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" Modelling operational risk using Bayesian inference / "
Pavel V. Shevchenko.
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BL
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| Record Number
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690657
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b512846
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| Main Entry
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Shevchenko, Pavel V.
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| Title & Author
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Modelling operational risk using Bayesian inference /\ Pavel V. Shevchenko.
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| Publication Statement
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Heidelberg ;New York :: Springer,, [2011]
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, ©2011
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| Page. NO
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1 online resource (xvii, 302 pages)
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| ISBN
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3642159230 (e-book)
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: 9783642159237 (e-book)
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9783642159220
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Includes bibliographical references (pages 289-298) and index
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| Abstract
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Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks. --
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| Subject
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Banks and banking.
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Bayesian statistical decision theory.
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Economics, Statistics.
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Operational risk.
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Risk management.
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| Dewey Classification
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658.15/5
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| LC Classification
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HD61.S54 2011
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| Added Entry
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Ohio Library and Information Network.
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