Statistical Analysis of Operational Risk Data
Giovanni Luca CiampagliaRelease date:February 2020
Language:English
Pages:84
ISBN:9783030425807
Publisher:Springer
Price:€ 76,99
This concise book for practitioners presents the statistical analysis of operational risk, which is considered the most relevant source of bank risk, after market and credit risk. The book shows that a careful statistical analysis can improve the results of the popular loss distribution approach. The authors identify the risk classes by applying a pooling rule based on statistical tests of goodness-of-fit, use the theory of the mixture of distributions to analyze the loss severities, and apply copula functions for risk class aggregation. Lastly, they assess operational risk data in order to estimate the so-called capital-at-risk that represents the minimum capital requirement that a bank has to hold. The book is primarily intended for quantitative analysts and risk managers, but also appeals to graduate students and researchers interested in bank risks.
Giovanni Luca Ciampaglia
Giovanni Luca Ciampaglia is an assistant professor at the Department of Computer Science and Engineering at the University of South Florida (USF). He is interested in information quality in cyber-human systems, in particular trustworthiness and reliability of information in intelligent systems.
Prior to joining USF he was an assistant research scientist at the Indiana University Network Science Institute (IUNI), an analyst for the Wikimedia Foundation, and a research associate at the Professorship of Computational Social Science at the Swiss Federal Institute of Technology in Zurich. His work has been covered in major news outlets, including the Wall Street Journal, Wired, MIT Technology Review, NPR, and CBS News, to cite a few.
