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Quantification of operational risk u...

Moosa, Imad A.

Quantification of operational risk under Basel IIthe good, bad andugly /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Quantification of operational risk under Basel IIImad A. Moosa.
其他題名:	the good, bad andugly /
作者:	Moosa, Imad A.
出版者:	Basingstoke [England] ;Palgrave Macmillan,2008.
面頁冊數:	xix, 268 p. :ill., plans ;24 cm.
標題:	Financial risk managementMathematical models.
電子資源:	access to fulltext (Palgrave)
ISBN:	9780230595149

Quantification of operational risk under Basel IIthe good, bad andugly /
Moosa, Imad A.

Quantification of operational risk under Basel IIthe good, bad andugly /[electronic resource] :Imad A. Moosa. - Basingstoke [England] ;Palgrave Macmillan,2008. - xix, 268 p. :ill., plans ;24 cm. - Finance and capital markets series. - Finance and capital markets..

Includes bibliographical references (p. 251-263) and index.

Preliminary Concepts and Issues -- From Basel I to Basel II: A GreatLeap Forward? -- Operational Risk: Definition, Features and Classification -- The Advanced Measurement Approach to Operational Risk -- Theoretical and Empirical Studies of Operational Risk -- Monte Carlo Simulation: Description and Examples -- Operational Risk: Where Do We Stand?

This book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It identifies the good, bad and ugly with respect to practices pertaining to the implementation of the operational risk provisions of Basel II. In particular, it is argued that the advanced measurement approach isnot viable in terms of costs and benefitsand that it is likely to distract financial institutions from the real task of managing operationalrisk. Some strong arguments are presented against the purely quantitative approach to operational risk management. The author demonstrates how the estimated capital charge produced by using the loss distribution approach suggested by Basel II is so sensitive to the underlying assumptions that banks can manipulate their internal models in such a way as to produce the lowest possible capital charge.Given that the advanced measurement approach will be used by large internationally active banksonly, the Basel II Accord will actually boost competitive inequality when it purports to create a level playing field.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2009.

Mode of access:World Wide Web.

ISBN: 9780230595149

Standard No.: 10.1057/9780230595149doiSubjects--Topical Terms:

290465
Financial risk management
--Mathematical models.Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HD61 / .M6144 2008eb

Dewey Class. No.: 332.1/50681

Quantification of operational risk under Basel IIthe good, bad andugly /
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520 $a This book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It identifies the good, bad and ugly with respect to practices pertaining to the implementation of the operational risk provisions of Basel II. In particular, it is argued that the advanced measurement approach isnot viable in terms of costs and benefitsand that it is likely to distract financial institutions from the real task of managing operationalrisk. Some strong arguments are presented against the purely quantitative approach to operational risk management. The author demonstrates how the estimated capital charge produced by using the loss distribution approach suggested by Basel II is so sensitive to the underlying assumptions that banks can manipulate their internal models in such a way as to produce the lowest possible capital charge.Given that the advanced measurement approach will be used by large internationally active banksonly, the Basel II Accord will actually boost competitive inequality when it purports to create a level playing field.
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