Operational Risk: Modeling Analytics

Description
Discover how to optimise business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics is organised around the principle that the analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk.

Program

This book is designed to provide risk analysts with a framework of the mathematical models and methods used in the measurement and modeling of operational risk in both the banking and insurance sectors.
Exercises are included in chapters involving numerical computations for students' practice and reinforcement of concepts.



In addition to providing great detail of the many probabilistic and statistical methods used in operational risk, this book features:

• Ample exercises to further elucidate the concepts in the text
• Definitive coverage of distribution functions and related concepts * Models for the size of losses
• Models for frequency of loss
• Aggregate loss modeling
• Extreme value modeling
• Dependency modeling using copulas
• Statistical methods in model selection and calibration

Assuming no previous expertise in either operational risk terminology or in mathematical statistics, the text is designed for beginning graduate-level courses on risk and operational management or enterprise risk management. This book is also useful as a reference for practitioners in both enterprise risk management and risk and operational management.
Author: Harry H. Panjer
Publisher: John Wiley & Sons
ISBN 10: 0471760897
ISBN 13: 9780471760894
Pages: 448
Format: Hard Cover
Published Date: 25 August 2006
Availability: Ex Stock

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