Statistical Analysis of Operational Risk Data. 1st ed. 2020

種類:

電子ブック

責任表示:

by Giovanni De Luca, Danilo Carità, Francesco Martinelli

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2020

著者名:

• De Luca, Giovanni.
• Carità, Danilo.
• Martinelli, Francesco.
• SpringerLink (Online service)

シリーズ名:

SpringerBriefs in Statistics ;

ISBN:

9783030425807 [3030425800]    

注記:

1 The Operational Risk -- 2 Identification of the Risk Classes -- 3 Severity Analysis -- 4 Frequency Analysis -- 5 Convolution and Risk Class Aggregation -- 6 Conclusions.
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.

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