The Resource Modelling operational risk using Bayesian inference, Pavel V. Shevchenko
Modelling operational risk using Bayesian inference, Pavel V. Shevchenko
Resource Information
The item Modelling operational risk using Bayesian inference, Pavel V. Shevchenko represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Modelling operational risk using Bayesian inference, Pavel V. Shevchenko represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 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 lowfrequency/highimpact operational risks. 
 Language
 eng
 Extent
 1 online resource (xvii, 302 pages)
 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
 Isbn
 9783642159237
 Label
 Modelling operational risk using Bayesian inference
 Title
 Modelling operational risk using Bayesian inference
 Statement of responsibility
 Pavel V. Shevchenko
 Subject

 Banks and banking  Risk management
 Bayesian statistical decision theory
 Bayesian statistical decision theory
 Bayesian statistical decision theory
 Financial risk management
 BUSINESS & ECONOMICS  Banks & Banking
 Financial risk management
 Operational risk
 Operational risk
 Operational risk
 Financial risk management
 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 lowfrequency/highimpact 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
 Bibliography note
 Includes bibliographical references (pages 289298) 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
 10.1007/9783642159237
 Specific material designation
 remote
 System control number
 (OCoLC)701369495
 Label
 Modelling operational risk using Bayesian inference, Pavel V. Shevchenko
 Bibliography note
 Includes bibliographical references (pages 289298) 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
 10.1007/9783642159237
 Specific material designation
 remote
 System control number
 (OCoLC)701369495
Subject
 Banks and banking  Risk management
 Bayesian statistical decision theory
 Bayesian statistical decision theory
 Bayesian statistical decision theory
 Financial risk management
 BUSINESS & ECONOMICS  Banks & Banking
 Financial risk management
 Operational risk
 Operational risk
 Operational risk
 Financial risk management
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