Operational Risk Modeling Analytics phần 10 ppsx

... modified negative binomial, 204 negative binomial. 100 -101 , 104 , 109 , 113, 119, 133, 198, 209, 307 298 as Poisson mixture, 101 extended truncated, 11 0 negative hypergeometric, ... Wiley. Academic Press. 105 . Scollnik, D. (2002) Modeling size-of-loss distributions for exact data in WinBUGS,” Journal of Actuarial Practice, 10, 193-218. 106 . Self, S. and Lian...

Ngày tải lên: 09/08/2014, 19:22

... Introduction to operational risk modeling 1 Operational risk 1.1 Introduction 1.1.1 Basel 11 - General 1.1.2 1.2 Operational risk in insurance 1.3 The analysis of operational risk 1.4 ... INTRODUCTION 7 1. credit risk 2. market risk 3. operational risk 4. liquidity risk 5. legal risk Explicit and separate minimum capital requirements for...

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

... 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

... probability at zero. 5.15 TVaR FOR DISCRETE DISTRIBUTIONS In general, in operational risk modeling, we will not compute risk measures for the number of losses, although this is possible. We are ... exp(2p + 20~). Equating these to 1.200955 x lo6 and 1.88180 x 10l1 + (1.200955 x 106 )2 = 1.63047 x 10 and taking logarithms results in the following two equations in...

Ngày tải lên: 09/08/2014, 19:22

... 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, study of the ... 4,096 fs (s) 0.11227 0.11821 0.14470 0.1 5100 0.14727 0.13194 0 .109 41 0.08518 0.04979 0.07468 0.11575 0.13256 0.13597 0.12525 0 .105 58 0.08305 Because the FFT and I...

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

... particular type of operational risk, the average loss is $1200. You wish to put this assumption to a rigorous test. The following data representing recent operational risk losses of the ... calculations. Example 10. 16 Repeat the Example 10. 15 using approximate derivatives. Assume that there are 15 significant digits being used. Then hl = 6.1379 /105 and h2 =...

Ngày tải lên: 09/08/2014, 19:22

... lowz5 6.93 ~10- ~~ 1.37 ~10- ~’ 1.36 ~10- ~~ 7.40~ lo-” 2.42 x 7.18 ~10- ~~ 7.19 ~10- ~~ 5.29~ 2.95 ~10- ~~ 1.28 ~10- ~~ 4.42~ 1.24x1OW2’ 2.89 ~10- ~~ 5.07x 10- 20 5.65 x 10- 23 6 .10~ lo-” ... those obtained in Example 10. 8 and Exercise 10. 16. 10. 19 Repeat Example 10. 10 using a Pareto distribution with both parame- ters unknown. 10. 20 Repeat Example 10....

Ngày tải lên: 09/08/2014, 19:22

... i.G." 0 103 ,704 1 14,075 2 1,766 3 255 4 45 5 6 6 2 7+ 0 102 ,629.6 15,922.0 1,235.1 63.9 2.5 0.1 0.0 0.0 103 ,723.6 13,989.9 1,857.1 245.2 32.3 4.2 0.6 0.1 103 , 710. 0 14,054.7 ... X2 $50-$150 0.1172 2.227 3 0.2687 $150-$250 0 .103 5 1.966 3 0.5444 $250-$500 0.2087 3.964 4 0.0003 $500- $100 0 0.2647 5.029 4 0. 2105 $100 0-$2000 0.2180 4.1...

Ngày tải lên: 09/08/2014, 19:22