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Field name	Details
Dewey Class	330.015195
Title	Statistical Analysis of Operational Risk Data ([EBook]) / by Giovanni De Luca, Danilo Carità, Francesco Martinelli.
Author	De Luca, Giovanni
Added Personal Name	Carità, Danilo
Added Personal Name	Martinelli, Francesco
Other name(s)	SpringerLink (Online service)
Edition statement	1st ed. 2020.
Publication	Cham : : Springer International Publishing : : Imprint: Springer, , 2020.
Physical Details	IX, 84 p. 68 illus., 44 illus. in color. : online resource.
Series	SpringerBriefs in Statistics 2191-544X
ISBN	9783030425807
Summary Note	This concise book for practitioners presents the statistical analysis of operational risk, which is considered the most relevant source of bank risk, after market and credit risk. The book shows that a careful statistical analysis can improve the results of the popular loss distribution approach. The authors identify the risk classes by applying a pooling rule based on statistical tests of goodness-of-fit, use the theory of the mixture of distributions to analyze the loss severities, and apply copula functions for risk class aggregation. Lastly, they assess operational risk data in order to estimate the so-called capital-at-risk that represents the minimum capital requirement that a bank has to hold. The book is primarily intended for quantitative analysts and risk managers, but also appeals to graduate students and researchers interested in bank risks.:
Contents note	1 The Operational Risk -- 2 Identification of the Risk Classes -- 3 Severity Analysis -- 4 Frequency Analysis -- 5 Convolution and Risk Class Aggregation -- 6 Conclusions.
Mode of acces to digital resource	Digital book. Cham Springer Nature 2020. - Mode of access: World Wide Web. System requirements: Internet Explorer 6.0 (or higher) or Firefox 2.0 (or higher). Available as searchable text in PDF format
System details note	- Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	https://doi.org/10.1007/978-3-030-42580-7
Links to Related Works	Subject References: Applications of Mathematics . Applied mathematics . Bank marketing . Economic theory . Economic Theory/Quantitative Economics/Mathematical Methods . Engineering mathematics . Financial Services . Risk Management . Statistics . Statistics for Business, Management, Economics, Finance, Insurance . Authors: author . Carità, Danilo . De Luca, Giovanni . Martinelli, Francesco . Corporate Authors: SpringerLink (Online service) . Series: SpringerBriefs in Statistics . Classification: 330.015195 .

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Statistical Analysis of Operational Risk Data

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