After a succession of high profile, unexpected crashes of large global banks during the mid 1990’s, the financial industry realised that it needed to turn its attention to an area of risk not related to market or credit risk. This area has now been termed operational risk and is concerned with such issues as transaction processing errors, liability situations, back-office failure and so on. Regulators are currently developing a capital charge for operational risk and banks that do not conform will suffer a substantial increase in their cost of capital. All banks worldwide will be directly affected by this by 2002. As such, banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. This book will focus on the measuring and modeling techniques needed to quantify operational risk. It will complement King/Operational Risk. Jack King reviewed the proposal and was extremely enthusiastic, “I applaud Marcelo’s effort … I hope we can work together to provide a set of operational risk books from Wiley that will be on every shelf! … I think it would be great to have a book on operational techniques that is a reference for analysts to use in operational risk calculations. (My) book can provide the motivation and appreciation for what you want to do and why you should do it for managers, and Marcelo’s book can provide details of how to do it for the analysts. Together they will provide a good pair of solid references on operational risk.”
Book Details:
- Author: Marcelo G. Cruz
- ISBN: 9780470320990
- Year Published: 2002
- Pages: 346
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
After a succession of high profile, unexpected crashes of large global banks during the mid 1990’s, the financial industry realised that it needed to turn its attention to an area of risk not related to market or credit risk. This area has now been termed operational risk and is concerned with such issues as transaction processing errors, liability situations, back-office failure and so on. Regulators are currently developing a capital charge for operational risk and banks that do not conform will suffer a substantial increase in their cost of capital. All banks worldwide will be directly affected by this by 2002. As such, banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. This book will focus on the measuring and modeling techniques needed to quantify operational risk. It will complement King/Operational Risk. Jack King reviewed the proposal and was extremely enthusiastic, “I applaud Marcelo’s effort … I hope we can work together to provide a set of operational risk books from Wiley that will be on every shelf! … I think it would be great to have a book on operational techniques that is a reference for analysts to use in operational risk calculations. (My) book can provide the motivation and appreciation for what you want to do and why you should do it for managers, and Marcelo’s book can provide details of how to do it for the analysts. Together they will provide a good pair of solid references on operational risk.”
The proposal has reviewed well and my own experience from talking to investment banks & the specialist finance bookshops is this is a ‘hot topic’ on which people are keen to buy books. Cruz is highly regarded in the field (potential for his bank to buy 2 – 300 copies). Sits well within Wiley’s technical finance portfolio.
Cruz is one of the leading experts in the field of operational risk. * Interest in the field is growing rapidly and this is the only book that focuses quantitative measuring and modeling of operational risk. * Includes case vignettes and real-world examples based on the author’s extensive experience.
About the Author
DR MARCELO CRUZ is currently CEO and founder of RiskMaths, a boutique consultancy specialising in the development and validation of complex mathematical and statistical models for risk management, financial asset pricing, capital allocation and financial management strategy. RiskMaths has a particular focus on operational risk modeling, measurement and hedging with a client base that includes large global financial institutions and financial regulators. Dr Cruz participates in the regulatory discussions on the new Basel Accord and was a member of the Industry Technical Working Group that proposed the changes on the regulatory capital charges to the Basel Committee on Banking Supervision. Prior to RiskMaths, Dr Cruz worked as a senior executive in the risk management area for various global investment banks and led the development of operational risk quantitative modeling for a large European bank. He has also worked as a senior derivatives trader and structurer. Dr Cruz regularly writes for several academic and industry journals and magazines including The Journal of Risk, RISK magazine, the Financial Times and Derivatives Week. He has also contributed to several risk management books, the most recent of which include ‘Extremes and Integrated Risk Management’, ‘Managing Hedge Fund Risk’, ‘Mastering Risk, Volume 2’ and ‘Advances in Operational Risk: Firmwide Issues for Financial Institutions’. Dr Cruz is a sought-after speaker in risk management conferences and seminars and had lectured in many countries in Europe, Asia and the Americas as well as leading universities in Europe, USA and Latin America. He holds a Ph.D. in Mathematical Finance, a M.Sc., M.B.A., Diploma and a B.Sc. in Economics.