Operational risk a guide to Basel II capital requirements, models, and analysis
While operational risk has long been regarded as a mere part of ""other"" risks--outside the realm of credit and market risk--it has quickly made its way to the forefront of finance. In fact, with implementation of the Basel II Capital Accord already underway, many financial prof...
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| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
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Hoboken, New Jersey :
John Wiley & Sons
2007.
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| Edición: | 1st edition |
| Colección: | Frank J. Fabozzi Series
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| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627449506719 |
Tabla de Contenidos:
- Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
- Chapter 13: Modeling DependenceIndex
