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catalog contributor b12479130.
catalog created "2002.".
catalog date "2002".
catalog date "2002.".
catalog dateCopyrighted "2002.".
catalog description "105 -- 6.5.2 Homogeneity 107 -- 6.5.3 Risk-free condition 107 -- 6.5.4 Monotonicity 107 -- 6.6 Backtesting the operational VaR model 107 -- 6.6.1 Backtesting analytical framework 108 -- 6.6.2 Basic analysis 109 -- 6.6.3 Statistical analysis 112 -- 6.7 Differences between backtesting market and operational VaR models 116 -- 7 Stochastic processes in operational risk 119 -- 7.2 Risk theory and ruin process 119 -- 7.3 Ruin theory applied to hedging an OR portfolio 120 -- 7.4 Markov chains 121 -- 7.5 Renewal processes 126 -- 7.5.1 Homogeneous Poisson process 126 -- 7.5.2 Non-homogeneous Poisson process 127 -- 7.5.3 Cox process (doubly stochastic) 127 -- 7.6 Queuing theory 128 -- 7.7 Reliability and mean time between failures 131 -- 7.8 Stopping times 132 -- 7.9 Mixture distributions 133 -- Part III Causal Modeling 135 -- 8".
catalog description "269 -- 15 Operational risk regulatory capital 271 -- 15.2 Supervisory framework -- the three supervision pillars 272 -- 15.3 Pillar 1 -- regulatory minimum capital approaches 273 -- 15.3.1 Basic indicator approach 274 -- 15.3.2 Standardized approach 275 -- 15.3.3 Internal measurement approach 277 -- 15.3.4 Advanced measurement approaches 280 -- 15.4 Qualitative requirements under the three pillars 281 -- 15.5 Considerations for the current proposals for operational risk 282 -- 15.6 Conclusion/warning 283 -- Part VII Measuring "Other Risks" 285 -- 16 An enterprise-wide model for measuring reputational risk 287 -- 16.1 What is reputational risk? 287.".
catalog description "89 -- 5.2.3 Binomial 91 -- 5.2.4 Hypergeometric 91 -- 5.2.5 Geometric 91 -- 5.2.6 Polya-Aeppli (Poisson-geometric) 92 -- 5.3 Goodness-of-fit tests 92 -- 5.3.1 Chi-squared test 92 -- 5.4 Application to the frauds database 93 -- 5.5 Extreme events frequency analysis 94 -- 5.5.1 Indexing operational losses 96 -- 5.5.2 L-Moments in estimating parameters 97 -- 5.5.3 Identifying and testing homogeneous operational risk event frequency clusters (business units, products, etc.) 98 -- 5.5.4 Estimation for sites with data not available 99 -- 6 Operational value at risk 101 -- 6.2 The concept of VaR and the differences between the market and operational VaRs 102 -- 6.3 Aggregated risk models 102 -- 6.4 Aggregating the severity and frequency distributions 103 -- 6.4.1 Formal results 104 -- 6.4.2 Practical solution 104 -- 6.5 Coherent measures of risk 105 -- 6.5.1 Sub-additivity".
catalog description "Causal models: applying econometrics and time series statistics to operational risk 137 -- 8.2 Basics of multiple regression 137 -- 8.2.1 Goodness-of-fit or R[superscript 2] coefficient 138 -- 8.2.2 F-Test 139 -- 8.2.3 Standard errors and t-ratios 139 -- 8.2.4 Correlation vs. regression 139 -- 8.3 Econometric models: usual problems 140 -- 8.3.1 Autocorrelation 140 -- 8.3.2 Multicollinearity 140 -- 8.3.3 Heteroscedasticity 141 -- 8.4 Model selection criteria 141 -- 8.4.1 Akaike information criterion 141 -- 8.4.2 Schwarz Bayesian criterion 142 -- 8.5 Spectral analysis 142 -- 8.6 Multivariate analysis 143 -- 8.6.1 Factor analysis 143 -- 8.6.2 Canonical correlation 144 -- 8.7 Multifactor modeling in OR -- causal modeling 145 -- 8.8 Kalman filter 153 -- 8.9 Regime switching models 157 -- 8.10 Discriminant analysis: developing operational risk scores 158 -- 8.11".
