Modeling, measuring and hedging operational risk

著者

• Cruz, Marcelo G.

書誌事項

Modeling, measuring and hedging operational risk

Marcelo G. Cruz

（Wiley finance series）

John Wiley & Sons, c2002

注記

Includes bibliographical references and index

内容説明・目次

内容説明

Worldwide banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so. * Author is one of the leading experts in the field of operational risk. * Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk. * Includes case vignettes and real-world examples based on the author's extensive experience.

目次

Introduction PART I: DATABASE MODELING Database Modeling PART II: STOCHASTIC MODELING Severity Distributions Extreme Value Theory Frequency Distributions The Operational Risk VaR Stochastic Processes in Operational Risk PART III: CAUSAL MODELS Causal Models : Applying Econometrics and Time Series Statistics to Operational Risk Non-Linear Models in Operational Risk Bayesian Techniques in Operational Risk PART IV: OPERATIONAL RISK MANAGEMENT Operational Risk Reporting, Control and Management - Stress Tests and Scenario Analysis in Operational Risk PART V: HEDGING OPERATIONAL RISK Operational Risk Derivatives Developing an OR Hedging Program PART VI: OPERATIONAL RISK REGULATORY CAPITAL Operational Risk Regulatory Capital PART VII: MEASURING "OTHER RISKS" - FOREGONE REVENUE MEASUREMENT MODELS An Enterprise-Wide Model for Measuring Reputational Risk - Measuring Concentration (or Key Personnel) Risk - Using Real Options in Modeling and Measuring Operational and 'Other' Risks APPENDIX - Valuing Networks - Understanding the basics of e-ventures valuation

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA56898451
• ISBN:
  • 0471515604
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Chichester
• ページ数/冊数: xiv, 330 p.
• 大きさ: 26 cm
• 件名:
  • LCSH : Financial institutions -- Management
  • LCSH : Capital market
  • LCSH : Risk management
  • LCSH : Hedging (Finance)
  • LCSH : Risk -- Mathematical models
• 親書誌ID:
  • BA5197584X