Quantitative Operational Risk Models

Author:   Catalina Bolancé ,  Montserrat Guillén ,  Jim Gustafsson ,  Jens Perch Nielsen
Publisher:   Taylor & Francis Inc
ISBN:  

9781439895924


Pages:   236
Publication Date:   15 February 2012
Format:   Hardback
Availability:   In Print   Availability explained
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Quantitative Operational Risk Models


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Author:   Catalina Bolancé ,  Montserrat Guillén ,  Jim Gustafsson ,  Jens Perch Nielsen
Publisher:   Taylor & Francis Inc
Imprint:   Chapman & Hall/CRC
Dimensions:   Width: 15.60cm , Height: 1.50cm , Length: 23.40cm
Weight:   0.600kg
ISBN:  

9781439895924


ISBN 10:   1439895929
Pages:   236
Publication Date:   15 February 2012
Audience:   General/trade ,  General/trade ,  General ,  General
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

Understanding Operational Risk. Operational Risk Data and Parametric Models. Semiparametric Model for Operational Risk Severities. Combining Operational Risk Data Sources. Data Study. Underreporting. Combining Underreported Internal and External Data. A Guided Practical Example.

Reviews

... a very useful addition to the literature on Operational Financial Risk and I would recommend it to practitioners. -Alan Penman, Annals of Actuarial Science, Vol. 7, March 2013


... a very useful addition to the literature on Operational Financial Risk and I would recommend it to practitioners. -Alan Penman, Annals of Actuarial Science, Vol. 7, March 2013


Author Information

Catalina Bolance has been Associate Professor of Quantitative Methods for Economics and Management Science of the Department of Econometrics at University of Barcelona since 2001. She received a PhD in Economics, an M.A. in Marketing, and a B.Sc. in Statistics at the University of Barcelona. She is currently member of the research group Risk in Finance and Insurance and is a specialist in applied nonparametric methods. She has coauthored several undergraduate books on applied statistics that are widely used in Spanish universities and has also published in high-quality scientific journals like Insurance: Mathematics and Economics, Statistics, and Astin Bulletin-The Journal of the International Actuarial Association, the journal of the International Actuarial Association. She has supervised many Master's and Ph.D. theses with an outstanding tutoring record. Since 2010 she has participated in a project of the London School of Economics on long-term care insurance sponsored by the AXA research fund. In 2004 she received the insurance international prize awarded by MAPFRE. Montserrat Guillen has been Chair Professor of Quantitative Methods at the University of Barcelona since 2001 and director of the research group on Risk in Finance and Insurance. She received an M.S. degree in Mathematics and Mathematical Statistics in 1987, and a Ph.D. degree in Economics from the University of Barcelona in 1992. She also received theM.A. degree in Data Analysis from the University of Essex, United Kingdom. She was Visiting Research faculty at the University of Texas at Austin (USA) in 1994. She holds a visiting professor position at the University of Paris II, where she teaches Insurance Econometrics. Her research focuses on actuarial statistics and quantitative risk management. Since 2005 she has been an associate editor for the Journal of Risk and Insurance, the official journal of the American Risk an

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