All external links

This page shows all the links that are referred to in these pages. They are arranged roughly in order of relevance (ie, a link that is highly relevant to many topics will appear high on the list).

As the topics on this site are updated, this list will change.

European Spreadsheet Risks Interest Group: This special interest group provides a forum for research on spreadsheets. Its website is at http://www.eusprig.org and includes an excellent collection of spreadsheet horror stories. EuSpRIG organises an annual conference on spreadsheet risks.
Financial Modelling of Project Financing Transactions: A paper that was presented to the Institute of Actuaries of Australia Financial Services Forum, containing interesting statistics on spreadsheet error rates. It's available at http://www.actuaries.asn.au/PublicSite/pdf/fsfpaper2004-jasminandlee.pdf.
Financial Services Authority: The FSA is the regulatory authority for the financial services industry in the UK. Its website at http://www.fsa.gov.uk contains all the public documents produced by the FSA, including consultation papers and the texts of speeches as well as the currently applicable Handbook of rules and guidance.
What's the point of documentation?: A short article about the documentation of spreadsheets and other financial models. It is available from my publications page.
Ray Panko: Professor Panko, who is at the University of Hawaii, has done a great deal of research into spreadsheet errors. His page at http://panko.cba.hawaii.edu/ssr/ has many useful resources, including links to many of his papers.
Building the new regulator: Progress report 2: The Financial Services Authority have issued a series of reports outlining their new risk-based regulatory framework. This report, issued in February 2002, describes their risk-based operating framework and what it means for the firms that they regulate. In particular, it includes (as Appendix B) a probability assessment matrix that provides the risk classification system that they use. Note that the FSA is interested only in risks to their statutory objectives, and that these may not be the same as, for example, risks to shareholder value. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress2.pdf.
PS04/16: Integrated Prudential sourcebook for insurers: This Policy Statement reports on the main issues arising from Consultation Paper 190 (Enhanced capital requirements and individual capital assessments for non-life insurers), Consultation Paper 195 (Enhanced capital requirements and individual capital assessments for life insurers) and the audit and reviewing actuary proposals in Consultation Paper 202 (Insurance regulatory reporting – changes to the publicly available annual return for insurers) and publishes the associated rules and guidance. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2004/04_16.shtml.
Is this spreadsheet a tax evader?: This paper, by Ray Butler of H.M. Customs and Excise, summarises the audit experience, describes the methodology and outlines the results to date of a campaign of spreadsheet testing started in July of 1999. Of the seven spreadsheets selected for audit, six contained significant errors. It was published in the proceedings of the 33rd Hawaii International Conference on System Sciences in 2000, and is available at http://www.eusprig.org/hicss33-butler-evader.pdf.
The future regulation of insurance: A progress report: Despite its title, this report can be seen as the third in the Building the new Regulator series issued by the Financial Services Authority. It was issued in October 2002. It sets out the regulatory agenda (for insurance firms) for the next few years, and is a result of the so-called Tiner project. It emphasises that firms should realise that the new style of regulation means that they should modernise their governance and risk management frameworks, and their systems and controls. Half a dozen areas of particular concern are highlighted. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress3.pdf.
Managing the operational risks of user-developed software: This is a paper I wrote for a workshop at GIRO 2002. It is available from my publications page.
Building a framework for operational risk management: the FSAs observations: The FSA published this document in July 2003, as they prepared to implement CP142, the consultation paper on operational risk systems and controls. The documument is the result of discussions the FSA held with 22 firms actively developing risk management systems for operational risk. It describes instances of good practice, and discusses the progress that has been made so far. The main conclusion is that although considerable progress has been made, the industry is still at an early stage of developing operational risk frameworks. The report is available at http://www.fsa.gov.uk/pubs/policy/ps142_2.pdf
The firm risk assessment framework: This is the fourth document in the Building the new Regulator series of reports issued by the Financial Services Authority. It describes the FSA's ARROW framework for risk assessment and is essential reading for anyone in a regulated firm who will be involved in the risk assessment process. It was published in February 2003 and is available at http://www.fsa.gov.uk/pubs/policy/bnr_firm-framework.pdf.
