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REVIEW: "Operational Risk", Anna S. Chernobai/Svetlozar T. Rachev/Frank J. Fabozzi

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  • Rob, grandpa of Ryan, Trevor, Devon & Han
    BKOPLRSK.RVW 20080219 Operational Risk , Anna S. Chernobai/Svetlozar T. Rachev/Frank J. Fabozzi, 2007, 0-471-78051-0, U$95.00/C$113.99/UK#65.00 %A Anna S.
    Message 1 of 1 , Jun 9, 2008
      BKOPLRSK.RVW 20080219

      "Operational Risk", Anna S. Chernobai/Svetlozar T. Rachev/Frank J.
      Fabozzi, 2007, 0-471-78051-0, U$95.00/C$113.99/UK#65.00
      %A Anna S. Chernobai
      %A Svetlozar T. Rachev
      %A Frank J. Fabozzi
      %C 5353 Dundas Street West, 4th Floor, Etobicoke, ON M9B 6H8
      %D 2007
      %G 978-0-471-78051-9 0-471-78051-0
      %I John Wiley & Sons, Inc.
      %O U$95.00/C$113.99/UK#65.00 416-236-4433 fax: 416-236-4448
      %O http://www.amazon.com/exec/obidos/ASIN/0471780510/robsladesinterne
      %O http://www.amazon.ca/exec/obidos/ASIN/0471780510/robsladesin03-20
      %O Audience a- Tech 2 Writing 1 (see revfaq.htm for explanation)
      %P 300 p.
      %T "Operational Risk"

      The preface notes that operational risk has not been handled well by
      the banking industry, but also seems to indicate that the book intends
      to pursue the subject from the perspective of insurance and

      Chapter one lays out examples of how changes in modern business,
      society, and banking have led to much higher losses than were seen
      previously. Various ways of defining and categorizing operational
      risk are presented in chapter two. The provisions of the Basel II
      accord (mostly for determining the floor capitalization necessary to
      face operational risks) are discussed in chapter three. Chapter four
      points out what we, in information security, already know: without a
      solid base of historical data, and in an ever changing environment, it
      is difficult to do good quantitative risk analysis. However, that
      does not stop the authors from presenting, in chapters five through
      nine, a number of mathematical and statistical models that might help
      if we did actually have good data. How well these might work is
      briefly considered in chapter ten's examination of "goodness of fit."
      Chapter eleven provides more mathematics to assess what we might call
      single loss expectancy. Some additional considerations that may alter
      pure statistical analysis are noted in chapter twelve. Aggregating
      factors which may increase required capital reserves are discussed in
      chapter thirteen.

      Most of this book is a treatise on statistical models. There is
      little in it to add to the management of risk itself.

      copyright Robert M. Slade, 2008 BKOPLRSK.RVW 20080219

      ====================== (quote inserted randomly by Pegasus Mailer)
      rslade@... slade@... rslade@...
      Little did he know. That means there's something he doesn't know,
      which means there's something you don't know, did you know that?
      - `Stranger Than Fiction' http://www.imdb.com/title/tt0420223/quotes
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