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    Books/Articles By

      Author:  Cruz, Marcelo
     
     

    Chapter 10
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    10
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Topics Covered:

    Operational risk, quantitative analysis, Bayesian theory, prior distribution, posterior distribution, informed prior, Jeffreys prior, conjugate prior, hierarchical models, sensitivity analysis in Bayesian models, Bayesian p-values, Bayes factor, Bayesian sampling techniques, data augmentation algorithm, Bayesian bootstrapping, Markov chain Monte Carlo algorithms, Metropolis-Hastings algorithm, Bayesian extreme value theory


    Reading Title:
    Reading Author(s):
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    Book Author(s):
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    Reading Price:
    GARP Member (Non-Affiliate):   FREE
     
    Affiliate & Non-Member:            US$$5.00

    Summary:

    What elements should a financial institution consider when developing an analytical framework for operational risk? What are the specific roles of risk identification, measurement, reporting and management? Marcelo Cruz explores these issues and offers a step-by-step operational risk plan.




    Chapter 8
    Reading Title:
    Reading Author(s):
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    Book Author(s):
    Chapter:
    8
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Summary:

    This chapter provides an introduction to econometrics modelling applied to operational loss data. It discusses techniques for establishing a connection between control indicators and operational losses. The examples are informative for operations losses such as transaction errors, but appear of limited relevance to risk capital dominated by extremely large losses. ... click here for more details.




    Chapter 2
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    Chapter:
    2
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Summary:

    This chapter provides a conceptual framework for the modeling and design of data bases for operational risk management in order to apply the different statistical techniques for measuring operational risks covered later in the book. The data model proposed by the author is a good starting point for any ... click here for more details.




    Chapter 14
    Reading Title:
    Reading Author(s):
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    Book Author(s):
    Chapter:
    14
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Topics Covered:

    Operational risk, operational risk management, operational risk hedging, retaining structures, internal capital retention, captive insurance, finite risk, risk retention groups, operational risk insurance, integrated insurance program, insurance efficiency

    Chapter 4
    Reading Title:
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    Book Author(s):
    Chapter:
    4
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Summary:

    This chapter provides a hands-on approach to the application of extreme value theory (EVT) to fitting severity distributions for operational risk. The author`s perspective is partly biased, favouring block maxima over peaks over threshold and probability weighted moments over maximum likelihood, but reasons are given for the author`s preferences. ... click here for more details.




    Chapter 5
    Reading Title:
    Reading Author(s):
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    Book Author(s):
    Chapter:
    5
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Summary:

    This chapter overviews to the mathetical concepts underlying frequency models. Starting with distribution functions, the chapter then shows how to apply the chi-squared test using several operational risk examples. This chapter is intended for those who are familiar with probability and statistics and comfortable with standard notation. It ... click here for more details.




    Chapter 9
    Reading Title:
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    Book Author(s):
    Chapter:
    9
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Topics Covered:

    Operational risk, quantitative analysis, non-linear models, neural networks, Bayesian belief networks, data mining, relationship types, fuzzy logic, fuzzy sets, fuzzy logic for operational risk, causal modeling

    Chapter 13
    Reading Title:
    Reading Author(s):
    Book Title:
    Book Author(s):
    Chapter:
    13
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Topics Covered:

    Operational risk, operational risk management, operational risk derivatives, risk mitigation, insurance, capital allocation, framework and challenges of operational risk derivatives, incomplete markets, utility theory, moral hazard, adverse selection, actuarial pricing, risk premium principles, operational risk-linked bonds, operational risk swap, "first-loss-to-happen" put option, equity operational risk cat put option

    Chapter 15
    Reading Title:
    Reading Author(s):
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    Book Author(s):
    Chapter:
    15
    Publisher:
    Reading Price:
    GARP Member (Non-Affiliate):   US$6.00
     
    Affiliate & Non-Member:            US$$6.50

    Topics Covered:

    Operational risk, operational risk regulatory capital, Basel Committee on Bank Supervision, New Basel Accord, three pillars of New Basel Accord, minimum capital requirement, operational risk charge, operational risk charge calculation methods, basic indicator approach, standardized approach, internal measurement approach, advanced measurement approaches, qualitative requirements
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    GARP Digital Library