Operational Risk Modeling Analytics phần 3 pot

... nk nk-1 accidents, k automobiles, nk k- 0 1 2 3 4 5 6 7 81- Total 7840 131 7 0.17 239 0 .36 42 0. 53 14 1 .33 4 1. 43 4 6.00 1 1.75 0 9461 against k. The observed values ... removing or adding a type of risk to the definition of operational risks. Suppose that the number of losses for a particular set of types of operational risks follows a P...

Ngày tải lên: 09/08/2014, 19:22

... Model selection 32 9 32 9 32 9 33 3 33 6 33 8 34 3 34 4 34 5 34 9 34 9 35 0 35 1 35 6 35 7 36 0 36 0 36 5 36 7 36 7 36 8 36 8 37 5 38 3 38 3 38 4 38 4 38 7 38 9 39 1 39 2 39 2 Preface Acknowledgments ... 230 230 vi CONTENTS 2.4 Quantiles of a distribution 2.5 Generating functions 2.6 Exercises 3 Measures of risk 3. 1 Introduction 3. 2...

Ngày tải lên: 09/08/2014, 19:22

... = 3, 333 .33 , 100 dx = 1,000, (. + 2,000)4 dx = 4,000,000, O0 3( 2,000 )3 (x + 2,000)4 E(X;) -1 x2 E(X3) = O(0.5) + l(0.25) + 2(0.12) + 3( 0.08) + 4(0.05) = 0. 93, E(X:) ... we focus on risk measures that are coherent. 3. 3 TAI L-VA LU E- AT- RISK As a risk measure, Value-& ;Risk is used extensively in financial risk manage- ment of tra...

Ngày tải lên: 09/08/2014, 19:22

... c j = 1 (3j lk) fj gk- j - - c Tfjgk -3. j=1 1 - O(0) gk = Then, 30 ) 3( 1) 3( 2) 91 = -0.8 535 53( 0.049787) = 0.127488, 1 2 2 3 3 3 92 = -0.8 535 53( 0.127488) + ... this, p = 13. 937 31 and cr2 = 0.122 636 1. Then In 1,681 ,33 7 - 13. 937 31 [ (0.122 636 1)0.5 Pr(S > 1,681 ,33 7) = 1 - Q = 1 - Q(1. 135 9 13) = 0.128....

Ngày tải lên: 09/08/2014, 19:22

... have a = 3/ (1 + 3) = 0.75,b = (0.2 - 1)a = -0.6,po = 0 and pl = (0.2) (3) / [(1+ 3) '.*'* - (1 + 3) ] = 0.46947. Then TVaR FOR AGGREGATE LOSSES 1 93 p, - ... one-year period. In our operational risk environment, the focus is not only on the single largest event. Because we are interested in the impact of all operational risk losses, s...

Ngày tải lên: 09/08/2014, 19:22

... for operational risk is that it may not be appropriate to assume that risks are mutually independent. In the case of independence the univariate probability (density) functions for each risk ... important in risk modeling. A positive dependency can be very dangerous because an extreme outcome of one risk means a greater chance of a simultaneous extreme outcome of the o...

Ngày tải lên: 09/08/2014, 19:22

... 18 0 4.8 W 19 -30 0 5.0 e 31 0 .3 5.0 e 32 0.7 5.0 e 33 1 .0 4.1 f 34 1.8 3. 1 f 35 2.1 3. 9 W 36 2.9 5.0 e 37 2.9 4.8 W 38 3. 2 4.0 f 39 3. 4 5.0 e 40 3. 9 5.0 e Table ... 3 4 5 or more 81,714 11 ,30 6 1,618 250 40 7 Table 10.2 Data Set B $27 $82 $115 $126 $155 $161 $2 43 $294 $34 0 $38 4 $457 $680 $855 $877 $974 $11 93 $ 134 0 $1...

Ngày tải lên: 09/08/2014, 19:22

... 1,920 0 6, 433 2 195,201 29 2:496, 935 2 43 15,558,906 1,116 52, 737 ,840 3, 033 106.021, 739 4,454 115,480,050 4,418 85,110,4 53 3, 0 93 44 ,36 6 ,35 3 1,586 16,972,802 614 4,915 ,38 3 185 1.106,259 ... random sample of 10 losses: Elo 3= 1 xT2 3 = 0.00 033 674, x:zl x?' = 0.0 239 99, c:p, xyo.5 = 0 .34 445, x3 = 31 , 939 , xi!?l ~5 = 211,498,9 83...

Ngày tải lên: 09/08/2014, 19:22

... 5,177 5 ,31 7.2 5,295.9 5,171.7 3 36 5 33 4.9 34 4.0 36 2.9 4 24 18.7 20.8 29.6 5 6 1 .o 1.2 3. 0 6+ 0 0.0 0.1 0.4 Parameters /3 = 0. 035 0662 X = 0.1 233 04 X = 0.1 233 95 r = 3. 57784 ... 0.1 631 0.17 13 0.1712 X2 1.4 034 0 .36 15 0.5951 0.5947 pValue 0.8 436 0.9481 0.8976 0.7428 Loglikelihood -146.0 63 -145.6 83 -1 13. 647 -1 13. 647 SBC...

Ngày tải lên: 09/08/2014, 19:22

... Poisson-inverse Gaussian, 31 6 Poisson-logarithmic, 11 3 Poisson-Pozsson, 115 Poisson, 37 , 98, 104, 119, 130 , 137 , 192, 30 4 -30 5, 31 3 Polya- Aeppli, 125 Polya- Eggenberger, 130 posterior, 282 ... 104, 109, 1 13, 119, 133 , 198, 209, 30 7 298 as Poisson mixture, 101 extended truncated, 11 0 negative hypergeometric, 190 Neyman Type A, 1 13, 122, 133...

Ngày tải lên: 09/08/2014, 19:22