Operational Risk Modeling Analytics phần 8 docx

... 4,454 115, 480 ,050 4,4 18 85,110,453 3,093 44,366,353 1, 586 16,972 ,80 2 614 4,915, 383 185 1.106,259 44 197 ,84 0 8 28, 650 1 3,413 0 339 1 .0000 2.46~10-~’ 1.0000 18, 827 445,1 98, 597 *n( ... 1.4 1.5 1.6 1.7 1 .8 1.9 2.0 2.1 2.2 2.3 2.4 2.5 0.0400 0.0496 0.0592 0.0 688 0.0 784 0. 088 0 0. 083 2 0.0 784 0.0736 0.0 688 0.0640 0.0592 0.0496 0.04...

Ngày tải lên: 09/08/2014, 19:22

... DISTRIBUTIONS 187 Table 6.6 Aggregate probabilities computed by the FFT and IFFT S n =8 fs (s) n = 4,096 fs (s) 0.11227 0.1 182 1 0.14470 0.15100 0.14727 0.13194 0.10941 0. 085 18 0.04979 ... 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 r...

Ngày tải lên: 09/08/2014, 19:22

... Exercises 174 175 1 78 179 179 180 183 187 187 190 191 191 192 1 94 1 98 1 98 205 205 207 2 08 2 08 21 0 21 3 214 21 7 21 9 221 221 222 226 227 2 28 229 230 230 vi ... models 8. 1 Introduction 8. 2 Sklar’s theorem and copulas 8. 3 Measures of dependency 8. 4 Tail dependence 8. 5 Archimedean copulas 8. 6 Elliptical copulas 8. 7...

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 ... 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 risk 2...

Ngày tải lên: 09/08/2014, 19:22

... 0.302406/(1-0.36 288 7) = 0.474651. Then p; = 0.474651 (3 + i) = 0.27 688 0, pF = 0.27 688 0 (5 + ii) = 0.1 384 40. 76 MODELS FOR THE SIZE OF LOSSES: CONTINUOUS DISTRIBUTIONS Definition ... 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 follo...

Ngày tải lên: 09/08/2014, 19:22

... 91 = -0 .85 3553(0.049 787 ) = 0.127 488 , 1 2 2 3 3 3 92 = -0 .85 3553(0.127 488 ) + -0.106694(0.049 787 ) = 0.179163, g3 = "00 .85 3553(0.179163) + -0.106694(0.127 488 ) 3(2) +-0.026674(0.049 787 ) ... - 0.36 288 7) = 1.569 580 . For the zero-modified random variable, pf = 0.6 arbitrarily. From (5.4), pr = (1 - 0.6)(0.302406)/(1 - 0.36 288 7) =...

Ngày tải lên: 09/08/2014, 19:22

... COPULAS 255 02 04 06 08 0 02 04 06 08 1 U U Fig. 8. 19 Gaussian copula density (p = 0.6) Fig. 8. 20 Gaussian copula pdf (p = 0.6) Figures 8. 19 and 8. 20 illustrate the Gaussian ... (0 = 0 .8) 0 02 04 06 0 .8 1 0 02 04 06 08 1 U U fig. 8. 9 Joe copula density (0 = 2) ARCHIMEDEAN COPULAS 247 06 06 > c 04 02 02 '0...

Ngày tải lên: 09/08/2014, 19:22

... 1,6 18 250 40 7 Table 10.2 Data Set B $27 $82 $115 $126 $155 $161 $243 $294 $340 $ 384 $457 $ 680 $85 5 $87 7 $974 $1193 $1340 $ 188 4 $25 58 $15,743 Table 10.3 Data Set C Payment range ... type. What are the hypotheses for this problem? 27 82 115 126 155 161 243 294 340 384 457 680 85 5 87 7 974 1193 1340 188 4 25 58 15,743 Let p be the population m...

Ngày tải lên: 09/08/2014, 19:22

... 12.1 Data Set B with highest value changed $27 $82 $115 $126 $155 $161 $243 $294 $340 $ 384 $457 $ 680 $85 5 $87 7 $974 $1193 $1340 $ 188 4 $25 58 $3476 truncation, and grouping rarely apply. The ... K-S* 0.1340 0. 088 7 0.0991 0.0991 A-D* 0.4292 0.1631 0.1713 0.1712 X2 1.4034 0.3615 0.5951 0.5947 pValue 0 .84 36 0.9 481 0 .89 76 0.74 28 Loglikelihood -146.063...

Ngày tải lên: 09/08/2014, 19:22

... distribution, 281 joint distribution, 282 loss function, 284 model distribution, 281 posterior distribution. 282 predictive distribution, 282 prior distribution, 281 incomplete. 376 5-6, 8- 9, 42 ... 21 T Tazl- Value-at -Risk, 41, 46, 85 -86 , 89 - 90, Tail ,weight, 72 Threshold, 188 cffect on frequency, 202 Transformed beta family, 63 Transformed distribution, 78 Transf...

Ngày tải lên: 09/08/2014, 19:22