Operational risk : measurement and modelling
著者
書誌事項
Operational risk : measurement and modelling
（Wiley finance series）
Wiley, c2001
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注記
Includes bibliographical references (p. [249]-253) and index
内容説明・目次
内容説明
Operational risk is emerging as the third leg of an institutional risk strategy for financial institutions. Now recognized as a potential source of financial waste, operational risk has become the subject of surveys, analysis, and the search for a comprehenvise set of definitions and a shared framework. Written by a leading expert on operational risk measurement, this important work puts forth a cradle-to-grave hands-on approach that concentrates on measurement of risk in order to provide the needed feedback for managing and mitigating it. Using both theoretical and practical material, he lays out a foundation theory that can be applied and refined for application in the financial sector and beyond which includes a new technique called Delta-EVT(trademark). This technique is a combination of two existing methods which provides for the complete measurement of operational risk loss. The book contains comprehensive step-by-step descriptions based on real-world examples, formulas and procedures for calculating many common risk measures and building causal models using Bayesian networks, and background for understanding the history and motivation for addressing operational risk.
目次
Preface.
Acknowledgements.
INTRODUCTION TO OPERATIONAL RISK.
Introduction to Operational Risk.
Historical Losses.
Regulation.
MEASURING OPERATIONAL RISK.
A Measurement Framework for Operational Risk.
The Delta Methodology.
The EVT Methodology.
MODELLING OPERATIONAL RISK.
Delta-EVT(TM) Models for Operational Risk.
Causal Modelling.
Causal Models for Operational Risk.
MATHEMATICAL FOUNDATIONS.
Error Propagation.
Extreme Value Theory.
Bayesian Methods.
APPENDICES.
Glossary.
Bibliography.
Index.
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