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Risk Management in Finance Six Sigma and Other Next-Generation Techniques ANTHONY TARANTINO DEBORAH CERNAUSKAS John Wiley & Sons, Inc. Risk Management in Finance Founded in 1807, John Wiley & Sons is the oldest independent publishing com- pany in the United States. With offices in North America, Europe, Australia, and Asia,Wileyisgloballycommittedtodevelopingandmarketingprintandelectronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their fi- nancialadvisors.Booktopicsrangefromportfoliomanagementtoe-commerce,risk management, financial engineering, valuation, and financial instrument analysis, as wellasmuchmore. Foralistofavailabletitles,pleasevisitourWebsiteatwww.WileyFinance.com. Risk Management in Finance Six Sigma and Other Next-Generation Techniques ANTHONY TARANTINO DEBORAH CERNAUSKAS John Wiley & Sons, Inc. Copyright(cid:1)C 2009byJohnWiley&Sons,Inc.Allrightsreserved. PublishedbyJohnWiley&Sons,Inc.,Hoboken,NewJersey. PublishedsimultaneouslyinCanada. Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedin anyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,or otherwise,exceptaspermittedunderSection107or108ofthe1976UnitedStatesCopyright Act,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthrough paymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,Inc.,222 RosewoodDrive,Danvers,MA01923,978-750-8400,fax978-646-8600,oronthewebat www.copyright.com.RequeststothePublisherforpermissionshouldbeaddressedtothe PermissionsDepartment,JohnWiley&Sons,Inc.,111RiverStreet,Hoboken,NJ07030, 201-748-6011,fax201-748-6008,oronlineathttp://www.wiley.com/go/permissions. LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheir besteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespect totheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimany impliedwarrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymay becreatedorextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceand strategiescontainedhereinmaynotbesuitableforyoursituation.Youshouldconsultwitha professionalwhereappropriate.Neitherthepublishernorauthorshallbeliableforanyloss ofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental, consequential,orotherdamages. Forgeneralinformationonourotherproductsandservices,ortechnicalsupport,please contactourCustomerCareDepartmentwithintheUnitedStatesat800-762-2974,outside theUnitedStatesat317-572-3993orfax317-572-4002. Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontentthatappears inprintmaynotbeavailableinelectronicbooks. FormoreinformationaboutWileyproducts,visitourWebsiteathttp://www.wiley.com. LibraryofCongressCataloging-in-PublicationData: Tarantino,Anthony,1949– Riskmanagementinfinance:sixsigmaandothernextgenerationtechniques/Anthony Tarantino,DebCernauskas. p. cm. Includesbibliographicalreferencesandindex. ISBN978-0-470-41346-3(cloth) 1.Financialriskmanagement. I.Cernauskas,Deb,1956– II.Title. HG173.T346 2009 658.15′5–dc22 2008052035 PrintedintheUnitedStatesofAmerica 10 9 8 7 6 5 4 3 2 1 To Winkey, Peapod, and SanSan —A.T. To Mom for her continued support —D.C. Contents Preface xv Acknowledgments xix AbouttheContributors xxi CHAPTER1 Introduction 1 OrganizationofThisBook 3 WhyReadThisBook? 4 Note 4 CHAPTER2 DataGovernanceinFinancialRiskManagement 5 Introduction 5 DataGovernanceCenterofExcellence 6 DataGovernanceAssessment 8 DataGovernanceMaturityModel 8 BestPracticesinDataGovernance 10 Conclusion:Next-GenerationTechniquestoReduceData GovernanceRisk 12 Notes 13 CHAPTER3 InformationRiskandDataQualityManagement 15 Introduction 15 OrganizationalRisk,BusinessImpacts,andDataQuality 15 Examples 17 DataQualityExpectations 19 MappingBusinessPoliciestoDataRules 21 DataQualityInspection,Control,andOversight:Operational DataGovernance 21 ManagingInformationRiskviaaDataQualityScorecard 22 Summary 24 Notes 24 vii

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Implement next-generation techniques-before disaster strikes—and improve operation risk management"The recent global economic crisis has brought home the need for realistic operational risk management as an important element of an organization's survival strategy in turbulent times. In Risk Manage
