Taking into account the standards of the Basel Accord, Operational
Risk Modelling and Management presents a simulation model for
generating the loss distribution of operational risk. It also
examines a multitude of management issues that must be considered
when adjusting the quantitative results of a comprehensive model.
The book emphasizes techniques that can be understood and applied
by practitioners. In the quantitative portions of the text, the
author supplies key concepts and definitions without stating
theorems or delving into mathematical proofs. He also offers
references for readers looking for further background information.
In addition, the book includes a Monte Carlo simulation of risk
capital in the form of a run-through example of risk calculations
based on data from a quantitative impact study. Since the
computations are too complicated for a scripting language, a
prototypical software program can be downloaded from
www.garrulus.com Helping you navigate the tricky world of risk
calculation and management, this book presents two main building
blocks for determining how much capital needs to be reserved for
operational risk. It employs the loss distribution approach as a
model for calculating the risk capital figure and explains risk
mitigation through management and management's actuations.
General
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