Operational Risk Modeling Analytics phần 7 pdf

... or more 81 ,71 4 11,306 1,618 250 40 7 Table 10.2 Data Set B $ 27 $82 $115 $126 $155 $161 $243 $294 $340 $384 $4 57 $680 $855 $ 877 $ 974 $1193 $1340 $1884 $2558 $15 ,74 3 Table 10.3 ... (0.00006) - - -1 57. 71389308198 - 2(-1 57. 71389304968) + (-1 57. 71389305468) - ( 0.00006)2 = -10.3604. The other two approximations are 1-20 .72 08. d21 0.0003,...

Ngày tải lên: 09/08/2014, 19:22

... 1 U U Fig. 8. 17 BB7 copula density (6 = 2 .7, b = 1.8) BB7 copula The BB7 copula [62] is a two-parameter copula with generator It has the form The BB7 copula has upper ... 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 othe...

Ngày tải lên: 09/08/2014, 19:22

... Pareto 7. 9 7. 10 Mean excess function 7. 11 Limiting distributions of excesses 7. 12 TVaR for extreme value distributions 7. 13 Further reading 7. 14 Exercises 174 175 178 179 179 ... 3 57 360 360 365 3 67 3 67 368 368 375 383 383 384 384 3 87 389 391 392 392 Preface Acknowledgments Contents Part I Introduction to operational risk mod...

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... 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 ... particularly useful for risk modeling because all the members have Part II Probabilistic tools for operational risk modeling DISTRIBUTION FUNCTIONS AND RELATED CONCEPTS 29...

Ngày tải lên: 09/08/2014, 19:22

... 0.302406/(1-0.3628 87) = 0. 474 651. Then p; = 0. 474 651 (3 + i) = 0. 276 880, pF = 0. 276 880 (5 + ii) = 0.138440. 76 MODELS FOR THE SIZE OF LOSSES: CONTINUOUS DISTRIBUTIONS Definition 4 .7 ... 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 ris...

Ngày tải lên: 09/08/2014, 19:22

... __ 7& apos;5(1) 0.341421 (0.04 978 7) = 0.1 274 87, 1 92 = - 7~ 5~(')0.341421(0.1 274 87) + 7& apos;5(2)0.042 678 (0.04 978 7) = 0. 179 161, 93 = - 7~ 5(1)0.341421(0. 179 161) + 7& apos;5(2) ... -0.853553(0.04 978 7) = 0.1 274 88, 1 2 2 3 3 3 92 = -0.853553(0.1 274 88) + -0.106694(0.04 978 7) = 0. 179 163, g3 = "00.853553(0. 179 163) + -0.106...

Ngày tải lên: 09/08/2014, 19:22

... 1 87 Table 6.6 Aggregate probabilities computed by the FFT and IFFT S n=8 fs (s) n = 4,096 fs (s) 0.112 27 0.11821 0.14 470 0.15100 0.1 472 7 0.13194 0.10941 0.08518 0.04 979 ... 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...

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... 0.0688 0. 078 4 0.0880 0.0832 0. 078 4 0. 073 6 0.0688 0.0640 0.0592 0.0496 0.0448 0.0400 0.0544 1.52~ lowz5 6.93~10-~~ 1. 37~ 10-~’ 1.36~10-~~ 7. 40~ lo-” 2.42 x 7. 18~10-~~ 7. 19~10-~~ ... 0.0038 0.0236 0.08 67 0. 171 8 0.2293 0.2156 0.1482 0. 076 8 0.0308 0.0098 0.0025 0.0005 0.0001 160,944 118,085 86,826 63, 979 47, 245 34,961 25,926 19,265...

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... ETNB 0 565,664 565 ,70 8.1 565 ,71 2.4 565,661.2 1 68 ,71 4 68, 570 .0 68, 575 .6 68 ,72 1.2 2 5, 177 5,3 17. 2 5,295.9 5, 171 .7 3 365 334.9 344.0 362.9 4 24 18 .7 20.8 29.6 5 6 1 .o 1.2 3.0 ... censoring 27 82 115 126 155 161 243 294 340 384 4 57 680 855 877 974 1000 0.0369 0.1 079 0.1480 0.1610 0.1942 0.2009 0.2 871 0.3360 0. 377 2 0.414...

Ngày tải lên: 09/08/2014, 19:22

... 110 spliced, 83 subexponential, 177 , 180 201, 2 07 binomial, 11 7, 316 tail weight of, 72 transformed, &apos ;78 , 81 transformed beta, 61, 63, 178 transformed gamma, 58, 62, 65 variable-component ... normal, 29: 43, 46- 47, 67, 79 , 86, 88, 90 paralogistic, 57 parametric, 67 Pareto, 53, 56. 72 -73 , 75 , 83, 1 97, 199, Poisson-binomial, 122 Poisson-inverse Ga...

Ngày tải lên: 09/08/2014, 19:22