Modelling Operational Risk Using Bayesian Inference

By Pavel V. Shevchenko

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 3642423531
• ISBN13: 9783642423536
• Release Date: October 2014
• Publisher: Springer
• Length: 302 Pages
• Weight: 1.00 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"