Quantitative Operational Risk Models (Chapman & Hall/CRC Finance)
|Rating||:||4.93 (674 Votes)|
|Number of Pages||:||236 Pages|
7, March 2013. "… a very useful addition to the literature on Operational Financial Risk and I would recommend it to practitioners."Alan Penman, Annals of Actuarial Science, Vol
"Great new book!" according to James. Great book! Simple answers to difficult questions. It is clear that it is a co-operation between leading academics and leading practitioners. The best section is perhaps the incredible simple way they combine external data and internal data. Their approach is perfectly consistent from the point of view of mathematical statistics. A lot of the approaches out there are not!
A guideline for practitioners, the book begins with the basics of managing operational risk data to more sophisticated and recent tools needed to quantify the capital requirements imposed by operational risk. Using a simple and intuitive methodology based on classical transformation methods, the book includes real-life examples of the combination of internal data and external information. Presenting a nonparametric approach to modeling operational risk data, Quantitative Operational Risk Models offers a practical perspective that combines statistical analysis and management orientations.. In addition, it provides: Simple, intuitive, and general methods to improve on internal operational risk assessment Univariate event loss severity distributions analyzed using semiparametric modelsMethods for the introd
In 2004 she received the insurance international prize awarded by MAPFRE.Montserrat Guillen has been Chair Professor of Quantitative Methods at the University of Barcelona since 2001 and director of the research group on Risk in Finance and Insurance. Since 2005 she has been an associate editor for the Journal of Risk and Insur