Modeling, Measuring and Hedging Operational Risk

DR MARCELO CRUZ is currently CEO and founder of RiskMaths, a boutique consultancy specialising in the development and validation of complex mathematical and statistical models for risk management, financial asset pricing, capital allocation and financial management strategy. RiskMaths has a particular focus on operational risk modeling, measurement and hedging with a client base that includes large global financial institutions and financial regulators. Dr Cruz participates in the regulatory discussions on the new Basel Accord and was a member of the Industry Technical Working Group that proposed the changes on the regulatory capital charges to the Basel Committee on Banking Supervision. Prior to RiskMaths, Dr Cruz worked as a senior executive in the risk management area for various global investment banks and led the development of operational risk quantitative modeling for a large European bank. He has also worked as a senior derivatives trader and structurer. Dr Cruz regularly writes for several academic and industry journals and magazines including The Journal of Risk, RISK magazine, the Financial Times and Derivatives Week. He has also contributed to several risk management books, the most recent of which include 'Extremes and Integrated Risk Management', 'Managing Hedge Fund Risk', 'Mastering Risk, Volume 2' and 'Advances in Operational Risk: Firmwide Issues for Financial Institutions'. Dr Cruz is a sought-after speaker in risk management conferences and seminars and had lectured in many countries in Europe, Asia and the Americas as well as leading universities in Europe, USA and Latin America. He holds a Ph.D. in Mathematical Finance, a M.Sc., M.B.A., Diploma and a B.Sc. in Economics.

• IntroductionPART I: DATABASE MODELINGDatabase ModelingPART II: STOCHASTIC MODELINGSeverity DistributionsExtreme Value TheoryFrequency DistributionsThe Operational Risk VaRStochastic Processes in Operational RiskPART III: CAUSAL MODELSCausal Models : Applying Econometrics and Time Series Statistics to Operational RiskNon-Linear Models in Operational RiskBayesian Techniques in Operational RiskPART IV: OPERATIONAL RISK MANAGEMENTOperational Risk Reporting, Control and Management- Stress Tests and Scenario Analysis in Operational RiskPART V: HEDGING OPERATIONAL RISKOperational Risk DerivativesDeveloping an OR Hedging ProgramPART VI: OPERATIONAL RISK REGULATORY CAPITALOperational Risk Regulatory CapitalPART VII: MEASURING "OTHER RISKS" -FOREGONE REVENUE MEASUREMENT MODELSAn Enterprise-Wide Model for Measuring Reputational Risk- Measuring Concentration (or Key Personnel) Risk- Using Real Options in Modeling and Measuring Operational and 'Other' RisksAPPENDIX -Valuing Networks -Understanding the basics of e-ventures valuation