Discover how to optimize business strategies from both qualitative
and quantitative points of view
Operational Risk: Modeling Analytics is organized around the
principle that the analysis of operational risk consists, in part,
of the collection of data and the building of mathematical models
to describe risk. This book is designed to provide risk analysts
with a framework of the mathematical models and methods used in the
measurement and modeling of operational risk in both the banking
and insurance sectors.
Beginning with a foundation for operational risk modeling and a
focus on the modeling process, the book flows logically to
discussion of probabilistic tools for operational risk modeling and
statistical methods for calibrating models of operational risk.
Exercises are included in chapters involving numerical computations
for students’ practice and reinforcement of concepts.
Written by Harry Panjer, one of the foremost authorities in the
world on risk modeling and its effects in business management, this
is the first comprehensive book dedicated to the quantitative
assessment of operational risk using the tools of probability,
statistics, and actuarial science.
In addition to providing great detail of the many probabilistic and
statistical methods used in operational risk, this book
features:
* Ample exercises to further elucidate the concepts in the
text
* Definitive coverage of distribution functions and related
concepts
* Models for the size of losses
* Models for frequency of loss
* Aggregate loss modeling
* Extreme value modeling
* Dependency modeling using copulas
* Statistical methods in model selection and calibration
Assuming no previous expertise in either operational risk
terminology or in mathematical statistics, the text is designed for
beginning graduate-level courses on risk and operational management
or enterprise risk management. This book is also useful as a
reference for practitioners in both enterprise risk management and
risk and operational management.
Table of Content
Preface.
Acknowledgments.
PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.
1. Operational Risk.
2. Basic Probability concepts.
3. Measures of Risk.
PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.
4. Models for the size of losses: Continuous distributions.
5. Models for the number of losses: Counting distributions.
6. Aggregate loss models.
7. Extreme value theory: The study of jumbo losses.
8. Multivariate models.
PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF
OPERATIONAL RISK.
9. Review of mathematical statistics.
10. Parameter Estimation.
11. Estimation for discrete distributions.
12. Model selection.
13. Fitting extreme value models.
14. Fitting copula models.
Appendix A: Gamma and related functions.
Appendix B: Discretization of the severity
distribution.
Appendix C: Nelder-Mead simplex Method.
References.
Index.
About the author
HARRY H. PANJER, PHD, FSA, FCIA, Hon FIA, is Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Ontario, Canada. He is past president of both the Canadian Institute of Actuaries and the Society of Actuaries, and he has published numerous articles and books on the subject of risk modeling over the years in the fields of finance and actuarial science.
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