The Advanced Measurement Approach to Operational Risk

SECTION 1: THE AMA FRAMEWORK 1. The Advanced Measurement Approach: Getting it Started Jeremy Quick 2. Practical Decisions to Successfully Model Operational Risk Capital Michael Haubenstock and Jeff Hause SECTION 2: MODELLING BASICS 3. Operational Risk Modelling: Where do we go from here? Rudi DeKoker 4. Operational Risk Economic Capital Measurement: Mathematical Models for Analyzing Loss Data Gene Alvarez SECTION 3: MODELLING CHALLENGES 5. Breaking Ground on the Loss Data Challenge: Wachovia's Approach to Loss Data Capture and Validation Dee Harris and Tom Longstroth 6. Estimating the Parameters in the Loss Distribution Approach: How can we deal with Truncated Data? Marco Bee 7. Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures Marco Moscadelli , Anna Chernobai , and Svetlozar Rachev 8. Test of Extreme Value Theory Applied to Operational Risk Data Giulio Mignola and Robert Ugoccioni SECTION 4: ALTERNATIVE MODELLING APPROACHES 9. Scenario Analysis in Operational Risk Management Sergio Scandizzo 10. Key Risk Indicators: Their Role in Operational Risk Management and Measurement Jonathan Davies , Mike Finlay , Tara Lenaghen and Duncan Wilson 11. Quantifying the Operational Risks of Technology Eric Holmquist SECTION 5: COMPARATIVE VIEWS OF IMPLEMENTATION 12. Operational Risk: Some Issues in Basel II AMA Implementation in US Financial Institutions Vanada Rao and Ashish Dev 13. AMA Implementation in Germany: Results of BaFIN's and Bundebank's Industry Survey Patrik Muchmuller, Marcus Haas, Bernd Rummel Karsten Stickelmann 14. Operational Risk Management in Financial Institutions: Some Empirical Evidence from Spain Ana Fernandez Laviada