Modeling, Measuring and Hedging Operational RiskISBN: 978-0-471-51560-9
Hardcover
346 pages
March 2002
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Introduction
PART I: DATABASE MODELING
Database Modeling
PART II: STOCHASTIC MODELING
Severity Distributions
Extreme Value Theory
Frequency Distributions
The Operational Risk VaR
Stochastic Processes in Operational Risk
PART III: CAUSAL MODELS
Causal Models : Applying Econometrics and Time Series Statistics to Operational Risk
Non-Linear Models in Operational Risk
Bayesian Techniques in Operational Risk
PART IV: OPERATIONAL RISK MANAGEMENT
Operational Risk Reporting, Control and Management
- Stress Tests and Scenario Analysis in Operational Risk
PART V: HEDGING OPERATIONAL RISK
Operational Risk Derivatives
Developing an OR Hedging Program
PART VI: OPERATIONAL RISK REGULATORY CAPITAL
Operational Risk Regulatory Capital
PART VII: MEASURING "OTHER RISKS" -
FOREGONE REVENUE MEASUREMENT MODELS
An Enterprise-Wide Model for Measuring Reputational Risk
- Measuring Concentration (or Key Personnel) Risk
- Using Real Options in Modeling and Measuring Operational and 'Other' Risks
APPENDIX -
Valuing Networks -
Understanding the basics of e-ventures valuation
PART I: DATABASE MODELING
Database Modeling
PART II: STOCHASTIC MODELING
Severity Distributions
Extreme Value Theory
Frequency Distributions
The Operational Risk VaR
Stochastic Processes in Operational Risk
PART III: CAUSAL MODELS
Causal Models : Applying Econometrics and Time Series Statistics to Operational Risk
Non-Linear Models in Operational Risk
Bayesian Techniques in Operational Risk
PART IV: OPERATIONAL RISK MANAGEMENT
Operational Risk Reporting, Control and Management
- Stress Tests and Scenario Analysis in Operational Risk
PART V: HEDGING OPERATIONAL RISK
Operational Risk Derivatives
Developing an OR Hedging Program
PART VI: OPERATIONAL RISK REGULATORY CAPITAL
Operational Risk Regulatory Capital
PART VII: MEASURING "OTHER RISKS" -
FOREGONE REVENUE MEASUREMENT MODELS
An Enterprise-Wide Model for Measuring Reputational Risk
- Measuring Concentration (or Key Personnel) Risk
- Using Real Options in Modeling and Measuring Operational and 'Other' Risks
APPENDIX -
Valuing Networks -
Understanding the basics of e-ventures valuation