Esterhuysen, J: Management of Operational Value at Risk in B
-
- Englisch ausgewählt
Fr. 105.00
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
01.05.2011
Verlag
VDMSeitenzahl
268
Maße (L/B/H)
22.3/14.9/2 cm
Gewicht
416 g
Sprache
Englisch
ISBN
978-3-639-20107-9
The management of operational value-at-risk (OpVaR) in financial institutions is pre-sented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made as well as the way OpVaR models may be used to calculate both types of capital. Under the Basel II Advanced Measurement Approach (AMA) banks may employ OpVaR models to calculate regulatory capital; this study therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA) by means of an example. Economic capital is found to converge to regulatory capital using the AMA, but not if the SA is used.
Noch keine Bewertungen vorhanden
Verfassen Sie die erste Bewertung zu diesem Artikel
Helfen Sie anderen Kundinnen und Kunden durch Ihre Meinung.