Includes bibliographical references (pages 417-425) and index.
Contents
Operational risk -- Basic probability concepts -- Measures of risk -- Models for the size of losses : continuous distributions -- Models for the number of losses : counting distributions -- Aggregate loss models -- Extreme value theory : the study of jumbo losses -- Multivariate models -- Review of mathematical statistics -- Parameter estimation -- Estimation for discrete distributions -- Model selection -- Fitting extreme value models -- Fitting copula models.
