Statistical analysis of operational risk data [Documento eletrónico] / by Giovanni De Luca, Danilo Carità, Francesco Martinelli
Language: eng.Country: Switzerland, Swiss Confederation.Publication: Cham : Springer International Publishing, Springer, 2020Description: IX, 84 p. : il.ISBN: 978-3-030-42580-7.Series: SpringerBriefs in StatisticsSubject - Topical Name: Statistics | Financial risk management | Econometrics | Financial services industry | Mathematics Online Resources:Click here to access onlineItem type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|
E-Books | Biblioteca NOVA FCT Online | Não Ficção | QA276.SPR FCT (Browse shelf(Opens below)) | 1 | Available | 95938 |
Browsing Biblioteca NOVA FCT shelves, Shelving location: Online, Collection: Não Ficção Close shelf browser (Hides shelf browser)
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.
There are no comments on this title.