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