Stress Testing and Scenario Analysis : The Key Challenges of Operational Risk Management
Language: English
Published by VDM Verlag Dr. Müller, 2010
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 57.85
Quantity: 2 available
Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - Operational risk has become one of the most popular topics in recent years among both academics and practitioners in the financial industry. The huge operational risk failures that materialized during the recent crisis, such as the $65 billion Ponzi scheme by Mr. Bernard Madoff and the $8 billion bank fraud of Sir Allen Stanford, highlight the need for improved risk management. This book focuses on operational risk management and economic capital estimation methods from both theoretical and practical views. A data sample of operational losses provided by a Central European bank is analyzed using several approaches such as loss distribution approach, extreme value theory, scenario analysis and stress testing. We examine the most appropriate statistical method to measure and model operational loss data distribution. In conclusion, we found out that i) the g&h distribution is the most suitable method for operational risk events modeling and ii) the method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates when measuring the impact of very extreme events on bank operations.…
Seller Inventory # 9783639234206
- Title
- Stress Testing and Scenario Analysis : The Key Challenges of Operational Risk Management
- Author
- Milan Rippel
- Publisher
- VDM Verlag Dr. Müller
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3639234200
- ISBN 13
- 9783639234206
- Item weight
- 209 grams
- Dimensions
- 220x150x8 mm
"Synopsis" may belong to another edition of this title.
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| Item | 7 to 10 business days | 5 to 7 business days |
|---|---|---|
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