Fundamental aspects of operational risk and insurance analytics : a handbook of operational risk / Marcelo G. Cruz, GLeonard N. Stern School of Business, New York University, New York, NY, USA, Gareth W. Peters, Department of Statistical Science, University College of London, London, United Kingdom, Pavel V. Shevchenko, Division of Computational Informatics, the Commonwealth Scientific and Industrial Research Organization, Sydney, Australia.

"Co-edited by acknowledged experts in the quantification of operational risk, Handbook of Operational Risk conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter. Th...

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Bibliographic Details
Main Author:	Cruz, Marcelo G.
Other Authors:	Peters, Gareth W., 1978-, Shevchenko, Pavel V.
Format:	eBook
Language:	English
Published:	Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]
Subjects:	Operational risk. Risk management. risk management. MATHEMATICS > Probability & Statistics > General. Operational risk Risk management
Online Access:	Click for online access

Table of Contents:

OpRisk in Perspective
OpRisk Data and Governance
Using OpRisk Data for Business Analysis
Stress-Testing OpRisk Capital and the Comprehensive Capital Analysis and Review (CCAR)
Basic Probability Concepts in Loss Distribution Approach
Risk Measures and Capital Allocation
Estimation of Frequency and Severity Models
Model Selection and Goodness-of-Fit Testing for Frequency and Severity Models
Flexible Parametric Severity Models
Dependence Concepts
Dependence Models
Examples of LDA Dependence Models
Loss Aggregation
Scenario Analysis
Combining Different Data Sources
Multifactor Modeling and Regression for Loss Processes
Insurance and Risk Transfer
Insurance and Risk Transfer
Appendix A Miscellaneous Definitions and List of Distributions
Bibliography
Index
Wiley Handbooks in Financial Engineering and Econometrics
Color Insert.

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