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Operational risk : modeling analytics / / Harry H. Panjer
| Operational risk : modeling analytics / / Harry H. Panjer |
| Autore | Panjer Harry H |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley Interscience, c2006 |
| Descrizione fisica | 1 online resource (460 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico | Risk management |
| ISBN |
1-280-55169-0
9786610551699 0-470-05131-0 0-470-05130-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk; Contents; Preface; Acknowledgments; Part I Introduction to operational risk modeling; 1 Operational risk; 1.1 Introduction; 1.1.1 Basel II - General; 1.1.2 Basel II - Operational risk; 1.2 Operational risk in insurance; 1.3 The analysis of operational risk; 1.4 The model- based approach; 1.4.1 The modeling process; 1.5 Organization of this book; 2 Basic probability concepts; 2.1 Introduction; 2.2 Distribution functions and related concepts; 2.3 Moments; 2.4 Quantiles of a distribution; 2.5 Generating functions; 2.6 Exercises; 3 Measures of risk; 3.1 Introduction
3.2 Risk measures3.3 Tail- Value-at- Risk; Part II Probabilistic tools for operational risk modeling; 4 Models for the size of losses: Continuous distributions; 4.1 Introduction; 4.2 An inventory of continuous distributions; 4.2 1 One-parameter distributions; 4.2.2 Two-parameter distributions; 4.2.3 Three-parameter distributions; 4.2.4 Four-parameter distributions; 4.2.5 Distributions with finite support; 4.3 Selected distributions and their relationships; 4.3.1 Introduction; 4.3.2 Two important parametric families; 4.4 Limiting distributions; 4.5 The role of parameters 4.5.1 Parametric and scale distributions4.5.2 Finite mixture distributions; 4.5.3 Data-dependent distributions; 4.6 Tails of distributions; 4.6.1 Classification based on moments; 4.6.2 Classification based on tail behavior; 4.6.3 Classification based on hazard rate function; 4.7 Creating new distributions; 4.7.1 Introduction; 4.7.2 Multiplication by a constant; 4.7.3 Transformation by raising to a power; 4.7.4 Transformation by exponentiation; 4.7.5 Continuous mixture of distributions; 4.7.6 Frailty models; 4.7.7 Splicing pieces of distributions; 4.8 TVaR for continuous distributions 4.8.1 Continuous elliptical distributions4.8.2 Continuous exponential dispersion distributions; 4.9 Exercises; 5 Models for the number of losses: Counting distributions; 5.1 Introduction; 5.2 The Poisson distribution; 5.3 The negative binomial distribution; 5.4 The binomial distribution; 5.5 The (a, b, 0) class; 5.6 The (a, b, 1) class; 5.7 Compound frequency models; 5.8 Recursive calculation of compound probabilities; 5.9 An inventory of discrete distributions; 5.9.1 The (a, b, 0) class; 5.9.2 The (a, b, 1 ) class; 5.9.3 The zero-truncated subclass; 5.9.4 The zero-modified subclass 5.9.5 The compound class5.10 A hierarchy of discrete distributions; 5.11 Further properties of the compound Poisson class; 5.12 Mixed frequency models; 5.13 Poisson mixtures; 5.14 Effect of exposure on loss counts; 5.15 TVaR for discrete distributions; 5.15.1 TVaR for discrete exponential dispersion distributions; 5.16 Exercises; 6 Aggregate loss models; 6.1 Introduction; 6.2 Model choices; 6.3 The compound model for aggregate losses; 6.4 Some analytic results; 6.5 Evaluation of the aggregate loss distribution; 6.6 The recursive method; 6.6.1 Compound frequency models 6.6.2 Underflow/overflow problems |
| Record Nr. | UNINA-9910876790103321 |
Panjer Harry H
|
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| Hoboken, N.J., : Wiley Interscience, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk assessment : the commercial imperative of a more forensic and transparent approach / / Brendon Young and Rodney Coleman
