Operational Risk: Practical Approaches to Implementation

Abstract

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 Credit 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 Alvarez. 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-Rene 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.

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