Taking into account the standards of the Basel Accord, Operational Risk Modelling and Management presents a simulation model for generating the loss distribution of operational risk. It also examines a multitude of management issues that must be considered when adjusting the quantitative results of a comprehensive model.The book emphasizes techniques that can be understood and applied by practitioners. In the quantitative portions of the text, the author supplies key concepts and definitions without stating theorems or delving into mathematical proofs. He also offers references for readers looking for further background information. In addition, the book includes a Monte Carlo simulation of risk capital in the form of a run-through example of risk calculations based on data from a quantitative impact study. Since the computations are too complicated for a scripting language, a prototypical software program can be downloaded from www.garrulus.comHelping you navigate the tricky world of risk calculation and management, this book presents two main building blocks for determining how much capital needs to be reserved for operational risk. It employs the loss distribution approach as a model for calculating the risk capital figure and explains risk mitigation through management and management's actuations.
| ISBN: | 9781138116511 |
| Publication date: | 7th June 2017 |
| Author: | Claudio Franzetti |
| Publisher: | Chapman & Hall/CRC an imprint of CRC Press |
| Format: | Paperback |
| Pagination: | 416 pages |
| Series: | Chapman & Hall/CRC Finance Series |
| Genres: |
Finance and accounting Probability and statistics Applied mathematics Econometrics and economic statistics |
Taking into account the standards of the Basel Accord, Operational Risk Modelling and Management presents a simulation model for generating the loss distribution of operational risk. It also examines a multitude of management issues that must be considered when adjusting the quantitative results of a comprehensive model.The book emphasizes techniques that can be understood and applied by practitioners. In the quantitative portions of the text, the author supplies key concepts and definitions without stating theorems or delving into mathematical proofs. He also offers references for readers looking for further background information. In addition, the book includes a Monte Carlo simulation of risk capital in the form of a run-through example of risk calculations based on data from a quantitative impact study. Since the computations are too complicated for a scripting language, a prototypical software program can be downloaded from www.garrulus.comHelping you navigate the tricky world of risk calculation and management, this book presents two main building blocks for determining how much capital needs to be reserved for operational risk. It employs the loss distribution approach as a model for calculating the risk capital figure and explains risk mitigation through management and management's actuations.
Operational Risk Modelling and Management features in the following genres: Finance and accounting, Probability and statistics, Applied mathematics, Econometrics and economic statistics
Operational Risk Modelling and Management is available in Paperback, Ebook, Hardback
Operational Risk Modelling and Management was written by Claudio Franzetti and published by Chapman & Hall/CRC an imprint of CRC Press
Operational Risk Modelling and Management has 416 pages
Yes it is part of Chapman & Hall/CRC Finance Series series
£74.69