Operational Risk with Excel and VBA
Applied Statistical Methods for Risk Management
Wiley Finance Editions
1. Edition May 2004
288 Pages, Hardcover
Wiley & Sons Ltd
Short Description
Operational Risk with Excel and VBA is a practitioner's guide that only discusses statistical methods that have been shown to work in an operational risk management context. It brings together a wide variety of statistical methods and models that have proven their worth, and contains a concise treatment of the topic. This book provides the reader with clear explanations, relevant information, and comprehensive examples of statistical methods for operational risk management in the real world.
A valuable reference for understanding operational risk
Operational Risk with Excel and VBA is a practical guide that only discusses statistical methods that have been shown to work in an operational risk management context. It brings together a wide variety of statistical methods and models that have proven their worth, and contains a concise treatment of the topic. This book provides readers with clear explanations, relevant information, and comprehensive examples of statistical methods for operational risk management in the real world.
Nigel Da Costa Lewis (Stamford, CT) is president and CEO of StatMetrics, a quantitative research boutique. He received his PhD from Cambridge University.
Acknowledgments.
CHAPTER 1: Introduction to Operational Risk Management and Modeling.
CHAPTER 2: Random Variables, Risk indicators, and Probability.
CHAPTER 3: Expectation, Covariance, Variance, and Correlation.
CHAPTER 4: Modeling Central Tendency and Variability of Operational Risk Indicators.
CHAPTER 5: Measuring Skew and Fat Tails of Operational Risk Indicators.
CHAPTER 6: Statistical Testing of Operational Risk Parameters.
CHAPTER 7: Severity of Loss Probability Models.
CHAPTER 8: Frequency of Loss Probability Models.
CHAPTER 10: The Law of Significant Digits and Fraud Risk Identification.
CHAPTER 11: Correlation and Dependence.
CHAPTER 12: Linear Regression in Operational Risk Management.
CHAPTER 13: Logistic Regression in Operational Risk Management.
CHAPTER 14: Mixed Dependent Variable Modeling.
CHAPTER 15: Validating Operational Risk Proxies Using Surrogate Endpoints.
CHAPTER 16: Introduction to Extreme Value Theory.
CHAPTER 17: Managing Operational Risk with Bayesian Belief Networks.
CHAPTER 18: Epilogue.
Bibliography.
About the CD-ROM.
Index.
