Operational Risk

Modeling Analytics

Harry H. Panjer - Collection Wiley Series in Probability and Statistics

448 pages, parution le 12/09/2006

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Résumé

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. In the past few years, there have been several initiatives to gather such data for analysis in individual organizations; this volume present such data for more detailed analysis than any other reference in the market.

L'auteur - Harry H. Panjer

Harry H. Panjer, PHD, FSA, FCIA, HonFIA, is Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Ontario, Canada. He is past president of both the Canadian Institute of Actuaries and the Society of Actuaries, and he has published numerous articles and books on the subject of risk modeling over the years in the fields of finance and actuarial science.

Sommaire

Introduction to Operational Risk Modeling
- Operational Risk
- Basic Probability concepts
- Measures of Risk
Probabilistic Tools For Operational Risk Modeling
- 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
Statistical Methods For Calibrating Models Of Operational Risk
- Review of mathematical statistics
- Parameter Estimation
- Estimation for discrete distributions
- Model selection
- Fitting extreme value models
- Fitting copula models
Appendix A: Gamma and related functions
Appendix B: Discretization of the severity distribution
Appendix C: Nelder-Mead simplex Method

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Harry H. Panjer
Collection	Wiley Series in Probability and Statistics
Parution	12/09/2006
Nb. de pages	448
Format	16 x 24
Couverture	Relié
Poids	760g
Intérieur	Noir et Blanc
EAN13	9780471760894
ISBN13	978-0-471-76089-4