Operational Risk
-15%
portes grátis
Operational Risk
Modeling Analytics
Panjer, Harry H.
John Wiley & Sons Inc
08/2006
464
Dura
Inglês
9780471760894
15 a 20 dias
753
Descrição não disponível.
Preface. Acknowledgments.
PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.
1. Operational Risk.
2. Basic Probability concepts.
3. Measures of Risk.
PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.
4. Models for the size of losses: Continuous distributions.
5. Models for the number of losses: Counting distributions.
6. Aggregate loss models.
7. Extreme value theory: The study of jumbo losses.
8. Multivariate models.
PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF OPERATIONAL RISK.
9. Review of mathematical statistics.
10. Parameter Estimation.
11. Estimation for discrete distributions.
12. Model selection.
13. Fitting extreme value models.
14. Fitting copula models.
Appendix A: Gamma and related functions.
Appendix B: Discretization of the severity distribution.
Appendix C: Nelder-Mead simplex Method.
References.
Index.
PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.
1. Operational Risk.
2. Basic Probability concepts.
3. Measures of Risk.
PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.
4. Models for the size of losses: Continuous distributions.
5. Models for the number of losses: Counting distributions.
6. Aggregate loss models.
7. Extreme value theory: The study of jumbo losses.
8. Multivariate models.
PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF OPERATIONAL RISK.
9. Review of mathematical statistics.
10. Parameter Estimation.
11. Estimation for discrete distributions.
12. Model selection.
13. Fitting extreme value models.
14. Fitting copula models.
Appendix A: Gamma and related functions.
Appendix B: Discretization of the severity distribution.
Appendix C: Nelder-Mead simplex Method.
References.
Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
business; qualitative; discover; quantitative points; view operational; optimize; risk; strategies; analytics; part; models; collection; mathematical; data; framework; book; risk analysts; foundation; process; operational; focus
Preface. Acknowledgments.
PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.
1. Operational Risk.
2. Basic Probability concepts.
3. Measures of Risk.
PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.
4. Models for the size of losses: Continuous distributions.
5. Models for the number of losses: Counting distributions.
6. Aggregate loss models.
7. Extreme value theory: The study of jumbo losses.
8. Multivariate models.
PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF OPERATIONAL RISK.
9. Review of mathematical statistics.
10. Parameter Estimation.
11. Estimation for discrete distributions.
12. Model selection.
13. Fitting extreme value models.
14. Fitting copula models.
Appendix A: Gamma and related functions.
Appendix B: Discretization of the severity distribution.
Appendix C: Nelder-Mead simplex Method.
References.
Index.
PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.
1. Operational Risk.
2. Basic Probability concepts.
3. Measures of Risk.
PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.
4. Models for the size of losses: Continuous distributions.
5. Models for the number of losses: Counting distributions.
6. Aggregate loss models.
7. Extreme value theory: The study of jumbo losses.
8. Multivariate models.
PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF OPERATIONAL RISK.
9. Review of mathematical statistics.
10. Parameter Estimation.
11. Estimation for discrete distributions.
12. Model selection.
13. Fitting extreme value models.
14. Fitting copula models.
Appendix A: Gamma and related functions.
Appendix B: Discretization of the severity distribution.
Appendix C: Nelder-Mead simplex Method.
References.
Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
