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Advances in Heavy Tailed Risk Modeling

A Handbook of Operational Risk
Wiley Handbooks in Financial Engineering and Econometrics 1. Aufl.

von: Gareth W. Peters, Pavel V. Shevchenko
141,99 €
Verlag:	Wiley
Format:	PDF
Veröffentl.:	05.05.2015
ISBN/EAN:	9781118909553
Sprache:	englisch
Anzahl Seiten:	656

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Beschreibungen

Titelbeschreibung

ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: <ul><li>Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation</li> <li>An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models</li> <li>An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates</li> <li>Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions</li></ul> Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.

Inhaltsverzeichnis

1 Motivation for Heavy-Tailed Models 1 2 Fundamentals of Extreme Value Theory for OpRisk 17 3 Heavy-Tailed Model Class Characterizations for LDA 105 4 Flexible Heavy-Tailed Severity Models: α-Stable Family 139 5 Flexible Heavy-Tailed Severity Models: Tempered Stable and Quantile Transforms 227 6 Families of Closed-Form Single Risk LDA Models 279 7 Single Risk Closed-Form Approximations of Asymptotic Tail Behaviour 353 8 Single Loss Closed-Form Approximations of Risk Measures 433 9 Recursions for Distributions of LDA Models 517 A Miscellaneous Definitions and List of Distributions 587

Autorenportrait

Gareth W. Peters, PhD, is Assistant Professor in the Department of Statistical Science, Principal Investigator in Computational Statistics and Machine Learning, and Academic Member of the UK PhD Centre of Financial Computing at University College London. He is also Adjunct Scientist in the Commonwealth Scientific and Industrial Research Organisation, Australia; Associate Member Oxford-Man Institute at the Oxford University; and Associate Member in the Systemic Risk Centre at the London School of Economics. Dr. Peters is also a visiting professor at the Institute of Statistical Mathematics, Tokyo, Japan. Pavel V. Shevchenko, PhD, is Senior Principal Research Scientist in the Division of Computational Informatics at the Commonwealth Scientific and Industrial Research Organisation, Australia, as well as Adjunct Professor at the University of New South Wales and the University of Technology, Sydney. He is also Associate Editor of The Journal of Operational Risk. He works on research and consulting projects in the area of financial risk and the development of relevant numerical methods and software, has published extensively in academic journals, consults for major financial institutions, and frequently presents at industry and academic conferences.

Back cover copy

A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: <ul><li>Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation</li> <li>An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models</li> <li>An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates</li> <li>Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions</li></ul> Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.