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Author(s)/Editor(s)

Title

Publisher

Location

Time

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Content

0-1

Coleman, Thomas S.

A Practical Guide to RiskManagement

Research Foundation of the CFAInstitute

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 Riskand Beyond

Cambridge University Press

New York

2010

1

和操作风险相关的是Section 7: CorrelationandDependence in Risk Management: Properties and Pitfalls, PaulEmbrechts,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 ofthe single VaRs to provide anupper bound is not true

0-3

Carey, Mark and Rene M. Stulz

The Risks of FinancialInstitutions

University of Chicago Press

Chicago

2007

1

和操作风险相关的是其中的文章：Implicationsof AlternativeOperational Risk Modelling Techniques, Patrick deFontnouvelle, EricRosengren, John Jordan

0-4

Nelsen, Roger B.

An introduction to Copulas (2ndEdition)

Springer

New York

2006

0

对操作风险度量的价值在于Apply Copulasto modelinterdependence in operational risk

0-5

Ong, Michael K.

The Basel Handbook: A Guide forFinancialPractitioners (2nd Edition)

Riskbooks

2006

0

和操作风险相关的分别是第五、六节
• Section 5: Implementing theAdvanced Measurement Approach forOperational Risk
o Implementing a Basel II Scenario-Based AMA for Operational Risk,UlrichAnders and Gerrit Jan van den Brink
o Loss Distribution Approach in Practice, Antoine Frachot, OlivierMoudoulaudand Thierry Roncalli
o An Operational Risk Ratings Model Approach to Better MeasurementandManagement of Operational Risk (Updated), Anthony Peccia
• Section 6: Loss Database and Insurance
o Constructing an Operational Event Database, MichaelHaubenstock
o Insurance and Operational Risk (Updated), John Thirwell

0-6

McNeil, Alexander J., RudigerFrey, and PaulEmbrechts

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 RafaelWeron

Statistical Tools for Financeand 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 BankForeignReserves

European Central Bank

2004

1

本书第14节和操作风险相关，Section 14:Ruin TheoryRevisited: Stochastic Models for Operational Risks,Paul Embrechts, RogerKaufmann and Gennady Samorodnitsky

0-9

Arbib, Michael A.

The Handbook of Brain Theory andNeuralNetworks (2 Edition)

Bradford Books

2003

0

作为唯一一本非金融书籍，其中的一章，Bayesiannetworks by Pearl andRussel，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 TailedDistributions inFinance

Elseiver

Amsterdam

2003

0

Chapter 1
Heavy Tails in Finance for Independent or Multifractal PriceIncrements,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 MICHAELSØRENSEN
Chapter 7
Stable Modeling of Market and Credit Value at Risk, SVETLOZART. RACHEV,EDUARDO S. SCHWARTZ and IRINA KHINDANOVA
Chapter 8
Modelling Dependence with Copulas and Applications to RiskManagement, PAULEMBRECHTS, FILIP LINDSKOG and ALEXANDERMCNEIL
Chapter 9
Prediction of Financial Downside-Risk with Heavy-TailedConditionalDistributions, STEFAN MITTNIK and MARC S. PAOLELLA
Chapter 10
Stable Non-Gaussian Models for Credit Risk Management, BERNHARDMARTIN,SVETLOZAR T. RACHEV and EDUARDO S. SCHWARTZ
Chapter 11
Multifactor Stochastic Variance Models in Risk Management:Maximum EntropyApproach and Lévy Processes, ALEXANDER LEVIN andALEXANDER TCHERNITSER
Chapter 12
Modelling the Term Structure of Monetary Rates, LUISA IZZI
Chapter 13
Asset Liability Management: A Review and Some New Results inthe Presenceof Heavy Tails, YESIM TOKAT, SVETLOZAR T. RACHEV andEDUARDO S.SCHWARTZ
Chapter 14
Portfolio Choice Theory with Non-Gaussian Distributed Returns,SERGIOORTOBELLI, ISABELLA HUBER, SVETLOZAR T. RACHEV and EDUARDOS. SCHWARTZ
Chapter 15
Portfolio Modeling with Heavy Tailed Random Vectors, MARK M.MEERSCHAERTand HANS-PETER SCHEFFLER
Chapter 16
Long Range Dependence in Heavy Tailed Stochastic Processes,BORJANARACHEVA-IOTOVA and GENNADY SAMORODNITSKY

0-11

Tarantino, Anthony

Governance, Risk, and ComplianceHandbook:Technology, Finance, Environmental, and International GuidanceandBest Practices

John Wiley & Sons, Inc.

New York

2003

0

0-12

Joe, Harry

Multivariate models anddependence 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, ClaudiaKluppelberg, andThomas Mikosch

Modelling Extremal Events: forInsurance andFinance (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., FrederickMosteller, andJohn W. Tukey

Exploring Data Tables, Trends,and Shapes

John Wiley & Sons, Inc.

New York

1985

0

其中的一篇文章，Summarizing ShapeNumerically: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 andBayesianAnalysis

Springer-Verlag

New York

1985

1

Introduction to the Bayesianinferencemethod，介绍贝叶斯方法的bible

0-16

Tukey, John W.

Exploratory Data Analysis (1stEdition)

Addison-Wesley

Reading, MA

1977

0

An informal study of the data.Methods rangefrom plotting picture-drawing techniques to ratherelaboratenumerical 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