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Statistical Analysis of Operational Risk Data
Engelsk
Bogcover for Statistical Analysis of Operational Risk Data af Danilo Carita, Francesco Martinelli, Giovanni De Luca, 9783030425791
Specifikationer
Sprog:
Engelsk
Sider:
84
ISBN-13:
9783030425791
Indbinding:
Paperback
ISBN-10:
3030425797
Kategori:
Udg. Dato:
25 feb 2020
Størrelse i cm:
23,5 x 15,5
Oplagsdato:
25 feb 2020

Statistical Analysis of Operational Risk Data

Engelsk
Paperback 2020
Format:

Bog beskrivelse

This concise book for practitioners presents the statistical analysis of operational risk, which is considered the most relevant source of bank risk, after market and credit risk. The book shows that a careful statistical analysis can improve the results of the popular loss distribution approach. The authors identify the risk classes by applying a pooling rule based on statistical tests of goodness-of-fit, use the theory of the mixture of distributions to analyze the loss severities, and apply copula functions for risk class aggregation. Lastly, they assess operational risk data in order to estimate the so-called capital-at-risk that represents the minimum capital requirement that a bank has to hold. The book is primarily intended for quantitative analysts and risk managers, but also appeals to graduate students and researchers interested in bank risks.

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Specifikationer
Sprog:
Engelsk
Sider:
84
ISBN-13:
9783030425791
Indbinding:
Paperback
ISBN-10:
3030425797
Kategori:
Udg. Dato:
25 feb 2020
Størrelse i cm:
23,5 x 15,5
Oplagsdato:
25 feb 2020
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