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Modeling, Measuring and Hedging Operational Risk by Marcelo G. Cruz

Modeling, Measuring and Hedging Operational Risk Marcelo G. Cruz ebook
Format: pdf
Publisher: Wiley
ISBN: 0471515609, 9780471515609
Page: 346

Operational Risk: Measurement and Modelling The Wiley Finance. Cruz[1] has suggested using the Kupiec Test to backtest operational Risk VaR measurement results. Many organizations manage market, credit, and operational risks in isolation, ignoring correlations and associations among these risks that could be more easily identified with a firmwide assessment of risk. Strategic decision-making; measuring, managing, and hedging risk; valuing, planning, and implementing operational flexibility; measuring operational inefficiencies, and prioritizing and assessing Operational Excellence efforts. Step 5: Utilize our modeling and optimization tools to develop three-dimensional surfaces of customer service vs. Whether some derivative trades are a hedge is something that can be measured. In 2011 KB installed StatSoft's STATISTICA Enterprise software solution to minimize operational risk through management and control of analytical processes. Gap analysis, duration analysis and stimulation models are interest rate risk measurement techniques used by the Bank of Jamaica (2005). Insurers try to hedge against these risks to control the sensitivity of their financial performance. Financial risk management has been defined by the Basel Committee (2001) as a 'sequence of four processes: the identification of events into more or broad categories of market, credit, operational and 'other' risks and specific sub-categories; the . The STATISTICA suite Then, in 2009, the bank's plans to upgrade its IT systems ( hardware and software) opened an opportunity for the Risk Measurement and Management, ALM Modeling and Research, and Strategic Marketing departments to consolidate, modernize, and upgrade mission-critical software. RiskMaths has a particular focus on operational risk modeling, measurement and. Either the trades offset There are 3 sets of lines showing JP Morgan's interest rate risk exposure on 3 different parts of its operations: (i) the traditional deposit taking and lending business, (ii) the securities trading portfolio, and (iii) the derivatives portfolio. But I've never seen a model of a market making business that generates that exposure. A Web-based trading and risk management solution for commodities traders, delivered on a Software-as-a-Service basis, Kiodex integrates deal capture and risk management capabilities with valuation models and independent market data. Kicking off RMA's 5th annual GCOR Conference, keynote speaker, Dan Roussell, SVP & Head of Operational Risk, State Street, discussed the need for change to improve the future of operational risk. These tools must account for the and model triage strategies for risk events. Judging how to measure risk, such as assignment of qualitative risk ratings, acceptable tolerance for KRIs, and scenarios for capital modeling. Cruz Modelling (2002), Measuring and Hedging Operational Risk Wiley and Sons,.