Quantitative Operational Risk Models (Chapman & Hall/CRC Finance Series)

Product Details

• Publisher: CRC Press

• Author: Catalina Bolancé

• Language: English

• Edition: 1

• ISBN: 9781439895924

• Pages: 236

• Cover: Hardcover

• Dimensions: 9.3 x 6.2 x 0.6 inches

Quantitative Operational Risk Models by Catalina Bolancé offers an insightful exploration into the application of real-life examples from the banking and insurance sectors, showcasing how internal data can be enhanced by incorporating various external information sources. The book offers an intuitive approach, using classical transformation methods to improve operational risk data assessment and capitalize on external information.

The author provides a comprehensive guide for practitioners, starting with basic principles of managing operational risk data and progressing to more sophisticated methods required to quantify capital requirements in operational risk. The book covers statistical theory, offering a practical approach to implementing modern density estimation techniques for analyzing loss distributions in banks and insurance companies.

Key features of the book include:

• Simple yet general methods to enhance internal operational risk assessment

• Analysis of univariate event loss severity distributions using semiparametric models

• Introduction of underreporting information and its implications

• A practical approach to combining internal and external operational risk data, with guided examples in SAS and R

With its nonparametric approach and comprehensive coverage of both technical and commercial aspects of insurance activities, Quantitative Operational Risk Models is a must-read for anyone looking to deepen their understanding of operational risk in the financial industry.