Modelling operational risk using Bayesian inference

Modelling operational risk using Bayesian inference

by Shevchenko, Pavel V

Type Book
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Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is…

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Title Statements

  • Full title :Modelling operational risk using Bayesian inference / Pavel V. Shevchenko.

Summary

Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks. --

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Edition Statements

  • Publication Date:©2011.

Publication Statements

  • Publisher(s):Springer
  • Place of Publication:Berlin
  • Language:eng
  • Publication Date:©2011.

The Physical Object

  • Description:1 online resource (xvii, 302 pages)

Edition Identifiers

  • ISBN:3642159222, 9783642159220, 3642159230, 9783642159237
  • DOI:10.1007/978-3-642-15923-7
  • oclc:ocn701369495
  • LC Classification:HG1615
  • Dewey Decimal:658.15/5

Table of Contents

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.

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Subjects

Academic Dissertation Academic theses Banks and banking -- Risk management Bayesian statistical decision theory BUSINESS & ECONOMICS -- Banks & Banking Finances -- Gestion du risque Financial risk management Operational risk Risque opérationnel Théorie de la décision bayésienne Thèses et écrits académiques

Writers

Shevchenko, Pavel V

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