16

Davis, Ellen

Operational Risk 2.0

Risk Books

2007

0

Introduction, Ellen Davis,  OpRisk &  Compliance
      PART I: WHERE IS OPERATIONAL RISK TODAY?
      1 Operational Risk Management - The View from the Trenches,  Angus  Grandfield, JPMorgan
      2 The Advanced Measurement Approach - Finishing It, Jeremy  Quick, Guernsey  Financial Services Commission
      3 Consistent Quantitative Operational Risk Measurement and,  Regulation:  Challenges of Model Specification, Data Collection and  Loss Reporting,  Andreas A. Jobst, International Monetary Fund,  Monetary and Capital Markets  Department
      PART II: EXTRACTING VALUE FROM THE AMA
      4 Challenges in AMA Implementation: Finding a Balance Between  Regulatory  and Internal Requirements, Karsten Stickelmann,  Deutsche Bundesbank
      5 How to Create Value from Loss Data Pooling, Johannes Voit,  Deutscher  Sparkassen-und Giroverband
      6 Beyond Regulatory Compliance - Deriving Value from  Operational Risk Data,  Alfred Seivold, Federal Deposit Insurance  Corporation
      7 Driving an Effective and Efficient Control Self-assessment  Programme, Lim  Him Chuan, DBS Bank Ltd
      PART III: OPERATIONAL RISK AND THE ENTERPRISE
      8 Creating Value in ORM - a Business Line Perspective, Mike  Haubenstock,  SunTrust Mortgage
      9 Implementing a Practical ORM System in the Context of ERM in  an Era of  Financial and Regulatory Convergence via Business  Process Governance, Guan  Seng Khoo, Standard Chartered Bank
      10 Delivering Value through Business Continuity Management,  Peter Poulos,  Morgan Stanley
      11 Operational Risk in Enterprise Risk Management, Andrew  Brand, Mustafa  Cavus, Thread needle Asset Management
      PART IV: UNLOCKING THE POTENTIAL OF EFFECTIVE CULTURE AND  GOVERNANCE
      12 Op Risk Governance: Sustaining the Importance of Operational  Risk  Management, Ashish Dev, Promontory Financial
      13 Operational Risk and Communication Conduits, Eric Holmquist,  Advanta  Bank Corp.
      14 The Role of Reputation Risk in ORM, Ladd Muzzy, Ernst &  Young  LLP
      15 Leveraging Information Technology Governance for Operational  Risk  Management, Ramakrishnan S. Kannan, i-flex Consulting
     

17

Chernobai, Anna S., Svetlozar T.  Rachev, and  Frank J. Fabozzi

Operational Risk: A Guide to  Basel II  Capital Requirements, Models, and Analysis

John Wiley & Sons, Inc.

New York

2007

1

18

Moosa, Imad A.

Operational Risk Management  (Finance and  Capital market)

Palgrave Macmillan

2007

1

19

Cruz, Marcelo G.

Operational Risk Management: Six  Sigma,  Capital Management, Ratings and Financial Engineering

John Wiley & Sons, Inc.

New York

2006

0

20

Kaiser, Thomas and Marc Kohne

An Introduction to Operational  Risk

Risk Books

2006

0

1: Introduction
      2: Drivers for Operational Risk Management
      Business drivers
      Regulatory environment
      3: Operational Risk in the Context of All Risk Types
      4: Steps in the Process of Managing Operational Risk
      Identification
      Assessment
      Reporting
      Management
      Monitoring
      5: The Components of Operational Risk Management
      Framework
      Definitions and structures
      Loss data
      Risk assessment
      Key indicators of risk
      Management information system
      Economic and regulatory capital
      Risk Information Technology
      6: Implementation of the Framework Components and Management  Process
      Approach
      Manpower and time involved
      Implementation problems
      7: Outlook
      References

21

Panjer, Harry H.

