Modelling Operational Risk Using Bayesian Inference

• Κύριος συγγραφέας: Shevchenko, Pavel V. (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Θέματα: Statistics.; Finance.; Probabilities.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistical Theory and Methods.; Probability Theory and Stochastic Processes.; Finance, general.

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 exposu...

Πίνακας περιεχομένων:

• Operational Risk and Basel II
• Loss Distribution Approach
• Calculation of Compound Distribution
• Bayesian approach for LDA
• Addressing the Data Truncation Problem
• Modelling Large Losses
• Modelling Dependence
• List of Distributions
• Selected Simulation Algorithms
• Solutions for Selected Problems
• References
• Index.