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While operational risk has long been regarded as a mere part of"other" risks—outside the realm of credit and marketrisk—it has quickly made its way to the forefront of finance.In fact, with implementation of the Basel II Capital Accord alreadyunderway, many financial professionals—as well as thosepreparing to enter this field—must now become familiar with avariety of issues related to operational risk modeling andmanagement.
Written by the experienced team of Anna Chernobai, SvetlozarRachev, and Frank Fabozzi, Operational Risk: A Guide to Basel IICapital Requirements, Models, and Analysis will introduce youto the key concepts associated with this discipline. Filled within-depth insights, expert advice, and innovative research, thiscomprehensive guide not only presents you with an abundant amountof information regarding operational risk, but it also walks youthrough a wide array of examples that will solidify yourunderstanding of the issues discussed.
Topics covered include:
The main challenges that exist in modeling operational risk
The variety of approaches used to model operational losses
Value-at-Risk and its role in quantifying and managingoperational risk
The three pillars of the Basel II Capital Accord
And much more
Svetlozar T. Rachev, PhD, Dr Sci, is Chair-Professor atthe University of Karlsruhe, Germany, in the School of Economicsand Business Engineering, Professor Emeritus at the University ofCalifornia, Santa Barbara, and Chief-Scientist of FinAnalytica.
Frank J. Fabozzi, PhD, CFA, is Professor in the Practiceof Finance at Yale University's School of Management and the Editorof the Journal of Portfolio Management.