Table of contents
Introduction
Ellen Davis, Incisive Media
SECTION 1: LOSS DATA COLLECTION AND MODELLING
1 Using Transaction Data to Measure Operational Risk
Peter Hughes
OPRASS
2 Tail Dependency in Operational Risk Models
Ahraz Sheikh, John Gavin,
UBS Investment Bank
3 Correlation and Diversification Effects in Operational Risk Modelling
Antoine Frachot, Thierry Roncalli, Eric Salomon
Crédit Agricole
4 The Modelling of Operational Risk: Experience with the Analysis of the Data
Collected by the Basel Committee
Marco Moscadelli
Bank of Italy
SECTION 2: ALTERNATIVE MEASUREMENT STRATEGIES
5 Quantifying Operational Risk within Banks According to Basel II
M. R. A. Bakker
Delft Institute of Applied Mathematics
6 A Foundation for KPI and KRI
Peter Vinella, Jeanette Jin
PVA International
7 Building Scenarios
Kenji Fujii
UFJ Holdings
8 The Risk Indicator Framework as a Tool for AMA Exposure Analysis
Martin Davies
Causal Events Pty Ltd
SECTION 3: CONCEPTUALISING OPERATIONAL RISK MANAGEMENT
9 Model Behaviour
Christopher Viney
Deakin University
10 Prerequisites for Effective Operational Risk Management and Efficient
Risk-based Decision Making
Marcus Haas; Thomas Kaiser
Frankfurt University; KPMG
11 An Operational Risk Management Framework
Gene Álvarez
12 Aligning Basel II Operational Risk and Sarbanes-Oxley 404 Projects
Nick Bolton, Judson Berkey
UBS
13 Sarbanes-Oxley, Corporate Governance and Operational Risk
Alan D. Morrison
Said Business School
SECTION 4: MITIGATION STRATEGIES
14 Managing Hedge Funds' Exposure to Operational Risks: Parts 1-3
Jean-René Giraud
Edhec-Risk Advisory
15 Reducing Risk Through Insurance
Silke Brandts
Bain & Company
16 What is a Fair Price to Transfer the Risk of Unauthorised Trading? A Case
Study on Operational Risk
Christopher M. Lewis; Yakov Lantsman
The Hartford Financial Services Group; Fitch Risk Management, Inc
Hardback, 360 pages