Quantification of operational risk u...
Moosa, Imad A.

 

  • Quantification of operational risk under Basel II[electronic resource] :the good, bad andugly /
  • 紀錄類型: 書目-語言資料,印刷品 : Monograph/item
    杜威分類號: 332.1/50681
    書名/作者: Quantification of operational risk under Basel II : the good, bad andugly // Imad A. Moosa.
    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 management - Mathematical models.
    標題: Bank capital - Mathematical models.
    標題: Banks and banking, International - Risk management.
    ISBN: 9780230595149
    ISBN: 0230595146
    書目註: Includes bibliographical references (p. 251-263) and index.
    內容註: 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?
    摘要、提要註: 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.
    電子資源: access to fulltext (Palgrave)
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