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Operational risk : modeling analytics

Author: Harry H Panjer
Publisher: Hoboken : Wiley, 2006.
Series: Wiley series on probability and statistics
Edition/Format:   Print book : EnglishView all editions and formats
Publication:Operational risk.
Summary:

Discover how to optimize business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics is organized around the principle that the analysis of  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Harry H Panjer
ISBN: 0471760897 9780471760894
OCLC Number: 315315998
Description: XV, 431 Seiten : Diagramme.
Contents: Preface. Acknowledgments. PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING. 1. Operational Risk. 2. Basic Probability concepts. 3. Measures of Risk. PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING. 4. Models for the size of losses: Continuous distributions. 5. Models for the number of losses: Counting distributions. 6. Aggregate loss models. 7. Extreme value theory: The study of jumbo losses. 8. Multivariate models. PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF OPERATIONAL RISK. 9. Review of mathematical statistics. 10. Parameter Estimation. 11. Estimation for discrete distributions. 12. Model selection. 13. Fitting extreme value models. 14. Fitting copula models. Appendix A: Gamma and related functions. Appendix B: Discretization of the severity distribution. Appendix C: Nelder-Mead simplex Method. References. Index.
Series Title: Wiley series on probability and statistics
Responsibility: Harry H. Panjer.
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"...interesting and timely. It creatively and skillfully elucidates key issues in the analysis of operational risks." (Mathematical Reviews, 2007f)

 
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