Operational Risk: Measuring And Modeling

Description: This work brings together various theories and models in operational risk, presenting them in the context of real-life case studies. It seeks to be both a sourcebook of operational risk techniques and a user manual on how to apply them. Featuring numerous examples and case studies, the book compares each technique with relevant examples in investment banking, covering a variety of situations, including fraud, fire, and natural disaster. Table of Contents: Preface.; Acknowledgements.; INTRODUCTION TO OPERATIONAL RISK.; Introduction to Operational Risk.; Historical Losses; Regulation; MEASURING OPERATIONAL RISK; A Measurement Framework for Operational Risk; The Delta Methodology; The EVT Methodology; MODELLING OPERATIONAL RISK; Delta-EVTTM Models for Operational Risk; Causal Modelling; Causal Models for Operational Risk; MATHEMATICAL FOUNDATIONS; Error Propagation; Extreme Value Theory; Bayesian Methods; APPENDICES; Glossary; Bibliography; Index.