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Statistical analysis of operational ...

Carita, Danilo.

Statistical analysis of operational risk data

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Statistical analysis of operational risk databy Giovanni De Luca, Danilo Carita, Francesco Martinelli.
作者:	De Luca, Giovanni.
其他作者:	Carita, Danilo.
出版者:	Cham :Springer International Publishing :2020.
面頁冊數:	ix, 84 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Operational riskStatistics.
電子資源:	https://doi.org/10.1007/978-3-030-42580-7
ISBN:	9783030425807$q(electronic bk.)

Statistical analysis of operational risk data
De Luca, Giovanni.

Statistical analysis of operational risk data[electronic resource] /by Giovanni De Luca, Danilo Carita, Francesco Martinelli. - Cham :Springer International Publishing :2020. - ix, 84 p. :ill., digital ;24 cm. - SpringerBriefs in statistics,2191-544X. - SpringerBriefs in statistics..

1 The Operational Risk -- 2 Identification of the Risk Classes -- 3 Severity Analysis -- 4 Frequency Analysis -- 5 Convolution and Risk Class Aggregation -- 6 Conclusions.

This concise book for practitioners presents the statistical analysis of operational risk, which is considered the most relevant source of bank risk, after market and credit risk. The book shows that a careful statistical analysis can improve the results of the popular loss distribution approach. The authors identify the risk classes by applying a pooling rule based on statistical tests of goodness-of-fit, use the theory of the mixture of distributions to analyze the loss severities, and apply copula functions for risk class aggregation. Lastly, they assess operational risk data in order to estimate the so-called capital-at-risk that represents the minimum capital requirement that a bank has to hold. The book is primarily intended for quantitative analysts and risk managers, but also appeals to graduate students and researchers interested in bank risks.

ISBN: 9783030425807$q(electronic bk.)

Standard No.: 10.1007/978-3-030-42580-7doiSubjects--Topical Terms:

862940
Operational risk
--Statistics.

LC Class. No.: HD61 / .D458 2020

Dewey Class. No.: 658.155

Statistical analysis of operational risk data
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