Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9

Posted: 29 Jul 2015

See all articles by Gareth Peters

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Pavel V. Shevchenko

Macquarie University; Macquarie University, Macquarie Business School

Date Written: May 20, 2015

Abstract

This book is a cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling. Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, "Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk" presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes in high consequence low frequency loss modeling.

A companion with "Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk", the book provides a complete framework for all aspects of operational risk management and includes:

•Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distributional approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation •An exploration of the characterization and estimation of risk and insurance modelling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models •An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates •Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions

"Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk" is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The book is also a useful handbook for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.

Keywords: operational risk, insurance, heavy tailed risk modelling

Suggested Citation

Peters, Gareth and Shevchenko, Pavel V., Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk (May 20, 2015). Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9, Available at SSRN: https://ssrn.com/abstract=2635983

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

Edinburgh Campus
Edinburgh, EH14 4AS
United Kingdom

HOME PAGE: http://garethpeters78.wixsite.com/garethwpeters

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

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