Operational Risk Modelling and Management - Couverture rigide

Livre 6 sur 7: Chapman & Hall/Crc Finance Series

Franzetti, Claudio

 
9781439844762: Operational Risk Modelling and Management
Couverture rigide
ISBN 10 : 1439844763 ISBN 13 : 9781439844762
Editeur : Chapman & Hall/CRC, 2010

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Claudio Franzetti is the chief risk officer of Swiss Export Risk Insurance (SERV) in Zurich and president of Garrulus Enterprise Ltd. He has previously worked at Aon Resolution AG, Deutsche Bank, Swiss Re, and Iris AG.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Chapman & Hall/CRC
Date d'édition
2010
Langue
anglais
ISBN 10 
1439844763
ISBN 13 
9781439844762
Reliure
Relié
Nombre de pages
389
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Friedensallee 273
Hamburg
22763
Allemagne

Autres éditions populaires du même titre

9781138116511: Operational Risk Modelling and Management

Edition présentée

ISBN 10 :  1138116513 ISBN 13 :  9781138116511
Editeur : Chapman and Hall/CRC, 2017
Couverture souple