Description

Book Synopsis
This work brings together various theories and models in operational risk, presenting them in the context of real-life case studies. It seeks to be both a sourcebook of operational risk techniques and a user manual on how to apply them.

Table of Contents
Preface.

Acknowledgements.

INTRODUCTION TO OPERATIONAL RISK.

Introduction to Operational Risk.

Historical Losses.

Regulation.

MEASURING OPERATIONAL RISK.

A Measurement Framework for Operational Risk.

The Delta Methodology.

The EVT Methodology.

MODELLING OPERATIONAL RISK.

Delta-EVT(TM) Models for Operational Risk.

Causal Modelling.

Causal Models for Operational Risk.

MATHEMATICAL FOUNDATIONS.

Error Propagation.

Extreme Value Theory.

Bayesian Methods.

APPENDICES.

Glossary.

Bibliography.

Index.

Operational Risk Measurement Modelling

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      Publisher: John Wiley & Sons Inc
      Publication Date: 22/03/2001
      ISBN13: 9780471852094, 978-0471852094
      ISBN10: 0471852090
      Also in:
      Budgeting and financial management Finance and accounting

      Description

      Book Synopsis
      This work brings together various theories and models in operational risk, presenting them in the context of real-life case studies. It seeks to be both a sourcebook of operational risk techniques and a user manual on how to apply them.

      Table of Contents
      Preface.

      Acknowledgements.

      INTRODUCTION TO OPERATIONAL RISK.

      Introduction to Operational Risk.

      Historical Losses.

      Regulation.

      MEASURING OPERATIONAL RISK.

      A Measurement Framework for Operational Risk.

      The Delta Methodology.

      The EVT Methodology.

      MODELLING OPERATIONAL RISK.

      Delta-EVT(TM) Models for Operational Risk.

      Causal Modelling.

      Causal Models for Operational Risk.

      MATHEMATICAL FOUNDATIONS.

      Error Propagation.

      Extreme Value Theory.

      Bayesian Methods.

      APPENDICES.

      Glossary.

      Bibliography.

      Index.

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