Operational Risk: Modeling Analytics
John Wiley & Sons, 13. 10. 2006 - Počet stran: 448
Discover how to optimize business strategies from both qualitative and quantitative points of view
Operational Risk: Modeling Analytics is organized around the principle that the analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk. This book is designed to provide risk analysts with a framework of the mathematical models and methods used in the measurement and modeling of operational risk in both the banking and insurance sectors.
Beginning with a foundation for operational risk modeling and a focus on the modeling process, the book flows logically to discussion of probabilistic tools for operational risk modeling and statistical methods for calibrating models of operational risk. Exercises are included in chapters involving numerical computations for students' practice and reinforcement of concepts.
Written by Harry Panjer, one of the foremost authorities in the world on risk modeling and its effects in business management, this is the first comprehensive book dedicated to the quantitative assessment of operational risk using the tools of probability, statistics, and actuarial science.
In addition to providing great detail of the many probabilistic and statistical methods used in operational risk, this book features:
* Ample exercises to further elucidate the concepts in the text
* Definitive coverage of distribution functions and related concepts
* Models for the size of losses
* Models for frequency of loss
* Aggregate loss modeling
* Extreme value modeling
* Dependency modeling using copulas
* Statistical methods in model selection and calibration
Assuming no previous expertise in either operational risk terminology or in mathematical statistics, the text is designed for beginning graduate-level courses on risk and operational management or enterprise risk management. This book is also useful as a reference for practitioners in both enterprise risk management and risk and operational management.
Co říkají ostatní - Napsat recenzi
Na obvyklých místech jsme nenalezli žádné recenze.
Part II Probabilistic tools for operational risk modeling
Part III Statistical methods for calibrating models of operational risk
Appendix A Gamma and related functions
Appendix B Discretization of the severity distribution
Další vydání - Zobrazit všechny
aggregate loss distribution Analysis approximation asymptotic Bayesian beta distribution bivariate bution calculations censored Chapter compound distribution compound Poisson distribution computed conﬁdence interval copula Data Set deﬁned Deﬁnition denote density function Determine the maximum discrete distributions distri distribution function distribution with parameters equation Example exponential distribution extreme value distribution extreme value theory ﬁnite ﬁrst ﬁt ﬁve ﬁxed frequency distributions gamma distribution geometric given inﬁnity integral inverse Gaussian inverse Gaussian distribution likelihood function loglikelihood lognormal marginal distributions maximum likelihood estimate mean excess method mixing distribution mixture multivariate negative binomial distribution normal distribution null hypothesis number of losses observations obtained operational risk Panjer Pareto distribution percentile quantile random variable risk measure sample mean satisﬁes scale parameter secondary distribution severity distribution signiﬁcance level speciﬁc Table test statistic Theorem threshold tion truncated TVaR upper tail dependence variance Weibull distribution zero-modiﬁed zero-truncated