Operational Risk Modeling Analytics phần 4 ppt

... 7'5(1) 0. 341 421 (0. 049 787) = 0.12 748 7, 1 92 = - 7~5~(')0. 341 421(0.12 748 7) + 7'5(2)0. 042 678(0. 049 787) = 0.179161, 93 = - 7~5(1)0. 341 421(0.179161) + 7'5(2) 0. 042 678(0.12 748 7) ... CLASS 141 We have X = XI + X2 = 2 + 3 = 5. Then 41 = 0 .4( 0.2) + 0.6(0) = 0.08, q2 = 0 .4( 0.7) + O.s(O.25) = 0 .43 , 43 = 0...

Ngày tải lên: 09/08/2014, 19:22

... 1.966 3 0. 544 4 $250-$500 0.2087 3.9 64 4 0.0003 $500-$1000 0.2 647 5.029 4 0.2105 $1000-$2000 0.2180 4. 143 3 0.3152 $2,000-cc 0.0880 1.672 2 0.0 644 Total 1 19 19 1 .40 34 Table 12.8 ... 0.1 340 0.0887 0.0991 0.0991 A-D* 0 .42 92 0.1631 0.1713 0.1712 X2 1 .40 34 0.3615 0.5951 0.5 947 pValue 0. 843 6 0. 948 1 0.8976 0. 742 8 Loglikelihood - 146 .06...

Ngày tải lên: 09/08/2014, 19:22

... rate function 82 4. 7 Creating new distributions 84 4. 7.1 Introduction 84 4. 7.2 Multiplication by a constant 84 4. 7.3 Transformation by raising to a power 85 4. 7 .4 Transformation ... 68 4. 3. I Introduction 68 4. 3.2 Two important parametric families 69 4. 4 Limiting distributions 70 4. 5 The role of parameters 73 4. 5. I Parametric and scale distri...

Ngày tải lên: 09/08/2014, 19:22

... 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 trading risk over a ... systems presented in Section 4. 3.2 are particularly useful for risk modeling because all the members have Part II Probabilistic tools for operational risk modeling DISTR...

Ngày tải lên: 09/08/2014, 19:22

... accidents, k automobiles, nk k- 0 1 2 3 4 5 6 7 81- Total 7 840 1317 0.17 239 0.36 42 0.53 14 1.33 4 1 .43 4 6.00 1 1.75 0 946 1 against k. The observed values should form ... with [from formula (5.5)] pr = 0.30 240 6/(1-0.362887) = 0 .47 4651. Then p; = 0 .47 4651 (3 + i) = 0.276880, pF = 0.276880 (5 + ii) = 0.13 844 0. 76 MODELS F...

Ngày tải lên: 09/08/2014, 19:22

... by the FFT and IFFT S n=8 fs (s) n = 4, 096 fs (s) 0.11227 0.11821 0. 144 70 0.15100 0. 147 27 0.131 94 0.10 941 0.08518 0. 049 79 0.0 746 8 0.11575 0.13256 0.13597 0.12525 0.10558 ... 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 lo...

Ngày tải lên: 09/08/2014, 19:22

... 244 MULTIVARIATE MODELS 1 08 06 > 04 02 0 0 02 04 06 08 1 U 1 06 06 , 04 02 0 02 04 06 08 1 U fig. 8.3 Gumbel copula ... 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 modeli...

Ngày tải lên: 09/08/2014, 19:22

... ) 2 0 2 40 ,0008-2e -40 0/6 - Var(@) = - n n For Data Set B, Z = 1 ,42 4 .4, fi=exp(-iEiz) 2oo =0.86900 - Var(p) = 40 ,000( 142 4 .4) -2 exp( -40 0/ 142 4 .4) = o.000 744 4. 20 A 95% ... where is s2 is the sample variance. For Data Set B the interval is 142 4 .4 i 1.96( 343 5. 04) /~% or 142 4 .42 ~ 1505 .47 . It is not surprising that this is a wider in...

Ngày tải lên: 09/08/2014, 19:22

... 106.021,739 4, 4 54 115 ,48 0,050 4, 418 85,110 ,45 3 3,093 44 ,366,353 1,586 16,972,802 6 14 4,915,383 185 1.106,259 44 197, 840 8 28,650 1 3 ,41 3 0 339 1 .0000 2 .46 ~10-~’ 1.0000 18,827 44 5,198,597 ... 160, 944 118,085 86,826 63,979 47 , 245 34, 961 25,926 19,265 14, 344 10,702 8,000 5,992 4, 496 3,380 2, 545 1,920 0 6 ,43 3 2 195,201 29 2 :49 6,9...

Ngày tải lên: 09/08/2014, 19:22

... Statistics, 6, 46 1 -46 4. 108. Simon, L. (1961), “Fitting negative binomial distributions by the method of maximum likelihood,” Proceedings of the Casualty Actuarial Society, 48 , 45 -53. 109. ... 64 aggregate loss dzstribution, 159 continuous severity distribution, 379 Jor compound Jreqency, 11 6 Relutzve efficiency, 259 Reputational risk, 44 Right censored tiaraab...

Ngày tải lên: 09/08/2014, 19:22