| Operational risk assessment : the commercial imperative of a more forensic and transparent approach / / Brendon Young and Rodney Coleman |
| Autore | Young Brendon |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2009 |
| Descrizione fisica | 1 online resource (458 p.) |
| Disciplina |
658.15/5
658.155 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Financial risk management
Banks and banking - Risk management Financial services industry - Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20705-3
1-282-93961-0 9786612939617 0-470-74599-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Assessment; Contents; Foreword; Preface; Acknowledgements; About the Authors; Abbreviations; PART I THE ASSESSMENT OF RISK AND ITS STRATEGIC IMPORTANCE; 1 Introduction; 1.1 Executive Overview: Responsiveness, Competitive Advantage, and Survival; 1.2 Understanding the Increasingly Complex and Competitive Banking Environment; 1.3 Risk Management and Strategy - Identifying Winners and Losers; 1.4 Capital - Understanding and Assessing its Importance and Limitations; 2 The Importance of Corporate Governance; 2.1 Defining Corporate Governance
2.2 Understanding the Importance of Corporate Governance and Ethics2.3 International Organizations and their Activities; 2.4 The Basel Paper on Corporate Governance for Banks; 2.5 Countries: Their Different Requirements and Experiences; 2.6 Board Structures; 2.7 Shareholder Activism and Extra-Financial Issues; 2.8 Assessing Governance, Bribery, and Corruption; 2.9 Key Considerations; 2.10 Conclusions; Appendix 2A; 3 Fundamental Assessment; 3.1 Introduction; 3.2 The Fundamental Relationship Between Credit Risk, Market Risk, and Operational Risk; 3.3 External Assessment Frameworks 3.4 Credit Rating Agencies' Approach: The 7 Pillars3.5 Moody's Operational Risk Assessments - Towards a More Forensic Approach; 3.6 The Regulatory Approach - Development of the Arrow Framework; 3.7 Enhanced Analytics; 3.8 Measuring Customer Satisfaction and Loyalty; Appendix 3A; Appendix 3B; 4 An Introduction to Risk and Default Analysis; 4.1 Predicting Soundness; 4.2 Argenti's A-score: Causes of Business Failure; 4.3 Statistical Failure Prediction Models; 4.4 Credit Risk Models; 4.5 Merton's 1974 Model; 4.6 The KMV Model; 4.7 CreditRisk +; 4.8 Portfolio Credit Risk Models 4.9 Internal Operational Risk Models4.10 Commercially Available Operational Risk Systems and Models; 5 Control Risk Self Assessment (CRSA) - A Behavioural Approach to Risk Management; 5.1 Introduction; 5.2 Advocates; 5.3 Defining Control Risk Self Assessment; 5.4 Benefits and Limitations of a CRSA Approach; 5.5 Residual Risks; 5.6 Methodology; 5.7 Types of Meeting; 5.8 Questionnaires and Weightings; 5.9 Resource Allocation; 5.10 Loss Data; 5.11 Determination of Capital Requirement; 5.12 Developing and Refining the System; 5.13 Achieving and Maintaining Credibility and Appropriateness 5.14 Validation5.15 Auditing; 5.16 The Relationship between Risk Management and Knowledge Management; 5.17 Aetiology of Knowledge Management; 5.18 Avoiding Ossification; 5.19 Managing Risk within Communities of Practice; 5.20 Flexibility and Responsiveness; 5.21 The Limitations of Enforced Best Practice; 5.22 Benchmarking and Stress Testing Human Factors; 5.23 Reasons for Failure; 6 Data and Data Collection; 6.1 The Importance of Data; 6.2 The Regulatory Perspective; 6.3 Sources and Limitations of Data; 6.4 Not All Data will be Recorded 6.5 Differences in Approach Lead to Variations in Capital Requirement |
| Record Nr. | UNINA-9910141049603321 |
