RUcore: Rutgers University Community Repository
The required elements of an effective operational risk framework to meet the global regulatory requirements of Basel II
Descriptive
TitleInfo
Title
The required elements of an effective operational risk framework to meet the global regulatory requirements of Basel II
Name
(type = personal)
NamePart
(type = family)
Girling
NamePart
(type = given)
Philippa
NamePart
(type = date)
1964-
DisplayForm
Philippa Girling
Role
RoleTerm
(authority = RULIB)
author
Name
(type = personal)
NamePart
(type = family)
Seiglie
NamePart
(type = given)
Carlos
DisplayForm
Carlos Seiglie
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
chair
Name
(type = personal)
NamePart
(type = family)
Spatareanu
NamePart
(type = given)
Mariana
DisplayForm
Mariana Spatareanu
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Coate
NamePart
(type = given)
Douglas
DisplayForm
Douglas Coate
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Schwenkenberg
NamePart
(type = given)
Julia
DisplayForm
Julia Schwenkenberg
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = corporate)
NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
(type = corporate)
NamePart
Graduate School - Newark
Role
RoleTerm
(authority = RULIB)
school
TypeOfResource
Text
Genre
(authority = marcgt)
theses
OriginInfo
DateCreated
(qualifier = exact)
2014
DateOther
(qualifier = exact);
(type = degree)
2014-05
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
The definition of operational risk adopted under Basel II is “Operational risk is defined as the risk of loss resulting from inadequate or failed processes, people and systems or from external events.” Regulatory requirements for operational risk management and measurement have been established under the Basel II rule, with local implementation rules developed by national regulators. The cost of operational risk losses and the impact of operational risk on share value have been established. As a result of these regulatory and financial drivers, financial services firms are seeking robust operational risk frameworks to enable them to meet the four core operational risk requirements to identify, assess, control, and mitigate operational risk. This paper researches the regulatory landscape including a historical review of The Bank of International Settlements (BIS) rules regarding operational risk. The author reviews the local rules that have been adopted in the United States and across Europe. This review includes the Group of Twenty (G20) push for stronger adoption of risk regulation since the financial crisis began in 2007, including U.S. Dodd-Frank legislation, European Directives, Sound Practices documents and Basel III. The paper analyzes sources of operational risk data to determine the size of operational risk losses and the main drivers for those losses. IBM Algo FIRST subscription data and ORX consortium data sources are used for this analysis. The relative biases in subscription data and consortium data are discussed. In addition, a literature review summarizes previous findings regarding the impact of operational risk and reputational risk events on share value. This review is supplemented by original analysis of the impact on share price and trading volumes as a result of the recent JP Morgan Whale operational risk event. The paper concludes with a recommended operational risk framework for the implementation of the important elements of an effective operational risk framework. These elements include the foundations of governance, risk appetite, culture and awareness, and policy and procedure; the building blocks of data collection including loss data, risk and control self-assessment, scenario analysis, and key risk indicators; and the final capstones of calculation of capital and reporting.
Subject
(authority = RUETD)
Topic
Global Affairs
RelatedItem
(type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
(type = RULIB)
ETD
Identifier
ETD_5171
PhysicalDescription
Form
(authority = gmd)
electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
x, 84 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Philippa Girling
Subject
(authority = ETD-LCSH)
Topic
Basel II--(2004 June 26)
Subject
(authority = ETD-LCSH)
Topic
Operational risk
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - Newark Electronic Theses and Dissertations
Identifier
(type = local)
rucore10002600001
Location
PhysicalLocation
(authority = marcorg);
(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3Z60M9B
Genre
(authority = ExL-Esploro)
ETD doctoral
Back to the top
Rights
RightsDeclaration
(ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder
(type = personal)
Name
FamilyName
Girling
GivenName
Philippa
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
(encoding = w3cdtf);
(qualifier = exact);
(point = start)
2013-11-13 21:22:29
AssociatedEntity
Name
Philippa Girling
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - Newark
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
Back to the top
Technical
RULTechMD
(ID = TECHNICAL1)
ContentModel
ETD
OperatingSystem
(VERSION = 5.1)
windows xp
Back to the top
Statistical Profile