A Guide to Basel II Capital Requirements, Models, and Analysis
E-Book, Englisch, 300 Seiten, E-Book
Reihe: Frank J. Fabozzi Series
ISBN: 978-0-470-41054-7
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
Written by the experienced team of Anna Chernobai, SvetlozarRachev, and Frank Fabozzi, Operational Risk will introduceyou to the key concepts associated with this discipline. Filledwith in-depth insights, expert advice, and innovative research,this comprehensive guide not only presents you with an abundantamount of information regarding operational risk, but it also walksyou through a wide array of examples that will solidify yourunderstanding of the issues discussed.
Topics covered include:
* The main challenges that exist in modeling operationalrisk.
* The variety of approaches used to model operationallosses.
* Value-at-Risk and its role in quantifying and managingoperational risk.
* The three pillars of the Basel II Capital Accord.
* And much more.
Autoren/Hrsg.
Weitere Infos & Material
Preface.
About the Authors.
CHAPTER 1. Operational Risk Is Not Just "Other" Risks.
CHAPTER 2. Operational Risk: Definition, Classification, and ItsPlace 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 Dependence.
References.
Index.