|
Young Brendon
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk assessment : the commercial imperative of a more forensic and transparent approach / / Brendon Young and Rodney Coleman
| Operational risk assessment : the commercial imperative of a more forensic and transparent approach / / Brendon Young and Rodney Coleman |
| Autore | Young Brendon |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2009 |
| Descrizione fisica | 1 online resource (458 p.) |
| Disciplina |
658.15/5
658.155 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Financial risk management
Banks and banking - Risk management Financial services industry - Risk management |
| ISBN |
1-119-20705-3
1-282-93961-0 9786612939617 0-470-74599-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Assessment; Contents; Foreword; Preface; Acknowledgements; About the Authors; Abbreviations; PART I THE ASSESSMENT OF RISK AND ITS STRATEGIC IMPORTANCE; 1 Introduction; 1.1 Executive Overview: Responsiveness, Competitive Advantage, and Survival; 1.2 Understanding the Increasingly Complex and Competitive Banking Environment; 1.3 Risk Management and Strategy - Identifying Winners and Losers; 1.4 Capital - Understanding and Assessing its Importance and Limitations; 2 The Importance of Corporate Governance; 2.1 Defining Corporate Governance
2.2 Understanding the Importance of Corporate Governance and Ethics2.3 International Organizations and their Activities; 2.4 The Basel Paper on Corporate Governance for Banks; 2.5 Countries: Their Different Requirements and Experiences; 2.6 Board Structures; 2.7 Shareholder Activism and Extra-Financial Issues; 2.8 Assessing Governance, Bribery, and Corruption; 2.9 Key Considerations; 2.10 Conclusions; Appendix 2A; 3 Fundamental Assessment; 3.1 Introduction; 3.2 The Fundamental Relationship Between Credit Risk, Market Risk, and Operational Risk; 3.3 External Assessment Frameworks 3.4 Credit Rating Agencies' Approach: The 7 Pillars3.5 Moody's Operational Risk Assessments - Towards a More Forensic Approach; 3.6 The Regulatory Approach - Development of the Arrow Framework; 3.7 Enhanced Analytics; 3.8 Measuring Customer Satisfaction and Loyalty; Appendix 3A; Appendix 3B; 4 An Introduction to Risk and Default Analysis; 4.1 Predicting Soundness; 4.2 Argenti's A-score: Causes of Business Failure; 4.3 Statistical Failure Prediction Models; 4.4 Credit Risk Models; 4.5 Merton's 1974 Model; 4.6 The KMV Model; 4.7 CreditRisk +; 4.8 Portfolio Credit Risk Models 4.9 Internal Operational Risk Models4.10 Commercially Available Operational Risk Systems and Models; 5 Control Risk Self Assessment (CRSA) - A Behavioural Approach to Risk Management; 5.1 Introduction; 5.2 Advocates; 5.3 Defining Control Risk Self Assessment; 5.4 Benefits and Limitations of a CRSA Approach; 5.5 Residual Risks; 5.6 Methodology; 5.7 Types of Meeting; 5.8 Questionnaires and Weightings; 5.9 Resource Allocation; 5.10 Loss Data; 5.11 Determination of Capital Requirement; 5.12 Developing and Refining the System; 5.13 Achieving and Maintaining Credibility and Appropriateness 5.14 Validation5.15 Auditing; 5.16 The Relationship between Risk Management and Knowledge Management; 5.17 Aetiology of Knowledge Management; 5.18 Avoiding Ossification; 5.19 Managing Risk within Communities of Practice; 5.20 Flexibility and Responsiveness; 5.21 The Limitations of Enforced Best Practice; 5.22 Benchmarking and Stress Testing Human Factors; 5.23 Reasons for Failure; 6 Data and Data Collection; 6.1 The Importance of Data; 6.2 The Regulatory Perspective; 6.3 Sources and Limitations of Data; 6.4 Not All Data will be Recorded 6.5 Differences in Approach Lead to Variations in Capital Requirement |
