This book presents a Bayesian framework for operational risk that can be used by banks to resolve quantitative challenges with implementation of Basel II advanced measurement approach. Numerous examples help risk practitioners quantify operational risks.
Product Identifiers
Publisher
Springer Berlin / Heidelberg
ISBN-10
3642423531
ISBN-13
9783642423536
eBay Product ID (ePID)
232092228
Product Key Features
Number of Pages
Xvii, 302 Pages
Language
English
Publication Name
Modelling Operational Risk Using Bayesian Inference
Publication Year
2014
Subject
Banks & Banking, Finance / General, Probability & Statistics / General, Statistics
Type
Textbook
Subject Area
Business & Economics, Mathematics
Author
Pavel V. Shevchenko
Format
Trade Paperback
Dimensions
Item Weight
17.4 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Intended Audience
Scholarly & Professional
Dewey Edition
23
Reviews
From the reviews: "This hands-on book provides a very good overview of the loss distribution approach (LDA). ... The book is written in a mathematical format which allows practitioners, (advanced) graduate students (who may well be social science students) and researchers to access the concepts in a fairly straightforward way. ... unique feature of the book is the use of abstracts which precede the start of each of the main chapters. ... book also contains a useful appendix with a list of the functional forms of key distributions." (Emmanuel Haven, Mathematical Reviews, Issue 2012 d)
Number of Volumes
1 Vol.
Illustrated
Yes
Dewey Decimal
658.155
Lc Classification Number
Qa276-280
Table of Content
Operational Risk and Basel II.- Loss Distribution Approach.- Calculation of Compound Distribution.- Bayesian approach for LDA.- Addressing the Data Truncation Problem.- Modelling Large Losses.- Modelling Dependence.- List of Distributions.- Selected Simulation Algorithms.- Solutions for Selected Problems.- References.- Index.