Operational Risk with Excel and VBA : Applied Statistical Methods for Risk Management, + Website
Nigel Da Costa. Lewis
Bok Engelsk 2004 · Electronic books.
| Annen tittel | |
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| Utgitt | Hoboken : : Wiley, , 2004.
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| Omfang | 1 online resource (287 p.)
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| Opplysninger | Description based upon print version of record.. - Operational Risk with Excel and VBA; Contents; Preface; Acknowledgments; CHAPTER 1 Introduction to Operational Risk Management and Modeling; What is Operational Risk?; The Regulatory Environment; Why a Statistical Approach to Operational Risk Management?; Summary; Review Questions; Further Reading; CHAPTER 2 Random Variables, Risk indicators, and Probability; Random Variables and Operational Risk Indicators; Types of Random Variable; Probability; Frequency and Subjective Probability; Probability Functions; Case Studies; Case Study 2.1: Downtown Investment Bank. - Benford's Law in Finance. - CHAPTER 4 Modeling Central Tendency and Variability of Operational Risk IndicatorsEmpirical Measures of Central Tendency; Measures of Variability; Case Studies; Case Study 4.1: Approximating Business Risk; Excel Functions; Summary; Review Questions; Further Reading; CHAPTER 5 Measuring Skew and Fat Tails of Operational Risk Indicators; Measuring Skew; Measuring Fat Tails; Review of Excel and VBA Functions for Skew and Fat Tails; Summary; Review Questions; Further Reading; CHAPTER 6 Statistical Testing of Operational Risk Parameters; Objective and Language of Statistical Hypothesis Testing. - Case Study 2.2: Mr. Mondey's OPVaRCase Study 2.3: Risk in Software Development; Useful Excel Functions; Summary; Review Questions; Further Reading; CHAPTER 3 Expectation, Covariance, Variance, and Correlation; Expected Value of a RandomVariable; Variance and Standard Deviation; Covariance and Correlation; Some Rules for Correlation, Variance, and Covariance; Case Studies; Case Study 3.1: Expected Time to Complete a Complex Transaction; Case Study 3.2: Operational Cost of System Down Time; Summary; Review Questions; Further Reading. - Review QuestionsFurther Reading; CHAPTER 8 Frequency of Loss Probability Models; Popular Frequency of Loss Probability Models; Other Frequency of Loss Distributions; Chi-Squared Goodness of Fit Test; Case Study 8.1: Key Personnel Risk; Summary; Review Questions; Further Reading; CHAPTER 9 Modeling Aggregate Loss Distributions; Aggregating Severity of Loss and Frequency of Loss Distributions; Calculating OpVaR; Coherent Risk Measures; Summary; Review Questions; Further Reading; CHAPTER 10 The Law of Significant Digits and Fraud Risk Identification; The Law of Significant Digits. - Steps Involved In Conducting a Hypothesis TestConfidence Intervals; Case Study 6.1: Stephan's Mistake; Excel Functions for Hypothesis Testing; Summary; Review Questions; Further Reading; CHAPTER 7 Severity of Loss Probability Models; Normal Distribution; Estimation of Parameters; Beta Distribution; Erlang Distribution; Exponential Distribution; Gamma Distribution; Lognormal Distribution; Pareto Distribution; Weibull Distribution; Other Probability Distributions; What Distribution Best Fits My Severity of Loss Data?; Case Study 7.1: Modeling Severity of Loss Legal Liability Losses; Summary. - A valuable reference for understanding operational risk Operational Risk with Excel and VBA is a practical guide that only discusses statistical methods that have been shown to work in an operational risk management context. It brings together a wide variety of statistical methods and models that have proven their worth, and contains a concise treatment of the topic. This book provides readers with clear explanations, relevant information, and comprehensive examples of statistical methods for operational risk management in the real world. Nigel Da Costa Lewis (Stam
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| Emner | |
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| Dewey | |
| ISBN | 0471478873
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