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Operational risk : modeling analytics

Author: Harry H Panjer
Publisher: Hoboken, N.J. : Wiley Interscience, ©2006.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Enterprise Risk Management provides a highly detailed development of the many probabilistic and statistical methods that are used in operational risk. These methods have traditionally been developed in the insurance/actuarial field, but they are now applicable to operational risk measurement and management.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Panjer, Harry H.
Operational risk.
Hoboken, N.J. : Wiley Interscience, ©2006
(DLC) 2006044261
(OCoLC)64771111
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Harry H Panjer
ISBN: 0471760897 9780471760894 0470051310 9780470051313 0470051302 9780470051306 1280551690 9781280551697
OCLC Number: 85821048
Description: 1 online resource (xv, 431 pages) : illustrations
Contents: Operational risk --
Basic probability concepts --
Measures of risk --
Models for the size of losses : continuous distributions --
Models for the number of losses : counting distributions --
Aggregate loss models --
Extreme value theory : the study of jumbo losses --
Multivariate models --
Review of mathematical statistics --
Parameter estimation --
Estimation for discrete distributions --
Model selection --
Fitting extreme value models --
Fitting copula models.
Responsibility: Harry H. Panjer.
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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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"...interesting and timely. It creatively and skillfully elucidates key issues in the analysis of operational risks." (Mathematical Reviews, 2007f)

 
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