Screen LibraryOperational 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...
Saved in:
| Main Authors: | |
|---|---|
| Corporate Authors: | |
| Group Author: | ; |
| Published: |
Wiley ; [John Wiley, distributor],
|
| Publisher Address: | Hoboken, N.J. : [Chichester] : |
| Publication Dates: | 2007. |
| Literature type: | eBook |
| Language: | English |
| Series: |
The Frank J. Fabozzi series
Wiley finance |
| Subjects: | |
| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781119201922 |
| Summary: |
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 professionals--as well as those preparing to enter this field--must now become familiar with a variety of issues related to operational risk modeling and management. |
| Carrier Form: | 1 online resource (xix, 300 pages) : illustrations. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9781119201922 1119201926 9780470148785 0470148780 1280901217 9781280901218 |
| Index Number: | HG1615 |
| CLC: | F830.2 |
| Contents: | Operational risk is not just "other" risks -- Operational risk : definition, classification, and its place among other risks -- Basel II capital accord -- Key challenges in modeling operational risk -- Frequency distributions -- Loss distributions -- Alpha-stable distributions -- Extreme value theory -- Truncated distributions -- Testing for the goodness of fit -- Value-at-risk -- Robust modeling -- Modeling dependence. |