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Measuring Operational and Reputational Risk: A Practitioner's Approach [Hardcover]

Aldo Soprano , Bert Crielaard , Fabio Piacenza , Daniele Ruspantini

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Book Description

April 20 2009 The Wiley Finance Series (Book 448)
How to apply operational risk theory to real-life banking data
Modelling Operational and Reputational Risks shows practitioners the best models to use in a given situation, according to the type of risk an organization is facing. Based on extensive applied research on operational risk models using real bank datasets, it offers a wide range of various testing models and fitting techniques for financial practitioners. With this book, professionals will have a foundation for measuring and predicting these important intangibles.
Aldo Soprano (Madrid, Spain) is Group Head of operational risk management at UniCredit Group.

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Product Description

From the Inside Flap

“Measuring Operational and Reputational Risk: A Practitioner Approach will be a milestone contribution to the industry’s debates on operational and reputational risk. It is important and timely, providing a detailed, pragmatic and highly useful discussion  —David Schraa, Director, Regulatory Affairs Dept, Institute of International Finance

“The book is comprehensive and as such is an excellent overview of the journey of putting into practice an operational risk program from scratch to full implementation. The descriptions of the challenges and their resolutions are informative for both those just starting and are seeing guidance as well as experts looking to learn how a leading bank solved a particular issue.”  —Tony Peccia, Operational Risk Policy and Implementation, Citigroup

“The most interesting topics in the operational risk field are tackled rigorously but at the same time with a genuine practitioner’s passion.  In this book, I found the same spirit that gave life to DIPO, our loss data consortium: sharing ideas and experiences is the only way to improve.”  —Claudia Pasquini, Secretary General, DIPO, Italian Operational Risk Data Consortium

“The chapter The Development of ORM in UniCredit Group is a practical guide that discusses Operational Risk methodology including comprehensive detail on statistical methods for calculating operational risk capital. A 'real world' example of how to approach the implementation of an Operational Risk practice for financial institutions." - Laura Polak, Director, Product Management, Algorithmics, Incorporated

"I believe that this work by Aldo Soprano, Bert Crielaard, Fabio Piacenza and Daniele Ruspantini represents a compulsory tool for risk managers, regulators and academics doing research in the area of operational and reputational risk." - Andrea Sironi, Professor of Finance, Universita Bocconi

From the Back Cover

Measuring Operational and Reputational Risk: A Practitioner’s Guide maps out the process of risk assessment and mitigation undertaken by risk managers at UniCredit Group in response to the requirements of the Basel II Accord. One of the greatest challenges faced by the Group was the generic definition of ‘operational risk’ and the need for flexibility on a business-level to integrate the new requirements with the existing control processes. The risk managers at UniCredit had first to set up a dedicated function to co-ordinate and monitor operational risks, where previously these risks were managed by a multitude of processes through a variety of functions.

The book presents a set of risk assessment methods which will be of use to risk managers and quantitative risk analysts for a variety of risk management purposes in unique scenarios. The reader is taken through the processes of risk assessment in view of the Basel Accord requirements, from the identification and evaluation of the calculation dataset, to scenario analysis and analysing insurance for operational risk. The calculation dataset is used for a robust operational loss modelling of capital at risk, for insurance contracts and their effects on individual loss events. The authors present techniques for parametric estimation and analytical methods to select appropriate statistical distributions for severity and frequency of loss classes to obtain VaR for individual business environments. There are also copula-based methods of calculation of overall capital. Finally, the authors present an analysis of insurance policies and models for calculating reputational risk, inextricably linked to operational risk, and a type of exposure which is increasingly important in view of recent large loss events at major banks gaining a great deal of media exposure.

This title presents useful ways of approaching operational risk management to meet the requirements of the Basel II Accord, while the authors’ flexible approach (combining LDA and SBA methods) makes its risk analysis meaningful to different types and sizes of financial institution. The title will be valuable to quantitative analysts, quantitative developers and risk managers trying to digest and integrate the new Basel requirements.


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Amazon.com: 4.0 out of 5 stars  1 review
4.0 out of 5 stars A good stab an quantifying the qualitative Feb. 14 2014
By Danae Savitri - Published on Amazon.com
Format:Hardcover|Verified Purchase
I was looking for a good book on operational risk models and how to build them for hedge funds which didn't have much data easily available and know Wiley usually puts out a superior product. I realized after it arrived that it wasn't written for what I had in mind but it is an excellent reference for operational risk modeling and its theoretical framework.

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