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.