This book shows practitioners the best models to use in a given situation, according to the type of risk an organization is facing. It is based on extensive applied research on operational risk models, testing results on Unicredit datasets. Theoretical models and available research do not include a direct testing on real databases, as banks relevant information isnt available to the general public and academia. For operational risk this remains a key challenge in the development of models correctly interpreting the risk structure and elements. UniCredit operational risk team, formed by experienced former academics and finance practitioners, have applied and tested various models and fitting techniques.
Book Details:
- Author: Aldo Soprano
- ISBN: 9780470517703
- Year Published: 2008
- Pages: 226
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
This book shows practitioners the best models to use in a given situation, according to the type of risk an organization is facing. It is based on extensive applied research on operational risk models, testing results on Unicredit datasets. Theoretical models and available research do not include a direct testing on real databases, as banks relevant information isnt available to the general public and academia. For operational risk this remains a key challenge in the development of models correctly interpreting the risk structure and elements. UniCredit operational risk team, formed by experienced former academics and finance practitioners, have applied and tested various models and fitting techniques.
Operational Risk is the loss resulting from inadequate or failed internal processes, people and systems or from external events. Operational risk quantification has become increasingly important for financial institutions since the New Basel Capital Accord first consultative paper. According to the New Basel Capital Accord (see Basel Committee on Banking Supervision (2004)), the capital charge for operational risk can be calculated using three alternative methods: the basic indicator approach (BIA), the standardized approach (TSA) and the advanced measurement approach (AMA). Reputational risk is the damage to an organization through loss of its reputation or standing. Reputation is an intangible but highly prized asset, seen as a key source of competitive advantage. It is generally understood that reputational risk management is supported by the organizational plans, processes and practices which gain the trust of stakeholders.
HOT TOPIC WITH INTERNATIONAL APPEAL: Operational risk quantification has become increasingly important for financial institutions since the New Basel Capital Accord first consultative paper. Including chapters on Basel II, there will be in addition extensive materials on insurance and correlation modeling which is not covered in depth in any other book. There will also be a section on reputational risk that it is almost entirely absent in similar books on the subject PRACTICAL: Based on extensive research which has been tested on banks datasets, this book has a far higher insight on direct practitioner experience. The book addresses the practical challenges and critical issues which are missing or less relevant in current literature. AUTHOR: Book is based on research conducted by practitioners at Unicredit. Soprano is a regular speaker at international conferences on operational risk and has published articles in international magazines such as the Journal of Operational Risk.
About the Author
Aldo Soprano, Madrid, Spain, works at UniCredit Group, Operational Risk Management. He has spent his career in risk management, market, credit, operational risk and capital management at Barclays Capital, BZW and most recently UniCredit-HypoVereinsBank Group. He is a board member at Pioneer Alternative Investments and represents UniCredit Group at the IIF. He is a regular speaker at international conferences on operational risk and have published articles in international magazines. Currently, he is Group Head of operational risk management. He graduated in Economics and statistics from CaFoscari University, Venice and has an MSc in Finance from Warwick University Business School.