Operational risk modelling and management

Operational risk modelling and management

by Franzetti, Claudio

Type Book
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In banking regulation, tools are needed to quantify risk and calculate the amount of capital reserve required to mitigate such risk. This book offers a complete model for the quantification of so-called operational risks. It offers a detailed discussion on the link between modeling approaches and management, which has been neglected in the literature, as well as the mathematical modeling of the loss distribution approach. With an emphasis on risk management and management fundamentals, the text…

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Title Statements

  • Full title :Operational risk modelling and management / Claudio Franzetti.

Summary

In banking regulation, tools are needed to quantify risk and calculate the amount of capital reserve required to mitigate such risk. This book offers a complete model for the quantification of so-called operational risks. It offers a detailed discussion on the link between modeling approaches and management, which has been neglected in the literature, as well as the mathematical modeling of the loss distribution approach. With an emphasis on risk management and management fundamentals, the text presents a complete simulation model along with tested examples that can be replicated using R softw.

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Edition Statements

  • Publication Date:2010

Publication Statements

  • Publisher(s):CRC Press
  • Place of Publication:Boca Raton
  • Language:eng
  • Publication Date:2010

Notes

"A Chapman & Hall book.

Includes bibliographical references and index.

The Physical Object

  • Description:Online-Ressource (xxiii, 389 p) : ill.

Edition Identifiers

  • ISBN:1439844763, 9781439844762
  • oclc:ocn839036854
  • LC Classification:HD61
  • Dewey Decimal:658.15/5

Subjects

Gestion du risque Gestion du risque -- Modèles mathématiq… Risk management Risk management -- Mathematical models

Writers

Franzetti, Claudio

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