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The Resource Modelling operational risk using Bayesian inference, Pavel V. Shevchenko

Modelling operational risk using Bayesian inference, Pavel V. Shevchenko

Label
Modelling operational risk using Bayesian inference
Title
Modelling operational risk using Bayesian inference
Statement of responsibility
Pavel V. Shevchenko
Creator
Subject
Language
eng
Summary
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. --
Assigning source
Provided by publisher
Cataloging source
QE2
http://library.link/vocab/creatorName
Shevchenko, Pavel V
Dewey number
658.15/5
Index
index present
LC call number
HG1615
LC item number
.S45 2011eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
  • theses
  • statistics
http://library.link/vocab/subjectName
  • Banks and banking
  • Operational risk
  • Bayesian statistical decision theory
  • Financial risk management
  • BUSINESS & ECONOMICS
  • Bayesian statistical decision theory
  • Financial risk management
  • Operational risk
Label
Modelling operational risk using Bayesian inference, Pavel V. Shevchenko
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 289-298) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Operational Risk and Basel II -- Loss Distribution Approach -- Calculation of Compound Distribution -- Bayesian approach for LDA -- Addressing the Data Truncation Problem -- Modelling Large Losses -- Modelling Dependence -- List of Distributions -- Selected Simulation Algorithms -- Solutions for Selected Problems -- References -- Index
Control code
701369495
Dimensions
unknown
Extent
1 online resource (xvii, 302 pages)
Form of item
online
Isbn
9783642159237
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-15923-7
Specific material designation
remote
System control number
(OCoLC)701369495
Label
Modelling operational risk using Bayesian inference, Pavel V. Shevchenko
Publication
Bibliography note
Includes bibliographical references (pages 289-298) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Operational Risk and Basel II -- Loss Distribution Approach -- Calculation of Compound Distribution -- Bayesian approach for LDA -- Addressing the Data Truncation Problem -- Modelling Large Losses -- Modelling Dependence -- List of Distributions -- Selected Simulation Algorithms -- Solutions for Selected Problems -- References -- Index
Control code
701369495
Dimensions
unknown
Extent
1 online resource (xvii, 302 pages)
Form of item
online
Isbn
9783642159237
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-15923-7
Specific material designation
remote
System control number
(OCoLC)701369495

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