【操作风险文献综述】第一期(part 5)：操作风险书籍总结和中国金融机构操作风险数据库-经管之家官网！

27

Cruz, Marcelo G.

Operational Risk Modelling andAnalysis:Theory and Practice

Risk Books

2004

Contents only

SECTION 1 - DATABASE MODELLING,REGULATORYAND TECHNOLOGY ISSUES
Introduction, Marcelo Cruz, RiskMaths
1 Operational Risk - Management Based on the Current Loss DataSituation,Agatha Kalhoff; Marcus Haas, BII; University ofFrankfurt
2 Tackling the Insufficiency of Loss Data for theQuantification ofOperational Risk, Marcus Haas; Thomas Kaiser,University of Frankfurt;KPMG
3 Contract Management and Operational Risk, Kristiina Vares,Swedish Schoolof Economics and Business Administration
4 Basel II and Operational Risk - An Overview, Carolyn V.Currie,University of Technology, Sydney
5 Implementing Operational Risk Solutions, Deborah Williams,FinancialInsights
SECTION 2 - RISK MODELLING AND MEASUREMENT
Introduction, Marcelo Cruz, RiskMaths
6 Integration of Qualitative and Quantitative Operational RiskData: ABayesian Approach, Paolo Giudici, University of Pavia
7 Stable Modelling of Operational Risk, Anna Chernobai,Svetlozar Rachev,University of California
l To incorporate more realistic loss frequency and severitydistributions,they provide evidence in favor of using StableParetian Distributions
8 Towards Operational Risk Management, Kaj Nyström, JimmySkoglund,Swedbank
9 A Copula-Extreme Value Theory Approach for ModellingOperational Risk,Annalisa Di Clemente; Claudio Romano, Universityof Rome; Capitalia BankHolding
l Present a case study, substantiated by MC simulations,incorporatingrealistic dependence between processes
10 Cyclicality in the Catastrophic Risk of FinancialInstitutions, LindaAllen, Turan G. Bali, Yi Tang, Zicklin Schoolof Business
l To incorporate a GPD
11 Using Stratified Sampling Methods to Improve PercentileEstimates in theContext of Risk Measurement, Neil Hereford,Geoffrey Shuetrim, KPMG
12 Adequate Capital and Stress Testing for Operational Risks,Reimer Kühn;Peter Neu, King’s College London; Dresdner Bank AG
SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISKPROJECTS INLARGE FINANCIAL INSTITUTIONS
Introduction, Marcelo Cruz, RiskMaths
13 The JPMorganChase Operational Risk Environment, JPMorganChase
14 Overall Large Bank Operational Risk Framework, DuncanFairley, DavidMcCall, HBOS
15 Implementing an Integrated Operational Risk Framework, SokHui Chng, HimChuan Lim, DBS Group

28

Shah, Samir

Measuring Operational Risksusing FuzzyLogic Modelling

Towers Perrin-Tillinghast

2003

0

29

Advances in Operational Risk:Firm-wideissues for Financial Institutions (2nd Edition)

Risk Books

2003

0

30

Chorafas, Dimitris N.

Operational Risk Control withBasel II:Basic Principles and Capital Requirements

Butterworth-Heinemann

2003

0

31

Alexander, Carol

Operational Risk: Regulation,Analysis andManagement (Financial Times Series)

Financial Times Prentice Hall

London

2003

1

• Chapter 14: ManagingOperational Riskswith Bayesian Networks, Carol Alexander
o Nodes represent random variables and links representrelationshipsbetween the variables
o Causal factors: vol. of transactions processed, productcomplexity,system downtime, instruments, agreement, valuation andbooking (internal orexternal)
o Terminal nodes or key risk indicators (number of failedtrades, staffturnover rates, the frequency and severity oferrors)
o Can be augmented with decision and utility nodes, and toperform a costbenefit analysis of risk controls
• The Operational Framework, M. Haubenstock

32

Shah, Samir

Measuring and ManagingOperational Risks

Towers Perrin-Tillinghast

2002

0

33

van den Brink, G. J.

Operational Risk: The NewChallenge forBanks

Palgrave

London

2002

0

34

Hoffman, Douglas G.

Managing Operational Risk

John Wiley & Sons, Inc.

New York

2002

0

Neural networks: a briefapplication to OPRisk can be found in pp. 299-300, although this involvesanonfinancial institution
Fuzzy logic: a brief case study on how this has been used in abank in itsOR management, see pp. 326-330

35

Cruz, Marcelo G.

Modelling, Measuring and HedgingOperationalRisk

John Wiley & Sons, Inc.

New York

2002

1

36

Marshall, Christopher L.

Measuring and ManagingOperational Risks inFinancial Institutions: Tools, Techniques, and otherResources(Wiley Frontiers in Finance)

John Wiley & Sons, Inc.

New York

2001

0

37

King, Jack L.

Operational Risk: Measurementand Modelling(The Wiley Finance Series)

John Wiley & Sons, Inc.

New York

2001

0

38

Miccolis, J. A., and S. Shah

Getting a Handle on OperationalRisks

Emphasis, Towers Perrin-Tillinghast

2000

0

39

N/A

Operational Risk and FinancialInstitutions

Risk Books

1998

0

STARTING POINTS AND INDUSTRYTRENDS
1 Operational Risk and Financial Institutions: Getting Started,StephenKingsley, André Rolland, Andrew Tinney and Paul Holmes ofArthurAndersen
2 New Trends in Operational Risk Measurement and Management,Douglas G.Hoffman of Bankers Trust
IMPLEMENTING NEW APPROACHES TO OPERATIONAL RISK
3 Key Steps in Building Consistent Operational Risk MeasurementandManagement, Michel Crouhy and Robert Mark of the CanadianImperial Bank ofCommerce and Dan Galai of the Bebrew University,Jerusalem
4 Defining and Aggregating Operations Risk Information:Applications inRisk Mitigation and Capital Allocation, JonathanM. Davies, Matthew Fairless,Sonia Libaert, Jason Love, DavidO’Brien, Peter C. Slater and TimShepheard-Wallwyn of Warburg DillonRead
5 Measuring and Managing Operational Risk within an IntegratedRiskFramework: Putting Theory into Practice, James Lam ofEnterprise RiskSolutions and Greg Cameron of Fidelity Investments
6 Minimising Operational Risk in Financial Conglomerates,Thomas C. Donahoeof Metropolitan Life
7 Operational Risk in Retail Banking: Promoting and EmbeddingRiskAwareness Across Diverse Banking Groups, Chris Rachlin of TheRoyal Bank ofScotland plc
DEVELOPMENTS IN ANALYSING AND QUANTIFYING OPERATIONAL RISK
8 Analysis of Mishandling Losses and Processing Errors, MarkLaycock ofDeutsche Bank AG
9 Securities Fraud and Irregularities: Case Studies and Issuesfor SeniorManagement, Norvald Instefjord and William Perraudin ofBirkbeck College andPatricia Jackson of the Bank of England
10 Psychological Theory and Financial Institutions: IndividualandOrganisational Influences on Decision Making and Behaviour,Emma Soane, MarkFenton-O’Creevy, Nigel Nicholson and Paul Willmanof the Centre forOrganisational Research, London Business School
11 Measuring the Risk of Using the Wrong Model: A New Approach,Yiannos A.Pierides of the University of Cyprus and Stavros A.Zenios of the Universityof Cyprus and the University of Pennsylvania
12 On the Quantification of Operational Risk: A Short Polemic,Michael K.Ong from ABN AMRO