Building the new regulator: Progress report 1: This is the first report in the series issued by the Financial Services Authority. It was published in December 2000, and describes the risks to the FSA's statutory objectives and the method of assessing the impact of particular risks. It then goes on to consider how the probability of risks can be assessed. In Appendix 1 it provides five case studies of the impact/probability assessment framework, indicating the regulatory relationships that would be likely for various combinations of impact and probability. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress1.pdf.
A new regulator for the new millennium: This is the precursor to the Building the new Regulator series of reports issued by the Financial Services Authority. It describes the FSA's statutory objectives and its approach to regulation, including the operating framework and regulatory tools. The report, which was published in January 2000, is available at http://www.fsa.gov.uk/pubs/policy/p29.pdf.
CP190: Enhanced capital requirements and individual capital assessments for non-life insurers: Consultation paper 190 from the FSA discusses how capitial requirements will be determined for non-life insurers. It was issued in July 2003, and the consultation period ended on 30 November 2003. The overall effect of the proposals will be to introduce a new risk-based minimum requirement, the ECR (Enhanced Capital Requirement), and the concept of ICG (Individual Capital Guidance) which will take into account both the ECR and the systems and controls that firms have in place. CP190 is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2003/190.shtml
CP195: Enhanced capital requirements and individual capital assessments for life insurers: Consultation paper 195 from the FSA discusses how capitial requirements will be determined for non-life insurers. It was issued in August 2003, and the consultation period ended on 30 November 2003. The overall effect of the proposals will be to introduce a new risk-based minimum requirement, the ECR (Enhanced Capital Requirement), and the concept of ICG (Individual Capital Guidance) which will take into account both the ECR and the systems and controls that firms have in place. CP195 is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2003/195.shtml
Quantifying operational risk in general insurance companies: A paper presented to the Institute of Actuaries in 2004. The paper is available online from my publications page.
Managing Operational Risk, by Douglas G. Hoffman: This is a major tome, giving "20 Firmwide Best Practice Strategies". Hoffman's background is in banking, and the book certainly concentrates on that industry. He does make an effort to extend the range, though. This is an extremely comprehensive book, a bit difficult to make one's way through at times. It contains many lists of key points, which are made slightly less useful because each list is so long. Visit the page for this book at Amazon.
PS142_2: Building a framework for operational risk management: the FSA's observations - Feedback on industry practice as we prepare to implement CP142: This Policy statement reports on the main issues arising from Consultation paper 142 ('Operational risk systems and controls') published in July 2002. It can be found at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2003/PS142_2.shtml.
Restructuring of prudential and systems and controls material in the FSA Handbook: The FSA is restructuring the prudential and systems and controls material in the Handbook, because of the implementation of the Capital Requirements Directive. The details of the restructuring are given in http://www.fsa.gov.uk/pages/About/What/International/PSB/pdf/stages.pdf
Risk Management, by Andrew Holmes: A book in the ExpressExec series. It gives a brief overview of several aspects of risk management, rather less biased towards banking than many other books (and also much shorter). It covers a somewhat eclectic range of topics, and has a useful list of resources. Visit its page at Amazon.
PS142: Operational risk systems and controls - Feedback on CP142: This Policy statement reports on the main issues arising from Consultation paper 142 ('Operational risk systems and controls') published in July 2002. It can be found at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2003/ps142.shtml.
Mastering Risk Volume 1: Concepts: Edited by James Pickford, this book is a collection of chapters by different authors that first appeared as a series in the Financial Times. The chapters vary in quality, but most are useful to some degree. Some chapters in the book tend to assume a banking background. There are five chapters on operational risk, somewhat less banking oriented than many of the other chapters. It has a useful overview chapter on credit risk, Lenders and borrowers demand a creditable system by Suresh M. Sundaresan. There is a useful chapter on enterprise risk management, Total strategies for company-wide risk control by Lisa Meulbroek. Visit the page for this book on Amazon.
Mastering Risk Volume 2: Applications: This book, edited by Carol Alexander, is a collection of chapters by different authors that first appeared as a series in the Financial Times. The chapters vary in quality: some of them are rather more useful than others. There is an unstated bias towards banking. It has four chapters on operational risk, covering measurement and modelling as well as an overview chapter. There are several chapters on different aspects of modelling credit risk. Visit its page at Amazon.
Correctness is not enough: A paper I presented at the 2003 EuSpRIG conference, explaining what can go wrong with spreadsheets even when all the formulae are correct. It is available from my publications page.
