Quantitative operational risk models. (2012)

• Record Type: Book
• Further Information: Note: Catalina Bolancé [and others].
• Other Names: Bolancé, Catalina
• Contents: Understanding Operational Risk; Introduction; Our Approach to Operational Risk Quantification; Regulatory Framework; The Fundamentals of Calculating Operational Risk Capital; Notation and Definitions; The Calculation of Operational Risk Capital in Practice; Organization of the Book; ; Operational Risk Data and Parametric Models; Introduction; Internal Data and External Data; Basic Parametric Severity Distributions; The Generalized Champernowne Distribution; Quantile Estimation; Further Reading and Bibliographic Notes; ; Semiparametric Model for Operational Risk Severities; Introduction; Classical Kernel Density Estimation; Transformation Method; Bandwidth Selection; Boundary Correction; Transformation with the Generalized Champernowne Distributions; Results for the Operational Risk Data; Further Reading and Bibliographic Notes; ; Combining Operational Risk Data Sources; Why Mixing?; Combining Data Sources with the Transformation Method; The Mixing Transformation Technique; ; Data Study; Further Reading and Bibliographic Notes; ; Underreporting; Introduction; The Underreporting Function; Publicly Reported Loss Data; Semiparametric Approach to Correction tor Underreporting; An Application to Evaluate Operational Risk with Correction; An Application to Evaluate Internal Operational Risk; Further Reading and Bibliographic Notes; ; Combining Underreported Internal and External Data; Introduction; Data Availability; Underreporting Losses; A Mixing Model in a Truncation Framework; Operational Risk Application; Further Reading and Bibliographic Notes; ; A Guided Practical Example; Introduction; Descriptive Statistics and Basic Procedures; Transformation Kernel Estimation; Combining Internal and External Data; Underreporting Implementation; Programming in R;
• Publisher Details: Boca Raton : Taylor & Francis
• Publication Date: 2012
• Extent: 1 online resource
• Subjects: 368.001; Risk management; Operational risk; Risk Management; Models, Theoretical; Operational risk; Risk management; BUSINESS & ECONOMICS -- Insurance -- Risk Assessment & Management; Operational risk; Risk management; Electronic books
• Languages: English
• ISBNs: 9781439895931; 1439895937
• Related ISBNs: 9781439895924; 1439895929
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.