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[银行与金融监管] 【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 [推广有奖]

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gapt418 在职认证  发表于 2014-8-5 18:46:41 |显示全部楼层

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




35 Cruz 2002.pdf

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31 Alexander 2003.pdf

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26 Lewis 2004.pdf

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21 Panjer 2006.pdf

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18 Moosa 2007 Operational Risk Management.pdf

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0-15 Berger 1985.pdf

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0-8 Bernadell et al. 2004.pdf

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0-6 McNeil 2005.pdf

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0-4 Nelsen 2006.pdf

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0-2 Dempster 2010.pdf

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0-1 Coleman 2011.pdf

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27 Cruz 2004 One Chapter Giudici.pdf

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25 Davis 2005 Contents.pdf

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23 Davis 2006 One Chapter Buchmuller et al.pdf

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22 Thonabauer 2006.pdf

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17 Chernobai, Rachev and Fabozzi 2007.pdf

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6 Shevchenko 2011.pdf

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0-7 Cizek et al. 2005.pdf

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0-3 Carey and Stultz 2007.pdf

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