Operational Risk: Modelling  Analytics

Wiley-Interscience

2006

1

22

Thonabauer, Gunther and Barbara  Nosslinger

Guidelines on Operational Risk  Management

Oesterreichische Nationalbank

Vienna

2006

1

23

Davis, Ellen

The Advanced Measurement  Approach to  Operational Risk

Risk Books

2006

Contents only

SECTION 1: THE AMA  FRAMEWORK
      1. The Advanced Measurement Approach: Getting it Started,  Jeremy  Quick
      2. Practical Decisions to Successfully Model Operational Risk  Capital,  Michael Haubenstock and Jeff Hause
      SECTION 2: MODELLING BASICS
      3. Operational Risk Modelling: Where do we go from here? Rudi  DeKoker
      4. Operational Risk Economic Capital Measurement: Mathematical  Models for  Analyzing Loss Data, Gene Alvarez
      SECTION 3: MODELLING CHALLENGES
      5. Breaking Ground on the Loss Data Challenge: Wachovia’s  Approach to Loss  Data Capture and Validation, Dee Harris and Tom  Longstroth
      6. Estimating the Parameters in the Loss Distribution Approach:  How can we  deal with Truncated Data? Marco Bee
      7. Treatment of Incomplete Data in the Field of Operational  Risk: The  Effects on Parameter Estimates, EL and UL Figures, Marco  Moscadelli , Anna  Chernobai , and Svetlozar Rachev
      8. Test of Extreme Value Theory Applied to Operational Risk  Data, Giulio  Mignola and Robert Ugoccioni
      SECTION 4: ALTERNATIVE MODELLING APPROACHES
      9. Scenario Analysis in Operational Risk Management, Sergio  Scandizzo
      10. Key Risk Indicators: Their Role in Operational Risk  Management and  Measurement, Jonathan Davies , Mike Finlay , Tara  Lenaghen and Duncan  Wilson
      11. Quantifying the Operational Risks of Technology, Eric  Holmquist
      SECTION 5: COMPARATIVE VIEWS OF IMPLEMENTATION
      12. Operational Risk: Some Issues in Basel II AMA  Implementation in US  Financial Institutions, Vanada Rao and Ashish  Dev
      13. AMA Implementation in Germany: Results of BaFIN’s and  Bundebank’s  Industry Survey, Patrik Buchmüller, Marcus Haas, Bernd  Rummel, Karsten  Stickelmann
      14. Operational Risk Management in Financial Institutions: Some  Empirical  Evidence from Spain, Ana Fernandez Laviada
     

24

Allen, L., J. Boudoukh, and A.  Saunders

Understanding Market, Credit and  Operational  Risk: The Value-at-Risk Approach

Blackwell Publishing

Oxford

2005

0

25

Davis, Ellen L.

Operational Risk: Practical  Approaches to  Implementation

Risk Books, Incisive Media

2005

Contents only

SECTION 1: LOSS DATA COLLECTION  AND  MODELLING
      1 Using Transaction Data to Measure Operational Risk, Peter  Hughes,  OPRASS
      2 Tail Dependency in Operational Risk Models, Ahraz Sheikh,  John Gavin, UBS  Investment Bank
      3 Correlation and Diversification Effects in Operational Risk  Modelling,  Antoine Frachot, Thierry Roncalli, Eric Salomon, Crédit  Agricole
      4 The Modelling of Operational Risk: Experience with the  Analysis of the  Data Collected by the Basel Committee, Marco  Moscadelli, Bank of Italy
      SECTION 2: ALTERNATIVE MEASUREMENT STRATEGIES
      5 Quantifying Operational Risk within Banks According to Basel  II, M. R. A.  Bakker, Delft Institute of Applied Mathematics
      6 A Foundation for KPI and KRI, Peter Vinella, Jeanette Jin,  PVA  International
      7 Building Scenarios, Kenji Fujii, UFJ Holdings
      8 The Risk Indicator Framework as a Tool for AMA Exposure  Analysis, Martin  Davies, Causal Events Pty Ltd
      SECTION 3: CONCEPTUALISING OPERATIONAL RISK MANAGEMENT
      9 Model Behaviour, Christopher Viney, Deakin University
      10 Prerequisites for Effective Operational Risk Management and  Efficient  Risk-based Decision Making, Marcus Haas; Thomas Kaiser,  Frankfurt University;  KPMG
      11 An Operational Risk Management Framework, Gene álvarez
      12 Aligning Basel II Operational Risk and Sarbanes-Oxley 404  Projects, Nick  Bolton, Judson Berkey, UBS
      13 Sarbanes-Oxley, Corporate Governance and Operational Risk,  Alan D.  Morrison, Saïd Business School
      SECTION 4: MITIGATION STRATEGIES
      14 Managing Hedge Funds’ Exposure to Operational Risks: Parts  1-3,  Jean-René Giraud, Edhec-Risk Advisory
      15 Reducing Risk Through Insurance, Silke Brandts, Bain &  Company
      16 What is a Fair Price to Transfer the Risk of Unauthorised  Trading? A  Case Study on Operational Risk, Christopher M. Lewis;  Yakov Lantsman, The  Hartford Financial Services Group; Fitch Risk  Management, Inc.

26

Lewis, Nigel Da Costa

Operational Risk with Excel and  VBA

John Wiley & Sons, Inc.

New York

2004

1