Quantification of operational risk under Basel II the good, bad andugly / [electronic resource] :

• 作者： Moosa, Imad A.
• 其他作者：
  • Palgrave Connect (Online service)
• 其他題名：
  • Finance and capital markets
• 出版： Basingstoke [England] ;New York : Palgrave Macmillan
• 叢書名： Finance and capital markets series
• 主題： Financial risk management--Mathematical models. , Bank capital--Mathematical models. , Banks and banking, International--Risk management. , Electronic books.
• ISBN： 9780230595149 、 0230595146
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: 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?
• More
• 摘要註: 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.
• 讀者標籤：

  需登入
• 引用連結：

  Copy Link
• 目前引用數
• Share: