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Modelling Operational Risk Using Bayesian Inference by Pavel V. Shevchenko (Hardcover, 2011)

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The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements. Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks. This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk.

Product Identifiers

Publisher
Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
ISBN-13
9783642159220
eBay Product ID (ePID)
178148685

Product Key Features

Author
Pavel V. Shevchenko
Publication Name
Modelling Operational Risk Using Bayesian Inference
Format
Hardcover
Language
English
Subject
Government, Finance, Mathematics
Publication Year
2011
Type
Textbook
Number of Pages
302 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Item Weight
647g

Additional Product Features

Title_Author
Pavel V. Shevchenko
Country/Region of Manufacture
Germany

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Modelling Operational Risk Using Bayesian Inference by Pavel V. Shevchenko (Hardcover, 2011)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

Best Selling in Adult Learning & University

Maps of Meaning: The Architecture of Belief by Jordan B. Peterson (1999, Paperback)

Eduqas GCSE (9-1) Religious Studies Route B: Catholic Christianity and Judaism by Deirdre Cleary, Andrew Barron, Joy White, Patrick Harrison (Paperback, 2017)

Aradale: The Making of a Haunted Asylum by Nathaniel Buchanan, David Waldron, Sharn Waldron (Paperback, 2020)

Silent Spring by Rachel Carson (Paperback, 2000)

Understanding and Treating Chronic Shame: Healing Right Brain Relational Trauma by Patricia A. DeYoung (Paperback, 2021)

Time Management by Peter Quarry (Paperback, 1986)

Save on Adult Learning & University

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Havard's Nursing Guide to Drugs

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