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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Main Authors: | |
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Corporate Authors: | |
Group Author: | ; |
Published: |
Wiley ; [John Wiley, distributor],
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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. |