Risk Books The Advanced Measurement Approach to Operational Risk

With the deadlines for Basel II rapidly approaching your firm must implement the AMA by January 2008. To get your frameworks into place Risk Books present you with this state-of-the-art technical guide on how to model op risk with practical advice on how to set up an AMA programme that fully supports the modelling and quantification goals of your organisation. The book firmly focuses on practical solutions to modelling issues. Helps you set up a strong programme with quantification in mind, providing good quality information for modelling, in order to deliver the numbers you need for regulatory approval, and deliver value to your business lines. Crucially these complex topics are presented in an accessible manner, with plenty of thorough explanation to help you digest and implement the content. Five comprehensive sections succinctly guide you through the following key topics: *The AMA framework: Outlines a general approach to constructing an advanced measurement approach framework within your firm the basis upon which any op risk model is built. It provides essential dos and donts as well as step-by step guidance on how best to achieve the goals of your op risk programme. It covers such crucial areas as data selection, granularity, correlation, and diversification. *Modelling basics: Gets you fluent in the fundamentals of operational risk modelling with discussion of general concepts, a study of Citigroups own approach as well as analysis of the main mathematical models regularly used to analyse loss data. *Modelling challenges: Shows you how models can be adjusted to overcome limitations in the underlying data. It includes practical guidance on loss data capture, the effect of data gaps on parameter estimates, expected and unexpected loss calculations and the use of extreme value theory to help mitigate some of the data problems associated with operational risk modelling