Peters / Shevchenko Advances in Heavy Tailed Risk Modeling

A Handbook of Operational Risk
1. Auflage 2015
ISBN: 978-1-118-90954-6
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 656 Seiten, E-Book

Reihe: Wiley Handbooks in Financial Engineering and Econometrics

A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling
Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes in high consequence low frequency loss modeling.With a companion, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the book provides a complete framework for all aspects of operational risk management and includes:
* Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distributional approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation
* An exploration of the characterization and estimation of risk and insurance modelling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models
* An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates
* Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions
Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The book is also a useful handbook for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.

Autoren/Hrsg.

Peters, Gareth W.

Shevchenko, Pavel V.

Inhaltsverzeichnis

1 Motivation for Heavy-Tailed Models 1

2 Fundamentals of Extreme Value Theory for OpRisk 17

3 Heavy-Tailed Model Class Characterizations for LDA 105

4 Flexible Heavy-Tailed Severity Models: alpha-Stable Family 139

5 Flexible Heavy-Tailed Severity Models: Tempered Stable and Quantile Transforms 227

6 Families of Closed-Form Single Risk LDA Models 279

7 Single Risk Closed-Form Approximations of Asymptotic Tail Behaviour 353

8 Single Loss Closed-Form Approximations of Risk Measures 433

9 Recursions for Distributions of LDA Models 517

A Miscellaneous Definitions and List of Distributions 587

Über Autor(innen)

Advances in Heavy Tailed Risk Modeling: A Handbook ofOperational Risk is an excellent reference for risk managementpractitioners, quantitative analysts, financial engineers, and riskmanagers. The book is also a useful handbook for graduate-levelcourses on heavy tailed processes, advanced risk management, andactuarial science.
Gareth W. Peters, PhD, is Assistant Professor in theDepartment of Statistical Science, Principle Investigator inComputational Statistics and Machine Learning, and Academic Memberof the UK PhD Centre of Financial Computing at University CollegeLondon. He is also Adjunct Scientist in Computational Informatics at the Commonwealth Scientific and Industrial ResearchOrganisation (CSIRO), Australia; Associate Member Oxford-ManInstitute at the Oxford University; andAssociate Member in the Systemic Risk Centre at the London School ofEconomics. In addition, he is Visiting Professor at TheInstitute of Statistical Mathematics, Japan.
Pavel V. Shevchenko, PhD, is Senior PrincipalResearch Scientist in the Division of ComputationalInformatics at the Commonwealth Scientific and Industrial ResearchOrganisation (CSIRO) Australia, as well as Adjunct Professor at theUniversity of New South Wales and the University of Technology,Sydney. He is also Associate Editor of The Journal ofOperational Risk. He works on research and consulting projectsin the area of financial risk and the development of relevantnumerical methods and software, has published extensively inacademic journals, consults for major financial institutions, andfrequently presents at industry and academic conferences.