Commissioned to assist the reader in the identification, implementation, modelling, analysis and integration of operational risk into the overall risk management framework.
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Editorial Reviews
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"Provides an overview that leads towards a better understanding of operational risk, relevant for the three Pillars of Basel II" -- Paul Embrechts, ETH Zurich and London School of Economics
About the Author
Marcelo Cruz is the founder and managing-director of the boutique consulting group RiskMaths in New York. He has over eight years of experience in operational risk modelling and measurement being recognised as a world-renowned expert on the subject. He is the author of the first academic article on operational risk, an application of extreme value theory in risk measurement. His academic interests include an extensive list of technical publications in professional and academic journals and magazines and academic texts on risk management. He is also a member of the Executive Board of GARP (Global Association of Risk Professionals) and acts as an assistant-editor for several publications in the area of finance, risk management and stochastic modeling. Prior to founding RiskMaths, Marcelo led the operational risk methodology development at UBS AG/UBS Warburg as well as working as a derivatives trader for major international investment banks such as JP Morgan for several years. Marcelo holds a PhD in mathematics, an MSc, an MBA and a BSc in economics/econometrics.
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Inside This Book
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First Sentence:
Modelling an operational risk database is certainly one of the most important and difficult phases inside the entire operational risk management process. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
operational risk solutions, key risk drivers, contractual risk management, operational risk categories, severity cdf, operational risk events, operational risk processes, regulatory dummy variables, operational risk framework, operational risk manager, modelling operational risk, operational risk loss events, external loss data, operational risk models, operational risk issues, contract management software, key risk indicators, loss distribution approach, operational risk exposures, operational risk losses, measuring operational risk, internal loss data, operational loss data, operational risk data, first differences model Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Monte Carlo, Business Group, Mean Std, Groupe de Recherche, Skewness Kurtosis True, Financial Services Authority, Journal of Finance, Nextance Inc, University of Rome, John Wiley, Goldman Sachs, Cambridge University Press, Credit Lyonnais, Extreme Values, Meridien Research, Ronald Coase, Springer Verlag, Summary of the Data Collected, University of Chicago New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Modelling an operational risk database is certainly one of the most important and difficult phases inside the entire operational risk management process. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
operational risk solutions, key risk drivers, contractual risk management, operational risk categories, severity cdf, operational risk events, operational risk processes, regulatory dummy variables, operational risk framework, operational risk manager, modelling operational risk, operational risk loss events, external loss data, operational risk models, operational risk issues, contract management software, key risk indicators, loss distribution approach, operational risk exposures, operational risk losses, measuring operational risk, internal loss data, operational loss data, operational risk data, first differences model Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Monte Carlo, Business Group, Mean Std, Groupe de Recherche, Skewness Kurtosis True, Financial Services Authority, Journal of Finance, Nextance Inc, University of Rome, John Wiley, Goldman Sachs, Cambridge University Press, Credit Lyonnais, Extreme Values, Meridien Research, Ronald Coase, Springer Verlag, Summary of the Data Collected, University of Chicago New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 30
books:
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2
books
cite this book:
- Financial Services (Aspects of Britain) by Central Office of Information on page 103, and page 245
- Financial Services (Ferguson's Careers in Focus) by Ferguson Publishing on page 103, and page 245
- Aspects of Risk Theory by Jan Grandell on page 168, and page 187
- Extreme Values, Regular Variation, and Point Processes (Applied Probability) by Sidney I. Resnick on page 169, and page 246
- Risk Management by Michel Crouhy on page 167, and page 206
See all 30 books this book cites
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