Modelling Operational Risk Using Bayesian Inference

Idioma: inglés

Editorial: Springer Berlin Heidelberg Jan 2011, 2011

3642159222 / 9783642159220

Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, AlemaniaBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements.Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate.This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks.This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk. 320 pp. Englisch.…

N° de ref. del artículo 9783642159220

Título
Modelling Operational Risk Using Bayesian Inference
Autor
Pavel V. Shevchenko
Editorial
Springer Berlin Heidelberg Jan 2011
Año de publicación
2011
Estado
Neu
Encuadernación
Buch
Idioma
inglés
ISBN 10
3642159222
ISBN 13
9783642159220
Peso del artículo
647 gramos
Dimensiones
241x160x22 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Alemania

Vendedor de 5 estrellas

Vendedor de AbeBooks desde el 11 de enero de 2012

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BuchWeltWeit Ludwig Meier e.K.

Alemania