Operational Risk Toward Basel III

This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper by givingreaders the latest, cutting-edge techniques in OpRisk management. Topics discussed include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, the new capital requirements and regulations in the banking sector in relation to financial reporting (including developing concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.

Foreword ix About the Editor xi Acknowledgments xiii About the Contributors xv Part One Operational Risk Measurement: Qualitative Approaches Chapter 1 Modeling Operational Risk Based on Multiple Experts’ Opinions 3 Jean-Philippe Peters and Georges Hübner Chapter 2 Consistent Quantitative Operational Risk Measurement 23 Andreas A. Jobst Chapter 3 Operational Risk Based on Complementary Loss Evaluations 69 Andrea Giacomelli and Loriana Pelizzon Chapter 4 Can Operational Risk Models Deal with Unprecedented Large Banking Losses? 85 Duc Pham-Hi Chapter 5 Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Services 97 Magali Dubosson and Emmanuel Fragnière Chapter 6 Operational Risk and Stock Market Returns: Evidence from Turkey 115 M. Nihat Solakoĝlu and K. Ahmet Köse Part Two Operational Risk Measurement: Quantitative Approaches Chapter 7 Integrating Op Risk into Total VaR 131 Niklas Wagner and Thomas Wenger Chapter 8 Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach 155 Marco Bee and Giuseppe Espa Chapter 9 One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk 177 María Dolores Martínez Miranda, Jens Perch Nielsen, and Stefan A. Sperlich Chapter 10 Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models 197 Omar Rachedi and Dean Fantazzini Chapter 11 First-Order Approximations to Operational Risk: Dependence and Consequences 219 Klaus Böcker and Claudia Klüppelberg Part Three Operational Risk Management and Mitigation Chapter 12 Integrating “Management" into “OpRisk Management" 249 Wilhelm K. Kross Chapter 13 Operational Risk Management: An Emergent Industry 271 Kimberly D. Krawiec Chapter 14 OpRisk Insurance as a Net Value Generator 289 Wilhelm K. Kross and Werner Gleissner Chapter 15 Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? 311 Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori Chapter 16 Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks 337 Silke N. Brandts and Nicole Branger Part Four Issues in Operational Risk Regulation and the Fund Industry Chapter 17 Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems 361 John L. Simpson, John Evans, and Jennifer Westaway Chapter 18 Operational Risk Disclosure in Financial Services Firms 381 Guy Ford, Maike Sundmacher, Nigel Finch, and Tyrone M. Carlin Chapter 19 Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators 397 Daniela Russo and Pietro Stecconi Chapter 20 Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime 413 Carolyn Vernita Currie Chapter 21 Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River 435 Keith H. Black Chapter 22 A Risk of Ruin Approach for Evaluating Commodity Trading Advisors 453 Greg N. Gregoriou and Fabrice Douglas Rouah Chapter 23 Identifying and Mitigating Valuation Risk in Hedge Fund Investments 465 Meredith A. Jones Index 479