A Risk Management Standard: Produced by The Institute of Risk Management, in conjunction with ALARM (The National Forum for Risk Management in the Public Sector) and airmic (The Association of Insurance and Risk Managers). It is available from their website at http://www.theirm.org/publications/PUstandard.html.
HM Customs and Excise: Somewhat unexpectedly, some of the most interesting and useful work on spreadsheet errors and auditing is currently coming out of HM Customs and Excise. They have developed some software (SpACE) that they are now making available to businesses. Of particular interest is their document on Methodology for the Audit of Spreadsheet Models.
CP140: The Interim Prudential Sourcebooks for Insurers and Friendly Societies and the Lloyd's Sourcebook: Guidance on Systems and Controls: Consultation paper 140 from the FSA sets out guidance on •high-level controls; • risk assessment; • legal risk; • internal audit; • management information; • outsourcing; and • group risk. This guidance will take effect before the Prudential Sourcebook is implemented in 2004. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2002/140.shtml. It was issued in July 2002 and the consultation period ended on 3rd October 2002. PS140 is the result of the consultation.
PS140: The Interim Prudential sourcebooks for Insurers and Friendly Societies and the Lloyd's sourcebook: Guidance on Systems and controls - Feedback on CP140 and 'made' text: Policy statement 140 from the FSA sets out guidance on •high-level controls; • risk assessment; • legal risk; • internal audit; • management information; • outsourcing; and • group risk. This guidance was issued in December 2002 and is available at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2002/ps140.shtml. It takes effect from 1st February 2003.
Report on Enterprise Risk Management: The Casualty Actuarial Society presents a process for ERM. The primary purpose of the report is to consider the role of actuaries in risk management, but it gives a useful general overview too. It includes a risk classification meant for general use, rather than limited to a specific industry. The report is available from the CAS site at http://casact.org/research/erm/.
Risk Management, by Michel Crouhy, Dan Galai, Robert Mark: This is another book written primarily from a banking viewpoint. It has a whole chapter on risk management in nonbank corporations, and mentions the issues in some of the other chapters. Its treatment of credit risk covers credit rating systems, and distinguishes several different measurement approaches. It has a chapter on operational risk. This book emphasises the need for risk management systems. Visit its page at Amazon.
CP 142: Operational risk systems and controls: Consultation paper 142 from the FSA contains feedback on the operational risk and systems and controls sections of CP97, and contains new draft guidance. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2002/142.shtml. It was issued in July 2002 and the consultation period ended on 31st October 2002.
RAMP: The Institution of Civil Engineers and the Faculty and Institute of Actuaries have produced a process for risk analysis and management for projects known as RAMP. Its website is at http://www.ramprisk.com/. A simplified version of the process is described at http://www.actuaries.org.uk/Display_Page.cgi?url=/ramp/index.xml.
PS97_115: Integrated Prudential Sourcebook - Feedback on CP115 (Integrated Prudential Sourcebook - timetable for implementation) and CP97 (Integrated Prudential Sourcebook): This policy statement from the FSA was issued after feedback on CP97 and CP115. It was issued in July 2002 and is available at http://www.fsa.gov.uk/pages/Library/Policy/Policy/2002/ps115_97.shtml.
Operational Risk. Measurement or Bust!: A working party report presented at GIRO 2003. The report and slides for the presentation are both available online from my publications page.
CP97: Integrated Prudential Sourcebook: Consultation paper 97 from the FSA is a massive document, presenting the draft Integrated Prudential Sourcebook. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2001/97.shtml. It was issued in June 2001 and the consultation period ended on 31st December 2001. CP115 was a supplementary CP to CP97. CP97 has been superseded by its feedback documents: PS97_115, CP142, CP143.
Current consultations at the FSA: The FSA maintain a list of current consultation and discussion papers at http://www.fsa.gov.uk/pages/Library/Policy/CP/current/index.shtml.
Have some Grace and don't let it bug you: http://www.tafkac.org/faq2k/compute_86.html is an interesting web page debunking the popular legend that the term bug was invented by Rear Admiral Grace Murray Hopper.
Excel 2003 hotfix package: Microsoft Knowledge Base Article 833618 gives details of the hotfix released on 12th January 2004. This hotfix corrects the bug in the RAND() and RANDBETWEEN() functions as well as some other problems. It is available at http://support.microsoft.com/default.aspx?kbid=833618.