catalog description "Copulas and multivariate extreme value distributions 215 -- 12.2.3 Latin hypercube 217 -- 12.3 Scenario generations using the multifactor model 217 -- 12.3.1 Stochastic independent variables 218 -- 12.3.2 Estimating confidence intervals for the model parameters 220 -- 12.4 Key control indicators and the volatility of losses 221 -- 12.4.1 Simple calculation of volatility 223 -- 12.4.2 GARCH model to calculate the volatility 225 -- 12.5 Developing an add-in via control migration probabilities 225 -- 12.6 Generating scenarios based on the parameters of the operational VaR model 226 -- Part V Hedging Operational Risk 231 -- 13 Operational risk derivatives 233 -- 13.1.1 Risk mitigation 233 -- 13.1.2 Insurance 233 -- 13.1.3 Capital allocation 234 -- 13.2 Basic framework and challenges in pricing OR derivatives 234 -- 13.2.1 Incomplete markets 234 -- 13.2.2 Utility theory 235 -- 13.2.3".
catalog description "Developing a matrix of probability migration of operational risk ratings 161 -- 9 Non-linear models in operational risk 163 -- 9.2 Neural networks 163 -- 9.3 Bayesian belief networks 167 -- 9.4 Data mining 167 -- 9.5 Fuzzy logic 169 -- 9.5.1 Fuzzy sets 170 -- 9.5.2 Context dependency and intersection of fuzzy sets 171 -- 9.5.3 Use of fuzzy logic in operational risk 172 -- 10 Bayesian techniques in operational risk 177 -- 10.1 Introduction to Bayesian theory 177 -- 10.2 More advanced topics in Bayesian theory 182 -- 10.2.1 Choosing a prior distribution 182 -- 10.2.2 Hierarchical models 183 -- 10.2.3 Model checking and sensitivity analysis in Bayesian models 184 -- 10.3 Bayesian sampling techniques 185 -- 10.3.1 The data augmentation algorithm 186 -- 10.3.2 Bayesian bootstrapping 187 -- 10.3.3 Markov chain Monte Carlo algorithms 187 -- 10.4 Bayesian EVT 189 -- Part IV".
catalog description "Exponential distribution 52 -- 3.6.5 Weibull distribution 52 -- 3.6.6 Pareto distribution 53 -- 3.6.7 Gamma distribution 54 -- 3.6.8 Cauchy distribution 55 -- 3.6.9 Beta distribution 55 -- 3.6.10 Rayleigh distribution 56 -- 3.7 Application to a legal events database 56 -- 4 Extreme value theory 63 -- 4.2 Risk management and statistics of extremes 63 -- 4.3 Extreme distributions and extreme value theory 65 -- 4.4 Applying EVT to operational risk 67 -- 4.4.1 Parameter estimation 69 -- 4.5 Goodness-of-fit tests 77 -- 4.5.1 Graphical tests for extreme value theory 77 -- 4.5.2 Formal tests for extreme value distributions 79 -- 4.6 Working with quantiles 81 -- Appendix A Peaks over threshold method 85 -- 5 Frequency models 87 -- 5.2 Frequency probability distributions, truncation, zero-modification and compounding 87 -- 5.2.1 Poisson 87 -- 5.2.2 Negative binomial".
catalog description "Includes bibliographical references and index.".
