Operational Risk Capital Models
First published:
ISBN: 9781782722014
If you are a Risk.net subscriber you are entitled to 20% off your Risk books purchases. Please email enquiries@riskbooks.com for more information.
As part of your Risk.net subscription you are entitled to 20% off all of your Risk Books purchases. If you would like to place an order please email enquiries@riskbooks.com
Introduction
Introduction
Introduction
Collection of Operational Loss Data: ILD and ED
Scenario Analysis Framework and BEICFs Integration
Loss Data Modelling: ILD and ED
Scenario Analysis Modelling
BEICFs Modelling and Integration into the Capital Model
Hybrid Model Construction: Integration of ILD, ED and SA
Derivation of the Joint Distribution and Capitalisation of Operational Risk
Backtesting, Stress Testing and Sensitivity Analysis
Evolving from a Plain Vanilla to a State-of-the-Art Model
Strategic and Operational Business Planning and Monitoring
Risk–Reward Evaluation of Mitigation and Control Effectiveness
We write this book (2015) while the world economy is still recovering from the largest economic crisis since the Great Depression. Many of the current crisis causes can be traced to consecutive operational failures (Robertson 2011), including mortgage fraud, model errors, negligent underwriting standards and failed due diligence combined with loosely implemented innovation trends in finance. Mortgage originators, mortgage bundlers, credit-rating agencies, asset managers, investors and, ultimately, regulatory agencies were responsible for many of these operational failures.
The consequences have included severe depletion of capital and undermined confidence in the financial system, causing the downfall of many large, well-established financial institutions, and forcing a deep restructuring of the financial sector in many of the most advanced economies.
The Basel II Committee defines operational risk as “the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events”. Internal processes, people, and systems or external events directly impact on the institution’s business and strategy execution, endangering the institution’s
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
