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,AngusGrandfield, JPMorgan
2 The Advanced Measurement Approach - Finishing It, JeremyQuick, GuernseyFinancial Services Commission
3 Consistent Quantitative Operational Risk Measurement and,Regulation:Challenges of Model Specification, Data Collection andLoss Reporting,Andreas A. Jobst, International Monetary Fund,Monetary and Capital MarketsDepartment
PART II: EXTRACTING VALUE FROM THE AMA
4 Challenges in AMA Implementation: Finding a Balance BetweenRegulatoryand Internal Requirements, Karsten Stickelmann,Deutsche Bundesbank
5 How to Create Value from Loss Data Pooling, Johannes Voit,DeutscherSparkassen-und Giroverband
6 Beyond Regulatory Compliance - Deriving Value fromOperational Risk Data,Alfred Seivold, Federal Deposit InsuranceCorporation
7 Driving an Effective and Efficient Control Self-assessmentProgramme, LimHim Chuan, DBS Bank Ltd
PART III: OPERATIONAL RISK AND THE ENTERPRISE
8 Creating Value in ORM - a Business Line Perspective, MikeHaubenstock,SunTrust Mortgage
9 Implementing a Practical ORM System in the Context of ERM inan Era ofFinancial and Regulatory Convergence via BusinessProcess Governance, GuanSeng Khoo, Standard Chartered Bank
10 Delivering Value through Business Continuity Management,Peter Poulos,Morgan Stanley
11 Operational Risk in Enterprise Risk Management, AndrewBrand, MustafaCavus, Thread needle Asset Management
PART IV: UNLOCKING THE POTENTIAL OF EFFECTIVE CULTURE ANDGOVERNANCE
12 Op Risk Governance: Sustaining the Importance of OperationalRiskManagement, Ashish Dev, Promontory Financial
13 Operational Risk and Communication Conduits, Eric Holmquist,AdvantaBank Corp.
14 The Role of Reputation Risk in ORM, Ladd Muzzy, Ernst &YoungLLP
15 Leveraging Information Technology Governance for OperationalRiskManagement, Ramakrishnan S. Kannan, i-flex Consulting
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17 | Chernobai, Anna S., Svetlozar T.Rachev, andFrank J. Fabozzi | Operational Risk: A Guide toBasel IICapital Requirements, Models, and Analysis | John Wiley & Sons, Inc. | New York | 2007 | 1 | |
18 | Moosa, Imad A. | Operational Risk Management(Finance andCapital market) | Palgrave Macmillan | | 2007 | 1 | |
19 | Cruz, Marcelo G. | Operational Risk Management: SixSigma,Capital Management, Ratings and Financial Engineering | John Wiley & Sons, Inc. | New York | 2006 | 0 | |
20 | Kaiser, Thomas and Marc Kohne | An Introduction to OperationalRisk | 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 ManagementProcess
Approach
Manpower and time involved
Implementation problems
7: Outlook
References |
21 | Panjer, Harry H. | Operational Risk: ModellingAnalytics | Wiley-Interscience | | 2006 | 1 | |
22 | Thonabauer, Gunther and BarbaraNosslinger | Guidelines on Operational RiskManagement | Oesterreichische Nationalbank | Vienna | 2006 | 1 | |
23 | Davis, Ellen | The Advanced MeasurementApproach toOperational Risk | Risk Books | | 2006 | Contents only | SECTION 1: THE AMAFRAMEWORK
1. The Advanced Measurement Approach: Getting it Started,JeremyQuick
2. Practical Decisions to Successfully Model Operational RiskCapital,Michael Haubenstock and Jeff Hause
SECTION 2: MODELLING BASICS
3. Operational Risk Modelling: Where do we go from here? RudiDeKoker
4. Operational Risk Economic Capital Measurement: MathematicalModels forAnalyzing Loss Data, Gene Alvarez
SECTION 3: MODELLING CHALLENGES
5. Breaking Ground on the Loss Data Challenge: Wachovia’sApproach to LossData Capture and Validation, Dee Harris and TomLongstroth
6. Estimating the Parameters in the Loss Distribution Approach:How can wedeal with Truncated Data? Marco Bee
7. Treatment of Incomplete Data in the Field of OperationalRisk: TheEffects on Parameter Estimates, EL and UL Figures, MarcoMoscadelli , AnnaChernobai , and Svetlozar Rachev
8. Test of Extreme Value Theory Applied to Operational RiskData, GiulioMignola and Robert Ugoccioni
SECTION 4: ALTERNATIVE MODELLING APPROACHES
9. Scenario Analysis in Operational Risk Management, SergioScandizzo
10. Key Risk Indicators: Their Role in Operational RiskManagement andMeasurement, Jonathan Davies , Mike Finlay , TaraLenaghen and DuncanWilson
11. Quantifying the Operational Risks of Technology, EricHolmquist
SECTION 5: COMPARATIVE VIEWS OF IMPLEMENTATION
12. Operational Risk: Some Issues in Basel II AMAImplementation in USFinancial Institutions, Vanada Rao and AshishDev
13. AMA Implementation in Germany: Results of BaFIN’s andBundebank’sIndustry Survey, Patrik Buchmüller, Marcus Haas, BerndRummel, KarstenStickelmann
14. Operational Risk Management in Financial Institutions: SomeEmpiricalEvidence from Spain, Ana Fernandez Laviada
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24 | Allen, L., J. Boudoukh, and A.Saunders | Understanding Market, Credit andOperationalRisk: The Value-at-Risk Approach | Blackwell Publishing | Oxford | 2005 | 0 | |
25 | Davis, Ellen L. | Operational Risk: PracticalApproaches toImplementation | Risk Books, Incisive Media | | 2005 | Contents only | SECTION 1: LOSS DATA COLLECTIONANDMODELLING
1 Using Transaction Data to Measure Operational Risk, PeterHughes,OPRASS
2 Tail Dependency in Operational Risk Models, Ahraz Sheikh,John Gavin, UBSInvestment Bank
3 Correlation and Diversification Effects in Operational RiskModelling,Antoine Frachot, Thierry Roncalli, Eric Salomon, CréditAgricole
4 The Modelling of Operational Risk: Experience with theAnalysis of theData Collected by the Basel Committee, MarcoMoscadelli, Bank of Italy
SECTION 2: ALTERNATIVE MEASUREMENT STRATEGIES
5 Quantifying Operational Risk within Banks According to BaselII, M. R. A.Bakker, Delft Institute of Applied Mathematics
6 A Foundation for KPI and KRI, Peter Vinella, Jeanette Jin,PVAInternational
7 Building Scenarios, Kenji Fujii, UFJ Holdings
8 The Risk Indicator Framework as a Tool for AMA ExposureAnalysis, MartinDavies, Causal Events Pty Ltd
SECTION 3: CONCEPTUALISING OPERATIONAL RISK MANAGEMENT
9 Model Behaviour, Christopher Viney, Deakin University
10 Prerequisites for Effective Operational Risk Management andEfficientRisk-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 404Projects, NickBolton, 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: Parts1-3,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 UnauthorisedTrading? ACase Study on Operational Risk, Christopher M. Lewis;Yakov Lantsman, TheHartford Financial Services Group; Fitch RiskManagement, Inc. |
26 | Lewis, Nigel Da Costa | Operational Risk with Excel andVBA | John Wiley & Sons, Inc. | New York | 2004 | 1 | |
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