Excel Statistical Functions: Microsoft Knowledge Base Article 828888 is an Overview of Improvements in Statistical Functions for Excel 2003. It gives details of the functions in the Analysis ToolPak that have changed since previous releases. It is available at http://support.microsoft.com/default.aspx?kbid=828888.
Operational Risk in General Insurance: A working party (of which I was a member) presented a report on operational risk in general insurance to GIRO 2002. The report and slides for the presentation are both available online from my publications page.
Grace Murray Hopper: http://www.history.navy.mil/photos/pers-us/uspers-h/g-hoppr.htm has a brief bography of Rear Admiral Grace Murray Hopper, including a picture of the first ever computer bug.
Operational Risk, by Jack L King: This book concentrates on the measurement and modelling of operational risk. It presents the method developed by the author, based on a combination of the Delta method with Extreme Value theory (EVT). Some of the discussion is very specific to the banking industry. Visit the page for this book at Amazon.
Turnbull Report: Internal Control: Guidance of Directors on the Combined Code. Published by the Institute of Chartered Accountants in England and Wales. See http://www.icaew.co.uk/internalcontrol for more information.
Risk Management in Banking, Second Edition: By Joël Bessis. The word comprehensive doesn't begin to describe this book as far as a quantitative view of risk in banking is concerned. However, as its title suggests, it doesn't discuss risk management outside banking at all. It has a full treatment of credit risk, including a useful overview chapter on credit risk models and many chapters on different aspects of modelling both standalone risk and portfolio risk. It hardly mentions operational risk. Visit its page at Amazon.
Report of the IAA's Working Party on Solvency: The International Actuarial Association produced a report for the International Association of Insurance Supervisors on insurance company solvency. The approach the working party took was to identify the types of of risks to which insurers are subject, and the approaches used to model those risks. The report contains a classification of insurance company risks, an overview of the risk assessment process in insurance companies, and more detailed consideration of some individual risk types. It is available at www.actuaries.org/CTTEES_INSREG/Documents/Solvency_Report_EN.pdf.
Operational Risks in Financial Services: A presentation by Hans-Ulrich Doerig which gives an excellent overview with more detailed treatment of some aspects. Like so many others writing about operational risk (and indeed risk management in general), the author assumes that other financial services firms are just like banks. This report is available at http://www.credit-suisse.com/governance/doc/operational_risk.pdf
CP143: Integrated Prudential sourcebook - Feedback on chapters of CP97 applicable to insurance firms and supplementary consultation: Consultation paper 143 from the FSA contains feedback on some of CP97. There are two areas on which the FSA is consulting again: credit risk for insurers, and final bonuses on with-profits policies. It is available at http://www.fsa.gov.uk/pages/Library/Policy/CP/2002/143.shtml. It was issued in July 2002 and the consultation period ended on 31st October 2002.
Sound Practices for the Management and Supervision of Operational Risk: One of the reasons that operational risk is a hot topic nowadays is that the Basel 2 agreement will include capital requirements for operational risk for banks. The Basel committee have produced this paper, available from their site at http://www.bis.org/publ/bcbs91.htm.
Operational Risk Data Collection Exercise - 2002: The BIS have recently published the format they are using to collect operational risk data from banks in their Operational Risk Data Collection Exercise - 2002. The exercise is described at http://www.bis.org/bcbs/qis/oprdata.htm.
Software Engineering: A Practioner's Approach, European Adaptation: By Roger S Pressman, adapted by Daniel Ince. A comprehensive guide. Visit the book's page at Amazon.
Paul Embrechts: A useful set of resources, including some on operational risk, is at http://www.math.ethz.ch/~kaufmann/RM.html, which has course material for lectures on Risk Management given by Prof. Dr. Paul Embrechts at ETH Zurich.
Software Project Management: By Bob Hughes and Mike Cotterell. Visit the book's page at Amazon.
Managing Risk: Methods for Software Systems Development: By Elaine M. Hall. Visit the book's page at Amazon.
Mastering Value at Risk: By Cormac Butler. Value at Risk is covered in many of the books on risk management in banking, but for a really comprehensive treatment you should try this book. Unlike some similar books it doesn't have an associated CD with worked examples, but its explanations are clear. It has a whole chapter on applying VaR principles to credit control. Visit its page at Amazon.

