Abstract

http://ssrn.com/abstract=2025112
 
 

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Quantitative Measures of Operational Risk: An Application to Funds Management


Stephen J. Brown


New York University - Stern School of Business

May 21, 2012


Abstract:     
Basel II defines operational risk as the risk of direct or indirect loss resulting from inadequate or failed internal processes people or systems or from external events. In the past decade there have appeared a number of quantitative approaches to measuring this risk, approaches that abstract from market risk and reputational risk. The challenge is to develop operational risk measures in an asset management context where there is only limited information available about the incidence and severity of operational loss events. We survey different approaches to this problem and argue that managing this risk through operational due diligence is a source of alpha in this funds management context.

Number of Pages in PDF File: 19

Keywords: Operational risk, AMA, operational due diligence, hedge funds

JEL Classification: G2, K2

working papers series





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Date posted: March 18, 2012 ; Last revised: May 26, 2012

Suggested Citation

Brown, Stephen J., Quantitative Measures of Operational Risk: An Application to Funds Management (May 21, 2012). Available at SSRN: http://ssrn.com/abstract=2025112 or http://dx.doi.org/10.2139/ssrn.2025112

Contact Information

Stephen J. Brown (Contact Author)
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
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