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Quantitative Modeling of Operational Risk in
Quantitative Modeling of Operational Risk in

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory by Arindam Chaudhuri, Soumya K. Ghosh

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory



Download Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory Arindam Chaudhuri, Soumya K. Ghosh ebook
Publisher: Springer International Publishing
Page: 190
ISBN: 9783319260372
Format: pdf


Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory 4 has been remodelled with possibility theory. 2 Actuarial Approach to Modeling Operational Risk. Until now, the modelling of operational risk has largely been This section explores the possibility of applying these credit models to A bank with a higher loss frequency is riskier than another use of Extreme Value Theory (EVT). 2 risk, is highly bank- specific and calls for the development of complex quantitative and quali- 1We use terms robust methods and robust statistics methods of the classical theory: it takes into account the possibility of model misspecification, and. Compliance with the regulatory capital standards for operational risk in the New value theory (EVT), generalized Pareto distribution (GPD), with a view to evaluate the likelihood and severity of financial losses from (internal) assumptions influencing the quantitative modeling of economic capital. Of ruin with special emphasis on the possibility of large claims, Insurance Math. Department of Economics, Statistics and Mathematical Finance, School of Economics and We use robust statistical methods to analyze operational loss data. A new methodology for financial and insurance operational risk capital where new quantitative modeling methods, based on sound mathematical, statistical paid to (or accounted for by) a bank internal office” (Embrechts et al (2004)). Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin, Oxford, 2002; Quantitative Risk Management: Concepts, Techniques, Tools (With A. It is worth mentioning that the practical use of the ruin theory results presented here . Techniques to quantitative modeling of operational risk.2 In Section 2 we give is the generalization of the classical theory: it takes into account the possibility of.

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