catalog description "Moral hazard 236 -- 13.2.4 Adverse selection 237 -- 13.2.5 Actuarial vs. financial pricing 237 -- 13.3 Operational risk derivatives 240 -- 13.3.1 ORL bonds 240 -- 13.3.2 OR swap 246 -- 13.3.3 "First-loss-to-happen" put 249 -- 13.3.4 Equity OR Cat put 250 -- 14 Developing a hedging program for operational risk 253 -- 14.2 Retaining and quasi-retaining structures 253 -- 14.2.1 Internal capital retention 253 -- 14.2.2 Captive insurance 254 -- 14.2.3 Finite risk 255 -- 14.2.4 Risk retention groups 258 -- 14.3 Operational risk insurance 258 -- 14.3.1 Is insurance a proper hedge for OR? 258 -- 14.3.2 Integrated insurance programs 259 -- 14.4 Auditing insurance efficiency 261 -- 14.5 Application of developing a simple hedging program 261 -- 14.5.1 First or primary layer 263 -- 14.5.2 Secondary layer 263 -- 14.5.3 Excess layer 265 -- Part VI Regulatory Capital".
catalog description "Operational Risk Management 191 -- 11 Operational risk reporting, control and management 193 -- 11.2 Operational risk reporting 193 -- 11.2.1 Reports for market and credit risk 194 -- 11.2.2 OR management reports 196 -- 11.2.3 Reports to the operational risk hedgers 197 -- 11.2.4 Reports to the regulators 197 -- 11.3 Operational risk control -- intra-day (real-time) OR control 198 -- 11.4 Operational cost control -- developing operational risk strategies 200 -- 11.5 Active operational risk management -- risk capital, capital allocation and performance measurement 207 -- 11.5.1 Earnings volatility-based methods 208 -- 11.5.2 Operational VaR-based methods 209 -- 11.5.3 Shareholders' value approaches 212 -- 12 Stress tests and scenario analysis 213 -- 12.2 Useful tools in operational risk simulation 214 -- 12.2.1 Random uniform variates generation 214 -- 12.2.2".
catalog description "Part I Database Modeling 7 -- 2 Database modeling 9 -- 2.2 Building the data model 11 -- 2.2.1 Basic framework and initial discussions 11 -- 2.2.2 The data model 15 -- 2.3 Duration of operational risk events 18 -- 2.4 Model risk -- models, inputs and price verification 22 -- 2.4.1 Inputs and feeds 22 -- 2.4.2 Model 23 -- 2.4.3 Results 23 -- 2.5 The impact of operational risk on market and credit risk 23 -- 2.6 Basic database framework for the integration of market, credit and operational risk 28 -- 2.7 Including insurance/hedging in the database 28 -- 2.8 Provisioning treatment of expected operational losses 29 -- 2.9 Developing an operational risk policy 30 -- 2.9.1 Operational risk mapping and definitions 30 -- 2.9.2 Operational loss directive 31 -- 2.9.3 Operational risk measurement policy 31 -- Appendix A External databases 32 -- Appendix B".
catalog description "Risk mapping ("self-assessment") 33 -- Part II Stochastic Modeling 37 -- 3 Severity models 39 -- 3.2 General approach 39 -- 3.3 Basic concepts in probability theory 39 -- 3.3.1 Probability density functions (PDFs) and cumulative distribution functions (CDFs) 39 -- 3.3.2 Moments 40 -- 3.3.3 Measures of central tendency 42 -- 3.3.4 Central limit theory 42 -- 3.3.5 Law of large numbers and Tchebysheff's inequality 44 -- 3.3.6 Methods to estimate parameters 44 -- 3.3.7 Transformation of distributions -- how new distributions are built 45 -- 3.3.8 Empirical distribution 46 -- 3.4 Tail heaviness 46 -- 3.5 Goodness-of-fit tests 47 -- 3.5.1 Formal tests 47 -- 3.5.2 Graphical tests 49 -- 3.6 A few popular probability distributions 49 -- 3.6.1 Normal (or Gauss) distribution 50 -- 3.6.2 Lognormal distribution 51 -- 3.6.3 Inverse normal (Wald) distribution 51 -- 3.6.4".
catalog extent "xiv, 330 p. :".
catalog identifier "0471515604".
catalog isPartOf "Wiley finance series.".
catalog issued "2002".
catalog issued "2002.".
catalog language "eng".
catalog publisher "New York : Chichester : Wiley,".
