Operational Risk Modelling and Analysis: Theory and Practice

Marcelo G. Cruz

53 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk Management in Financial Firms Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

SECTION 1 - DATABASE MODELLING, REGULATORY AND TECHNOLOGY ISSUES Introduction Marcelo Cruz RiskMaths 1 Operational Risk - Management Based on the Current Loss Data Situation Agatha Kalhoff Marcus Haas BII University of Frankfurt 2 Tackling the Insufficiency of Loss Data for the Quantification of Operational Risk Marcus Haas Thomas Kaiser University of Frankfurt KPMG 3 Contract Management and Operational Risk Kristiina Vares Swedish School of 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 Financial Insights SECTION 2 - RISK MODELLING AND MEASUREMENT Introduction Marcelo Cruz RiskMaths 6 Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach Paolo Giudici University of Pavia 7 Stable Modelling of Operational Risk Anna Chernobai, Svetlozar Rachev University of California 8 Towards Operational Risk Management Kaj Nystrom, Jimmy Skoglund Swedbank 9 A Copula-Extreme Value Theory Approach for Modelling Operational Risk Annalisa Di Clemente Claudio Romano University of Rome Capitalia Bank Holding 10 Cyclicality in the Catastrophic Risk of Financial Institutions Linda Allen, Turan G. Bali, Yi Tang Zicklin School of Business 11 Using Stratified Sampling Methods to Improve Percentile Estimates in the Context of Risk Measurement Neil Hereford, Geoffrey Shuetrim KPMG 12 Adequate Capital and Stress Testing for Operational Risks Reimer Kuhn Peter Neu King's College London Dresdner Bank AG SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISK PROJECTS IN LARGE FINANCIAL INSTITUTIONS Introduction Marcelo Cruz RiskMaths 13 The JPMorganChase Operational Risk Environment JPMorgan Chase 14 Overall Large Bank Operational Risk Framework Duncan Fairley, David McCall HBOS 15 Implementing an Integrated Operational Risk Framework Sok Hui Chng, Him Chuan Lim DBS Group

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 53 citations exist upstream.

Cited by

2006Applying robust methods to operational risk modeling 2009Implementing loss distribution approach for operational risk 2009Dynamic operational risk: modeling dependence and combining different sources of information 2007Addressing the impact of data truncation and parameter uncertainty on operational risk estimates 2004Cyclicality in Catastrophic and Operational Risk Measurements 2010Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?2012CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory 2009Formalizing process-based risk with Value-Focused Process Engineering

Imported from OpenAlex (CC0) — nothing here is generated.