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All external links This page shows all the links that are referred to in these pages. They are arranged roughly in order of relevance (ie, a link that is highly relevant to many topics will appear high on the list). As the topics on this site are updated, this list will change. European Spreadsheet Risks Interest Group This special interest group provides a forum for research on spreadsheets. Its website is at http://www.eusprig.org and includes an excellent collection of spreadsheet horror stories. EuSpRIG organises an annual conference on spreadsheet risks. Financial Modelling of Project Financing Transactions A paper that was presented to the Institute of Actuaries of Australia Financial Services Forum, containing interesting statistics on spreadsheet error rates. It's available at http://www.actuaries.asn.au/PublicSite/pdf/fsfpaper2004-jasminandlee.pdf. Financial Services Authority The FSA is the regulatory authority for the financial services industry in the UK. Its website at http://www.fsa.gov.uk contains all the public documents produced by the FSA, including consultation papers and the texts of speeches as well as the currently applicable Handbook of rules and guidance. What's the point of documentation? A short article about the documentation of spreadsheets and other financial models. It is available from my publications page. Ray Panko Professor Panko, who is at the University of Hawaii, has done a great deal of research into spreadsheet errors. His page at http://panko.cba.hawaii.edu/ssr/ has many useful resources, including links to many of his papers. Building the new regulator: Progress report 2 The Financial Services Authority have issued a series of reports outlining their new risk-based regulatory framework. This report, issued in February 2002, describes their risk-based operating framework and what it means for the firms that they regulate. In particular, it includes (as Appendix B) a probability assessment matrix that provides the risk classification system that they use. Note that the FSA is interested only in risks to their statutory objectives, and that these may not be the same as, for example, risks to shareholder value. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress2.pdf. PS04/16: Integrated Prudential sourcebook for insurers This Policy Statement reports on the main issues arising from Consultation Paper 190 (Enhanced capital requirements and individual capital assessments for non-life insurers), Consultation Paper 195 (Enhanced capital requirements and individual capital assessments for life insurers) and the audit and reviewing actuary proposals in Consultation Paper 202 (Insurance regulatory reporting – changes to the publicly available annual return for insurers) and publishes the associated rules and guidance. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2004/04_16.shtml. Is this spreadsheet a tax evader? This paper, by Ray Butler of H.M. Customs and Excise, summarises the audit experience, describes the methodology and outlines the results to date of a campaign of spreadsheet testing started in July of 1999. Of the seven spreadsheets selected for audit, six contained significant errors. It was published in the proceedings of the 33rd Hawaii International Conference on System Sciences in 2000, and is available at http://www.eusprig.org/hicss33-butler-evader.pdf. The future regulation of insurance: A progress report Despite its title, this report can be seen as the third in the Building the new Regulator series issued by the Financial Services Authority. It was issued in October 2002. It sets out the regulatory agenda (for insurance firms) for the next few years, and is a result of the so-called Tiner project. It emphasises that firms should realise that the new style of regulation means that they should modernise their governance and risk management frameworks, and their systems and controls. Half a dozen areas of particular concern are highlighted. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress3.pdf. Managing the operational risks of user-developed software This is a paper I wrote for a workshop at GIRO 2002. It is available from my publications page. Building a framework for operational risk management: the FSAs observations The FSA published this document in July 2003, as they prepared to implement CP142, the consultation paper on operational risk systems and controls. The documument is the result of discussions the FSA held with 22 firms actively developing risk management systems for operational risk. It describes instances of good practice, and discusses the progress that has been made so far. The main conclusion is that although considerable progress has been made, the industry is still at an early stage of developing operational risk frameworks. The report is available at http://www.fsa.gov.uk/pubs/policy/ps142_2.pdf The firm risk assessment framework This is the fourth document in the Building the new Regulator series of reports issued by the Financial Services Authority. It describes the FSA's ARROW framework for risk assessment and is essential reading for anyone in a regulated firm who will be involved in the risk assessment process. It was published in February 2003 and is available at http://www.fsa.gov.uk/pubs/policy/bnr_firm-framework.pdf. Building the new regulator: Progress report 1 This is the first report in the series issued by the Financial Services Authority. It was published in December 2000, and describes the risks to the FSA's statutory objectives and the method of assessing the impact of particular risks. It then goes on to consider how the probability of risks can be assessed. In Appendix 1 it provides five case studies of the impact/probability assessment framework, indicating the regulatory relationships that would be likely for various combinations of impact and probability. