Quantitative Operational Risk Models

ISBN: 9781439895924 出版年：2012 页码：236 Bolance, Catalina Guillen, Montserrat Gustafsson, Jim CRC Press

Understanding Operational Risk Introduction Our Approach to Operational Risk Quantification Regulatory Framework The Fundamentals of Calculating Operational Risk Capital Notation and Definitions The Calculation of Operational Risk Capital in Practice Organization of the Book Operational Risk Data and Parametric Models Introduction Internal Data and External Data Basic Parametric Severity Distributions The Generalized Champernowne Distribution Quantile Estimation Further Reading and Bibliographic Notes Semiparametric Model for Operational Risk Severities Introduction Classical Kernel Density Estimation Transformation Method Bandwidth Selection Boundary Correction Transformation with the Generalized Champernowne Distributions Results for the Operational Risk Data Further Reading and Bibliographic Notes Combining Operational Risk Data Sources Why Mixing? Combining Data Sources with the Transformation Method The Mixing Transformation Technique Data Study Further Reading and Bibliographic Notes Underreporting Introduction The Underreporting Function Publicly Reported Loss Data Semiparametric Approach to Correction tor Underreporting An Application to Evaluate Operational Risk with Correction An Application to Evaluate Internal Operational Risk Further Reading and Bibliographic Notes Combining Underreported Internal and External Data Introduction Data Availability Underreporting Losses A Mixing Model in a Truncation Framework Operational Risk Application Further Reading and Bibliographic Notes A Guided Practical Example Introduction Descriptive Statistics and Basic Procedures Transformation Kernel Estimation Combining Internal and External Data Underreporting Implementation Programming in R