catalog subject "658.5 21".
catalog subject "BT771 .J61".
catalog subject "HD61 .C78 2002".
catalog subject "Operational risk.".
catalog subject "Production control.".
catalog subject "Risk management.".
catalog tableOfContents "105 -- 6.5.2 Homogeneity 107 -- 6.5.3 Risk-free condition 107 -- 6.5.4 Monotonicity 107 -- 6.6 Backtesting the operational VaR model 107 -- 6.6.1 Backtesting analytical framework 108 -- 6.6.2 Basic analysis 109 -- 6.6.3 Statistical analysis 112 -- 6.7 Differences between backtesting market and operational VaR models 116 -- 7 Stochastic processes in operational risk 119 -- 7.2 Risk theory and ruin process 119 -- 7.3 Ruin theory applied to hedging an OR portfolio 120 -- 7.4 Markov chains 121 -- 7.5 Renewal processes 126 -- 7.5.1 Homogeneous Poisson process 126 -- 7.5.2 Non-homogeneous Poisson process 127 -- 7.5.3 Cox process (doubly stochastic) 127 -- 7.6 Queuing theory 128 -- 7.7 Reliability and mean time between failures 131 -- 7.8 Stopping times 132 -- 7.9 Mixture distributions 133 -- Part III Causal Modeling 135 -- 8".
catalog tableOfContents "269 -- 15 Operational risk regulatory capital 271 -- 15.2 Supervisory framework -- the three supervision pillars 272 -- 15.3 Pillar 1 -- regulatory minimum capital approaches 273 -- 15.3.1 Basic indicator approach 274 -- 15.3.2 Standardized approach 275 -- 15.3.3 Internal measurement approach 277 -- 15.3.4 Advanced measurement approaches 280 -- 15.4 Qualitative requirements under the three pillars 281 -- 15.5 Considerations for the current proposals for operational risk 282 -- 15.6 Conclusion/warning 283 -- Part VII Measuring "Other Risks" 285 -- 16 An enterprise-wide model for measuring reputational risk 287 -- 16.1 What is reputational risk? 287.".
catalog tableOfContents "89 -- 5.2.3 Binomial 91 -- 5.2.4 Hypergeometric 91 -- 5.2.5 Geometric 91 -- 5.2.6 Polya-Aeppli (Poisson-geometric) 92 -- 5.3 Goodness-of-fit tests 92 -- 5.3.1 Chi-squared test 92 -- 5.4 Application to the frauds database 93 -- 5.5 Extreme events frequency analysis 94 -- 5.5.1 Indexing operational losses 96 -- 5.5.2 L-Moments in estimating parameters 97 -- 5.5.3 Identifying and testing homogeneous operational risk event frequency clusters (business units, products, etc.) 98 -- 5.5.4 Estimation for sites with data not available 99 -- 6 Operational value at risk 101 -- 6.2 The concept of VaR and the differences between the market and operational VaRs 102 -- 6.3 Aggregated risk models 102 -- 6.4 Aggregating the severity and frequency distributions 103 -- 6.4.1 Formal results 104 -- 6.4.2 Practical solution 104 -- 6.5 Coherent measures of risk 105 -- 6.5.1 Sub-additivity".
catalog tableOfContents "Causal models: applying econometrics and time series statistics to operational risk 137 -- 8.2 Basics of multiple regression 137 -- 8.2.1 Goodness-of-fit or R[superscript 2] coefficient 138 -- 8.2.2 F-Test 139 -- 8.2.3 Standard errors and t-ratios 139 -- 8.2.4 Correlation vs. regression 139 -- 8.3 Econometric models: usual problems 140 -- 8.3.1 Autocorrelation 140 -- 8.3.2 Multicollinearity 140 -- 8.3.3 Heteroscedasticity 141 -- 8.4 Model selection criteria 141 -- 8.4.1 Akaike information criterion 141 -- 8.4.2 Schwarz Bayesian criterion 142 -- 8.5 Spectral analysis 142 -- 8.6 Multivariate analysis 143 -- 8.6.1 Factor analysis 143 -- 8.6.2 Canonical correlation 144 -- 8.7 Multifactor modeling in OR -- causal modeling 145 -- 8.8 Kalman filter 153 -- 8.9 Regime switching models 157 -- 8.10 Discriminant analysis: developing operational risk scores 158 -- 8.11".
