Panjer Operational Risk

Modeling Analytics
1. Auflage 2006
ISBN: 978-0-470-05130-6
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 464 Seiten, E-Book

Reihe: Wiley Series in Probability and Statistics

Discover how to optimize business strategies from both qualitativeand quantitative points of view
Operational Risk: Modeling Analytics is organized around theprinciple that the analysis of operational risk consists, in part,of the collection of data and the building of mathematical modelsto describe risk. This book is designed to provide risk analystswith a framework of the mathematical models and methods used in themeasurement and modeling of operational risk in both the bankingand insurance sectors.
Beginning with a foundation for operational risk modeling and afocus on the modeling process, the book flows logically todiscussion of probabilistic tools for operational risk modeling andstatistical methods for calibrating models of operational risk.Exercises are included in chapters involving numerical computationsfor students' practice and reinforcement of concepts.
Written by Harry Panjer, one of the foremost authorities in theworld on risk modeling and its effects in business management, thisis the first comprehensive book dedicated to the quantitativeassessment of operational risk using the tools of probability,statistics, and actuarial science.
In addition to providing great detail of the many probabilistic andstatistical methods used in operational risk, this bookfeatures:
* Ample exercises to further elucidate the concepts in thetext
* Definitive coverage of distribution functions and relatedconcepts
* Models for the size of losses
* Models for frequency of loss
* Aggregate loss modeling
* Extreme value modeling
* Dependency modeling using copulas
* Statistical methods in model selection and calibration
Assuming no previous expertise in either operational riskterminology or in mathematical statistics, the text is designed forbeginning graduate-level courses on risk and operational managementor enterprise risk management. This book is also useful as areference for practitioners in both enterprise risk management andrisk and operational management.

Autoren/Hrsg.

Panjer, Harry H.

Inhaltsverzeichnis

Preface.
Acknowledgments.
PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.
1. Operational Risk.
2. Basic Probability concepts.
3. Measures of Risk.
PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.
4. Models for the size of losses: Continuous distributions.
5. Models for the number of losses: Counting distributions.
6. Aggregate loss models.
7. Extreme value theory: The study of jumbo losses.
8. Multivariate models.
PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OFOPERATIONAL RISK.
9. Review of mathematical statistics.
10. Parameter Estimation.
11. Estimation for discrete distributions.
12. Model selection.
13. Fitting extreme value models.
14. Fitting copula models.
Appendix A: Gamma and related functions.
Appendix B: Discretization of the severitydistribution.
Appendix C: Nelder-Mead simplex Method.
References.
Index.

Über Autor(innen)

HARRY H. PANJER, PHD, FSA, FCIA, HonFIA, is Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Ontario, Canada. He is past president of both the Canadian Institute of Actuaries and the Society of Actuaries, and he has published numerous articles and books on the subject of risk modeling over the years in the fields of finance and actuarial science.