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress1.pdf. A new regulator for the new millennium This is the precursor to the Building the new Regulator series of reports issued by the Financial Services Authority. It describes the FSA's statutory objectives and its approach to regulation, including the operating framework and regulatory tools. The report, which was published in January 2000, is available at http://www.fsa.gov.uk/pubs/policy/p29.pdf. CP190: Enhanced capital requirements and individual capital assessments for non-life insurers Consultation paper 190 from the FSA discusses how capitial requirements will be determined for non-life insurers. It was issued in July 2003, and the consultation period ended on 30 November 2003. The overall effect of the proposals will be to introduce a new risk-based minimum requirement, the ECR (Enhanced Capital Requirement), and the concept of ICG (Individual Capital Guidance) which will take into account both the ECR and the systems and controls that firms have in place. CP190 is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2003/190.shtml CP195: Enhanced capital requirements and individual capital assessments for life insurers Consultation paper 195 from the FSA discusses how capitial requirements will be determined for non-life insurers. It was issued in August 2003, and the consultation period ended on 30 November 2003. The overall effect of the proposals will be to introduce a new risk-based minimum requirement, the ECR (Enhanced Capital Requirement), and the concept of ICG (Individual Capital Guidance) which will take into account both the ECR and the systems and controls that firms have in place. CP195 is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2003/195.shtml Quantifying operational risk in general insurance companies A paper presented to the Institute of Actuaries in 2004. The paper is available online from my publications page. Managing Operational Risk, by Douglas G. Hoffman This is a major tome, giving "20 Firmwide Best Practice Strategies". Hoffman's background is in banking, and the book certainly concentrates on that industry. He does make an effort to extend the range, though. This is an extremely comprehensive book, a bit difficult to make one's way through at times. It contains many lists of key points, which are made slightly less useful because each list is so long. Visit the page for this book at Amazon. PS142_2: Building a framework for operational risk management: the FSA's observations - Feedback on industry practice as we prepare to implement CP142 This Policy statement reports on the main issues arising from Consultation paper 142 ('Operational risk systems and controls') published in July 2002. It can be found at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2003/PS142_2.shtml. Restructuring of prudential and systems and controls material in the FSA Handbook The FSA is restructuring the prudential and systems and controls material in the Handbook, because of the implementation of the Capital Requirements Directive. The details of the restructuring are given in http://www.fsa.gov.uk/pages/About/What/International/PSB/pdf/stages.pdf Risk Management, by Andrew Holmes A book in the ExpressExec series. It gives a brief overview of several aspects of risk management, rather less biased towards banking than many other books (and also much shorter). It covers a somewhat eclectic range of topics, and has a useful list of resources. Visit its page at Amazon. PS142: Operational risk systems and controls - Feedback on CP142 This Policy statement reports on the main issues arising from Consultation paper 142 ('Operational risk systems and controls') published in July 2002. It can be found at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2003/ps142.shtml. Mastering Risk Volume 1: Concepts Edited by James Pickford, this book is a collection of chapters by different authors that first appeared as a series in the Financial Times. The chapters vary in quality, but most are useful to some degree. Some chapters in the book tend to assume a banking background. There are five chapters on operational risk, somewhat less banking oriented than many of the other chapters. It has a useful overview chapter on credit risk, Lenders and borrowers demand a creditable system by Suresh M. Sundaresan. There is a useful chapter on enterprise risk management, Total strategies for company-wide risk control by Lisa Meulbroek. Visit the page for this book on Amazon. Mastering Risk Volume 2: Applications This book, edited by Carol Alexander, is a collection of chapters by different authors that first appeared as a series in the Financial Times. The