Operational Risk Modelling and Analysis: Theory and Practice

SECTION 1 - DATABASE MODELLING, REGULATORY AND TECHNOLOGY ISSUES Introduction Marcelo Cruz RiskMaths 1 Operational Risk - Management Based on the Current Loss Data Situation Agatha Kalhoff Marcus Haas BII University of Frankfurt 2 Tackling the Insufficiency of Loss Data for the Quantification of Operational Risk Marcus Haas Thomas Kaiser University of Frankfurt KPMG 3 Contract Management and Operational Risk Kristiina Vares Swedish School of Economics and Business Administration 4 Basel II and Operational Risk - An Overview Carolyn V. Currie University of Technology, Sydney 5 Implementing Operational Risk Solutions Deborah Williams Financial Insights SECTION 2 - RISK MODELLING AND MEASUREMENT Introduction Marcelo Cruz RiskMaths 6 Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach Paolo Giudici University of Pavia 7 Stable Modelling of Operational Risk Anna Chernobai, Svetlozar Rachev University of California 8 Towards Operational Risk Management Kaj Nystrom, Jimmy Skoglund Swedbank 9 A Copula-Extreme Value Theory Approach for Modelling Operational Risk Annalisa Di Clemente Claudio Romano University of Rome Capitalia Bank Holding 10 Cyclicality in the Catastrophic Risk of Financial Institutions Linda Allen, Turan G. Bali, Yi Tang Zicklin School of Business 11 Using Stratified Sampling Methods to Improve Percentile Estimates in the Context of Risk Measurement Neil Hereford, Geoffrey Shuetrim KPMG 12 Adequate Capital and Stress Testing for Operational Risks Reimer Kuhn Peter Neu King's College London Dresdner Bank AG SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISK PROJECTS IN LARGE FINANCIAL INSTITUTIONS Introduction Marcelo Cruz RiskMaths 13 The JPMorganChase Operational Risk Environment JPMorgan Chase 14 Overall Large Bank Operational Risk Framework Duncan Fairley, David McCall HBOS 15 Implementing an Integrated Operational Risk Framework Sok Hui Chng, Him Chuan Lim DBS Group