Modeling, Measuring and Hedging Operational Risk (Hardcover)

Marcelo G. Cruz

ISBN 10: 0471515604 / ISBN 13: 9780471515609

Published by John Wiley & Sons Inc, New York, 2002

About this Item

Hardcover. Worldwide banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so. * Author is one of the leading experts in the field of operational risk. * Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk. * Includes case vignettes and real-world examples based on the author's extensive experience. Operational risk concerns issues like transaction processing errors, liability situations, and back-office failure. This text focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780471515609

Bibliographic Details

• Title: Modeling, Measuring and Hedging Operational Risk (Hardcover)
• Publisher: John Wiley & Sons Inc, New York
• Publication Date: 2002
• Language: English
• ISBN 10: 0471515604
• ISBN 13: 9780471515609
• Binding: Hardcover
• Edition: 1st Edition
• Condition: new

About this title

Synopsis

Worldwide banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so.
* Author is one of the leading experts in the field of operational risk.
* Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk.
* Includes case vignettes and real-world examples based on the author's extensive experience.

About the Author

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.