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 Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis
ISBN: 978-0-471-78051-9
Hardcover
300 pages
June 2007
US $95.00
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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.
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