Advances in Risk Management

Contents

Acknowledgements xi

Notes on the Contributors xii

Introduction xxi

1 Impact of the Collection Threshold on the

Determination of the Capital Charge for

Operational Risk 1

Yves Crama, Georges Hübner and Jean-Philippe Peters

1.1 Introduction 1

1.2 Measuring operational risk 3

1.3 The collection threshold 8

1.4 Empirical analysis 11

1.5 Conclusion 16

2 Incorporating Diversification into Risk Management 22

Amiyatosh Purnanandam, Mitch Warachka, Yonggan Zhao and

William T. Ziemba

2.1 Introduction 22

2.2 Risk measure with diversification 24

2.3 Numerical example 31

2.4 Implementation 33

2.5 Pricing portfolio insurance 37

2.6 Conclusion 43

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