Operational Risk Modeling in Financial Services

1 - Cover [Seite 1]
2 - Title Page [Seite 7]
3 - Copyright [Seite 8]
4 - Contents [Seite 9]
5 - List of Figures [Seite 13]
6 - List of Tables [Seite 17]
7 - Foreword [Seite 21]
8 - Preface [Seite 23]
9 - Part One Lessons Learned in 10 Years of Practice [Seite 27]
10 - Chapter 1 Creation of the Method [Seite 29]
10.1 - 1.1 From Artificial Intelligence to Risk Modelling [Seite 29]
10.2 - 1.2 Model Losses or Risks? [Seite 31]
11 - Chapter 2 Introduction to the XOI Method [Seite 33]
11.1 - 2.1 A Risk Modelling Doctrine [Seite 33]
11.2 - 2.2 A Knowledge Management Process [Seite 34]
11.3 - 2.3 The eXposure, Occurrence, Impact (XOI) Approach [Seite 35]
11.4 - 2.4 The Return of AI: Bayesian Networks for Risk Assessment [Seite 36]
12 - Chapter 3 Lessons Learned in 10 Years of Practice [Seite 39]
12.1 - 3.1 Risk and Control Self-Assessment [Seite 39]
12.2 - 3.2 Loss Data [Seite 50]
12.3 - 3.3 Quantitative Models [Seite 56]
12.4 - 3.4 Scenarios Workshops [Seite 62]
12.5 - 3.5 Correlations [Seite 67]
12.6 - 3.6 Model Validation [Seite 73]
13 - Part Two Challenges of Operational Risk Measurement [Seite 79]
14 - Chapter 4 Definition and Scope of Operational Risk [Seite 83]
14.1 - 4.1 On Risk Taxonomies [Seite 83]
14.2 - 4.2 Definition of Operational Risk [Seite 94]
15 - Chapter 5 The Importance of Operational Risk [Seite 97]
15.1 - 5.1 The Importance of Losses [Seite 97]
15.2 - 5.2 The Importance of Operational Risk Capital [Seite 100]
15.3 - 5.3 Adequacy of Capital to Losses [Seite 102]
16 - Chapter 6 The Need for Measurement [Seite 103]
16.1 - 6.1 Regulatory Requirements [Seite 103]
16.2 - 6.2 Nonregulatory Requirements [Seite 108]
17 - Chapter 7 The Challenges of Measurement [Seite 119]
17.1 - 7.1 Introduction [Seite 119]
17.2 - 7.2 Measuring Risk or Measuring Risks? [Seite 119]
17.3 - 7.3 Requirements of a Risk Measurement Method [Seite 121]
17.4 - 7.4 Risk Measurement Practices [Seite 124]
18 - Part Three The Practice of Operational Risk Management [Seite 129]
19 - Chapter 8 Risk and Control Self-Assessment [Seite 131]
19.1 - 8.1 Introduction [Seite 131]
19.2 - 8.2 Risk and Control Identification [Seite 133]
19.3 - 8.3 Risk and Control Assessment [Seite 139]
20 - Chapter 9 Losses Modelling [Seite 147]
20.1 - 9.1 Loss Distribution Approach [Seite 148]
20.2 - 9.2 Loss Regression [Seite 160]
21 - Chapter 10 Scenario Analysis [Seite 163]
21.1 - 10.1 Scope of Scenario Analysis [Seite 163]
21.2 - 10.2 Scenario Identification [Seite 176]
21.3 - 10.3 Scenario Assessment [Seite 189]
22 - Part Four The Exposure, Occurrence, Impact Method [Seite 203]
23 - Chapter 11 An Exposure-Based Model [Seite 205]
23.1 - 11.1 A Tsunami Is Not an Unexpectedly Big Wave [Seite 205]
23.2 - 11.2 Using Available Knowledge to Inform Risk Analysis [Seite 206]
23.3 - 11.3 Structured Scenarios Assessment [Seite 207]
23.4 - 11.4 The XOI Approach: Exposure, Occurrence, and Impact [Seite 208]
24 - Chapter 12 Introduction to Bayesian Networks [Seite 211]
24.1 - 12.1 A Bit of History [Seite 211]
24.2 - 12.2 A Bit of Theory [Seite 212]
24.3 - 12.3 Influence Diagrams and Decision Theory [Seite 213]
24.4 - 12.4 Introduction to Inference in Bayesian Networks [Seite 213]
24.5 - 12.5 Introduction to Learning in Bayesian Networks [Seite 215]
25 - Chapter 13 Bayesian Networks for Risk Measurement [Seite 217]
25.1 - 13.1 An Example in Car Fleet Management [Seite 217]
26 - Chapter 14 The XOI Methodology [Seite 229]
26.1 - 14.1 Structure Design [Seite 229]
26.2 - 14.2 Quantification [Seite 235]
26.3 - 14.3 Simulation [Seite 240]
27 - Chapter 15 A Scenario in Internal Fraud [Seite 245]
27.1 - 15.1 Introduction [Seite 245]
27.2 - 15.2 XOI Modelling [Seite 245]
28 - Chapter 16 A Scenario in Cyber Risk [Seite 253]
28.1 - 16.1 Definition [Seite 253]
28.2 - 16.2 XOI Modelling [Seite 260]
29 - Chapter 17 A Scenario in Conduct Risk [Seite 265]
29.1 - 17.1 Definition [Seite 265]
29.2 - 17.2 Types of Misconduct [Seite 267]
29.3 - 17.3 XOI Modelling [Seite 272]
30 - Chapter 18 Aggregation of Scenarios [Seite 281]
30.1 - 18.1 Introduction [Seite 281]
30.2 - 18.2 Influence of a Scenario on an Environment Factor [Seite 283]
30.3 - 18.3 Influence of an Environment Factor on a Scenario [Seite 284]
30.4 - 18.4 Combining the Influences [Seite 287]
30.5 - 18.5 Turning the Dependencies into Correlations [Seite 288]
31 - Chapter 19 Applications [Seite 291]
31.1 - 19.1 Introduction [Seite 291]
31.2 - 19.2 Regulatory Applications [Seite 293]
31.3 - 19.3 Risk Management [Seite 304]
32 - Chapter 20 A Step towards "Oprisk Metrics" [Seite 313]
32.1 - 20.1 Introduction [Seite 313]
32.2 - 20.2 Building Exposure Units Tables [Seite 314]
32.3 - 20.3 Sources for Driver Quantification [Seite 315]
32.4 - 20.4 Conclusion [Seite 316]
33 - Index [Seite 317]
34 - EULA [Seite 323]