Stress Testing and Scenario Analysis: The Key Challenges of Operational Risk Management - Couverture souple

Rippel, Milan; Teply, Petr

 
9783639234206: Stress Testing and Scenario Analysis: The Key Challenges of Operational Risk Management
Couverture souple
ISBN 10 : 3639234200 ISBN 13 : 9783639234206
Editeur : VDM Verlag Dr. Müller, 2010

Synopsis

Operational risk has become one of the most popular topics in recent years among both academics and practitioners in the financial industry. The huge operational risk failures that materialized during the recent crisis, such as the $65 billion Ponzi scheme by Mr. Bernard Madoff and the $8 billion bank fraud of Sir Allen Stanford, highlight the need for improved risk management. This book focuses on operational risk management and economic capital estimation methods from both theoretical and practical views. A data sample of operational losses provided by a Central European bank is analyzed using several approaches such as loss distribution approach, extreme value theory, scenario analysis and stress testing. We examine the most appropriate statistical method to measure and model operational loss data distribution. In conclusion, we found out that i) the g&h distribution is the most suitable method for operational risk events modeling and ii) the method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates when measuring the impact of very extreme events on bank operations.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Operational risk has become one of the most popular topics in recent years among both academics and practitioners in the financial industry. The huge operational risk failures that materialized during the recent crisis, such as the $65 billion Ponzi scheme by Mr. Bernard Madoff and the $8 billion bank fraud of Sir Allen Stanford, highlight the need for improved risk management. This book focuses on operational risk management and economic capital estimation methods from both theoretical and practical views. A data sample of operational losses provided by a Central European bank is analyzed using several approaches such as loss distribution approach, extreme value theory, scenario analysis and stress testing. We examine the most appropriate statistical method to measure and model operational loss data distribution. In conclusion, we found out that i) the g&h distribution is the most suitable method for operational risk events modeling and ii) the method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates when measuring the impact of very extreme events on bank operations.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2010
Langue
anglais
ISBN 10 
3639234200
ISBN 13 
9783639234206
Reliure
Broché
Nombre de pages
128
Coordonnées du fabricant
non disponible
Personne responsable
non disponible