While operational risk has long been regarded as a mere part of’other’ risks–outside the realm of credit and market risk–it hasquickly made its way to the forefront of finance. In fact, withimplementation of the Basel II Capital Accord already underway, many financial professionals–as well as those preparing to enterthis field–must now become familiar with a variety of issuesrelated to operational risk modeling and management.
Written by the experienced team of Anna Chernobai, Svetlozar Rachev, and Frank Fabozzi, Operational Risk will introduceyou to the key concepts associated with this discipline. Filledwith in-depth insights, expert advice, and innovative research, this comprehensive guide not only presents you with an abundantamount of information regarding operational risk, but it also walksyou through a wide array of examples that will solidify yourunderstanding of the issues discussed.
Topics covered include:
* The main challenges that exist in modeling operationalrisk.
* The variety of approaches used to model operationallosses.
* Value-at-Risk and its role in quantifying and managingoperational risk.
* The three pillars of the Basel II Capital Accord.
* And much more.
Mục lục
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 Dependence.
References.
Index.
Giới thiệu về tác giả
Anna S. Chernobai, Ph D, is an Assistant Professor of Financeat the M. J. Whitman School of Management at Syracuse University.The focus of her research is operational risk management.
Svetlozar T. Rachev, Ph D, Dr Sci, is Chair-Professor atthe University of Karlsruhe, Germany, in the School of Economicsand Business Engineering, Professor Emeritus at the University of California, Santa Barbara, and Chief-Scientist of Fin Analytica.
Frank J. Fabozzi, Ph D, CFA, is Professor in the Practiceof Finance at Yale University’s School of Management and the Editorof the Journal of Portfolio Management.
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