Bøker av Claudio (SERV Franzetti

Helping you navigate the tricky world of risk calculation and management, this book presents two main building blocks for determining how much capital needs to be reserved for operational risk. It employs the loss distribution approach as a model for calculating the risk capital figure and explains risk mitigation through management and management¿s actuations. The model introduced complies with the standards of the Basel Accord. While R scripts are used for some examples, a prototypical software program for calculating the loss distribution and economic capital in the more detailed run-through example can be downloaded from www.garrulus.com

In banking regulation, tools are needed to quantify risk and calculate the amount of capital reserve required to mitigate such risk. This book offers a complete model for the quantification of so-called operational risks.