Operational Risk: Measurement and ModellingISBN: 978-0-471-85209-4
Hardcover
276 pages
April 2001
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Preface.
Acknowledgements.
INTRODUCTION TO OPERATIONAL RISK.
Introduction to Operational Risk.
Historical Losses.
Regulation.
MEASURING OPERATIONAL RISK.
A Measurement Framework for Operational Risk.
The Delta Methodology.
The EVT Methodology.
MODELLING OPERATIONAL RISK.
Delta-EVT(TM) Models for Operational Risk.
Causal Modelling.
Causal Models for Operational Risk.
MATHEMATICAL FOUNDATIONS.
Error Propagation.
Extreme Value Theory.
Bayesian Methods.
APPENDICES.
Glossary.
Bibliography.
Index.
Acknowledgements.
INTRODUCTION TO OPERATIONAL RISK.
Introduction to Operational Risk.
Historical Losses.
Regulation.
MEASURING OPERATIONAL RISK.
A Measurement Framework for Operational Risk.
The Delta Methodology.
The EVT Methodology.
MODELLING OPERATIONAL RISK.
Delta-EVT(TM) Models for Operational Risk.
Causal Modelling.
Causal Models for Operational Risk.
MATHEMATICAL FOUNDATIONS.
Error Propagation.
Extreme Value Theory.
Bayesian Methods.
APPENDICES.
Glossary.
Bibliography.
Index.
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