Download or read book A Comparison of Alternative Mixing Model for External Data in Operational Risk written by Roberto Torresetti and published by . This book was released on 2016 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: In measuring its Operational Risk VaR, a bank needs to pay attention when including external data in its analysis. Without careful consideration of the specific nature of the bank's risk there can be relevant systemic risk implications as pointed out in Torresetti and Nordio (2014). Based on real operational risk data we will case study alternative mixing models for external data. In particular we will see how scaling through a proxy for size, as in Shih et al (2000), in some cases does not seem to be a sensible technique to incorporate external data. Moving to more sophisticated mixing models we will see how kernel modified estimators, as in Bolancé et al (2013), and bayesian estimators, as in Lambrigger et al. (2007), represent an improvement. We will show also how the technique outlined in Torresetti and Nordio (2014) is capable of improving further the treatment of external data in those instances where the case can be made for a distinct power law governing the tail of the internal and external data.
Download or read book A Mixing Model for Operational Risk written by Jim Gustafsson and published by . This book was released on 2008 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling. The standard statistical model resembles bayesian methodology or credibility theory in the sense that prior knowledge (external data) has more weight when internal data is sparse than when internal data is abundant.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Revisiting Risk Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 994 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Financial Risk Management written by Thierry Roncalli and published by CRC Press. This book was released on 2020-04-23 with total page 987 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874
Download or read book Nuclear Safety written by and published by . This book was released on 1976-03 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Download or read book Federal Statistics Multiple Data Sources and Privacy Protection written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2018-01-27 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: The environment for obtaining information and providing statistical data for policy makers and the public has changed significantly in the past decade, raising questions about the fundamental survey paradigm that underlies federal statistics. New data sources provide opportunities to develop a new paradigm that can improve timeliness, geographic or subpopulation detail, and statistical efficiency. It also has the potential to reduce the costs of producing federal statistics. The panel's first report described federal statistical agencies' current paradigm, which relies heavily on sample surveys for producing national statistics, and challenges agencies are facing; the legal frameworks and mechanisms for protecting the privacy and confidentiality of statistical data and for providing researchers access to data, and challenges to those frameworks and mechanisms; and statistical agencies access to alternative sources of data. The panel recommended a new approach for federal statistical programs that would combine diverse data sources from government and private sector sources and the creation of a new entity that would provide the foundational elements needed for this new approach, including legal authority to access data and protect privacy. This second of the panel's two reports builds on the analysis, conclusions, and recommendations in the first one. This report assesses alternative methods for implementing a new approach that would combine diverse data sources from government and private sector sources, including describing statistical models for combining data from multiple sources; examining statistical and computer science approaches that foster privacy protections; evaluating frameworks for assessing the quality and utility of alternative data sources; and various models for implementing the recommended new entity. Together, the two reports offer ideas and recommendations to help federal statistical agencies examine and evaluate data from alternative sources and then combine them as appropriate to provide the country with more timely, actionable, and useful information for policy makers, businesses, and individuals.
Download or read book Big Data for Twenty First Century Economic Statistics written by Katharine G. Abraham and published by University of Chicago Press. This book was released on 2022-03-11 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers in this volume analyze the deployment of Big Data to solve both existing and novel challenges in economic measurement. The existing infrastructure for the production of key economic statistics relies heavily on data collected through sample surveys and periodic censuses, together with administrative records generated in connection with tax administration. The increasing difficulty of obtaining survey and census responses threatens the viability of existing data collection approaches. The growing availability of new sources of Big Data—such as scanner data on purchases, credit card transaction records, payroll information, and prices of various goods scraped from the websites of online sellers—has changed the data landscape. These new sources of data hold the promise of allowing the statistical agencies to produce more accurate, more disaggregated, and more timely economic data to meet the needs of policymakers and other data users. This volume documents progress made toward that goal and the challenges to be overcome to realize the full potential of Big Data in the production of economic statistics. It describes the deployment of Big Data to solve both existing and novel challenges in economic measurement, and it will be of interest to statistical agency staff, academic researchers, and serious users of economic statistics.
Download or read book Energy Research Abstracts written by and published by . This book was released on 1994-11 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nevada Test Site NTS and Off site Locations in the State of Nevada Tonopah Test Range Portions of the Nellis AFB Range NAFR Complex the Central Nevada Test Area and Shoal Area Nye County written by and published by . This book was released on 1996 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Social Science Research written by Anol Bhattacherjee and published by CreateSpace. This book was released on 2012-04-01 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed to introduce doctoral and graduate students to the process of conducting scientific research in the social sciences, business, education, public health, and related disciplines. It is a one-stop, comprehensive, and compact source for foundational concepts in behavioral research, and can serve as a stand-alone text or as a supplement to research readings in any doctoral seminar or research methods class. This book is currently used as a research text at universities on six continents and will shortly be available in nine different languages.
Download or read book Waste Management Programmatic EIS for Managing Treatment Storage and Disposal of Radioactive and Hazardous Waste for Five Types of Waste Low level Radioactive Low level Mixed Transuranic Radioactive High level Radioactive and Hazardous Waste written by and published by . This book was released on 1997 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selected Rand Abstracts written by Rand Corporation and published by . This book was released on 1992 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes publications previously listed in the supplements to the Index of selected publications of the Rand Corporation (Oct. 1962-Feb. 1963).
Download or read book Proceedings of the International Conference on Consumer Technology and Engineering Innovation ICONTENTION 2023 written by Utamy Sukmayu Saputri and published by Springer Nature. This book was released on 2024 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Increasing Supply Chain Performance in Digital Society written by Leon, Ramona Diana and published by IGI Global. This book was released on 2022-06-03 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currently, the main operations of companies are either directly or indirectly interconnected in a global-world context. Competition has drifted from an individual to a supply chain basis, where digitalization plays a key role. Companies with better digital capabilities achieve sustainable competitive market advantages. In this context, companies must identify their current position in terms of digital capabilities, link these capabilities to supply chain performance, define their future desired competitive position and how their digital capabilities are going to help them to get there, and forecast their future desired performance not only at the individual company but also at the supply chain level. Increasing Supply Chain Performance in Digital Society considers innovative approaches to measure, manage, and project towards the future of the digital capabilities of both individual companies and supply chains. It also examines the relations these have with performance being a practical tool to identify not only where they are today in terms of digital capabilities but also where they should be long term and the resources needed to get them there. Covering a range of topics such as artificial intelligence and risk management, this reference work is ideal for practitioners, researchers, scholars, business owners, industry professionals, academicians, instructors, and students.
