rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Fundamental aspects of operational risk and insurance analytics
    sub title: a handbook of operational risk
  name:
    name part: Cruz, Marcelo G.
    role:
      role term: creator
  name:
    name part: Peters, Gareth W.
    name part: 1978-
  name:
    name part: Shevchenko, Pavel V.
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nju
    date issued: 2014
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource.
  abstract: "Co-edited by acknowledged experts in the quantification of operational risk, Handbook of Operational Risk conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter. This one-stop guide for financial engineers, quantitative analysts, and risk managers places under one cover all of the necessary theory, applications, and models that are inherent in any discussion of the subject. The authors emphasize the importance of collecting high-quality data based upon understanding the problems that impede the gathering process"--
  abstract: "Systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the quantification of operational risk"--
  table of contents: OpRisk in Perspective -- OpRisk Data and Governance -- Using OpRisk Data for Business Analysis -- Stress-Testing OpRisk Capital and the Comprehensive Capital Analysis and Review (CCAR) -- Basic Probability Concepts in Loss Distribution Approach -- Risk Measures and Capital Allocation -- Estimation of Frequency and Severity Models -- Model Selection and Goodness-of-Fit Testing for Frequency and Severity Models -- Flexible Parametric Severity Models -- Dependence Concepts -- Dependence Models -- Examples of LDA Dependence Models -- Loss Aggregation -- Scenario Analysis -- Combining Different Data Sources -- Multifactor Modeling and Regression for Loss Processes -- Insurance and Risk Transfer -- Insurance and Risk Transfer -- Appendix A Miscellaneous Definitions and List of Distributions -- Bibliography -- Index -- Wiley Handbooks in Financial Engineering and Econometrics -- Color Insert.
  note: Marcelo G. Cruz, GLeonard N. Stern School of Business, New York University, New York, NY, USA, Gareth W. Peters, Department of Statistical Science, University College of London, London, United Kingdom, Pavel V. Shevchenko, Division of Computational Informatics, The Commonwealth Scientific and Industrial Research Organization, Sydney, Australia.
  note: Machine generated contents note: Preface xxi Acronyms xxv 1 OpRisk in Perspective 1 1.1 Brief History 1 1.2 Risk-Based Capital Ratios for Banks 5 1.3 The Basic Indicator and Standardized Approaches for OpRisk 9 1.4 The Advanced Measurement Approach 11 1.5 General Remarks and Book Structure 16 2 OpRisk Data and Governance 17 2.1 Introduction 17 2.2 OpRisk Taxonomy 18 2.3 The Elements of the OpRisk Framework 25 2.4 Business Environment and Internal Control Environment Factors (BEICFs) 29 2.5 External Databases 32 2.6 Scenario Analysis 33 2.7 OpRisk Profile in Different Financial Sectors 36 2.8 Risk Organization and Governance 43 3 Using OpRisk Data for Business Analysis 49 3.1 Cost Reduction Programs at Financial Firms 50 3.2 Using OpRisk Data to Perform Business Analysis 54 3.3 The Risk of Losing Key Talents: OpRisk in Human Resources 55 3.4 Systems Risks: OpRisk in Systems Development and Transaction Processing 56 3.5 Conclusions 59 4 Stress Testing OpRisk Capital and CCAR 61 4.1 The Need for Stressing OpRisk Capital Even Beyond the 99.9% 61 4.2 Comprehensive Capital Review and Analysis (CCAR) 62 4.3 OpRisk and Stress Tests 68 4.4 OpRisk in CCAR in Practice 69 4.5 Reverse Stress Test 75 4.6 Stressing OpRisk Multivariate Models 75 5 Basic Probability Concepts in Loss Distribution Approach 79 5.1 Loss Distribution Approach 79 5.2 Quantiles and Moments 84 5.3 Frequency Distributions 87 5.4 Severity Distributions 88 5.5 Convolutions and Characteristic Functions 93 5.6 Extreme Value Theory 95 6 Risk Measures and Capital Allocation 101 6.1 Development of Capital Accords Base I, II and III 102 6.2 Measures of Risk 105 6.3 Capital Allocation 130 7 Estimation of Frequency and Severity Models 143 7.1 Frequentist Estimation 143 7.2 Bayesian Inference Approach 155 7.3 Mean Square Error of Prediction 160 7.4 Standard Markov Chain Monte Carlo Methods. 161 7.5 Standard MCMC Guidelines for Implementation 174 7.6 Advanced Markov chain Monte Carlo Methods 182 7.7 Sequential Monte Car…
  note: Includes bibliographical references and index.
  subject:
    topic: Operational risk
  subject:
    topic: Risk management
  subject:
    topic: MATHEMATICS / Probability & Statistics / General
  subject:
    topic: Emergency management
  subject:
    topic: Operational risk
  subject:
    topic: Risk management
  subject:
    topic: Operational risk
  subject:
    topic: Risk management
  classification: HD61
  classification: 658.15/5
  classification: MAT029000
  related item:
    title info:
      title: Fundamental aspects of operational risk and insurance analytics
    name:
      name part: Cruz, Marcelo G.
    origin info:
      publisher: Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]
    identifier: (DLC) 2014012662
  related item:
    title info:
      title: Wiley handbooks in financial engineering and econometrics
  identifier: 9781118573006 (epub)
  identifier: 1118573005 (epub)
  identifier: 9781118573020 (pdf)
  identifier: 1118573021 (pdf)
  identifier: 9781118118399 (hardback)
  identifier: 9781118573013
  identifier: 1118573013
  identifier: 2014021657
  identifier: CL0500000591 Safari Books Online
  identifier: https://doi.org/10.1002/9781118573013
  record info:
    record content source: DLC
    record creation date: 140603
    record change date: 20170124071715.1
    record identifier: ocn880960174
    language of cataloging:
      language term: eng