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Operational risk : a guide to Basel II capital requirements, models, and analysis / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi.
- Format:
- Book
- Author/Creator:
- Chernobai, Anna S.
- Series:
- Frank J. Fabozzi Series
- Frank J. Fabozzi Series ; v.152
- Language:
- English
- Subjects (All):
- Bank management.
- Risk management.
- Operational risk.
- Physical Description:
- 1 online resource (322 p.)
- Edition:
- 1st edition
- Other Title:
- Guide to Basel II capital requirements, models, and analysis
- Place of Publication:
- Hoboken, New Jersey : John Wiley & Sons, 2007.
- Language Note:
- English
- System Details:
- text file
- Summary:
- While operational risk has long been regarded as a mere part of ""other"" risks--outside the realm of credit and market risk--it has quickly made its way to the forefront of finance. In fact, with implementation of the Basel II Capital Accord already underway, many financial professionals--as well as those preparing to enter this field--must now become familiar with a variety of issues related to operational risk modeling and management. Written by the experienced team of Anna Chernobai, Svetlozar Rachev, and Frank Fabozzi, Operational Risk will introduce you to the key concepts assoc
- Contents:
- Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
- Chapter 13: Modeling DependenceIndex
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and index.
- ISBN:
- 9786610901210
- 9781119201922
- 1119201926
- 9781280901218
- 1280901217
- 9780470148785
- 0470148780
- OCLC:
- 476071631
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