| Record Nr. | UNINA-9910830087303321 |
|
Young Brendon
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk management [[electronic resource] ] : a case study approach to effective planning and response / / Mark D. Abkowitz
| Operational risk management [[electronic resource] ] : a case study approach to effective planning and response / / Mark D. Abkowitz |
| Autore | Abkowitz Mark David |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (289 p.) |
| Disciplina | 658.15/5 |
| Soggetto topico |
Emergency management
Risk assessment Risk management |
| ISBN |
1-119-20274-4
1-281-28512-9 9786611285128 0-470-28186-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Management; CONTENTS; PREFACE; CHAPTER 1: WHY DO DISASTERS HAPPEN?; PART ONE: MAN-MADE ACCIDENTS; CHAPTER 2: HYATT REGENCY WALKWAY COLLAPSE; CHAPTER 3: NIGHTMARE IN BHOPAL; CHAPTER 4: MELTDOWN AT CHERNOBYL; CHAPTER 5: EXXON VALDEZ; CHAPTER 6: CHALLENGER AND COLUMBIA: DEJA VU; PART TWO: TERRORIST ACTS; CHAPTER 7: OKLAHOMA CITY BOMBING; CHAPTER 8: AUM SHINRIKYO: TERROR IN JAPAN; CHAPTER 9: ATTACK ON THE USS COLE; CHAPTER 10: SEPTEMBER 11: THE WORLD TRADE CENTER; CHAPTER 11: LONDON TRANSIT BOMBINGS; PART THREE: NATURAL DISASTERS; CHAPTER 12: WRECK OF THE EDMUND FITZGERALD
CHAPTER 13: ERUPTION OF MOUNT ST. HELENSCHAPTER 14: SOUTH CANYON FIRE; CHAPTER 15: SUMATRA-ANDAMAN TSUNAMI; CHAPTER 16: HURRICANE KATRINA; PART FOUR: SUCCESS STORIES; CHAPTER 17: UNITED AIRLINES FLIGHT 232; CHAPTER 18: ALASKA PIPELINE AND DENALI QUAKE; CHAPTER 19: LESSONS LEARNED; EPILOGUE: WHERE DO WE GO FROM HERE?; INDEX |
| Record Nr. | UNINA-9910145269903321 |
|
Abkowitz Mark David
|
||
| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk management : a case study approach to effective planning and response / / Mark D. Abkowitz
| Operational risk management : a case study approach to effective planning and response / / Mark D. Abkowitz |
| Autore | Abkowitz Mark David |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (289 p.) |
| Disciplina | 658.15/5 |
| Soggetto topico |
Emergency management
Risk assessment Risk management |
| ISBN |
1-119-20274-4
1-281-28512-9 9786611285128 0-470-28186-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Management; CONTENTS; PREFACE; CHAPTER 1: WHY DO DISASTERS HAPPEN?; PART ONE: MAN-MADE ACCIDENTS; CHAPTER 2: HYATT REGENCY WALKWAY COLLAPSE; CHAPTER 3: NIGHTMARE IN BHOPAL; CHAPTER 4: MELTDOWN AT CHERNOBYL; CHAPTER 5: EXXON VALDEZ; CHAPTER 6: CHALLENGER AND COLUMBIA: DEJA VU; PART TWO: TERRORIST ACTS; CHAPTER 7: OKLAHOMA CITY BOMBING; CHAPTER 8: AUM SHINRIKYO: TERROR IN JAPAN; CHAPTER 9: ATTACK ON THE USS COLE; CHAPTER 10: SEPTEMBER 11: THE WORLD TRADE CENTER; CHAPTER 11: LONDON TRANSIT BOMBINGS; PART THREE: NATURAL DISASTERS; CHAPTER 12: WRECK OF THE EDMUND FITZGERALD
CHAPTER 13: ERUPTION OF MOUNT ST. HELENSCHAPTER 14: SOUTH CANYON FIRE; CHAPTER 15: SUMATRA-ANDAMAN TSUNAMI; CHAPTER 16: HURRICANE KATRINA; PART FOUR: SUCCESS STORIES; CHAPTER 17: UNITED AIRLINES FLIGHT 232; CHAPTER 18: ALASKA PIPELINE AND DENALI QUAKE; CHAPTER 19: LESSONS LEARNED; EPILOGUE: WHERE DO WE GO FROM HERE?; INDEX |
| Record Nr. | UNINA-9910823328603321 |
|
Abkowitz Mark David
|
||
| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk management [[electronic resource] ] : a practical approach to intelligent data analysis / / edited by Ron S. Kenett, Yossi Raanan
| Operational risk management [[electronic resource] ] : a practical approach to intelligent data analysis / / edited by Ron S. Kenett, Yossi Raanan |
| Pubbl/distr/stampa | Chichester ; ; [Hoboken], : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (327 p.) |
