Research Catalog
Operational risk : a guide to Basel II capital requirements, models, and analysis
- Title
- Operational risk : a guide to Basel II capital requirements, models, and analysis / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi.
- Author
- Chernobai, Anna S.
- Publication
- Hoboken, N.J. : Wiley ; Chichester : John Wiley [distributor], 2007.
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| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HD61 .C44 2007g | Off-site |
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Details
- Additional Authors
- Description
- xix, 300 pages : illustrations; 24 cm
- Subject
- Bibliography (note)
- Includes bibliographical references and index.
- Contents
- Ch. 1. Operational risk is not just "other" risks -- Ch. 2. Operational risk : definition, classification, and its place among other risks -- Ch. 3. Basel II capital accord -- Ch. 4. Key challenges in modeling operational risk -- Ch. 5. Frequency distributions -- Ch. 6. Loss distributions -- Ch. 7. Alpha-stable distributions -- Ch. 8. Extreme value theory -- Ch. 9. Truncated distributions -- Ch. 10. Testing for the goodness of fit -- Ch. 11. Value-at-risk -- Ch. 12. Robust modeling -- Ch. 13. Modeling dependence.
- ISBN
- 9780471780519 (hbk.)
- 0471780510 (hbk.)
- OCLC
- ocm72655604
- 72655604
- SCSB-5932617
- Owning Institutions
- Columbia University Libraries