Operational Risk Modeling Analytics phần 9 pptx

... Exponential Weibull K-S* 0.1340 0.0887 0. 099 1 0. 099 1 A-D* 0.4 292 0.1631 0.1713 0.1712 X2 1.4034 0.3615 0. 595 1 0. 594 7 pValue 0.8436 0 .94 81 0. 897 6 0.7428 Loglikelihood -146.063 -145.683 ... 6 2 7+ 0 102,6 29. 6 15 ,92 2.0 1,235.1 63 .9 2.5 0.1 0.0 0.0 103,723.6 13 ,98 9 .9 1,857.1 245.2 32.3 4.2 0.6 0.1 103,710.0 14,054.7 1,784 .9 254.5...

Ngày tải lên: 09/08/2014, 19:22

... 178 1 79 1 79 180 183 187 187 190 191 191 192 1 94 198 198 205 205 207 208 208 21 0 21 3 214 21 7 21 9 221 221 222 226 227 228 2 29 230 230 vi CONTENTS 2.4 Quantiles ... Model selection 3 29 3 29 3 29 333 336 338 34 3 344 34 5 34 9 34 9 350 351 356 357 360 360 365 367 367 368 368 375 383 383 384 384 387...

Ngày tải lên: 09/08/2014, 19:22

... Fx (1) = 0 .95 , Fx (90 ) = 0 .99 , Fx(100) = 1. indicating a 95 % quantile of $1. Similarly the cdf for risk Y satisfies Fz(0) = 0 .96 indicating that there is a 96 % chance of ... 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 tradi...

Ngày tải lên: 09/08/2014, 19:22

... 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 Poisson distribution. ... variable. Under- standing large possible operational risk loss values is important because these have the greatest impact on the total of operational risk losses. Random va...

Ngày tải lên: 09/08/2014, 19:22

... 3(1) 3(2) 91 = -0.853553(0.0 497 87) = 0.127488, 1 2 2 3 3 3 92 = -0.853553(0.127488) + -0.106 694 (0.0 497 87) = 0.1 791 63, g3 = "00.853553(0.1 791 63) + -0.106 694 (0.127488) ... Then, 91 = __ 7'5(1) 0.341421 (0.0 497 87) = 0.127487, 1 92 = - 7~5~(')0.341421(0.127487) + 7'5(2)0.042678(0.0 497 87) = 0.1 791 61, 93 = - 7~5(1)0....

Ngày tải lên: 09/08/2014, 19:22

... IFFT S n=8 fs (s) n = 4, 096 fs (s) 0.11227 0.11821 0.14470 0.15100 0.14727 0.13 194 0.1 094 1 0.08518 0.0 497 9 0.07468 0.11575 0.13256 0.13 597 0.12525 0.10558 0.08305 Because ... 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...

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

... =0.8 690 0 - Var(p) = 40,000( 1424.4)-2 exp( -400/1424.4) = o.0007444. 20 A 95 % confidence interval for p is 0.8 69 1 .96 dm or 0.8 69 f 0.053. (7 Example 10. 19 Construct a 95 % confidence ... 6.13 79/ 105 and h2 = 1.3 894 /105. Reasonably close values are 0.00006 and 0.00001. The first approximation is - d2Z - . 1(6.13 796 ,1.3 894 ) - 21(6.13 79, 1.3 894...

Ngày tải lên: 09/08/2014, 19:22

... 86,826 63 ,97 9 47,245 34 ,96 1 25 ,92 6 19, 265 14,344 10,702 8,000 5 ,99 2 4, 496 3,380 2,545 1 ,92 0 0 6,433 2 195 ,201 29 2: 496 ,93 5 243 15,558 ,90 6 1,116 52,737,840 3,033 106.021,7 39 4,454 ... by year Year No. of machines No. of losses 199 6 199 7 199 8 199 9 2000 2001 2145 207 2452 227 3112 34 1 3458 335 3 698 362 3872 3 59 Exampl...

Ngày tải lên: 09/08/2014, 19:22

... Probability, 22, 147-1 59. 128. Wirch J. ( 199 9) “Raising Value at Risk, ” North American Actuarial Jour- nal 3, 106-115. 1 29. Wirch, J., and Hardy, M. ( 199 9) “A synthesis of risk measures for ... 1 19, 133, 198 , 2 09, 307 298 as Poisson mixture, 101 extended truncated, 11 0 negative hypergeometric, 190 Neyman Type A, 113, 122, 133 normal, 29: 43, 46-47...

Ngày tải lên: 09/08/2014, 19:22