Producció -- Control

Modeling, measuring and hedging operational risk / Marcelo G. Cruz (cop. 2002)

Públic ISBD Títol : Modeling, measuring and hedging operational risk Tipus de document : text imprès Autors : Marcelo G. Cruz, Autor Editorial : Hoboken : John Wiley & Sons Data de publicació : cop. 2002 Col·lecció : Wiley finance series Nombre de pàgines : xiv, 330 p. ll. : il. Dimensions : 26 cm ISBN/ISSN/DL : 978-0-471-51560-9 Nota general : Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Gestió del risc Producció -- Control Classificació : 601.9 Risc Resum : Operational risk is an important, yet little explored, area within risk management. The need to model and measure the risks arising from operational errors and to allocate capital against them will be soon become a regulatory requirement for financial institutions. In this book, Marcelo Cruz provides a quantitative look at the subject, presenting several mathematical models that can be used and adapted to measure, manage and hedge operational risk. Based on the author's extensive experience, the book maps out state-of-the-art mathematical and statistical techniques that can be used to model operational risk. In addition, the book describes a variety of appropriate models that can be applied to specific structures or areas, including operational risk database modeling, stochastic models, statistical distributions for frequency and severity, extreme value theory, operational VaR models, artificial intelligence models, dynamic multifactor models, Bayesian analysis, Monte Carlo simulation, stress test/ scenario analysis, real options, state-space models and the Kalman filter, Markovian stochastic models and others. These models have been tested with real data in real operational events. Based on this experience, numerous examples are sited throughout. Modeling, Measuring and Hedging Operational Risk provides a complete quantitative reference for all those involved in modeling and managing operational risk as well as for those involved with developing hedging products for operational risk within insurance companies and derivatives houses. Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=1 Modeling, measuring and hedging operational risk [text imprès] / Marcelo G. Cruz, Autor . - Hoboken : John Wiley & Sons, cop. 2002 . - xiv, 330 p. : il. ; 26 cm. - (Wiley finance series) . ISBN : 978-0-471-51560-9 Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Gestió del risc Producció -- Control Classificació : 601.9 Risc Resum : Operational risk is an important, yet little explored, area within risk management. The need to model and measure the risks arising from operational errors and to allocate capital against them will be soon become a regulatory requirement for financial institutions. In this book, Marcelo Cruz provides a quantitative look at the subject, presenting several mathematical models that can be used and adapted to measure, manage and hedge operational risk. Based on the author's extensive experience, the book maps out state-of-the-art mathematical and statistical techniques that can be used to model operational risk. In addition, the book describes a variety of appropriate models that can be applied to specific structures or areas, including operational risk database modeling, stochastic models, statistical distributions for frequency and severity, extreme value theory, operational VaR models, artificial intelligence models, dynamic multifactor models, Bayesian analysis, Monte Carlo simulation, stress test/ scenario analysis, real options, state-space models and the Kalman filter, Markovian stochastic models and others. These models have been tested with real data in real operational events. Based on this experience, numerous examples are sited throughout. Modeling, Measuring and Hedging Operational Risk provides a complete quantitative reference for all those involved in modeling and managing operational risk as well as for those involved with developing hedging products for operational risk within insurance companies and derivatives houses. Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=1

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Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10111259	601.9 Cru	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible