Quantification of Operational Risk Under Basel II: The Good, Bad and UglyThe book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It is argued that the advanced measurement approach is not viable in terms of costs and benefits and is likely to distract financial institutions from the real task of managing operational risk. |
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Quantification of Operational Risk under Basel II: The Good, Bad and Ugly I. Moosa Limited preview - 2008 |
Quantification of Operational Risk under Basel II: The Good, Bad and Ugly I. Moosa No preview available - 2008 |
Common terms and phrases
99.9th percentile advanced measurement approach approach argues assets Basel Committee Basel II Basel II Accord Bayesian networks BCBS BDPM beta business lines calculated capital adequacy capital charge capital requirements central banks classification controls copula correlation CPBP credit risk databases definition of operational Doerig economic capital Economist EPWS estimate Event Type example external data factors failure financial institutions firm firm-wide capital charge foreign exchange frequency and severity gross income implementation internal fraud internal models involved issue KPMG loans Loss Amount lower capital charges market risk Monte Carlo simulation Northern Rock operational loss events operational risk management operational risk modelling parameters Pillar problem Q-Q plot quantify rating agencies ratio regulatory capital reputational risk risk measurement risk types rogue trader scenario analysis securitisation settlement severity distributions Societe Generale statistical subprime crisis suggests supervisors tail tion tional risk total loss distribution trading underlying unexpected loss