Operational Risk Modelling and Management

ISBN: 9781138116511 出版年：2016 页码：406 Franzetti, Claudio CRC Press

Introduction to Operational Risk Why Regulate Banks? Additional Supervision The Basel Regulatory Effort Risk and Capital What Is Operational Risk? Economic Capital for Operational Risk Operational Risk under Basel 2 Role of Insurance Regulation after the Crisis The Problem Context General Remarks The Data Problem The Dependency Problem The Insurance Problem The Mapping Problem The Management Problem Strategic Risks of a Bank AMA Standards The Knowledge Problem Probability, Causality and Other Primitives The Modelling Approach Simulation and the Monte Carlo Method General Model Structure Data Requirements Data Modelling and Distributions Run-Through Example: Quantitative Impact Study Data Correlation of Losses Risk Measures and Allocation Insurance Modelling and Mitigation Mapping Events to Insurance Policies Mapping Events to Lines of Business Calculating the Economic Capital Results of the Run-Through Example Summary and Conclusion Managing Operational Risk Management and Organisation Environment Culture Operational Risk Framework Operational Risk Structure Operational Risk Process Business Environment and Internal Control Factors Scenario Analysis Optimising the Insurance Programme Audit, Reporting and Disclosure of Operational Risk Risk Management versus Internal Control Summary and Conclusion Conclusions Appendix Bibliography Index