MARC details
| 000 -LEADER |
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| fixed length control field |
03712nam a22004695i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-3-642-15923-7 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20180115171723.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
110118s2011 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642159237 |
| -- |
978-3-642-15923-7 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-3-642-15923-7 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
QA276-280 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
PBT |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
K |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS061000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
330.015195 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Shevchenko, Pavel V. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Modelling Operational Risk Using Bayesian Inference |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
by Pavel V. Shevchenko. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2011. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
XVII, 302 p. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Operational Risk and Basel II -- Loss Distribution Approach -- Calculation of Compound Distribution -- Bayesian approach for LDA -- Addressing the Data Truncation Problem -- Modelling Large Losses -- Modelling Dependence -- List of Distributions -- Selected Simulation Algorithms -- Solutions for Selected Problems -- References -- Index. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements. 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. This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Statistics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Probabilities. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Statistics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Statistics for Business/Economics/Mathematical Finance/Insurance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Statistical Theory and Methods. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance, general. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Relationship information |
Printed edition: |
| International Standard Book Number |
9783642159220 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/978-3-642-15923-7">http://dx.doi.org/10.1007/978-3-642-15923-7</a> |
| 912 ## - |
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ZDB-2-SMA |