Operational Risk Modeling Analytics phần 5 docx
Operational Risk Modeling Analytics phần 5 docx
...
fs
(s)
0.11227
0.11821
0.14470
0. 151 00
0.14727
0.13194
0.10941
0.0 851 8
0.04979
0.07468
0.1 157 5
0.13 256
0.1 359 7
0.1 252 5
0.1 055 8
0.083 05
Because the
FFT
and IFFT algorithms ...
distribution
for
Example
6.3
X
fx
(x)
1
2
3
4
5
6
7
8
9
10
0. 150
0.200
0. 250
0.1 25
0.0 75
0. 050
0. 050
0. 050
0.0 25
0.0 25
Furthermore, the freque...
Operational Risk Modeling Analytics phần 8 docx
...
6,433
2
1 95, 201
29 2:496,9 35
243 15, 558 ,906
1,116 52 ,737,840
3,033 106.021,739
4, 454 1 15, 480, 050
4,418 85, 110, 453
3,093 44,366, 353
1 ,58 6 16,972,802
614 4,9 15, 383
1 85 1.106, 259
44 197,840 ...
0.2293
0.2 156
0.1482
0.0768
0.0308
0.0098
0.00 25
0.00 05
0.0001
160,944
118,0 85
86,826
63,979
47,2 45
34,961
25, 926
19,2 65
14,344
10,702...
Operational Risk Modeling Analytics phần 1 ppsx
...
Pr(X
5
x)
=
INTRODUCTION
7
1.
credit risk
2.
market risk
3.
operational risk
4.
liquidity risk
5.
legal risk
Explicit and separate minimum capital requirements for operational risk ... in Exercise
2.2).
Model
3
2
<
0,
[: :5, 05x<l,
0. 75,
15
x
<
2,
0.87,
2
5
x
<
3,
F3(x)
=
Pr(X
5
x)
=
0. 95,
3
5
x
<
4,
I
1,...
Operational Risk Modeling Analytics phần 2 ppsx
... PROBABILITY CONCEPTS
200
150
2.
100
50
0
-50
1
I
0
50
100
1
50
200 250
300
X
Fig.
2.10
Excess
loss
variable
-50
I
I
0
50
100
150
200
250
300
X
f;g.
2.11
Left ... Chapter
50
MEASURES
OF
RISK
Suppose that we now split the risk
Z
into two separate (but dependent)
risks
X
and
Y
such that the two separate risks
in
total are equivalent to r...
Operational Risk Modeling Analytics phần 3 pot
...
versions.
From Table
5. 4
on Page
123
we have, for the negative binomial distribution,
PO
=
(1
+
0 .5) -2 .5
=
0.362887,
0 .5
1
1 .5 3'
1 .5
a=
-
(2 .5
-
1)(0 .5)
1
-
-
-
2' ...
0
5
x
<
50 ,
which
is a uniform distribution on the interval from
0
to 50 , and
f2(x)
=
0.04,
50
5
x
<
75, which is a uniform distribution on the in...
Operational Risk Modeling Analytics phần 4 ppt
...
-0. 853 553 (0.049787)
=
0.127488,
1
2
2
3
3
3
92
=
-0. 853 553 (0.127488)
+
-0.106694(0.049787)
=
0.179163,
g3
=
"00. 853 553 (0.179163)
+
-0.106694(0.127488) 3(2)
+-0.026674(0.049787) ... place large amounts of probability at zero.
5. 15
TVaR FOR DISCRETE DISTRIBUTIONS
In general, in operational risk modeling, we will not compute risk measures
for the...
Operational Risk Modeling Analytics phần 6 pdf
... can be obtained from the simple
fact that both
and
Pr(Ui
5
ui,Uj
5
uj)
5
Pr(Uj
5
uj)
=
uj
Pr
(Ui
5
ui,
Uj
5
uj)
5
min
{ui,uj}.
so that
Thus we have Frkchet bounds
max{O,ui+uj-l} ...
For the particular
situation described,
-
(
10~~ 250 )3
=
0 .51 2
F
( 250 )
=
1
-
F( 250 )
and
so
T*
=
2
and
p*
=
3(0 .51 2)
=
1 .53 6.
0
This result may...
Operational Risk Modeling Analytics phần 7 pdf
...
3
4
5
or more
81,714
11,306
1,618
250
40
7
Table
10.2
Data Set
B
$27 $82 $1 15 $126
$ 155 $161
$243 $294
$340 $384
$ 457
$680 $ 855 $877
$974 $1193
$1340 $1884
$ 255 8 $ 15, 743 ...
Table
10.3
Data Set
C
Payment range Number of losses
0-$ 750 0
$ 750 0-$17 ,50 0
$17 ,50 0-$32 ,50 0
$32 ,50 0-$67 ,50 0
$67 ,50 0-$1 25, 000
$1 25, 000-$300,000
Over
$300,00...
Operational Risk Modeling Analytics phần 9 pptx
...
0.20
0. 25
0.30
0. 35
0.40
0. 45
0 .50
0 .55
0.60
0. 65
0.70
0. 75
0. 05
0.10
0. 15
0.20
0. 25
0.30
0. 35
0.40
0. 45
0 .50
0 .55
0.60
0. 65
0.70
0. 75
0. 75
0.0369
0. 057 9
0.0480 ... Gaussian ETNB
0
56 5,664 56 5,708.1
56 5,712.4 56 5,661.2
1
68,714 68 ,57 0.0
68 ,57 5.6 68,721.2
2 5, 177 5, 317.2
5, 2 95. 9 5, 171.7
3
3 65
334.9 3...
Operational Risk Modeling Analytics phần 10 ppsx
... Burr, 59
inverse exponential, 52
inverse gamma, 54
tnverse Gaussian, 55 , 89, 91, 134, 180,
inverse paralogistic, 58
inverse Pareto, 57
inverse transformed, 78
znverse transformed gamma, 58 , ... transformed gamma, 58 , 65
inverse Weibull, 55 , 78
joint,
282
k-point mixture, 68
log-t,
61
logarithmic, 110, 120
logistic, 87
loglogzstic,
56
lognormal, 54 , 56 , 65,...
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