Operational Risk

Operational Risk

A Guide to Basel II Capital Requirements, Models, and Analysis

Fabozzi, Frank J.; Chernobai, Anna S.; Rachev, Svetlozar T.

John Wiley and Sons Ltd

07/2007

300

Dura

Inglês

9780471780519

610

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Preface. About the Authors. CHAPTER 1. Operational Risk Is Not Just "Other" Risks. CHAPTER 2. Operational Risk: Definition, Classification, and Its Place among Other Risks. CHAPTER 3. Basel II Capital Accord. CHAPTER 4. Key Challenges in Modeling Operational Risk. CHAPTER 5. Frequency Distributions. CHAPTER 6. Loss Distributions. CHAPTER 7. Alpha-Stable Distributions. CHAPTER 8. Extreme Value Theory. CHAPTER 9. Truncated Distributions. CHAPTER 10. Testing for the Goodness of Fit. CHAPTER 11. Value-at-Risk. CHAPTER 12. Robust Modeling. CHAPTER 13. Modeling Dependence. References. Index.
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