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Könyv Modelling Operational Risk Using Bayesian Inference Pavel V. Shevchenko

Modelling Operational Risk Using Bayesian Inference

Szerző: Pavel V. Shevchenko
Nyelv: Angol
Kötés: Kemény kötésű
Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Elérhetőség: Beszállítói készleten
Küldés 10-13 napon belül
38 497 Ft
The area of quantitative operational risk has undergone explosive development for the last five year...

Információk a könyvről

Szerző
Pavel V. Shevchenko
Nyelv
Angol
Kötés
Könyv - Kemény kötésű
Kiadva
2011
oldal
302
EAN
9783642159220
ISBN
3642159222
Enbook ID
01656680
Kiadó
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Súly
608
Méretek
161 x 240 x 24

Teljes leírás

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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