catalog tableOfContents "Copulas and multivariate extreme value distributions 215 -- 12.2.3 Latin hypercube 217 -- 12.3 Scenario generations using the multifactor model 217 -- 12.3.1 Stochastic independent variables 218 -- 12.3.2 Estimating confidence intervals for the model parameters 220 -- 12.4 Key control indicators and the volatility of losses 221 -- 12.4.1 Simple calculation of volatility 223 -- 12.4.2 GARCH model to calculate the volatility 225 -- 12.5 Developing an add-in via control migration probabilities 225 -- 12.6 Generating scenarios based on the parameters of the operational VaR model 226 -- Part V Hedging Operational Risk 231 -- 13 Operational risk derivatives 233 -- 13.1.1 Risk mitigation 233 -- 13.1.2 Insurance 233 -- 13.1.3 Capital allocation 234 -- 13.2 Basic framework and challenges in pricing OR derivatives 234 -- 13.2.1 Incomplete markets 234 -- 13.2.2 Utility theory 235 -- 13.2.3".
catalog tableOfContents "Developing a matrix of probability migration of operational risk ratings 161 -- 9 Non-linear models in operational risk 163 -- 9.2 Neural networks 163 -- 9.3 Bayesian belief networks 167 -- 9.4 Data mining 167 -- 9.5 Fuzzy logic 169 -- 9.5.1 Fuzzy sets 170 -- 9.5.2 Context dependency and intersection of fuzzy sets 171 -- 9.5.3 Use of fuzzy logic in operational risk 172 -- 10 Bayesian techniques in operational risk 177 -- 10.1 Introduction to Bayesian theory 177 -- 10.2 More advanced topics in Bayesian theory 182 -- 10.2.1 Choosing a prior distribution 182 -- 10.2.2 Hierarchical models 183 -- 10.2.3 Model checking and sensitivity analysis in Bayesian models 184 -- 10.3 Bayesian sampling techniques 185 -- 10.3.1 The data augmentation algorithm 186 -- 10.3.2 Bayesian bootstrapping 187 -- 10.3.3 Markov chain Monte Carlo algorithms 187 -- 10.4 Bayesian EVT 189 -- Part IV".
catalog tableOfContents "Exponential distribution 52 -- 3.6.5 Weibull distribution 52 -- 3.6.6 Pareto distribution 53 -- 3.6.7 Gamma distribution 54 -- 3.6.8 Cauchy distribution 55 -- 3.6.9 Beta distribution 55 -- 3.6.10 Rayleigh distribution 56 -- 3.7 Application to a legal events database 56 -- 4 Extreme value theory 63 -- 4.2 Risk management and statistics of extremes 63 -- 4.3 Extreme distributions and extreme value theory 65 -- 4.4 Applying EVT to operational risk 67 -- 4.4.1 Parameter estimation 69 -- 4.5 Goodness-of-fit tests 77 -- 4.5.1 Graphical tests for extreme value theory 77 -- 4.5.2 Formal tests for extreme value distributions 79 -- 4.6 Working with quantiles 81 -- Appendix A Peaks over threshold method 85 -- 5 Frequency models 87 -- 5.2 Frequency probability distributions, truncation, zero-modification and compounding 87 -- 5.2.1 Poisson 87 -- 5.2.2 Negative binomial".
