J. Fabozzi | Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis | John Wiley & Sons, Inc. | New York | 2007 | 1 | | 18 | Moosa, Imad A. | Operational Risk Management (Finance and Capital market) | Palgrave Macmillan | | 2007 | 1 | | 19 | Cruz, Marcelo G. | Operational Risk Management: Six Sigma, Capital Management, Ratings and Financial Engineering | John Wiley & Sons, Inc. | New York | 2006 | 0 | | 20 | Kaiser, Thomas and Marc Kohne | An Introduction to Operational Risk | Risk Books | | 2006 | 0 | 1: Introduction
2: Drivers for Operational Risk Management
Business drivers
Regulatory environment
3: Operational Risk in the Context of All Risk Types
4: Steps in the Process of Managing Operational Risk
Identification
Assessment
Reporting
Management
Monitoring
5: The Components of Operational Risk Management
Framework
Definitions and structures
Loss data
Risk assessment
Key indicators of risk
Management information system
Economic and regulatory capital
Risk Information Technology
6: Implementation of the Framework Components and Management Process
Approach
Manpower and time involved
Implementation problems
7: Outlook
References | 21 | Panjer, Harry H. | Operational Risk: Modelling Analytics | Wiley-Interscience | | 2006 | 1 | | 22 | Thonabauer, Gunther and Barbara Nosslinger | Guidelines on Operational Risk Management | Oesterreichische Nationalbank | Vienna | 2006 | 1 | | 23 | Davis, Ellen | The Advanced Measurement Approach to Operational Risk | Risk Books | | 2006 | Contents only | 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
| 24 | Allen, L., J. Boudoukh, and A. Saunders | Understanding Market, Credit and Operational Risk: The Value-at-Risk Approach | Blackwell Publishing | Oxford | 2005 | 0 | | 25 | Davis, Ellen L. | Operational Risk: Practical Approaches to Implementation | Risk Books, Incisive Media | | 2005 | Contents only | 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, Saïd 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. | 26 | Lewis, Nigel Da Costa | Operational Risk with Excel and VBA | John Wiley & Sons, Inc. | New York | 2004 | 1 | |
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