Operational Risk Toward Basel III

This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper by givingreaders the latest, cutting-edge techniques in OpRisk management. Topics discussed include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, the new capital requirements and regulations in the banking sector in relation to financial reporting (including developing concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.

Foreword ix
About the Editor xi
Acknowledgments xiii
About the Contributors xv
Part One Operational Risk Measurement: Qualitative Approaches
Chapter 1 Modeling Operational Risk Based on Multiple Experts' Opinions 3
Jean-Philippe Peters and Georges Hü bner
Chapter 2 Consistent Quantitative Operational Risk Measurement 23
Andreas A. Jobst
Chapter 3 Operational Risk Based on Complementary Loss Evaluations 69
Andrea Giacomelli and Loriana Pelizzon
Chapter 4 Can Operational Risk Models Deal with Unprecedented Large Banking Losses? 85
Duc Pham-Hi
Chapter 5 Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Services 97
Magali Dubosson and Emmanuel Fragniè re
Chapter 6 Operational Risk and Stock Market Returns: Evidence from Turkey 115
M. Nihat Solako lu and K. Ahmet Kö se
Part Two Operational Risk Measurement: Quantitative Approaches
Chapter 7 Integrating Op Risk into Total VaR 131
Niklas Wagner and Thomas Wenger
Chapter 8 Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach 155
Marco Bee and Giuseppe Espa
Chapter 9 One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk 177
Marí a Dolores Martí nez Miranda, Jens Perch Nielsen, and Stefan A. Sperlich
Chapter 10 Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models 197
Omar Rachedi and Dean Fantazzini
Chapter 11 First-Order Approximations to Operational Risk: Dependence and Consequences 219
Klaus Bö cker and Claudia Klü ppelberg
Part Three Operational Risk Management and Mitigation
Chapter 12 Integrating "Management" into "OpRisk Management" 249
Wilhelm K. Kross
Chapter 13 Operational Risk Management: An Emergent Industry 271
Kimberly D. Krawiec
Chapter 14 OpRisk Insurance as a Net Value Generator 289
Wilhelm K. Kross and Werner Gleissner
Chapter 15 Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? 311
Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori
Chapter 16 Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks 337
Silke N. Brandts and Nicole Branger
Part Four Issues in Operational Risk Regulation and the Fund Industry
Chapter 17 Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems 361
John L. Simpson, John Evans, and Jennifer Westaway
Chapter 18 Operational Risk Disclosure in Financial Services Firms 381
Guy Ford, Maike Sundmacher, Nigel Finch, and Tyrone M. Carlin
Chapter 19 Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators 397
Daniela Russo and Pietro Stecconi
Chapter 20 Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime 413
Carolyn Vernita Currie
Chapter 21 Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River 435
Keith H. Black
Chapter 22 A Risk of Ruin Approach for Evaluating Commodity Trading Advisors 453
Greg N. Gregoriou and Fabrice Douglas Rouah
Chapter 23 Identifying and Mitigating Valuation Risk in Hedge Fund Investments 465
Meredith A. Jones
Index 479