chapters vary in quality: some of them are rather more useful than others. There is an unstated bias towards banking. It has four chapters on operational risk, covering measurement and modelling as well as an overview chapter. There are several chapters on different aspects of modelling credit risk. Visit its page at Amazon. Correctness is not enough A paper I presented at the 2003 EuSpRIG conference, explaining what can go wrong with spreadsheets even when all the formulae are correct. It is available from my publications page. A Risk Management Standard Produced by The Institute of Risk Management, in conjunction with ALARM (The National Forum for Risk Management in the Public Sector) and airmic (The Association of Insurance and Risk Managers). It is available from their website at http://www.theirm.org/publications/PUstandard.html. HM Customs and Excise Somewhat unexpectedly, some of the most interesting and useful work on spreadsheet errors and auditing is currently coming out of HM Customs and Excise. They have developed some software (SpACE) that they are now making available to businesses. Of particular interest is their document on Methodology for the Audit of Spreadsheet Models. CP140: The Interim Prudential Sourcebooks for Insurers and Friendly Societies and the Lloyd's Sourcebook: Guidance on Systems and Controls Consultation paper 140 from the FSA sets out guidance on •high-level controls; • risk assessment; • legal risk; • internal audit; • management information; • outsourcing; and • group risk. This guidance will take effect before the Prudential Sourcebook is implemented in 2004. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2002/140.shtml. It was issued in July 2002 and the consultation period ended on 3rd October 2002. PS140 is the result of the consultation. PS140: The Interim Prudential sourcebooks for Insurers and Friendly Societies and the Lloyd's sourcebook: Guidance on Systems and controls - Feedback on CP140 and 'made' text Policy statement 140 from the FSA sets out guidance on •high-level controls; • risk assessment; • legal risk; • internal audit; • management information; • outsourcing; and • group risk. This guidance was issued in December 2002 and is available at http://www.fsa.gov.uk/Pages/Library/Policy/Policy/2002/ps140.shtml. It takes effect from 1st February 2003. Report on Enterprise Risk Management The Casualty Actuarial Society presents a process for ERM. The primary purpose of the report is to consider the role of actuaries in risk management, but it gives a useful general overview too. It includes a risk classification meant for general use, rather than limited to a specific industry. The report is available from the CAS site at http://casact.org/research/erm/. Risk Management, by Michel Crouhy, Dan Galai, Robert Mark This is another book written primarily from a banking viewpoint. It has a whole chapter on risk management in nonbank corporations, and mentions the issues in some of the other chapters. Its treatment of credit risk covers credit rating systems, and distinguishes several different measurement approaches. It has a chapter on operational risk. This book emphasises the need for risk management systems. Visit its page at Amazon. CP 142: Operational risk systems and controls Consultation paper 142 from the FSA contains feedback on the operational risk and systems and controls sections of CP97, and contains new draft guidance. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2002/142.shtml. It was issued in July 2002 and the consultation period ended on 31st October 2002. RAMP The Institution of Civil Engineers and the Faculty and Institute of Actuaries have produced a process for risk analysis and management for projects known as RAMP. Its website is at http://www.ramprisk.com/. A simplified version of the process is described at http://www.actuaries.org.uk/Display_Page.cgi?url=/ramp/index.xml. PS97_115: Integrated Prudential Sourcebook - Feedback on CP115 (Integrated Prudential Sourcebook - timetable for implementation) and CP97 (Integrated Prudential Sourcebook) This policy statement from the FSA was issued after feedback on CP97 and CP115. It was issued in July 2002 and is available at http://www.fsa.gov.uk/pages/Library/Policy/Policy/2002/ps115_97.shtml. Operational Risk. Measurement or Bust! A working party report presented at GIRO 2003. The report and slides for the presentation are both available online from my publications page. CP97: Integrated Prudential Sourcebook Consultation paper 97 from the FSA is a massive document, presenting the draft Integrated Prudential Sourcebook. