Download e-book for iPad: Operational Risk Management (Finance and Capital Markets) by Imad A. Moosa

Risk Management

By Imad A. Moosa

Operational threat administration is attracting the eye of lecturers and pros around the world. teachers have an interest during this subject since it offers possibilities for the appliance of refined statistical recommendations, in addition to profitable possibilities for consultancy paintings and tough questions about the way to degree operational danger. For the practitioners, buying wisdom of operational threat is greater than mere luxurious as banks everywhere in the global must be Basel 2 compliant in the subsequent years. furthermore, operational losses have, because the infamous cave in of Barings financial institution, been haunting banks' best administration, prompting a attempt to plot measures that could lessen operational losses and the chance of industrial cave in. certainly, monetary associations have skilled greater than a hundred operational loss occasions exceeding $100 million during the last decade. This new e-book is out there to the typical banker, whereas offering a basic survey of the paintings on operational danger that lecturers will locate precious.

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1 (Continued ) Date Activity/Product 2004 (various dates) The launch of QIS4 (national QISs). October 2005 The launch of QIS5. November 2005 Publishing a revised Basel II document (BCBS, 2005b). June 2006 Publishing the results of QIS5. June 2006 Publishing a comprehensive version of the revised Basel II document (BCBS, 2006a). June 2006 Publishing a document on home-host information sharing for effective Basel II implementation (BCBS, 2006b). October 2006 Publishing a document on the observed range of practices in key elements of the advanced measurement approach to the measurement of operational risk (BCBS, 2006c).

While categorizing debtors into a few risk “buckets” was certainly an innovation in 1988, it also gave rise to a significant gap between the regulatory measurement of risk of a given transaction and its actual economic risk. The most troubling side effect of the gap between THE BASEL COMMITTEE, BASEL I AND BASEL II 35 regulatory and economic risk is the distortion of financial decision making, including large amounts of regulatory arbitrage, or investments made on the basis of regulatory constraints rather than genuine economic opportunities.

10) While the VAR is the most that can be expected to be lost if a bad event occurs, the ETL is what is expected to be lost if a bad event occurs. While the VAR is the threshold value for which in c percent of instances (where c is the confidence level), the loss is smaller than the VAR, the ETL is an estimate of the average loss when the loss exceeds VAR. 5 shows the ETL in relation to the VAR. , 1999). 3 The probability, frequency, and severity of loss In general, risk is measured in terms of two parameters: the probability of making loss and the potential amount lost if a loss event occurs.

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