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20221103120556.0 |
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|a0230595146
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|a9780230595149
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7
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|a10.1057/9780230595149|2doi
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|aUKPGM|beng|cUKPGM|dNOU
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|aAPTA
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14
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|aHD61|b.M6144 2008eb
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082 |
04
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|a332.1/50681|222
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100 |
1
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|aMoosa, Imad A.
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245 |
10
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|aQuantification of operational risk under Basel II|h[electronic resource] :|bthe good, bad andugly /|cImad A. Moosa.
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260 |
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|aBasingstoke [England] ;|aNew York :|bPalgrave Macmillan,|c2008.
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300 |
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|axix, 268 p. :|bill., plans ;|c24 cm.
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490 |
1
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|aFinance and capital markets series
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504 |
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|aIncludes bibliographical references (p. 251-263) and index.
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505 |
0
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|aPreliminary Concepts and Issues -- From Basel I to Basel II: A GreatLeap Forward? -- Operational Risk: Definition, Features and Classification -- The Advanced Measurement Approach to Operational Risk -- Theoretical and Empirical Studies of Operational Risk -- Monte Carlo Simulation: Description and Examples -- Operational Risk: Where Do We Stand?
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520 |
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|aThis book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It identifies the good, bad and ugly with respect to practices pertaining to the implementation of the operational risk provisions of Basel II. In particular, it is argued that the advanced measurement approach isnot viable in terms of costs and benefitsand that it is likely to distract financial institutions from the real task of managing operationalrisk. Some strong arguments are presented against the purely quantitative approach to operational risk management. The author demonstrates how the estimated capital charge produced by using the loss distribution approach suggested by Basel II is so sensitive to the underlying assumptions that banks can manipulate their internal models in such a way as to produce the lowest possible capital charge.Given that the advanced measurement approach will be used by large internationally active banksonly, the Basel II Accord will actually boost competitive inequality when it purports to create a level playing field.
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|aElectronic reproduction.|bBasingstoke, England :|cPalgrave Macmillan,|d2009.|nMode of access:World Wide Web.|nSystem requirements: Web browser.|nTitle from title screen (viewed on Mar. 3, 2009).|nAccess may berestricted to users at subscribing institutions.
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650 |
0
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|aBank capital|xMathematical models.
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650 |
0
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|aBanks and banking, International|xRisk management.
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650 |
0
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|aFinancial risk management|xMathematical models.
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655 |
7
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|aElectronic books.|2local
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710 |
2
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|aPalgrave Connect (Online service)
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776 |
1
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|cOriginal|z9780230222663|z0230222668|w(DLC) 2008037609|w(OCoLC)244566811
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809 |
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|pEB|dHD61|eM825|y2008
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830 |
0
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|aFinance and capital markets.
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856 |
40
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|3Palgrave Connect
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856 |
40
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|3Palgrave Connect|uhttp://www.palgraveconnect.com/doifinder/10.1057/9780230595149|zaccess to fulltext (Palgrave)
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