- Hardcover: 268 pages
- Publisher: John Wiley & Sons; Har/Cdr edition (11 May 2004)
- Language English
- ISBN-10: 0471478873
- ISBN-13: 978-0471478874
- Product Dimensions: 23.4 x 15.5 x 2.5 cm
- Amazon Bestsellers Rank: 1,265,957 in Books (See Top 100 in Books)
- See Complete Table of Contents
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More About the Author
Product Description
Product Description
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.
From the Inside Flap
Understanding and managing operational risk is essential to a company’s survival and prosperity. With the regulatory spotlight on operational risk management, there has been ever–increasing attention devoted to the quantification of operational risks. As a result, we have seen the emergence of a wide array of statistical methods for measuring, modeling, and monitoring operational risk.
Written by quantitative risk expert Nigel Da Costa Lewis, Operational Risk with Excel and VBA brings together a wide variety of statistical methods and models that have proven their worth in real–world business situations, and illustrates how these methods can improve a firm’s overall management of operational risk events.
Based on the author’s extensive experience, this book maps out the state–of–the–art statistical techniques that can be used to model operational risk. You’ll be introduced to the most important topics in this area, such as Bayesian Belief Networks, extreme value theory, and fitting frequency and severity of loss distributions to data. As you work your way through this concise guide, you’ll quickly learn how to model operational risk using tools such as Microsoft Excel and Visual Basic for Applications (VBA). Through the companion CD–ROM that supplements this book, you’ll be able to watch interactive illustrations of the modeling methods discussed and utilize a variety of Excel spreadsheets for your own endeavors in this field.
Other issues covered include:
- Random variables, risk indicators, and probability
- Expectation, covariance, variance, and correlation
- Modeling central tendency and variability of operational risk indicators
- Statistical testing of operational risk parameters
- The law of significant digits and fraud risk identification
- Linear regression in operational risk management
- Validating operational risk proxies using surrogate endpoints
To improve your understanding of the methods discussed, case studies, examples, and review questions are also included in many chapters.
Whether you’re a financial professional, consultant, or academic, Operational Risk with Excel and VBA provides you with an authoritative and up–to–date treatment of the most crucial innovations in the application of statistical methods to operational risk modeling.
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1 of 1 people found the following review helpful
Humayun Ali
17 Feb 2008
Format:Hardcover
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.
1 of 1 people found the following review helpful
It's about Excel statistical functions with examples using operational risk data
18 Jan 2007
Format:Hardcover|Amazon Verified Purchase
Remember in school when you had to solve math problems about how long it would take John to drive the 200 miles from New York to Washington if he drove at 50 miles an hour and took a one hour break for lunch? Or how long would it take John to meet Julie who was driving at 45 miles per hour from Washington to New York?
Now, would it make sense to call a book of these problems "Learning to Drive By Using Math"? That's the feeling I got when I closed Operational Risk With Excel and VBA. It's actually a good overview of many of Excel's statistical functions and it presents these in an operational risk context. However, it overemphasizes the technical and quantitative aspects of the field.
The Basel committee defines operational risk as "the risk of loss resulting from inadequate or failed internal processes, people, and systems or from external events". Of course the quantitative aspects are important, but operational risk is much more about analyzing processes and managing people and Lewis's book is weak on that aspect. To be fair the title is quite clear: the book is about applied statistical methods, not about people management.
Vincent Poirier, Tokyo
Now, would it make sense to call a book of these problems "Learning to Drive By Using Math"? That's the feeling I got when I closed Operational Risk With Excel and VBA. It's actually a good overview of many of Excel's statistical functions and it presents these in an operational risk context. However, it overemphasizes the technical and quantitative aspects of the field.
The Basel committee defines operational risk as "the risk of loss resulting from inadequate or failed internal processes, people, and systems or from external events". Of course the quantitative aspects are important, but operational risk is much more about analyzing processes and managing people and Lewis's book is weak on that aspect. To be fair the title is quite clear: the book is about applied statistical methods, not about people management.
Vincent Poirier, Tokyo
Operational Risk with VBA and Excel
17 April 2009
Format:Hardcover
This book give you just a partial statistics theoretical review and it lack of solid exercises . The CD is very limited and the examples are simple. It lack of data base in order to applied the statistics methods. Also, it does not have all the VBA formulas in a chapter or in a CD that you can load to your computer in order to do your own practical cases.
I sent an e-mail to the author in order to get data in several exercises in order to run a logistic and linear regression but I never received a replied from the author. He print in a book limited data that you can not run any regression method and therefore it is worthless the examples in the book because you can not do it.
I sent an e-mail to the author in order to get data in several exercises in order to run a logistic and linear regression but I never received a replied from the author. He print in a book limited data that you can not run any regression method and therefore it is worthless the examples in the book because you can not do it.
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