Operational Risks: Modeling Analytics

Preface.

Acknowledgments.

PART I: INTRODUCTIN TO OPERATIONAL RISK MODELING.

Chapter 1. Operational Risk.

Chapter 2. Basic Probability concepts.

Chapter 3. Measures of Risk.

PART II: PROBABILISTIC TOOLS FOR OPERATIONAL RISK MODELING.

Chapter 4. Models for the size of losses: Continuous distributions.

Chapter 5. Models for the number of losses: Counting distributions.

Chapter 6. Aggregate loss models.

Chapter 7. Extreme value theory: The study of jumbo losses.

Chapter 8. Multivariate models.

PART III: STATISTICAL METHODS FOR CALIBRATING MODELS OF OPERATIONAL RISK.

Chapter 9. Review of mathematical statistics.

Chapter 10. Parameter Estimation.

Chapter 11. Estimation for discrete distributions.

Chapter 12. Model selection.

Chapter 13. Fitting extreme value models.

Chapter 14. Fitting copula models.

Appendix A. Gamma and related functions.

Appendix B. Discretization of the severity distribution.

Appendix C. Nelder-Mead simplex Method.

References.

Index.