Modelling Operational Risk Using Bayesian Inference

Name: Modelling Operational Risk Using Bayesian Inference
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783642159220
Price: 100.0 EUR
Availability: InStock

Autor: Pavel V. Shevchenko

Jazyk:

Väzba: Pevná

Vydavateľ: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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The area of quantitative operational risk has undergone explosive development for the last five year...

Informácie o knihe

Autor

Pavel V. Shevchenko

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2011

Stránok

302

EAN

9783642159220

ISBN

3642159222

Enbook ID

01656680

Vydavateľ

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnosť

608

Rozmery

161 x 240 x 24

Kompletný popis

The area of quantitative operational risk has undergone explosive development for the last five years and is of critical importance for the banking industry. It is driven mainly by recent Basel II regulatory requirements that introduced definitions and capital charges for operational risk. The area of quantitative operational risk is very new and the different approaches to it are heatedly debated. This book is devoted to quantitative issues in the loss distribution approach for operational risk being adopted in many banks. In particular, the use of the Bayesian inference method is the main focus of this book. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it provides a consistent and convenient statistical framework to quantify the uncertainties involved. It also allows the combination of expert opinions with historical internal and external data in estimation procedures. These are critical, especially for operational risks with small datasets.

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Modelling Operational Risk Using Bayesian Inference

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