Statistical Analysis of Operational Risk Data (Paperback, 1st ed. 2020)

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.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	SpringerBriefs in Statistics
Release date:	February 2020
First published:	2020
Authors:	Giovanni De Luca • Danilo Carita • Francesco Martinelli
Dimensions:	235 x 155mm (L x W)
Format:	Paperback
Pages:	84
Edition:	1st ed. 2020
ISBN-13:	978-3-03-042579-1
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Business & management > Management & management techniques > General Books > Business & Economics > Industry & industrial studies > Service industries > Financial services industry Books > Science & Mathematics > Mathematics > Applied mathematics > General Promotions
LSN:	3-03-042579-7
Barcode:	9783030425791

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