| Disciplina | 658.15/5 |
| Altri autori (Persone) |
KenettRon
RaananYossi |
| Soggetto topico |
Risk management
Quality control Information technology - Quality control Process control |
| ISBN |
1-119-95672-2
1-282-77446-8 9786612774461 0-470-97257-2 0-470-97256-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Management; Contents; Foreword; Preface; Introduction; Notes on Contributors; List of Acronyms; PART I INTRODUCTION TO OPERATIONAL RISK MANAGEMENT; 1 Risk management: a general view; 2 Operational risk management: an overview; PART II DATA FOR OPERATIONAL RISK MANAGEMENT AND ITS HANDLING; 3 Ontology-based modelling and reasoning in operational risks; 4 Semantic analysis of textual input; 5 A case study of ETL for operational risks; 6 Risk-based testing of web services; PART III OPERATIONAL RISK ANALYTICS; 7 Scoring models for operational risks
8 Bayesian merging and calibration for operational risks9 Measures of association applied to operational risks; PART IV OPERATIONAL RISK APPLICATIONS AND INTEGRATION WITH OTHER DISCIPLINES; 10 Operational risk management beyond AMA: new ways to quantify non-recorded losses; 11 Combining operational risks in financial risk assessment scores; 12 Intelligent regulatory compliance Marcus Spies, Rolf Gubser and Markus Schacher; 13 Democratisation of enterprise risk management; 14 Operational risks, quality, accidents and incidents; Index |
| Record Nr. | UNINA-9910140802703321 |
| Chichester ; ; [Hoboken], : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk management : a practical approach to intelligent data analysis / / edited by Ron S. Kenett, Yossi Raanan
| Operational risk management : a practical approach to intelligent data analysis / / edited by Ron S. Kenett, Yossi Raanan |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester ; ; [Hoboken], : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (327 p.) |
| Disciplina | 658.15/5 |
| Altri autori (Persone) |
KenettRon
RaananYossi |
| Soggetto topico |
Risk management
Quality control Information technology - Quality control Process control |
| ISBN |
1-119-95672-2
1-282-77446-8 9786612774461 0-470-97257-2 0-470-97256-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk Management; Contents; Foreword; Preface; Introduction; Notes on Contributors; List of Acronyms; PART I INTRODUCTION TO OPERATIONAL RISK MANAGEMENT; 1 Risk management: a general view; 2 Operational risk management: an overview; PART II DATA FOR OPERATIONAL RISK MANAGEMENT AND ITS HANDLING; 3 Ontology-based modelling and reasoning in operational risks; 4 Semantic analysis of textual input; 5 A case study of ETL for operational risks; 6 Risk-based testing of web services; PART III OPERATIONAL RISK ANALYTICS; 7 Scoring models for operational risks
8 Bayesian merging and calibration for operational risks9 Measures of association applied to operational risks; PART IV OPERATIONAL RISK APPLICATIONS AND INTEGRATION WITH OTHER DISCIPLINES; 10 Operational risk management beyond AMA: new ways to quantify non-recorded losses; 11 Combining operational risks in financial risk assessment scores; 12 Intelligent regulatory compliance Marcus Spies, Rolf Gubser and Markus Schacher; 13 Democratisation of enterprise risk management; 14 Operational risks, quality, accidents and incidents; Index |
| Record Nr. | UNINA-9910816857103321 |
| Chichester ; ; [Hoboken], : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Practical enterprise risk management : a business process approach / / Gregory H. Duckert
| Practical enterprise risk management : a business process approach / / Gregory H. Duckert |
