Guide to Optimal Operational Risk and BASEL II

ISBN: 9780367391881 出版年：2005 页码：436 Akkizidis, Ioannis S Bouchereau, Vivianne Auerbach Publications

OPERATIONAL RISK AND ITS MANAGEMENT Operational Risks in Financial Organizations Introduction Operational Risks in Financial Organizations Operational Risk Event Types Characteristics of Operational Risks Operational Risks and IT Summary References Main Aspects of Operational Risk Management Introduction Main Aspects of Operational Risk Management Operational Risk Management Framework Quantification of Operational Risks Testing and Verification Enterprisewide Risk Management Operational Risk Management Concerns Key Players and Elements for Implementing Effective Operational Risk Management Summary References OPERATIONAL RISK AND BASEL II Operational Risk in Basel II Introduction The 1988 Basel Accord Versus the Basel II Accord Operational Risk Management According to Basel II The Three Pillars of Basel II Pillar 1: Minimum Capital Requirements Supervisory Review Process Enhanced Disclosure - Market Discipline The Ten Principles of Basel II The Pillars' Action Points Summary References Advanced Measurement Approach Introduction Advanced Measurement Approach AMA Measuring System AMA Framework Supervisory Standards of the AMA Qualifying Criteria for Risk Capital Calculation Use of Insurance under the AMA Summary References FRAMEWORKS FOR DESIGNING EFFICIENT OPERATIONAL RISK ASSESSMENT Operational Risk Identification, Measurement, Modeling, and Monitoring Analysis Introduction Operational Risk Identification Operational Risk and Performance Measurements Operational Risk Modeling Operational Risk Monitoring Summary References Operational Risk Assessment via Evaluation Analysis Introduction Operational Risk Evaluation Analysis Evaluating the Degree of Significance and Actual Values of Operational Risks Measurements Values and Scales for Causes, Events, and Consequences Data Normalization Estimating the Significance and Actual Value of an Operation Beta Point for an Operational Risk or an Operation Illustrating the Significance and Actual Values Cluster Analysis as a Tool in the Evaluation Process Clustering Approaches in Operational Risk Equilibrium Identification Analysis for Operational Risk Management Trend Analysis for Operational Risk Evaluating the Severity of Operational Risks and Affected Operations Estimating and Evaluating Economic Capital Reserves Identifying Potential Losses Extreme Value Theory to Operational Risk Extreme Value Theory Approaches Summary References FRAMEWORKS FOR DESIGNING AND IMPLEMENTING EFFICIENT OPERATIONAL RISK CONTROL AND MANAGEMENT SYSTEMS Operational Risk Profiling Introduction Operational Risk Profiling Defining the Value of Operational Risk Probability Defining the Value of Operational Risk Impact The Exposure of Operations to Operational Risks The Operational Risk Profiling Matrix Operational Risk Probability, Impact, and Exposure Analysis Modeling and Monitoring the Operational Risk Profile Clustering Analysis in Risk Profiling Analysis Advanced Approaches for Decision Making Using Risk Profiling Analysis Representations of Operational Risk Profile Summary References Operational Risk Optimization Introduction Operational Risk Optimization Optimizing Operational Risks Based on Exposure-Correlation-Significant Analysis Optimization Techniques in Operational Risk Control and Management Defining the Cost for Optimal Operational Risk Management Optimizing Resource Allocation for Operational Risk Management Unconstrained and Constrained Optimization Analysis Tuning, Adaptation, and Robustness of Optimal Operational Risk Systems Summary References Framework for Decision Making and Designing Optimal Risk Policies Introduction Planning and Scheduling Operational Risk Actions and Policies Controlling Operational Risks Internal Operational Risk Control Business Continuity or Contingency Planning through Optimization Operational Risk Reporting Decision and Dynamic Management Summary References Concluding Remarks