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Modeling, Measuring and Hedging Operational Risk (The Wiley Finance Series) [Hardcover]

Marcelo G. Cruz

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Table of Contents

Introduction PART I: DATABASE MODELING Database Modeling PART II: STOCHASTIC MODELING Severity Distributions Extreme Value Theory Frequency Distributions The Operational Risk VaR Stochastic Processes in Operational Risk PART III: CAUSAL MODELS Causal Models : Applying Econometrics and Time Series Statistics to Operational Risk Non–Linear Models in Operational Risk Bayesian Techniques in Operational Risk PART IV: OPERATIONAL RISK MANAGEMENT Operational Risk Reporting, Control and Management – Stress Tests and Scenario Analysis in Operational Risk PART V: HEDGING OPERATIONAL RISK Operational Risk Derivatives Developing an OR Hedging Program PART VI: OPERATIONAL RISK REGULATORY CAPITAL Operational Risk Regulatory Capital PART VII: MEASURING "OTHER RISKS" – FOREGONE REVENUE MEASUREMENT MODELS An Enterprise–Wide Model for Measuring Reputational Risk – Measuring Concentration (or Key Personnel) Risk – Using Real Options in Modeling and Measuring Operational and ′Other′ Risks APPENDIX – Valuing Networks – Understanding the basics of e–ventures valuation

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