| Autore | Duckert Gregory H. <1949-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2011] |
| Descrizione fisica | 1 online resource (291 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley corporate F & A |
| Soggetto topico | Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-89253-6
1-299-31401-5 1-118-26906-3 0-470-89251-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Practical Enterprise Risk Management: A Business Process Approach; Contents; Preface; Acknowledgments; Chapter 1: Corporate Governance: A Gut Check; THE GREAT SOX FALLACY; THE VISION-CHALLENGED LEADING THE EVEN-MORE-VISION-CHALLENGED; GOING BACK TO THE FUTURE? HOW NOT TO RUN IT; SYSTEMIC FAILURE: CRITICAL SHORTCOMINGS OF APPLICATION SYSTEMS IMPLEMENTATION; WHAT IS GRC ANYWAY?; ARE YOU CUBIN'?; Chapter 2: What ERM Is and What It Is Not; DON'T BE MISLED: WHAT ERM IS NOT; KEY QUALITIES OF AN EFFECTIVE ERM; PRIMARY COMPONENTS OF RISK ASSESSMENT
NEED FOR A BRAIN (BUSINESS RISK ASSESSMENT INFORMATION NETWORK)PROCESS OF CREATING A BRAIN; Chapter 3: Understanding What the Business Is; DEFINING THE BUSINESS; A BANKING EXAMPLE; ANSWERING THE KEY QUESTION: WHAT IS THE BUSINESS?; DETERMINING THE CORE BUSINESS PROCESSES; SETTING THE STRUCTURE: CREATING A PHYSICAL MAP; A MEDICAL EXAMPLE: A HEALTHCARE SYSTEM; IMPACT ANALYSIS; Chapter 4: Defining What True Business Risk Is; IT'S ABOUT THE OUTCOME, STUPID!; RISK NEVER LIVES ALONE; DEFINING BASELINE CATEGORIES OF BUSINESS RISK; EVALUATING ALL OF THE POSSIBILITIES: THE RISK UNIVERSE USING THE BUSINESS STRUCTURE TO DRIVE THE RISKS DISTRIBUTED RISK ASSESSMENT AND MANAGEMENT (DRAM); Chapter 5: Objectively Defining Risk; DEFINING RISK IN THE CONTEXT OF THE BUSINESS; USING THE BUSINESS-DEFINED DATA STRUCTURE; WHY USE DATA TO DEFINE RISK? THE THREE ATTRIBUTES; DATA-CENTRIC ERM (DCERM); MULTI-DIMENSIONAL RISK ASSESSMENT; Chapter 6: Building a Fluid/Dynamic Risk Model; THE MODEL AND WHY IT IS NECESSARY; MOVING FROM REACTIVE TO PROACTIVE RISK MANAGEMENT; OUTCOME/RAW (OR) DATA AND WHY IT IS CRITICAL; KRIs NOT KPIs; OPTIONS ON HOW TO DRIVE THE MODEL; DASHBOARD INDICATORS KEY EARLY WARNING INDICATORS DETERMINING THE KEY RISK INDICATORS; UNIVERSAL RISK INDICATORS; FINANCIAL, OPERATIONAL, REGULATORY, AND TECHNOLOGICAL KRIs; Chapter 7: Top-Down Risk Assessment: Evolving the Fluid ERM Environment-A Step-by-Step Approach; BUILDING ERM ONE STEP AT A TIME; MAPPING THE PHYSICAL STRUCTURE OF THE ENTERPRISE; DEFINING THE BUSINESS RISKS OF THE ENTERPRISE: UTILIZING KEY OUTCOMES; DEVELOPING KRIs FOR ASSESSING RISK FOR THE ENTIRE ENTERPRISE; DETAILED INVENTORIES OF KRIs: WHEN GREATER AUTOMATION/SOPHISTICATION IS ACHIEVED; BUILDING A BASELINE RISK REGISTER EMBEDDING RISK REGISTERS AND KEY INFORMATION IN THE PHYSICAL MAPPING THE MODULAR APPROACH; DETERMINING A FOCUSED OUTCOME GROUP (FOG); NET RISK VERSUS RESIDUAL RISK; BUSINESS RISK ANALYSIS TECHNIQUES (BRATs); UTILIZING LOGICAL DATA PATHWAYS TO FOCUS ON ROOT CAUSE AND RESOLVE IT; Chapter 8: The Future Evolution of the Model; ERM FOR THE TWENTY-FIRST CENTURY; SYSTEMS STRATEGIES; DESIGN CRITERIA AND SPECIFICATIONS; DESIGNING RISK-CENTRIC SYSTEMS FOR EFFICIENCY/GOVERNANCE: STEP BY STEP; DYNAMICALLY INTEGRATED RISK EVALUATION (DIRE); TRIGGERS AND MOMS; REAL-TIME PROFILING SETTING STANDARDS FOR FUTURE EVOLUTION |
| Record Nr. | UNINA-9910140875403321 |
|
Duckert Gregory H. <1949->
|
||
| Hoboken, New Jersey : , : Wiley, , [2011] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Practical enterprise risk management : a business process approach / / Gregory H. Duckert
| Practical enterprise risk management : a business process approach / / Gregory H. Duckert |
