Operational Risk: A Guide to Basel II Capital Requirement... and over one million other books are available for Amazon Kindle. Learn more
  • List Price: CDN$ 104.99
  • You Save: CDN$ 5.25 (5%)
Only 1 left in stock (more on the way).
Ships from and sold by Amazon.ca.
Gift-wrap available.
Operational Risk: A Guide... has been added to your Cart
+ CDN$ 6.49 shipping
Used: Acceptable | Details
Condition: Used: Acceptable
Comment: Ships from the USA. Please allow 14-21 business days for delivery. Sail the Seas of Value.
Have one to sell?
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more
See all 2 images

Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis Hardcover – Jun 15 2007

See all 2 formats and editions Hide other formats and editions
Amazon Price New from Used from
Kindle Edition
"Please retry"
"Please retry"
CDN$ 99.74
CDN$ 66.64 CDN$ 34.32

Unlimited FREE Two-Day Shipping for Six Months When You Join Amazon Student

Product Details

Product Description

From the Back Cover

Operational Risk

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

About the Author

Anna S. Chernobai, PhD, is an Assistant Professor of Financeat the M. J. Whitman School of Management at Syracuse University.The focus of her research is operational risk management.

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.

Inside This Book (Learn More)
Explore More
Browse Sample Pages
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Search inside this book:

Customer Reviews

There are no customer reviews yet on Amazon.ca
5 star
4 star
3 star
2 star
1 star

Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: 3 reviews
1 of 1 people found the following review helpful
The quantitative side of operational risk March 12 2011
By LJ Haasbroek - Published on Amazon.com
Format: Hardcover Verified Purchase
Chernobai provides a useful overview of the aspect you should be familiar with when modeling OR capital under the advanced measurement approach. Aspects covered are a brief introduction to the OR related parts from the Basel II capital accord, technical discussions on fitting standard statistical distributions to empirical loss frequency and severity distributions, using these to obtain the loss distribution per business line/event type grouping, and methods to aggregate these loss distributions. These technical parts are covered in sufficient detail with ample references to recent published work including many of the authors' own publications.

However the book has some shortcomings possibly due to the academic slant thereof. It ignores the qualitative component to OR modeling which is increasingly being recognized as important to reduce the degree of "leap of faith" modeling when modeling with sparse OR extreme events. Also excluded is the use of external data and the related data scaling methods. It also ignores the quantification of the risk control environment and use thereof in capital modeling through hypothetical scenario data, and as a tool to allocate capital to business units below the level at which you modeled. These topics are all related to OR modelling and should be in scope given the book's title.

Overall, taking into account the fledgling status of OR capital modelling, if you are involved with maintaining, enhancing or developing analytics to produce OR capital you should benefit greatly from this book.
1 of 1 people found the following review helpful
Great Introduction to Operational Risk Aug. 29 2013
By Fabio Goto - Published on Amazon.com
Format: Hardcover Verified Purchase
Great book as an introduction to operational risk modelling under Basel II. There is a single introductory chapter on operational risk management, which makes the book a little to focused on modelling techniques.

New techniques have been developed ever since, but it is still a great introduction for those who are not interested in a deep understanding.
1 of 4 people found the following review helpful
Operational Risk: A guide to Basel II Capital Requirements Models, and Analysis Sept. 5 2009
By Agha Syed Alamdar Ali - Published on Amazon.com
Format: Hardcover
Frank J. Fabozzi does not need an introduction to the students of Finance. He has great contributions to the literature of finance in the fields of Money Market, Capital market, and issues relating to governing the finance within a financial instituion.

The field of operational risk has gained great importance in finance since the last decade. Keeping in view the shift in world focus over the analytical issue in finance with an enhanced focus on executing the financial transaction at pace with improved economic interest in the recent depression era, a new phenomenon of "Controlling the Pace of Finance" is emerging with greater importance on controlling the phenomenon through enhanced Operational Risk controls..!

Being a topic in its adolescence Dr. Fabozzi and his co-authors has given valid explanations for the development of this issue and its role in the recent efforts to control the activities of Financial Institutions with good references from the Basel II Capital Accord and concise references from the existing literature of finance concerning the issue.

The book is of great use for the practitioners of finance who are changing their focus towards operational risk, and also for the students who are beginning their advanced studies in the strange present scenario of world "Micro Financial Economics"...!

I really congratulate all readers who will benefit from the Book. The authors really deserve a round of applause!