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2001/97.shtml. It was issued in June 2001 and the consultation period ended on 31st December 2001. CP115 was a supplementary CP to CP97. CP97 has been superseded by its feedback documents: PS97_115, CP142, CP143. Current consultations at the FSA The FSA maintain a list of current consultation and discussion papers at http://www.fsa.gov.uk/pages/Library/Policy/CP/current/index.shtml. Have some Grace and don't let it bug you http://www.tafkac.org/faq2k/compute_86.html is an interesting web page debunking the popular legend that the term bug was invented by Rear Admiral Grace Murray Hopper. Excel 2003 hotfix package Microsoft Knowledge Base Article 833618 gives details of the hotfix released on 12th January 2004. This hotfix corrects the bug in the RAND() and RANDBETWEEN() functions as well as some other problems. It is available at http://support.microsoft.com/default.aspx?kbid=833618. Excel Statistical Functions Microsoft Knowledge Base Article 828888 is an Overview of Improvements in Statistical Functions for Excel 2003. It gives details of the functions in the Analysis ToolPak that have changed since previous releases. It is available at http://support.microsoft.com/default.aspx?kbid=828888. Operational Risk in General Insurance A working party (of which I was a member) presented a report on operational risk in general insurance to GIRO 2002. The report and slides for the presentation are both available online from my publications page. Grace Murray Hopper http://www.history.navy.mil/photos/pers-us/uspers-h/g-hoppr.htm has a brief bography of Rear Admiral Grace Murray Hopper, including a picture of the first ever computer bug. Operational Risk, by Jack L King This book concentrates on the measurement and modelling of operational risk. It presents the method developed by the author, based on a combination of the Delta method with Extreme Value theory (EVT). Some of the discussion is very specific to the banking industry. Visit the page for this book at Amazon. Turnbull Report Internal Control: Guidance of Directors on the Combined Code. Published by the Institute of Chartered Accountants in England and Wales. See http://www.icaew.co.uk/internalcontrol for more information. Risk Management in Banking, Second Edition By Joël Bessis. The word comprehensive doesn't begin to describe this book as far as a quantitative view of risk in banking is concerned. However, as its title suggests, it doesn't discuss risk management outside banking at all. It has a full treatment of credit risk, including a useful overview chapter on credit risk models and many chapters on different aspects of modelling both standalone risk and portfolio risk. It hardly mentions operational risk. Visit its page at Amazon. Report of the IAA's Working Party on Solvency The International Actuarial Association produced a report for the International Association of Insurance Supervisors on insurance company solvency. The approach the working party took was to identify the types of of risks to which insurers are subject, and the approaches used to model those risks. The report contains a classification of insurance company risks, an overview of the risk assessment process in insurance companies, and more detailed consideration of some individual risk types. It is available at www.actuaries.org/CTTEES_INSREG/Documents/Solvency_Report_EN.pdf. Operational Risks in Financial Services A presentation by Hans-Ulrich Doerig which gives an excellent overview with more detailed treatment of some aspects. Like so many others writing about operational risk (and indeed risk management in general), the author assumes that other financial services firms are just like banks. This report is available at http://www.credit-suisse.com/governance/doc/operational_risk.pdf CP143: Integrated Prudential sourcebook - Feedback on chapters of CP97 applicable to insurance firms and supplementary consultation Consultation paper 143 from the FSA contains feedback on some of CP97. There are two areas on which the FSA is consulting again: credit risk for insurers, and final bonuses on with-profits policies. It is available at http://www.fsa.gov.uk/pages/Library/Policy/CP/2002/143.shtml. It was issued in July 2002 and the consultation period ended on 31st October 2002. Sound Practices for the Management and Supervision of Operational Risk One of the reasons that operational risk is a hot topic nowadays is that the Basel 2 agreement will include capital requirements for operational risk for banks. The Basel committee have produced this paper, available from their site at http://www.bis.org/publ/bcbs91.htm. Operational Risk Data Collection Exercise - 2002 The BIS have recently published the format they are using to collect operational risk data from banks in their Operational Risk Data Collection Exercise - 2002. The exercise is described at http://www.bis.org/bcbs/qis/oprdata.htm. Software Engineering: A Practioner's Approach, European Adaptation By Roger S Pressman, adapted by Daniel Ince. A comprehensive guide. Visit the book's page at Amazon. Paul Embrechts A useful set of resources, including some on operational risk, is at http://www.math.ethz.ch/~kaufmann/RM.html, which has course material for lectures on Risk Management given by Prof. Dr. Paul Embrechts at ETH Zurich. Software Project Management By Bob Hughes and Mike Cotterell. Visit the book's page at Amazon. Managing Risk: Methods for Software Systems Development By Elaine M. Hall. Visit the book's page at Amazon. Mastering Value at Risk By Cormac Butler. Value at Risk is covered in many of the books on risk management in banking, but for a really comprehensive treatment you should try this book. Unlike some similar books it doesn't have an associated CD with worked examples, but its explanations are clear. It has a whole chapter on applying VaR principles to credit control. Visit its page at Amazon.
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