【操作风险文献综述】第一期（part 2）：操作风险书籍总结和中国金融机构操作风险数据

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

第一期：操作风险书籍
第一大类，与操作风险间接相关的书籍

#	Author(s)/Editor(s)	Title	Publisher	Location	Time	本帖是否提供PDF全文下载	Content
0-1	Coleman, Thomas S.	A Practical Guide to Risk  Management	Research Foundation of the CFA  Institute		2011	1	在从业者的角度审视风险的管理，特别区分风险管理作为一种艺术和风险度量作为一种科学的平衡
0-2	Dempster, M. A. H.	Risk Management: Value at Risk  and Beyond	Cambridge University Press	New York	2010	1	和操作风险相关的是Section 7: Correlation  and  Dependence in Risk Management: Properties and Pitfalls, Paul  Embrechts,  Alexander J. Mcneil and Daniel Straumann，这篇文章的主要研究问题是Due to the VaR’s lack of sub-additivity,  the expectation that the sum of  the single VaRs to provide an  upper bound is not true
0-3	Carey, Mark and Rene M. Stulz	The Risks of Financial  Institutions	University of Chicago Press	Chicago	2007	1	和操作风险相关的是其中的文章：Implications  of Alternative  Operational Risk Modelling Techniques, Patrick de  Fontnouvelle, Eric  Rosengren, John Jordan
0-4	Nelsen, Roger B.	An introduction to Copulas (2nd  Edition)	Springer	New York	2006	0	对操作风险度量的价值在于Apply Copulas  to model  interdependence in operational risk
0-5	Ong, Michael K.	The Basel Handbook: A Guide for  Financial  Practitioners (2nd Edition)	Riskbooks		2006	0	和操作风险相关的分别是第五、六节   • Section 5: Implementing the  Advanced Measurement Approach for  Operational Risk   o Implementing a Basel II Scenario-Based AMA for Operational Risk,  Ulrich  Anders and Gerrit Jan van den Brink   o Loss Distribution Approach in Practice, Antoine Frachot, Olivier  Moudoulaud  and Thierry Roncalli   o An Operational Risk Ratings Model Approach to Better Measurement  and  Management of Operational Risk (Updated), Anthony Peccia       • Section 6: Loss Database and Insurance       o Constructing an Operational Event Database, Michael  Haubenstock       o Insurance and Operational Risk (Updated), John Thirwell
0-6	McNeil, Alexander J., Rudiger  Frey, and Paul  Embrechts	Quantitative Risk Management:  Concepts,  Techniques and Tools	Princeton University Press	New Jersey	2005	1	对风险的认知和基础概念，各种流行的风险度量方法，本书第10章简要的介绍了操作风险的基础概念和用精算方法来度量操作风险的步骤
0-7	Cizek, Pavel, Wolfgang Hardle,  and Rafael  Weron	Statistical Tools for Finance  and Insurance	Springer-Verlag	Berlin Heidelberg	2005	1	主要介绍了当代统计学工具在金融和保险两个领域的各类应用
0-8	Bernadell, Carlos et al.	Risk Management for Central Bank  Foreign  Reserves	European Central Bank		2004	1	本书第14节和操作风险相关，Section 14:  Ruin Theory  Revisited: Stochastic Models for Operational Risks,  Paul Embrechts, Roger  Kaufmann and Gennady Samorodnitsky
0-9	Arbib, Michael A.	The Handbook of Brain Theory and  Neural  Networks (2 Edition)	Bradford Books		2003	0	作为唯一一本非金融书籍，其中的一章，Bayesian  networks by Pearl and  Russel，是操作风险度量三大类方法中的一个分支。
