Measuring and managing operational risk : an integrated approach / Paola Leone, Pasqualina Porretta, Mario Vellella, editors

Published:: Cham, Switzerland : Palgrave Macmillan, [2018]
Copyright Date:: ©2018
Physical Description:: xx, 211 pages : illustrations ; 22 cm.
Additional Creators:: Leone, Paola, 1948-, Porretta, Pasqualina, 1974-, and Vellella, Mario

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Machine generated contents note: 1.Introduction to the Work and Operational Risk / Pasqualina Porretta -- 1.1.Introduction -- 1.2.Operational Risk: Transversal, Pure, Multidimensional -- 1.3.Operational Risk: A Few Peculiarities -- 1.4.The Work's Structure -- 1.5.Some Conclusions -- References -- 2.Operational Risk Management: Regulatory Framework and Operational Impact / Pasqualina Porretta -- 2.1.Operational Risk Management in the Banking System: First Considerations -- 2.2.Regulatory Approaches for Measuring Capital Requirements. An Introduction -- 2.3.Advanced Measurement Approaches (AMA) -- 2.4.Data Collection -- 2.5.AMA Methodologies: LDA -- 2.6.Calculation of the Operational VaR -- 2.7.Operational Requirements to Be Eligible for AMA Methodologies -- 2.8.In Addition to AMA Methodologies: Operational Risk Management -- 2.9.Supervision Operational Risk. From Sound Practices to the New SREP -- 2.10.Some Conclusions -- References -- 3.Operational Risk Measurement: A Literature Review / Francesco Giannone -- 3.1.Introduction -- 3.2.Loss Distribution Approach -- 3.3.Scenario Analysis -- 3.4.Bayesian Methods -- 3.5.Some Conclusions -- References -- 4.Integrated Risk Measurement Approach: A Case Study / Mario Vellella -- 4.1.Introduction -- 4.2.Overview of the Measurement Framework -- 4.3.Model Input Data -- 4.4.Definition of Risk Classes -- 4.5.Overview of LDA Component -- 4.6.Overview of the Scenario Analysis Component -- 4.7.Overview of Risk Measurements Integration -- 4.8.Historical Loss Analysis---Quantitative Component -- 4.9.Distribution of Aggregate Losses -- 4.10.Results of Scenario Analysis -- 4.11.Integration of Scenario Analysis Results with Quantitative Component -- 4.12.Conclusion -- References -- 5.Almost Concluding Thoughts Between a Comparative Analysis and a Sensitivity Analysis: Look Over the Regulatory View / Mario Vellella -- 5.1.The New Standard Approach: Is AMA at a Crossroads? Some Questions to Answer -- 5.2.Case Study: A Comparative Analysis -- 5.3.Beyond the Regulatory Framework: An Operational Management Tool -- 5.4.Some Conclusions -- References.

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ISBN:

9783319694092 hardcover
331969409X hardcover

Bibliography Note:

Includes bibliographical references and index.

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