Operational risk modelling and management
By: Claudio Franzetti
Series: Chapman & Hall/CRC finance series
Publisher: Chapman and Hall/CRC
Published: 2010
Place of publication: Boca Raton
Language: eng
ISBN-13: 9781439844762
Description: "In banking regulation, tools are needed to quantify risk and calculate the amount of capital reserve required to mitigate such risk. This book offers a complete model for the quantification of so-called operational risks. It offers a detailed discussion on the link between modeling approaches and management, which has been neglected in the literature, as well as the mathematical modeling of the loss distribution approach. With an emphasis on risk management and management fundamentals, the text presents a complete simulation model along with tested examples that can be replicated using R software. The author provides a broad view on managing risk using this mathematical model"--
Notes: Includes bibliographical references and index.