0-10	Rachev, Svetlozar T.	Handbook of Heavy Tailed  Distributions in  Finance	Elseiver	Amsterdam	2003	0	Chapter 1       Heavy Tails in Finance for Independent or Multifractal Price  Increments,  BENOIT B. MANDELBROT       Chapter 2       Financial Risk and Heavy Tails, BRENDAN O. BRADLEY and MURAD S.  TAQQU       Chapter 3       Modeling Financial Data with Stable Distributions, JOHN P.  NOLAN       Chapter 4       Statistical Issues in Modeling Multivariate Stable Portfolios,  TOMASZ J.  KOZUBOWSKI, ANNA K. PANORSKA and SVETLOZAR T. RACHEV       Chapter 5       Jump-Diffusion Models, WOLFGANG J. RUNGGALDIER       Chapter 6       Hyperbolic Processes in Finance, BO MARTIN BIBBY and MICHAEL  SØRENSEN       Chapter 7       Stable Modeling of Market and Credit Value at Risk, SVETLOZAR  T. RACHEV,  EDUARDO S. SCHWARTZ and IRINA KHINDANOVA       Chapter 8       Modelling Dependence with Copulas and Applications to Risk  Management, PAUL  EMBRECHTS, FILIP LINDSKOG and ALEXANDERMCNEIL       Chapter 9       Prediction of Financial Downside-Risk with Heavy-Tailed  Conditional  Distributions, STEFAN MITTNIK and MARC S. PAOLELLA       Chapter 10       Stable Non-Gaussian Models for Credit Risk Management, BERNHARD  MARTIN,  SVETLOZAR T. RACHEV and EDUARDO S. SCHWARTZ       Chapter 11       Multifactor Stochastic Variance Models in Risk Management:  Maximum Entropy  Approach and Lévy Processes, ALEXANDER LEVIN and  ALEXANDER TCHERNITSER       Chapter 12       Modelling the Term Structure of Monetary Rates, LUISA IZZI       Chapter 13       Asset Liability Management: A Review and Some New Results in  the Presence  of Heavy Tails, YESIM TOKAT, SVETLOZAR T. RACHEV and  EDUARDO S.  SCHWARTZ       Chapter 14       Portfolio Choice Theory with Non-Gaussian Distributed Returns,  SERGIO  ORTOBELLI, ISABELLA HUBER, SVETLOZAR T. RACHEV and EDUARDO  S. SCHWARTZ       Chapter 15       Portfolio Modeling with Heavy Tailed Random Vectors, MARK M.  MEERSCHAERT  and HANS-PETER SCHEFFLER       Chapter 16       Long Range Dependence in Heavy Tailed Stochastic Processes,  BORJANA  RACHEVA-IOTOVA and GENNADY SAMORODNITSKY
0-11	Tarantino, Anthony	Governance, Risk, and Compliance  Handbook:  Technology, Finance, Environmental, and International Guidance  and  Best Practices	John Wiley & Sons, Inc.	New York	2003	0
0-12	Joe, Harry	Multivariate models and  dependence concepts	Chapman & Hall	London	1997	0	卖太贵了，下载地址：https://bbs.pinggu.org/thread-1073137-1-1.html
0-13	Embrechts, Paul, Claudia  Kluppelberg, and  Thomas Mikosch	Modelling Extremal Events: for  Insurance and  Finance (Stochastic Modelling and Applied Probability)	Springer	Berlin	1997	0	重点研究操作风险的一大头疼问题，重尾分布对尾部高位数据如何处理，下载地址：http://www.docin.com/p-176960066.html
0-14	Hoaglin, David C., Frederick  Mosteller, and  John W. Tukey	Exploring Data Tables, Trends,  and Shapes	John Wiley & Sons, Inc.	New York	1985	0	其中的一篇文章，Summarizing Shape  Numerically:  The g-and-h Distributions, David C. Hoaglin，对目前比较热门的用来parametrically fit程度分布的多参数重尾分布方程G-and-H做了较为详细的阐述
0-15	Berger, James O.	Statistical Decision Theory and  Bayesian  Analysis	Springer-Verlag	New York	1985	1	Introduction to the Bayesian  inference  method，介绍贝叶斯方法的bible
0-16	Tukey, John W.	Exploratory Data Analysis (1st  Edition)	Addison-Wesley	Reading, MA	1977	0	An informal study of the data.  Methods range  from plotting picture-drawing techniques to rather  elaborate  numerical summaries. 从不严谨的画图和视觉方法到严谨的数据处理，各种方法来处理数据，尤其对于特点鲜明的操作风险数据有指导意义

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：操作风险数据 操作风险 中国金融 PART 金融机构 中国 机构 书籍