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

Modeling, Measuring and Hedging Operational Risk

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Format: Hardback

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

Book Description

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.

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Book Details

ISBN: 9780471515609
ISBN-10: 0471515604
Format: Hardback
(250mm x 175mm x 26mm)
Pages: 346
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 22-Jan-2002
Country of Publication: United Kingdom

Books By Author Marcelo G. Cruz

Fundamental Aspects of Operational Risk and Insurance Analytics by Marcelo G. Cruz Fundamental Aspects of Operational Risk and Insurance Analytics, Hardback (November 2014)

Co-edited by acknowledged experts in the quantification of operational risk, Handbook of Operational Risk conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter.

Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set by Marcelo G. Cruz Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set, Hardback (November 2014)

Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, this book presents coverage of the latest research on the theories and applications in risk measurement and modeling techniques. It offers a complete framework for all aspects of operational risk management.

» View all books by Marcelo G. Cruz

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Author Biography - Marcelo G. Cruz

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.

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Recent books by Marcelo G. Cruz close
Fundamental Aspects of Operational Risk and Insurance Analytics by Marcelo G. Cruz
Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set by Marcelo G. Cruz
»
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