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Risk Management in Finance Six Sigma and Other Next-Generation Techniques ANTHONY TARANTINO DEBORAH CERNAUSKAS John Wiley & Sons, Inc. Risk Management in Finance Founded in 1807, John Wiley & Sons is the oldest independent publishing com- pany in the United States. With offices in North America, Europe, Australia, and Asia,Wileyisgloballycommittedtodevelopingandmarketingprintandelectronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their fi- nancialadvisors.Booktopicsrangefromportfoliomanagementtoe-commerce,risk management, financial engineering, valuation, and financial instrument analysis, as wellasmuchmore. Foralistofavailabletitles,pleasevisitourWebsiteatwww.WileyFinance.com. Risk Management in Finance Six Sigma and Other Next-Generation Techniques ANTHONY TARANTINO DEBORAH CERNAUSKAS John Wiley & Sons, Inc. Copyright(cid:1)C 2009byJohnWiley&Sons,Inc.Allrightsreserved. PublishedbyJohnWiley&Sons,Inc.,Hoboken,NewJersey. PublishedsimultaneouslyinCanada. Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedin anyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,or otherwise,exceptaspermittedunderSection107or108ofthe1976UnitedStatesCopyright Act,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthrough paymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,Inc.,222 RosewoodDrive,Danvers,MA01923,978-750-8400,fax978-646-8600,oronthewebat www.copyright.com.RequeststothePublisherforpermissionshouldbeaddressedtothe PermissionsDepartment,JohnWiley&Sons,Inc.,111RiverStreet,Hoboken,NJ07030, 201-748-6011,fax201-748-6008,oronlineathttp://www.wiley.com/go/permissions. LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheir besteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespect totheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimany impliedwarrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymay becreatedorextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceand strategiescontainedhereinmaynotbesuitableforyoursituation.Youshouldconsultwitha professionalwhereappropriate.Neitherthepublishernorauthorshallbeliableforanyloss ofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental, consequential,orotherdamages. Forgeneralinformationonourotherproductsandservices,ortechnicalsupport,please contactourCustomerCareDepartmentwithintheUnitedStatesat800-762-2974,outside theUnitedStatesat317-572-3993orfax317-572-4002. Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontentthatappears inprintmaynotbeavailableinelectronicbooks. FormoreinformationaboutWileyproducts,visitourWebsiteathttp://www.wiley.com. LibraryofCongressCataloging-in-PublicationData: Tarantino,Anthony,1949– Riskmanagementinfinance:sixsigmaandothernextgenerationtechniques/Anthony Tarantino,DebCernauskas. p. cm. Includesbibliographicalreferencesandindex. ISBN978-0-470-41346-3(cloth) 1.Financialriskmanagement. I.Cernauskas,Deb,1956– II.Title. HG173.T346 2009 658.15′5–dc22 2008052035 PrintedintheUnitedStatesofAmerica 10 9 8 7 6 5 4 3 2 1 To Winkey, Peapod, and SanSan —A.T. To Mom for her continued support —D.C. Contents Preface xv Acknowledgments xix AbouttheContributors xxi CHAPTER1 Introduction 1 OrganizationofThisBook 3 WhyReadThisBook? 4 Note 4 CHAPTER2 DataGovernanceinFinancialRiskManagement 5 Introduction 5 DataGovernanceCenterofExcellence 6 DataGovernanceAssessment 8 DataGovernanceMaturityModel 8 BestPracticesinDataGovernance 10 Conclusion:Next-GenerationTechniquestoReduceData GovernanceRisk 12 Notes 13 CHAPTER3 InformationRiskandDataQualityManagement 15 Introduction 15 OrganizationalRisk,BusinessImpacts,andDataQuality 15 Examples 17 DataQualityExpectations 19 MappingBusinessPoliciestoDataRules 21 DataQualityInspection,Control,andOversight:Operational DataGovernance 21 ManagingInformationRiskviaaDataQualityScorecard 22 Summary 24 Notes 24 vii

Description:
Implement next-generation techniques-before disaster strikes—and improve operation risk management"The recent global economic crisis has brought home the need for realistic operational risk management as an important element of an organization's survival strategy in turbulent times. In Risk Manage
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