Index
Activity-related operational risks
Actuarial approach
operational loss measurement
and risk measurement
risk-neutral approach vs.
and risk pricing
Aczel, Amir D.
Advanced measurement approach (AMA), capital charges
Aggregating risk, summary measures
AIB/Allfirst Financial trading loss (2002)
AIG Financial Products (FP) trading loss (2008)
All-or-nothing contribution to risk
Amaranth Advisors trading loss (2006)
Ambiguity aversion. See uncertainty/randomness
American Alpine Club
Aracruz Celulose trading loss (2008)
ARCH (autoregressive conditionally heteroscedastic) model
Ars Conjectandi (Bernoulli)
Askin Capital Management trading loss (1994)
Asset liquidity risk
costs/benefits of liquidation
defined
evaluating
Asset-to-risk factor mapping
conceptual models
FX example
for single bond position
Asymmetric (skewed) distribution
and credit risk modeling
credit vs. market risk
and volatility
Asymmetric information
historical vs. future data
principal-agent issues
Autoregressive conditionally heteroscedastic (ARCH) model
Avalanche response, as risk management model
Back-office procedures
effective risk management
as source of operational risk
Bagehot, Walter
Bank for International Settlements (BIS)
Bankhaus Herstatt trading loss (1974)
Bank of Montreal trading loss (2007)
Banks
commercial, regulations governing
corporate structure and risk management
defining assets, capital holdings
and funding liquidity risk
measuring and managing liquidity
operational risk
Barings Bank failure ...
