Quantitative operational risk models /

Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Bolancé, Catalina
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boca Raton : Taylor & Francis, 2012.
Colección:Chapman & Hall/CRC finance series.
Temas:
Risk management.
Operational risk.
Mathematical models.
Risk Management
Models, Theoretical
Gestion du risque.
Risque opérationnel.
Modèles mathématiques.
risk management.
mathematical models.
BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Understanding Operational Risk; Introduction; Our Approach to Operational Risk Quantification; Regulatory Framework; The Fundamentals of Calculating Operational Risk Capital; Notation and Definitions; The Calculation of Operational Risk Capital in Practice; Organization of the Book; ; Operational Risk Data and Parametric Models; Introduction; Internal Data and External Data; Basic Parametric Severity Distributions; The Generalized Champernowne Distribution; Quantile Estimation; Further Reading and Bibliographic Notes; ; Semiparametric Model for Operational Risk Severities; Introduction; Classical Kernel Density Estimation; Transformation Method; Bandwidth Selection; Boundary Correction; Transformation with the Generalized Champernowne Distributions; Results for the Operational Risk Data; Further Reading and Bibliographic Notes; ; Combining Operational Risk.
  • Data Sources; Why Mixing?; Combining Data Sources with the Transformation Method; The Mixing Transformation Technique; ; Data Study; Further Reading and Bibliographic Notes; ; Underreporting; Introduction; The Underreporting Function; Publicly Reported Loss Data; Semiparametric Approach to Correction tor Underreporting; An Application to Evaluate Operational Risk with Correction; An Application to Evaluate Internal Operational Risk; Further Reading and Bibliographic Notes; ; Combining Underreported Internal and External Data; Introduction; Data Availability; Underreporting Losses; A Mixing Model in a Truncation Framework; Operational Risk Application; Further Reading and Bibliographic Notes; ; A Guided Practical Example; Introduction; Descriptive Statistics and Basic Procedures; Transformation Kernel Estimation; Combining Internal.
  • And External Data; Underreporting Implementation; Programming in R.

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