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|a De Luca, Giovanni.
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| 245 |
1 |
0 |
|a Statistical analysis of operational risk data /
|c Giovanni De Luca, Danilo Caritá, Francesco Martinelli.
|
| 260 |
|
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|a Cham :
|b Springer,
|c [2020]
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| 300 |
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|a 1 online resource ( 92 pages)
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| 336 |
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|a text
|b txt
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|a text file
|b PDF
|2 rda
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1 |
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|a SpringerBriefs in statistics,
|x 2191-5458
|
| 504 |
|
|
|a Includes bibliographical references.
|
| 505 |
0 |
0 |
|a Machine generated contents note:
|g 1.
|t Operational Risk --
|g 1.1.
|t Introduction --
|g 1.2.
|t Models for Operational Risk --
|g 1.2.1.
|t Basic Indicator Approach --
|g 1.2.2.
|t Standardized Approach --
|g 1.2.3.
|t Advanced Measurement Approach --
|g 1.3.
|t Loss Distribution Approach --
|g 1.4.
|t DIPO Consortium --
|t References --
|g 2.
|t Identification of the Risk Classes --
|g 2.1.
|t Introduction --
|g 2.2.
|t Distributional Tests --
|g 2.3.
|t Application to DIPO Data --
|t References --
|g 3.
|t Severity Analysis --
|g 3.1.
|t Introduction --
|g 3.2.
|t Mixture of Three-Parameter Log-Normal Distributions --
|g 3.3.
|t Extreme Value Theory --
|g 3.4.
|t Application to DIPO Data --
|g 3.4.1.
|t Mixture of k Log-Normal Distributions --
|g 3.4.2.
|t Log-Normal-GPD Distribution --
|g 3.4.3.
|t Comparison --
|t References --
|g 4.
|t Frequency Analysis --
|g 4.1.
|t Introduction --
|g 4.2.
|t Mixture of Poisson Distributions --
|g 4.2.1.
|t Poisson Distribution --
|g 4.2.2.
|t Finite Poisson Mixture --
|g 4.3.
|t Mixture of Negative Binomial Distributions --
|g 4.3.1.
|t Negative Binomial Distribution --
|g 4.3.2.
|t Relationship with Poisson Distribution --
|g 4.3.3.
|t Maximum Likelihood Estimation --
|g 4.3.4.
|t Finite Negative Binomial Mixture --
|g 4.4.
|t Application to DIPO Data --
|t References --
|g 5.
|t Convolution and Risk Class Aggregation --
|g 5.1.
|t Introduction --
|g 5.2.
|t Overall Loss Distribution --
|g 5.3.
|t Risk Class Aggregation and Copula Functions --
|g 5.3.1.
|t Tail Dependence --
|g 5.3.2.
|t Elliptical Copulae --
|g 5.3.3.
|t Archimedean Copulae --
|g 5.4.
|t Value-at-Risk Estimates Considering r-Copula --
|t References.
|
| 533 |
|
|
|a Electronic reproduction.
|b Ann Arbor, MI
|n Available via World Wide Web.
|
| 588 |
0 |
|
|a Print version record.
|
| 650 |
|
0 |
|a Operational risk
|v Statistics.
|
| 650 |
|
0 |
|a Risk management
|v Statistics.
|
| 650 |
|
0 |
|a Statistics
|x Methodology.
|
| 700 |
1 |
|
|a Carità, Danilo.
|
| 700 |
1 |
|
|a Martinelli, Francesco.
|
| 710 |
2 |
|
|a ProQuest (Firm)
|
| 776 |
0 |
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|i Print version:
|a De Luca, Giovanni.
|t Statistical Analysis of Operational Risk Data.
|d Cham : Springer, ©2020
|z 9783030425791
|
| 830 |
|
0 |
|a SpringerBriefs in statistics.
|
| 856 |
4 |
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|u https://ebookcentral.proquest.com/lib/santaclara/detail.action?docID=6121796
|z Connect to this title online (unlimited simultaneous users allowed; 325 uses per year)
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