Operational risk capital models
By: edited by Rafael Cavestany, Brenda Boultwood, Laureano F. Escudero
Publisher: Risk Books
Published: 2015
Place of publication: London
Language: eng
Number of pages: 459
ISBN-13: 9781782722014
Subjects: Operational risk; Risk management; Financial risk management; Mathematical models; Riesgo operacional; Administración de riesgos; Administración de riesgos financieros; Modelos matemáticos
Description: "Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of these models that help to better understand risks, safe capital and compliance. For the banking industry, regulators in many countries in Africa, Asia and Latin America (as well as Europe) are pressing their local banks to implement advanced operational risk capital models. Banks that have made early implementation are looking to improve their capital models with new advances to match the increasing regulatory requirements. Operational Risk Capital Models enables you to model your operational risk capital to ensure the model meets regulatory standards. It describes the process end to end, from the capture of the required data to the modelling and VaR calculation, as well as the integration of capital results into your institution's daily risk management." --Contratapa.
Notes: Incluye referencias bibliográficas e índice.
Table of contents: title: 1. Introduction / Rafael Cavestany; title: 2.  Collection of operational loss data: ILD and ED / Brenda Boultwood; title: 3. Scenario analysis framework and BEICFs integration / Rafael Cavestany, Brenda Boultwood, Daniel Rodriguez; title: 4. Loss data modelling: ILD and ED / Rafael Cavestany, Daniel Rodriguez; title: 5. Scenario analysis modelling / Rafael Cavestany; title: 6. BEICFs modelling and integration into the capital model /  Rafael Cavestany; title: 7. Hybrid model construction: integration of ILD, ED and SA /  Rafael Cavestany, Daniel Rodriguez, Fabrizio Ruggeri; title: 8. Derivation of the joint distribution and capitalisation of operational risk / Rafael Cavestany, Daniel Rodriguez; title: 9. Backtesting, stress testing and sensitivity analysis / Rafael Cavestany, Daniel Rodriguez; title: 10. Evolving from a plain vanilla to a state-of-the-art model / Rafael Cavestany; title: 11. Strategic and operational business planning and monitoring / Rafael Cavestany, Lutz Baumgarten, Brenda Boultwood; title: 12. Risk-reward evaluation of mitigation and control effectiveness / Rafael Cavestany, Javier Martinez Moguerza; title: Appendices: Distributions for modelling operational risk capital / Daniel Rodriguez; title: Credibility theory / Daniel Rodriguez; title: Mathematical optimisation methods required for operational risk modelling and other risk mitigation processes / Laureano F. Escudero; title: Business risk quantification / Lutz Baumgarten.