| Autore | Duckert Gregory H. <1949-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2011] |
| Descrizione fisica | 1 online resource (291 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley corporate F & A |
| Soggetto topico | Risk management |
| ISBN |
0-470-89253-6
1-299-31401-5 1-118-26906-3 0-470-89251-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Practical Enterprise Risk Management: A Business Process Approach; Contents; Preface; Acknowledgments; Chapter 1: Corporate Governance: A Gut Check; THE GREAT SOX FALLACY; THE VISION-CHALLENGED LEADING THE EVEN-MORE-VISION-CHALLENGED; GOING BACK TO THE FUTURE? HOW NOT TO RUN IT; SYSTEMIC FAILURE: CRITICAL SHORTCOMINGS OF APPLICATION SYSTEMS IMPLEMENTATION; WHAT IS GRC ANYWAY?; ARE YOU CUBIN'?; Chapter 2: What ERM Is and What It Is Not; DON'T BE MISLED: WHAT ERM IS NOT; KEY QUALITIES OF AN EFFECTIVE ERM; PRIMARY COMPONENTS OF RISK ASSESSMENT
NEED FOR A BRAIN (BUSINESS RISK ASSESSMENT INFORMATION NETWORK)PROCESS OF CREATING A BRAIN; Chapter 3: Understanding What the Business Is; DEFINING THE BUSINESS; A BANKING EXAMPLE; ANSWERING THE KEY QUESTION: WHAT IS THE BUSINESS?; DETERMINING THE CORE BUSINESS PROCESSES; SETTING THE STRUCTURE: CREATING A PHYSICAL MAP; A MEDICAL EXAMPLE: A HEALTHCARE SYSTEM; IMPACT ANALYSIS; Chapter 4: Defining What True Business Risk Is; IT'S ABOUT THE OUTCOME, STUPID!; RISK NEVER LIVES ALONE; DEFINING BASELINE CATEGORIES OF BUSINESS RISK; EVALUATING ALL OF THE POSSIBILITIES: THE RISK UNIVERSE USING THE BUSINESS STRUCTURE TO DRIVE THE RISKS DISTRIBUTED RISK ASSESSMENT AND MANAGEMENT (DRAM); Chapter 5: Objectively Defining Risk; DEFINING RISK IN THE CONTEXT OF THE BUSINESS; USING THE BUSINESS-DEFINED DATA STRUCTURE; WHY USE DATA TO DEFINE RISK? THE THREE ATTRIBUTES; DATA-CENTRIC ERM (DCERM); MULTI-DIMENSIONAL RISK ASSESSMENT; Chapter 6: Building a Fluid/Dynamic Risk Model; THE MODEL AND WHY IT IS NECESSARY; MOVING FROM REACTIVE TO PROACTIVE RISK MANAGEMENT; OUTCOME/RAW (OR) DATA AND WHY IT IS CRITICAL; KRIs NOT KPIs; OPTIONS ON HOW TO DRIVE THE MODEL; DASHBOARD INDICATORS KEY EARLY WARNING INDICATORS DETERMINING THE KEY RISK INDICATORS; UNIVERSAL RISK INDICATORS; FINANCIAL, OPERATIONAL, REGULATORY, AND TECHNOLOGICAL KRIs; Chapter 7: Top-Down Risk Assessment: Evolving the Fluid ERM Environment-A Step-by-Step Approach; BUILDING ERM ONE STEP AT A TIME; MAPPING THE PHYSICAL STRUCTURE OF THE ENTERPRISE; DEFINING THE BUSINESS RISKS OF THE ENTERPRISE: UTILIZING KEY OUTCOMES; DEVELOPING KRIs FOR ASSESSING RISK FOR THE ENTIRE ENTERPRISE; DETAILED INVENTORIES OF KRIs: WHEN GREATER AUTOMATION/SOPHISTICATION IS ACHIEVED; BUILDING A BASELINE RISK REGISTER EMBEDDING RISK REGISTERS AND KEY INFORMATION IN THE PHYSICAL MAPPING THE MODULAR APPROACH; DETERMINING A FOCUSED OUTCOME GROUP (FOG); NET RISK VERSUS RESIDUAL RISK; BUSINESS RISK ANALYSIS TECHNIQUES (BRATs); UTILIZING LOGICAL DATA PATHWAYS TO FOCUS ON ROOT CAUSE AND RESOLVE IT; Chapter 8: The Future Evolution of the Model; ERM FOR THE TWENTY-FIRST CENTURY; SYSTEMS STRATEGIES; DESIGN CRITERIA AND SPECIFICATIONS; DESIGNING RISK-CENTRIC SYSTEMS FOR EFFICIENCY/GOVERNANCE: STEP BY STEP; DYNAMICALLY INTEGRATED RISK EVALUATION (DIRE); TRIGGERS AND MOMS; REAL-TIME PROFILING SETTING STANDARDS FOR FUTURE EVOLUTION |
| Record Nr. | UNINA-9910830518703321 |
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Duckert Gregory H. <1949->
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| Hoboken, New Jersey : , : Wiley, , [2011] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Practical risk-adjusted performance measurement [[electronic resource] /] / Carl R. Bacon
| Practical risk-adjusted performance measurement [[electronic resource] /] / Carl R. Bacon |
