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.
"...interesting and timely. It creatively and skillfully elucidates key issues in the analysis of operational risks." (Mathematical Reviews, 2007f)
- The emphasis in the book will be to provide a much deeper treatment of the entire modeling process, a process that has been used successfully in the insurance field.
- The book will appeal to a broad audience of analysts in both the insurance and banking fields, among others.
- There are ample exercises to further elucidate the concepts in the text.