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 | |
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 |
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 |