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Detalles de la obra

Título:
Operational risk modelling and analysis
Subtítulo:
theory and practice
Autor(es):
Cruz, Marcelo, ed.
Pie de imprenta:
London: Risk Books, c2004
Descripción física:
xiii, 360 p. grafs., il. 24 x 16 cm.
Idioma:
Inglés
ISBN:
1-904-339-34-4
Resumen:
Contiene: I. Database modelling, regulatory and technology issues. Introduction / Marcelo Cruz. 1. Operational risk : management based on the current loss data situation / Agatha Kalhoff; Marcus Haas. 2. Tackling the insufficiency of loss data for the quantification of operational risk / Marcus Haas; Thomas Kaiser. 3. Contract management and operational risk / Kristiina Vares. 4. Basel II and operational risk : an overview / Carolyn V. Currie. 5. Implementing operational risk solutions / Deborah Williams.- II. Risk modelling and measurement. Introduction / Marcelo Cruz. 6. Integration of qualitative and quantitative operational risk data: a bayesianapproach / Paolo Giudici. 7. Stable modelling of operational risk / Anna Chernobai, Svetlozar Rachev. 8. Towards operational risk management / Kaj Nyström, Jimmy Skoglund. 9. A copula-extreme value theory approach for modelling operational risk / Annalisa Di Clemente; Claudio Romano. 10. Cyclicality in the catastrophic risk of financial institutions / Linda Allen, Turan G. Bali, Yi Tang. 11. Using stratified sampling methods to improve percentile estimates in the context of risk measurement / Neil Hereford, Geoffrey Shuetrim. 12. Adequate capital and stress testing for operational risks / Reimer Kühn; Peter Neu.- III. Case studies of implementation of operational risk projects in large financial institutions. Introduction / Marcelo Cruz. 13. The JPMorganChase operational risk environment / JPMorgan Chase. 14. Overall large bank operational risk framework / Duncan Fairley, David McCall. 15. Implementing an integrated operational risk framework / Sok Hui Chng, Him Chuan Lim.
Referencias bibliográficas:
Incluye Bibliografía
Ubicación física:
658.155 / CRU - RIESGO
Tipo de material:
[Material Impreso]