Quantification of operational risk under Basel II [electronic resource] : the good, bad and ugly / Imad A. Moosa.
This book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It identifies the good, bad and ugly with respect to practices pertaining to the implementation of the operational risk provisions of Basel II. In particular, it...
Saved in:
| Online Access: |
Full Text (via Springer) |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Basingstoke [England] ; New York :
Palgrave Macmillan,
2008.
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| Series: | Finance and capital markets.
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| Subjects: |
MARC
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| 245 | 1 | 0 | |a Quantification of operational risk under Basel II |h [electronic resource] : |b the good, bad and ugly / |c Imad A. Moosa. |
| 260 | |a Basingstoke [England] ; |a New York : |b Palgrave Macmillan, |c 2008. | ||
| 300 | |a 1 online resource (xix, 268 pages) : |b illustrations, plans. | ||
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| 505 | 0 | |a Preliminary Concepts and Issues -- From Basel I to Basel II: A Great Leap Forward? -- Operational Risk: Definition, Features and Classification -- The Advanced Measurement Approach to Operational Risk -- Theoretical and Empirical Studies of Operational Risk -- Monte Carlo Simulation: Description and Examples -- Operational Risk: Where Do We Stand? | |
| 504 | |a Includes bibliographical references (pages 251-263) and index. | ||
| 520 | |a This book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It identifies the good, bad and ugly with respect to practices pertaining to the implementation of the operational risk provisions of Basel II. In particular, it is argued that the advanced measurement approach is not viable in terms of costs and benefits and that it is likely to distract financial institutions from the real task of managing operational risk. Some strong arguments are presented against the purely quantitative approach to operational risk management. The author demonstrates how the estimated capital charge produced by using the loss distribution approach suggested by Basel II is so sensitive to the underlying assumptions that banks can manipulate their internal models in such a way as to produce the lowest possible capital charge. Given that the advanced measurement approach will be used by large internationally active banks only, the Basel II Accord will actually boost competitive inequality when it purports to create a level playing field. | ||
| 588 | 0 | |a Print version record. | |
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| 776 | 0 | 8 | |i Print version: |a Moosa, Imad A. |t Quantification of operational risk under Basel II. |d Basingstoke [England] ; New York : Palgrave Macmillan, 2008 |z 9780230222663 |z 0230222668 |w (DLC) 2008037609 |w (OCoLC)244566811. |
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