Quantitative Operational Risk Models
1st Edition
Published on 15. February 2012
Book
Hardback
236 pages
978-1-4398-9592-4 (ISBN)
Description
Using real-life examples from the banking and insurance industries, Quantitative Operational Risk Models details how internal data can be improved based on external information of various kinds. Using a simple and intuitive methodology based on classical transformation methods, the book includes real-life examples of the combination of internal data and external information.
A guideline for practitioners, the book begins with the basics of managing operational risk data to more sophisticated and recent tools needed to quantify the capital requirements imposed by operational risk. The book then covers statistical theory prerequisites, and explains how to implement the new density estimation methods for analyzing the loss distribution in operational risk for banks and insurance companies. In addition, it provides:
Simple, intuitive, and general methods to improve on internal operational risk assessment
Univariate event loss severity distributions analyzed using semiparametric models
Methods for the introduction of underreporting information
A practical method to combine internal and external operational risk data, including guided examples in SAS and R
Measuring operational risk requires the knowledge of the quantitative tools and the comprehension of insurance activities in a very broad sense, both technical and commercial. Presenting a nonparametric approach to modeling operational risk data, Quantitative Operational Risk Models offers a practical perspective that combines statistical analysis and management orientations.
A guideline for practitioners, the book begins with the basics of managing operational risk data to more sophisticated and recent tools needed to quantify the capital requirements imposed by operational risk. The book then covers statistical theory prerequisites, and explains how to implement the new density estimation methods for analyzing the loss distribution in operational risk for banks and insurance companies. In addition, it provides:
Simple, intuitive, and general methods to improve on internal operational risk assessment
Univariate event loss severity distributions analyzed using semiparametric models
Methods for the introduction of underreporting information
A practical method to combine internal and external operational risk data, including guided examples in SAS and R
Measuring operational risk requires the knowledge of the quantitative tools and the comprehension of insurance activities in a very broad sense, both technical and commercial. Presenting a nonparametric approach to modeling operational risk data, Quantitative Operational Risk Models offers a practical perspective that combines statistical analysis and management orientations.
Reviews / Votes
"... a very useful addition to the literature on Operational Financial Risk and I would recommend it to practitioners."-Alan Penman, Annals of Actuarial Science, Vol. 7, March 2013
More details
Series
Language
English
Place of publication
Oxford
United States
Publishing group
Taylor & Francis Inc
Target group
General
Product notice
sewn/stitched
Cloth over boards
Illustrations
62 s/w Abbildungen, 52 s/w Tabellen
52 Tables, black and white; 62 Illustrations, black and white
Dimensions
Height: 241 mm
Width: 159 mm
Thickness: 17 mm
Weight
449 gr
ISBN-13
978-1-4398-9592-4 (9781439895924)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Catalina Bolance | Montserrat Guillen | Jim Gustafsson
Quantitative Operational Risk Models
Book
03/2023
1st Edition
Chapman & Hall/CRC
€71.30
Shipment within 10-20 days
Catalina Bolance | Montserrat Guillen | Jim Gustafsson
Quantitative Operational Risk Models
E-Book
02/2012
1st Edition
Chapman & Hall/CRC
€64.49
Available for download
Catalina Bolance | Montserrat Guillen | Jim Gustafsson
Quantitative Operational Risk Models
E-Book
02/2012
1st Edition
Chapman and Hall
€64.49
Available for download
Persons
Catalina Bolance has been Associate Professor of Quantitative Methods for Economics and Management Science of the Department of Econometrics at University of Barcelona since 2001. She received a PhD in Economics, an M.A. in Marketing, and a B.Sc. in Statistics at the University of Barcelona. She is currently member of the research group Risk in Finance and Insurance and is a specialist in applied nonparametric methods. She has coauthored several undergraduate books on applied statistics that are widely used in Spanish universities and has also published in high-quality scientific journals like Insurance: Mathematics and Economics, Statistics, and Astin Bulletin-The Journal of the International Actuarial Association, the journal of the International Actuarial Association. She has supervised many Master's and Ph.D. theses with an outstanding tutoring record. Since 2010 she has participated in a project of the London School of Economics on long-term care insurance sponsored by the AXA research fund. In 2004 she received the insurance international prize awarded by MAPFRE.
Montserrat Guillen has been Chair Professor of Quantitative Methods at the University of Barcelona since 2001 and director of the research group on Risk in Finance and Insurance. She received an M.S. degree in Mathematics and Mathematical Statistics in 1987, and a Ph.D. degree in Economics from the University of Barcelona in 1992. She also received theM.A. degree in Data Analysis from the University of Essex, United Kingdom. She was Visiting Research faculty at the University of Texas at Austin (USA) in 1994. She holds a visiting professor position at the University of Paris II, where she teaches Insurance Econometrics. Her research focuses on actuarial statistics and quantitative risk management. Since 2005 she has been an associate editor for the Journal of Risk and Insurance, the official journal of the American Risk an
Montserrat Guillen has been Chair Professor of Quantitative Methods at the University of Barcelona since 2001 and director of the research group on Risk in Finance and Insurance. She received an M.S. degree in Mathematics and Mathematical Statistics in 1987, and a Ph.D. degree in Economics from the University of Barcelona in 1992. She also received theM.A. degree in Data Analysis from the University of Essex, United Kingdom. She was Visiting Research faculty at the University of Texas at Austin (USA) in 1994. She holds a visiting professor position at the University of Paris II, where she teaches Insurance Econometrics. Her research focuses on actuarial statistics and quantitative risk management. Since 2005 she has been an associate editor for the Journal of Risk and Insurance, the official journal of the American Risk an
Content
Understanding Operational Risk. Operational Risk Data and Parametric Models. Semiparametric Model for Operational Risk Severities. Combining Operational Risk Data Sources. Data Study. Underreporting. Combining Underreported Internal and External Data. A Guided Practical Example.