Quantitative operational risk models

by Bolancé, Catalina

Type Book

Rate 0.0 /5

Details

Files

Reviews

Download

Title Statements

Full title :Quantitative operational risk models / Catalina Bolancé [and others].

Edition Statements

Publication Date:2012.

Publication Statements

Publisher(s):Taylor & Francis
Place of Publication:Boca Raton
Language:eng
Publication Date:2012.

The Physical Object

Description:1 online resource

Edition Identifiers

ISBN:9781439895931, 1439895937
oclc:ocn778514036
LC Classification:HD61
Dewey Decimal:368.001

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 App…

Subjects

BUSINESS & ECONOMICS -- Insurance Gestion du risque mathematical models Modèles mathématiques Models, Theoretical Operational risk Risk management Risque opérationnel