Operational Risk with Excel and VBA: Applied Statistical by Nigel Da Costa Lewis

By Nigel Da Costa Lewis

A important reference for realizing operational riskOperational chance with Excel and VBA is a realistic consultant that merely discusses statistical equipment which were proven to paintings in an operational possibility administration context. It brings jointly a wide selection of statistical equipment and versions that experience confirmed their worthy, and incorporates a concise therapy of the subject. This e-book offers readers with transparent factors, suitable info, and accomplished examples of statistical equipment for operational danger administration within the actual world.Nigel Da Costa Lewis (Stamford, CT) is president and CEO of StatMetrics, a quantitative study boutique. He got his PhD from Cambridge college.

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Extra info for Operational Risk with Excel and VBA: Applied Statistical Methods for Risk Management (Wiley Finance)

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In the following case studies we illustrate how we can begin to use the ideas presented in this chapter to achieve some of these objectives. 1: DOWNTOWN INVESTMENT BANK Downtown Investment Bank has just begun to develop its operational risk activities. At this early stage, it has employed an MBA graduate named Richard to enhance its OR operation. The head of operational risk, Mr. Bellyfan, has asked Richard to investigate the relationship between system downtime and serious transaction errors. In particular, Mr.

We shall see many of these and other functions in action in later chapters. SUMMARY Random variables, operational risk indicators, and probability provide us with some of the tools we require to gain insights into the nature of the uncertainty surrounding future OR events. We can capture such uncertainty using a probability function and a cumulative probability function. The Random Variables, Risk Indicators, and Probability 25 percentile function is also useful because it offers us a mechanism for calculating OPVaR.

CASE STUDIES For the first few chapters of this book, we illustrate a number of the concepts raised through simple case studies. Working carefully through each case study will reinforce many of the ideas discussed. Operational risk is intrinsic to financial institutions, yet being harder to quantify, it cannot be so easily categorized and modeled as is the case with market and credit risks. The basic objectives of an operational risk manager are (1) identifying the operational risks the financial institution is exposed to, (2) assessing their Random Variables, Risk Indicators, and Probability 17 OPERATIONAL VALUE AT RISK The aim of setting aside capital for operational risk events is to ensure the availability of sufficient economic capital to allow continued operation in an adverse environment or when internal operational failures have generated large unexpected losses.

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