Operational risk assessment: the commercial imperative of a more forensic and trasparent approach

This book is concerned with the efficient and effective management of operational risk; its primary aims being to improve the quality and stability of earnings and to reduce the probability of failure, by optimizing risk. Risk assessment is an integral part of informed decision making, influencing strategic positioning and direction. It is fundamental to a company's performance and a key differentiator between competing management teams. Not all risks can be quantified, however it does remain incumbent upon management to determine the impact of possible risk-events on financial statements and to indicate the level of variation in projected figures. The financial services sector, and the banking industry in particular, is being subjected to more demanding legislative and regulatory requirements, including the introduction of risk based regulatorycapital and the drive towards enhanced market discipline through greater transparency. This book seeks to promote transparency - a new requirement under Pillar three of the new Basel Accord (Basel II), which is seen as a facilitator of competition and efficiency as well as being a barrier to fraud, corruption and financial crime. It shows financial institutions how to provide investors with a sound understanding of the approaches used to assess the standing of firms and determine their true potential (identifying probable future winners and losers). Initially, the book looks at traditional methods of risk assessmentand shows how these have developed into the approaches currently being used. It then goes on to consider the more advanced forensic techniques being developed, which will undoubtedly increase understanding. INDICE: 1.0 Introduction 1.1 Executive Overview: Responsiveness, Competitive Advantage, and Survival 1.2 Understanding the Increasingly Complex and Competitive Banking Environment 1.3 Strategy and Competitive Positioning 1.4 Identifying the Winners & Losers 1.5 A Portfolio Approach - its Limitations 1.6 Regulatory Requirements & Consequences 1.7 Simplifying and Embedding Risk Management 1.8 A Forensic Approach 2.0 Fundamental Analysis 2.1 Capital Adequacy 2.2 Asset Quality 2.3 Management 2.4 Earnings 2.5 Liquidity 2.6 Sovereign Assessments 3.0 The Rating Agencies 7 Pillars 3.1 Operating Environment (Competitive, Regulatory, Institutional Support) 3.2 Ownership & Governance 3.3 Franchise Value 3.4 Recurring Earning Power 3.5 Risk Profile and Risk Management 3.6 Economic Capital Analysis 3.7 Management Priorities & Strategies 4.0 From Qualitative to Quantitative Assessment 4.1 Introduction to Risk & Default Analysis 4.2 Gambler's Ruin 4.3 KMV Market Methodology 4.4 Control Risk Self Assessment (From RAG assessments to Causal Models) 4.5 KPIs & KRIs 4.6 Scenario Analysis 4.7Business & Environmental Assessments 5.0 OpRisk Quantification & Modelling 5.1 Data & Data Analysis 5.1.1 Data Accuracy, Completeness and Appropriateness 5.1.2 Data Quality Standards and Consistency with Accountancy Data 5.1.3 Representiveness of Data used for Model Development and Validation 5.1.4 Data sources and Definition of Default 5.1.5 Granularity 5.1.6 External Data 5.2 Models &Modelling 5.2.1 Stochastic Modelling 5.2.1.1 Frequency Models 5.2.1.2 Quantile Models 5.2.1.3 Severity Models 5.2.1.4 Combined Models 5.2.1.5 Extreme ValueTheory (EVT) Modelling 5.2.2 Causal Modelling 5.2.2.1 Data Mining 5.2.2.2 Neural Networks 5.2.2.3 BBNs 5.3 Correlation 5.4 Validation (Back-Testing, StressTesting, Benchmarking) 5.5 Monte Carlo Simulation 5.6 Other Techniques 5.7 Enterprise-Wide Modelling 5.8 Use Test 5.9 Observed Best Practices 6.0 FinancialAccounts and the Impact of Risk Volatility 6.1 Dynamic Financial Analysis 6.2Economic Value Added 6.3 Discounted Cashflow Techniques 6.4 Long Term Investors Requirements 6.5 Enhanced Analytics and the Importance of Intangible Factors APPENDICES BJY Moody's paper Operational Risk Assessments of 30 banks CRSA forms - from Assessment to Quantification Introduction to Statistics

• ISBN: 978-0-470-75387-3
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 456
• Fecha Publicación: 17/04/2009
• Nº Volúmenes: 1
• Idioma: Inglés