Operational risk capital models:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2015
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Incluye referencias bibliográficas e índice |
| Beschreibung: | xxviii, 459 S. graph. Darst. 24 cm |
| ISBN: | 9781782722014 1782722017 |
Internformat
MARC
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| 245 | 1 | 0 | |a Operational risk capital models |c ed. by Rafael Cavestany ... |
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| 650 | 4 | |a Financial risk management / Mathematical models | |
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| 650 | 4 | |a Administración de riesgos financieros | |
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| 650 | 4 | |a Administración de riesgos / Modelos matemáticos | |
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Datensatz im Suchindex
| _version_ | 1804174935500783616 |
|---|---|
| adam_text | Titel: Operational risk capital models
Autor: Cavestany, Rafael
Jahr: 2015
Contents
Acknowledgements vii
Foreword ix
List of Abbreviations xi
Glossary xiii
About the Editors XXV
About the Authors xxvii
Introduction 1
Rafael Cavestany
PART I: CAPTURE AND DETERMINATION OF THE FOUR DATA
ELEMENTS
2 Collection of Operational Loss Data: ILD and ED 29
Brenda Boultwood
3 Scenario Analysis Framework and BEICFs Integration 57
Rafael Cavestany, Brenda Boultwood, Daniel Rodriguez
PART II: GENERAL FRAMEWORK FOR OPERATIONAL RISK
CAPITAL MODELLING
4 Loss Data Modelling: ILD and ED 95
Rafael Cavestany and Daniel Rodriguez
5 Scenario Analysis Modelling 189
Rafael Cavestany
6 BEICFs Modelling and Integration into the Capital Model 201
Rafael Cavestany
7 Hybrid Model Construction: Integration of ILD, ED and SA 219
Rafael Cavestany, Daniel Rodriguez, Fabrizio Ruggeri
8 Derivation of the Joint Distribution and Capitalisation of
Operational Risk 245
Rafael Cavestany and Daniel Rodriguez
9 Backtesting, Stress Testing and Sensitivity Analysis 303
Rafael Cavestany and Daniel Rodriguez
10 Evolving from a Plain Vanilla to a State-of-the-Art Model 325
Rafael Cavestany
PART III: USE TEST, INTEGRATING CAPITAL RESULTS INTO
THE INSTITUTION S DAY-TO-DAY RISK MANAGEMENT
11 Strategic and Operational Business Planning and Monitoring 335
Rafael Cavestany, Lutz Baumgarten and Brenda Boultwood
12 Risk-Reward Evaluation of Mitigation and Control
Effectiveness 359
Rafael Cavestany and Javier Martinez Moguerza
APPENDICES
1 Distributions for Modelling Operational Risk Capital 395
Daniel Rodriguez
2 Credibility Theory 434
Daniel Rodriguez
3 Mathematical Optimisation Methods Required for Operational
Risk Modelling and Other Risk Mitigation Processes 421
Laureano F. Escuredo
4 Business Risk Quantification 433
Lutz Baumgarten
Index 437
|
| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV042726281 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)927156933 (DE-599)BVBBV042726281 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042726281 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:08:18Z |
| institution | BVB |
| isbn | 9781782722014 1782722017 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028157383 |
| oclc_num | 927156933 |
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| owner_facet | DE-355 DE-BY-UBR DE-706 |
| physical | xxviii, 459 S. graph. Darst. 24 cm |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Risk Books |
| record_format | marc |
| spelling | Operational risk capital models ed. by Rafael Cavestany ... London Risk Books 2015 xxviii, 459 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Incluye referencias bibliográficas e índice Operational risk Risk management Financial risk management Operational risk / Mathematical models Risk management / Mathematical models Financial risk management / Mathematical models Riesgo operacional Administración de riesgos Administración de riesgos financieros Riesgo operacional / Modelos matemáticos Administración de riesgos / Modelos matemáticos Administración de riesgos financieros / Modelos matemáticos Mathematisches Modell Modellierung (DE-588)4170297-9 gnd rswk-swf Risikokapital (DE-588)4124067-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Risikokapital (DE-588)4124067-4 s Risikomanagement (DE-588)4121590-4 s Modellierung (DE-588)4170297-9 s b DE-604 Cavestany, Rafael Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028157383&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Operational risk capital models Operational risk Risk management Financial risk management Operational risk / Mathematical models Risk management / Mathematical models Financial risk management / Mathematical models Riesgo operacional Administración de riesgos Administración de riesgos financieros Riesgo operacional / Modelos matemáticos Administración de riesgos / Modelos matemáticos Administración de riesgos financieros / Modelos matemáticos Mathematisches Modell Modellierung (DE-588)4170297-9 gnd Risikokapital (DE-588)4124067-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4170297-9 (DE-588)4124067-4 (DE-588)4121590-4 (DE-588)4143413-4 |
| title | Operational risk capital models |
| title_auth | Operational risk capital models |
| title_exact_search | Operational risk capital models |
| title_full | Operational risk capital models ed. by Rafael Cavestany ... |
| title_fullStr | Operational risk capital models ed. by Rafael Cavestany ... |
| title_full_unstemmed | Operational risk capital models ed. by Rafael Cavestany ... |
| title_short | Operational risk capital models |
| title_sort | operational risk capital models |
| topic | Operational risk Risk management Financial risk management Operational risk / Mathematical models Risk management / Mathematical models Financial risk management / Mathematical models Riesgo operacional Administración de riesgos Administración de riesgos financieros Riesgo operacional / Modelos matemáticos Administración de riesgos / Modelos matemáticos Administración de riesgos financieros / Modelos matemáticos Mathematisches Modell Modellierung (DE-588)4170297-9 gnd Risikokapital (DE-588)4124067-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Operational risk Risk management Financial risk management Operational risk / Mathematical models Risk management / Mathematical models Financial risk management / Mathematical models Riesgo operacional Administración de riesgos Administración de riesgos financieros Riesgo operacional / Modelos matemáticos Administración de riesgos / Modelos matemáticos Administración de riesgos financieros / Modelos matemáticos Mathematisches Modell Modellierung Risikokapital Risikomanagement Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028157383&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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