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Quantification of operational risk u...

Moosa, Imad A.

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Quantification of operational risk under Basel II = the good, bad andugly /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Quantification of operational risk under Basel II/ Imad A. Moosa.
Reminder of title:	the good, bad andugly /
Author:	Moosa, Imad A.
Published:	Basingstoke [England] ;Palgrave Macmillan, : 2008.,
Description:	xix, 268 p. :ill., plans ;24 cm.
[NT 15003449]:	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?
Subject:	Bank capital - Mathematical models. -
Online resource:	http://link.springer.com/10.1057/9780230595149access to fulltext (Palgrave)
ISBN:	0230595146

Quantification of operational risk under Basel II = the good, bad andugly /
Moosa, Imad A.

Quantification of operational risk under Basel IIthe good, bad andugly /[electronic resource] :Imad A. Moosa. - Basingstoke [England] ;Palgrave Macmillan,2008. - xix, 268 p. :ill., plans ;24 cm. - Finance and capital markets series. - Finance and capital markets..

Includes bibliographical references (p. 251-263) and index.

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?

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.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2009.

Mode of access:World Wide Web.

ISBN: 0230595146

Standard No.: 10.1057/9780230595149doiSubjects--Topical Terms:

1097831
Bank capital
--Mathematical models.Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HD61 / .M6144 2008eb

Dewey Class. No.: 332.1/50681

Quantification of operational risk under Basel II = the good, bad andugly /
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100 1 $a Moosa, Imad A. $3 1097830
245 1 0 $a Quantification of operational risk under Basel II $h [electronic resource] : $b the good, bad andugly / $c Imad A. Moosa.
260 $a Basingstoke [England] ; $a New York : $c 2008. $b Palgrave Macmillan,
300 $a xix, 268 p. : $b ill., plans ; $c 24 cm.
490 1 $a Finance and capital markets series
504 $a Includes bibliographical references (p. 251-263) and index.
505 0 $a 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?
520 $a 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.
533 $a Electronic reproduction. $b Basingstoke, England : $c Palgrave Macmillan, $d 2009. $n Mode of access:World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Mar. 3, 2009). $n Access may berestricted to users at subscribing institutions.
650 0 $a Bank capital $x Mathematical models. $3 1097831
650 0 $a Banks and banking, International $x Risk management. $3 1097832
650 0 $a Financial risk management $x Mathematical models. $3 910589
655 7 $a Electronic books. $2 lcsh $3 542853
710 2 $a Palgrave Connect (Online service) $3 1081578
830 0 $a Finance and capital markets. $3 910591
856 4 0 $3 Palgrave Connect $u http://link.springer.com/10.1057/9780230595149 $z access to fulltext (Palgrave)