Operationnal risk with Excel and VBA

Applied statistical methods for risk management

Nigel Da Costa Lewis - Collection Wiley Finance

268 pages, parution le 28/05/2004

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Résumé

"Dr. Nigel Da Costa Lewis has produced the most exciting volume ever on operational risk modeling. It is a must for students, practitioners, risk managers, and senior executives...I feel this work is the first step in revolutionizing the discipline. Other books in this field tell you in theory, there is little difference between theory and practice. Dr. Lewis's work tells you what we all know, in practice, there is."
-Dr. O.F. Agbaje, School of Informatics, City University, London

"Dr. Nigel Da Costa Lewis has raised the bar for books on operational risk. His book provides a bridge from the theoretical to the practical, and clears the fog between the buzzwords of operational risk management and the realities of useful modeling tools. The inclusion of numerous concrete examples and solutions will make a broad range of modeling techniques accessible to students of management science. Without a doubt, Dr. Lewis has put quality meat on the bare bones of this important management discipline. He is to be applauded for this magnificent effort."
-Prof. Bernard Beecher, Department of Mathematics, City University, New York

"Dr. Nigel Da Costa Lewis has produced one of the most exciting and classic reference volumes on operational risk. As only great teachers can, Dr. Lewis makes even the most obtuse mathematics seem easy and intuitive . . . This book is a must for students, practitioners, and anybody interested in this important subject. In short, it is the most comprehensive and up-to-date textbook on operational risk modeling that I have seen."
-Dr. Terence Yiu Wa Chow, Department of Mathematics, University College London, University of London

Sommaire

Introduction to Operational Risk Management and Modeling.
Random Variables, Risk indicators, and Probability.
Expectation, Covariance, Variance, and Correlation.
Modeling Central Tendency and Variability of Operational Risk Indicators.
Measuring Skew and Fat Tails of Operational Risk Indicators.
Statistical Testing of Operational Risk Parameters.
Severity of Loss Probability Models.
Frequency of Loss Probability Models.
Modeling Aggregate Loss Distributions.
The Law of Significant Digits and Fraud Risk Identification.
Correlation and Dependence.
Linear Regression in Operational Risk Management.
Logistic Regression in Operational Risk Management.
Mixed Dependent Variable Modeling.
Validating Operational Risk Proxies Using Surrogate Endpoints.
Introduction to Extreme Value Theory.
Managing Operational Risk with Bayesian Belief Networks.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Nigel Da Costa Lewis
Collection	Wiley Finance
Parution	28/05/2004
Nb. de pages	268
Format	15,5 x 23,5
Couverture	Broché
Poids	502g
Intérieur	Noir et Blanc
EAN13	9780471478874