Modeling, Measuring and Hedging Operational Risk

Cruz, Marcelo G.

ISBN 10: 0471515604 / ISBN 13: 9780471515609

Editore: Wiley, 2002

Codice articolo 0471515604-11-25559975

Riassunto:

"Modelling and Measuring Operational Risk" ist das einzige Buch auf dem Markt, das sich ausschließlich der quantitativen Messung und Modellierung des Betriebsrisikos widmet. Hierzu gehören z.B. Fehler bei der Transaktionsbearbeitung, Haftungssituationen und Fehler im Back-Office. Dieser Band erläutert Mess- und Modellierungstechniken, die Banken und Investmentfirmen für die Quantifizierung des Betriebsrisikos benötigen und beschreibt gleichzeitig eine Fülle praktischer und vernünftiger Lösungsmöglichkeiten an. Mit zahlreichen Fallskizzen und Beispielen aus der Praxis. Autor Marcelo Cruz ist ein führender Experte auf diesem Gebiet.

Informazioni sull?autore: 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.

Dati bibliografici

Titolo: Modeling, Measuring and Hedging Operational ...
Casa editrice: Wiley
Data di pubblicazione: 2002
Legatura: Hardcover
Condizione: New