Operational risk : a guide to Basel II capital requirements, models, and analysis /

While operational risk has long been regarded as a mere part of ''other'' risks--outside the realm of credit and market risk--it has quickly made its way to the forefront of finance. In fact, with implementation of the Basel II Capital Accord already underway, many financial prof...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chernobai, Anna S.
Otros Autores: Rachev, S. T. (Svetlozar Todorov), Fabozzi, Frank J.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, N.J. : [Chichester] : Wiley ; [John Wiley, distributor], ©2007.
Colección:Frank J. Fabozzi series.
Temas:
Basler Eigenkapitalvereinbarung > 2001
Operational risk > Mathematical models.
Risque opérationnel > Modèles mathématiques.
BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.
Risk management.
Risikomanagement
Mathematisches Modell
Bank
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Operational risk is not just "other" risks
  • Operational risk : definition, classification, and its place among other risks
  • Basel II capital accord
  • Key challenges in modeling operational risk
  • Frequency distributions
  • Loss distributions
  • Alpha-stable distributions
  • Extreme value theory
  • Truncated distributions
  • Testing for the goodness of fit
  • Value-at-risk
  • Robust modeling
  • Modeling dependence.

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