Modeling, Measuring and Hedging Operational Risk Contributor(s): Cruz, Marcelo G. (Author) |
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ISBN: 0471515604 ISBN-13: 9780471515609 Publisher: Wiley OUR PRICE: $152.00 Product Type: Hardcover Published: March 2002 Annotation: "Dr Marcelo Cruz is rightfully acknowledged as a world expert in the quantification of operational risk. He has set out to produce a book that is comprehensive yet also comprehensible to non-mathematicians - and is to be congratulated for succeeding in this aim. This book should be regarded as essential reading for all professional risk managers, irrespective of their particular lens of perception." Brendan Young, Chairman, Operational Risk Research Forum "As a technically trained analyst, Marcelo Cruz summarizes a wide range of mathematical techniques. As an experienced capital markets trader and risk manager, he provides real world examples of their relevance for operational risk. This will be a common reference work in the field for years to come." David M. Rowe, Ph.D., Group Executive Vice President for Risk Management Sun Gard Trading and Risk Systems Based on the author's extensive experience, the book maps out state-of-the-art mathematical and statistical techniques that can be used to model operational risk. In addition, the book describes a variety of appropriate models that can be applied to specific structures or areas, including operational risk database modeling, stochastic models, statistical distributions forfrequency and severity, extreme value theory, operational VaR models, artificial intelligence models, dynamic multifactor models, Bayesian analysis, Monte Carlo simulation, stress test/ scenario analysis, real options, state-space models and the Kalman filter, Markovian stochastic models and others. These models have been tested with real data in real operational events. Based on this experience, numerous examples are sited throughout. "Modeling, Measuring and Hedging Operational Risk "provides a complete quantitative reference for all those involved in modeling and managing operational risk as well as for those involved with developing hedging products for operational risk within insurance companies and derivatives houses. |
Additional Information |
BISAC Categories: - Business & Economics | Corporate Finance - General - Business & Economics | Investments & Securities - General - Business & Economics | Finance - Financial Risk Management |
Dewey: 658.155 |
Series: Wiley Finance |
Physical Information: 1.01" H x 6.86" W x 9.94" (1.65 lbs) 346 pages |
Descriptions, Reviews, Etc. |
Publisher Description: Modelling and Measuring Operational Risk ist das einzige Buch auf dem Markt, das sich ausschlie lich der quantitativen Messung und Modellierung des Betriebsrisikos widmet. Hierzu gehören z.B. Fehler bei der Transaktionsbearbeitung, Haftungssituationen und Fehler im Back-Office. Dieser Band erläutert Mess- und Modellierungstechniken, die Banken und Investmentfirmen für die Quantifizierung des Betriebsrisikos benötigen und beschreibt gleichzeitig eine Fülle praktischer und vernünftiger Lösungsmöglichkeiten an. Mit zahlreichen Fallskizzen und Beispielen aus der Praxis. Autor Marcelo Cruz ist ein führender Experte auf diesem Gebiet. |