catalog tableOfContents "Moral hazard 236 -- 13.2.4 Adverse selection 237 -- 13.2.5 Actuarial vs. financial pricing 237 -- 13.3 Operational risk derivatives 240 -- 13.3.1 ORL bonds 240 -- 13.3.2 OR swap 246 -- 13.3.3 "First-loss-to-happen" put 249 -- 13.3.4 Equity OR Cat put 250 -- 14 Developing a hedging program for operational risk 253 -- 14.2 Retaining and quasi-retaining structures 253 -- 14.2.1 Internal capital retention 253 -- 14.2.2 Captive insurance 254 -- 14.2.3 Finite risk 255 -- 14.2.4 Risk retention groups 258 -- 14.3 Operational risk insurance 258 -- 14.3.1 Is insurance a proper hedge for OR? 258 -- 14.3.2 Integrated insurance programs 259 -- 14.4 Auditing insurance efficiency 261 -- 14.5 Application of developing a simple hedging program 261 -- 14.5.1 First or primary layer 263 -- 14.5.2 Secondary layer 263 -- 14.5.3 Excess layer 265 -- Part VI Regulatory Capital".
catalog tableOfContents "Operational Risk Management 191 -- 11 Operational risk reporting, control and management 193 -- 11.2 Operational risk reporting 193 -- 11.2.1 Reports for market and credit risk 194 -- 11.2.2 OR management reports 196 -- 11.2.3 Reports to the operational risk hedgers 197 -- 11.2.4 Reports to the regulators 197 -- 11.3 Operational risk control -- intra-day (real-time) OR control 198 -- 11.4 Operational cost control -- developing operational risk strategies 200 -- 11.5 Active operational risk management -- risk capital, capital allocation and performance measurement 207 -- 11.5.1 Earnings volatility-based methods 208 -- 11.5.2 Operational VaR-based methods 209 -- 11.5.3 Shareholders' value approaches 212 -- 12 Stress tests and scenario analysis 213 -- 12.2 Useful tools in operational risk simulation 214 -- 12.2.1 Random uniform variates generation 214 -- 12.2.2".
catalog tableOfContents "Part I Database Modeling 7 -- 2 Database modeling 9 -- 2.2 Building the data model 11 -- 2.2.1 Basic framework and initial discussions 11 -- 2.2.2 The data model 15 -- 2.3 Duration of operational risk events 18 -- 2.4 Model risk -- models, inputs and price verification 22 -- 2.4.1 Inputs and feeds 22 -- 2.4.2 Model 23 -- 2.4.3 Results 23 -- 2.5 The impact of operational risk on market and credit risk 23 -- 2.6 Basic database framework for the integration of market, credit and operational risk 28 -- 2.7 Including insurance/hedging in the database 28 -- 2.8 Provisioning treatment of expected operational losses 29 -- 2.9 Developing an operational risk policy 30 -- 2.9.1 Operational risk mapping and definitions 30 -- 2.9.2 Operational loss directive 31 -- 2.9.3 Operational risk measurement policy 31 -- Appendix A External databases 32 -- Appendix B".
catalog tableOfContents "Risk mapping ("self-assessment") 33 -- Part II Stochastic Modeling 37 -- 3 Severity models 39 -- 3.2 General approach 39 -- 3.3 Basic concepts in probability theory 39 -- 3.3.1 Probability density functions (PDFs) and cumulative distribution functions (CDFs) 39 -- 3.3.2 Moments 40 -- 3.3.3 Measures of central tendency 42 -- 3.3.4 Central limit theory 42 -- 3.3.5 Law of large numbers and Tchebysheff's inequality 44 -- 3.3.6 Methods to estimate parameters 44 -- 3.3.7 Transformation of distributions -- how new distributions are built 45 -- 3.3.8 Empirical distribution 46 -- 3.4 Tail heaviness 46 -- 3.5 Goodness-of-fit tests 47 -- 3.5.1 Formal tests 47 -- 3.5.2 Graphical tests 49 -- 3.6 A few popular probability distributions 49 -- 3.6.1 Normal (or Gauss) distribution 50 -- 3.6.2 Lognormal distribution 51 -- 3.6.3 Inverse normal (Wald) distribution 51 -- 3.6.4".
catalog title "Modeling, measuring operational risk / Marcelo Cruz.".
catalog type "text".