| Autore | Bacon Carl R |
| Pubbl/distr/stampa | West Sussex, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (237 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley finance |
| Soggetto topico |
Financial risk management
Performance standards Risk management |
| ISBN |
1-118-67362-X
1-283-65629-9 1-118-39153-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Practical Risk-Adjusted Performance Measurement; Contents; Preface; Acknowledgements; 1 Introduction; Definition of risk; Risk types; Risk management v risk control; Risk aversion; Ex-post and ex-ante; Dispersion; 2 Descriptive Statistics; Mean (or arithmetic mean); Annualised return; Continuously compounded returns (or log returns); Winsorised mean; Mean absolute deviation (or mean deviation); Variance; Mean difference (absolute mean difference or Gini mean difference); Relative mean difference; Bessel's correction (population or sample, n or n-1); Sample variance
Standard deviation (variability or volatility)Annualised risk (or time aggregation); The Central Limit Theorem; Janssen annualisation; Frequency and number of data points; Normal (or Gaussian) distribution; Histograms; Skewness (Fisher's or moment skewness); Sample skewness; Kurtosis (Pearson's kurtosis); Excess kurtosis (or Fisher's kurtosis); Sample kurtosis; Bera-Jarque statistic (or Jarque-Bera); Covariance; Sample covariance; Correlation (ρ); Sample correlation; Up capture indicator; Down capture indicator; Up number ratio; Down number ratio; Up percentage ratio; Down percentage ratio Percentage gain ratio Hurst index (or Hurst exponent); Bias ratio; Performance appraisal; Sharpe ratio (reward to variability, Sharpe index); Roy ratio; Risk free rate; Alternative Sharpe ratio; Revised Sharpe ratio; Adjusted Sharpe ratio; Skewness-kurtosis ratio; MAD ratio; Gini ratio; Relative risk; Tracking error (or tracking risk, relative risk, active risk); Relative skewness; Relative kurtosis; Information ratio; Geometric information ratio; Modified information ratio; Adjusted information ratio; Relative Hurst; 4 Regression Analysis; Regression equation; Regression alpha (αR) Regression beta (βR)Regression epsilon (εR); Capital Asset Pricing Model (CAPM); Beta (β) (systematic risk or volatility); Jensen's alpha (Jensen's measure or Jensen's differential return or ex-post alpha); Annualised alpha; Bull beta (β +); Bear beta (β-); Beta timing ratio; Market timing; Systematic risk; R2 (or coefficient of determination); Specific or residual risk; Treynor ratio (reward to volatility); Modified Treynor ratio; Appraisal ratio (or Treynor-Black ratio); Modified Jensen; Fama decomposition; Selectivity; Diversification; Net selectivity; Fama-French three factor model Three factor alpha (or Fama-French alpha)Carhart four factor model; Four factor alpha (or Carhart's alpha); K ratio; 5 Drawdown; Drawdown; Average drawdown; Maximum drawdown (or peak to valley drawdown); Largest individual drawdown; Recovery time (or drawdown duration); Drawdown deviation; Ulcer index; Pain index; Calmar ratio (or drawdown ratio); MAR ratio; Sterling ratio; Sterling-Calmar ratio; Burke ratio; Modified Burke ratio; Martin ratio (or Ulcer performance index); Pain ratio; Lake ratio; Peak ratio; 6 Partial Moments; Downside risk (or semi-standard deviation); Pure downside risk Half variance (or semi-variance) |
| Record Nr. | UNINA-9910785733903321 |
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Bacon Carl R
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| West Sussex, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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