Statistical Analysis of Operational Risk Data

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Synopsis

This concise book for practitioners presents the statistical analysis of operational risk, which is considered the most relevant source of bank risk, after market and credit risk. The book shows that a careful statistical analysis can improve the results of the popular loss distribution approach. The authors identify the risk classes by applying a pooling rule based on statistical tests of goodness-of-fit, use the theory of the mixture of distributions to analyze the loss severities, and apply copula functions for risk class aggregation. Lastly, they assess operational risk data in order to estimate the so-called capital-at-risk that represents the minimum capital requirement that a bank has to hold. The book is primarily intended for quantitative analysts and risk managers, but also appeals to graduate students and researchers interested in bank risks.

Book details

Edition:
1st ed. 2020
Series:
SpringerBriefs in Statistics
Author:
Danilo Carità, Francesco Martinelli, Giovanni De Luca
ISBN:
9783030425807
Related ISBNs:
9783030425791
Publisher:
Springer International Publishing
Pages:
N/A
Reading age:
Not specified
Includes images:
Yes
Date of addition:
2020-03-05
Usage restrictions:
Copyright
Copyright date:
2020
Copyright by:
The Author 
Adult content:
No
Language:
English
Categories:
Business and Finance, Mathematics and Statistics, Nonfiction