Operational Risk —— Modeling Analytics

----- 企业风险管理

ISBN: 9780471760894 出版年：2006 页码：460 Panjer Wiley

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.