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<p>Foreword ix</p> <p>About the Editor xi</p> <p>Acknowledgments xiii</p> <p>About the Contributors xv</p> <p><b>Part One Operational Risk Measurement: Qualitative Approaches</b></p> <p>Chapter 1 Modeling Operational Risk Based on Multiple Experts’ Opinions 3<br /><i>Jean-Philippe Peters and Georges H</i><i>übner</i></p> <p>Chapter 2 Consistent Quantitative Operational Risk Measurement 23<br /><i>Andreas A. Jobst</i></p> <p>Chapter 3 Operational Risk Based on Complementary Loss Evaluations 69<br /><i>Andrea Giacomelli and Loriana Pelizzon</i></p> <p>Chapter 4 Can Operational Risk Models Deal with Unprecedented Large Banking Losses? 85<br /><i>Duc Pham-Hi</i></p> <p>Chapter 5 Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Services 97<br /><i>Magali Dubosson and Emmanuel Fragni</i><i>ère</i></p> <p>Chapter 6 Operational Risk and Stock Market Returns: Evidence from Turkey 115<br /><i>M. Nihat Solako</i><i>ĝlu and K. Ahmet K</i><i>öse</i></p> <p><b>Part Two Operational Risk Measurement: Quantitative Approaches</b></p> <p>Chapter 7 Integrating Op Risk into Total VaR 131<br /><i>Niklas Wagner and Thomas Wenger</i></p> <p>Chapter 8 Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach 155<br /><i>Marco Bee and Giuseppe Espa</i></p> <p>Chapter 9 One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk 177<br /><i>Mar</i><i>ía Dolores Mart</i><i>ínez Miranda, Jens Perch Nielsen, and Stefan A. Sperlich</i></p> <p>Chapter 10 Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models 197<br /><i>Omar Rachedi and Dean Fantazzini</i></p> <p>Chapter 11 First-Order Approximations to Operational Risk: Dependence and Consequences 219<br /><i>Klaus B</i><i>öcker and Claudia Kl</i><i>üppelberg</i></p> <p><b>Part Three Operational Risk Management and Mitigation</b></p> <p>Chapter 12 Integrating “Management" into “OpRisk Management" 249<br /><i>Wilhelm K. Kross</i></p> <p>Chapter 13 Operational Risk Management: An Emergent Industry 271<br /><i>Kimberly D. Krawiec</i></p> <p>Chapter 14 OpRisk Insurance as a Net Value Generator 289<br /><i>Wilhelm K. Kross and Werner Gleissner</i></p> <p>Chapter 15 Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? 311<br /><i>Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori</i></p> <p>Chapter 16 Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks 337<br /><i>Silke N. Brandts and Nicole Branger</i></p> <p><b>Part Four Issues in Operational Risk Regulation and the Fund Industry</b></p> <p>Chapter 17 Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems 361<br /><i>John L. Simpson, John Evans, and Jennifer Westaway</i></p> <p>Chapter 18 Operational Risk Disclosure in Financial Services Firms 381<br /><i>Guy Ford, Maike Sundmacher, Nigel Finch, and Tyrone M. Carlin</i></p> <p>Chapter 19 Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators 397<br /><i>Daniela Russo and Pietro Stecconi</i></p> <p>Chapter 20 Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime 413<br /><i>Carolyn Vernita Currie</i></p> <p>Chapter 21 Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River 435<br /><i>Keith H. Black</i></p> <p>Chapter 22 A Risk of Ruin Approach for Evaluating Commodity Trading Advisors 453<br /><i>Greg N. Gregoriou and Fabrice Douglas Rouah</i></p> <p>Chapter 23 Identifying and Mitigating Valuation Risk in Hedge Fund Investments 465<br /><i>Meredith A. Jones</i></p> <p>Index 479</p>

<p><b>GREG N. GREGORIOU, P</b>h<b>D,</b> is Professor of Finance in the School of Business and Economics at the State University of New York at Plattsburgh. He has written over fifty articles on hedge funds and managed futures in various peer-reviewed publications. In addition to a multitude of publications with a variety of publishers, Gregoriou is author of the following Wiley books: <i>Stock Market Liquidity; International Corporate Governance After Sarbanes-Oxley; Commodity Trading Advisors; Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation;</i> and <i>Evaluating Hedge Fund and CTA Performance.</i>

<p>Recent developments in the financial world have once again brought the issue of risk management to the forefront. Without a doubt, international banking reforms are now more important than ever, and understanding current compliance issues as well as the effects of future accords such as Basel III is essential. <p>While newly developed and optimized financial products are supposed to provide better protection against credit and market risk, the factors involved in the operational risk arena continue to grow in complexity. That's why editor and financial expert Greg N. Gregoriou has created <i>Operational Risk toward Basel III</i>. In it, he brings together experienced practitioners, consultants, and academics to analyze key concepts associated with this discipline. <p>Divided into four comprehensive sections—Operational Risk Measurement: Qualitative Approaches; Operational Risk Measurement: Quantitative Approaches; Operational Risk Management and Mitigation; and Issues in Operational Risk Regulation and the Fund Industry—this detailed guide not only contains contributed chapters that provide an abundant amount of information regarding operational risk, but it also walks you through a wide array of case studies and examples that will solidify your understanding of the issues discussed. <p>Topics covered, include: <ul> <li>Operation risk (OpR) management under the new Basel Capital Accord</li> <li>Dealing with the intangible nature of banking services</li> <li>OpR vs. capital requirements under new banking capital regulations</li> <li>Integrating OpR into total Value-at-Risk (VaR)</li> <li>OpR disclosure in financial services firms</li> <li>Hedge fund operational risks</li> <li>OpR in securities clearing and settlement systems</li> </ul> <p>While operational risk has long been regarded as a mere part of "other" risks—outside the realm of credit and market risk—it has quickly made its way to the forefront of finance. With the implementation of the Basel II Accord throughout the developed world and Basel III on the horizon, many financial professionals, as well as those preparing to enter this field, must be familiar with a variety of issues related to operational risk modeling, management, and regulation. <i>Operational Risk toward Basel III</i> contains the information you need to achieve this goal.

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