Operational risk capital models /
"Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of the...
Guardado en:
| Otros Autores: | , , |
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| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
London :
Risk Books,
c2015.
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| Materias: | |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 03976nam a2200421Ia 4500 | ||
|---|---|---|---|
| 001 | 990000641280204151 | ||
| 005 | 20180327175239.0 | ||
| 008 | 150612s2015 enka b 001 0 eng d | ||
| 020 | |a 9781782722014 | ||
| 020 | |a 1782722017 | ||
| 035 | |a (OCoLC)000064128 | ||
| 035 | |a (udesa)000064128USA01 | ||
| 035 | |a (OCoLC)910965369 | ||
| 035 | |a (OCoLC)990000641280204151 | ||
| 040 | |a U@S |b spa |c U@S | ||
| 049 | |a U@SA | ||
| 050 | 4 | |a HD61 |b .O64 2015 | |
| 245 | 0 | 0 | |a Operational risk capital models / |c edited by Rafael Cavestany, Brenda Boultwood, Laureano F. Escudero. |
| 260 | |a London : |b Risk Books, |c c2015. | ||
| 300 | |a xxviii, 459 p. : |b il. ; |c 24 cm. | ||
| 504 | |a Incluye referencias bibliográficas e índice. | ||
| 505 | 0 | |a 1. Introduction / Rafael Cavestany -- 2. Collection of operational loss data: ILD and ED / Brenda Boultwood -- 3. Scenario analysis framework and BEICFs integration / Rafael Cavestany, Brenda Boultwood, Daniel Rodriguez -- 4. Loss data modelling: ILD and ED / Rafael Cavestany, Daniel Rodriguez -- 5. Scenario analysis modelling / Rafael Cavestany -- 6. BEICFs modelling and integration into the capital model / Rafael Cavestany -- 7. Hybrid model construction: integration of ILD, ED and SA / Rafael Cavestany, Daniel Rodriguez, Fabrizio Ruggeri -- 8. Derivation of the joint distribution and capitalisation of operational risk / Rafael Cavestany, Daniel Rodriguez -- 9. Backtesting, stress testing and sensitivity analysis / Rafael Cavestany, Daniel Rodriguez -- 10. Evolving from a plain vanilla to a state-of-the-art model / Rafael Cavestany -- 11. Strategic and operational business planning and monitoring / Rafael Cavestany, Lutz Baumgarten, Brenda Boultwood -- 12. Risk-reward evaluation of mitigation and control effectiveness / Rafael Cavestany, Javier Martinez Moguerza -- Appendices: Distributions for modelling operational risk capital / Daniel Rodriguez -- Credibility theory / Daniel Rodriguez -- Mathematical optimisation methods required for operational risk modelling and other risk mitigation processes / Laureano F. Escudero -- Business risk quantification / Lutz Baumgarten. | |
| 520 | |a "Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of these models that help to better understand risks, safe capital and compliance. For the banking industry, regulators in many countries in Africa, Asia and Latin America (as well as Europe) are pressing their local banks to implement advanced operational risk capital models. Banks that have made early implementation are looking to improve their capital models with new advances to match the increasing regulatory requirements. Operational Risk Capital Models enables you to model your operational risk capital to ensure the model meets regulatory standards. It describes the process end to end, from the capture of the required data to the modelling and VaR calculation, as well as the integration of capital results into your institution's daily risk management." --Contratapa. | ||
| 650 | 0 | |a Operational risk. | |
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Financial risk management. | |
| 650 | 0 | |a Operational risk |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 0 | |a Financial risk management |x Mathematical models. | |
| 650 | 7 | |a Riesgo operacional. |2 UDESA | |
| 650 | 7 | |a Administración de riesgos. |2 UDESA | |
| 650 | 7 | |a Administración de riesgos financieros. |2 UDESA | |
| 650 | 7 | |a Riesgo operacional |x Modelos matemáticos. |2 UDESA | |
| 650 | 7 | |a Administración de riesgos |x Modelos matemáticos. |2 UDESA | |
| 650 | 7 | |a Administración de riesgos financieros |x Modelos matemáticos. |2 UDESA | |
| 700 | 1 | |a Cavestany, Rafael. | |
| 700 | 1 | |a Boultwood, Brenda. | |
| 700 | 1 | |a Escudero, Laureano F. | |