Advances in heavy tailed risk modeling

a handbook of operational risk

Gareth W. Peters*, Pavel V. Shevchenko

*Corresponding author for this work

Research output: Book/ReportBook

17 Citations (Scopus)

Abstract

This book covers key mathematical and statistical aspects of the quantitative modeling of heavy tailed loss processes in operational risk (OpRisk) and insurance settings. OpRisk has been through significant changes in the past few years with increased regulatory pressure for more comprehensive frameworks. Nowadays, every mid-sized and larger financial institution across the planet would have an OpRisk department. Despite the growing awareness and understanding of the importance of OpRisk modeling throughout the banking and insurance industry there is yet to be a convergence to a standardization of the modeling frameworks for this new area of risk management. In fact to date the majority of general texts on this topic of OpRisk have tended to cover basic topics of modeling that are typically standard in the majority of risk management disciplines. We believe that this is where the combination of the two books Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk (Cruz, Peters and Shevchenko, 2015) and the companion book Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk will play an important role in better understanding specific details of risk modeling directly aimed to specifically capture fundamental and core features specific to OpRisk loss processes.
Original languageEnglish
Place of PublicationHoboken, New Jersey
PublisherJohn Wiley & Sons
Number of pages627
ISBN (Electronic)9781118909560, 9781118909553
ISBN (Print)9781118909539
DOIs
Publication statusPublished - 2015
Externally publishedYes

Publication series

NameWiley handbooks in financial engineering and econometrics
PublisherWiley

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Keywords

  • Risk management
  • Operational risk

Cite this

Peters, G. W., & Shevchenko, P. V. (2015). Advances in heavy tailed risk modeling: a handbook of operational risk. (Wiley handbooks in financial engineering and econometrics). Hoboken, New Jersey: John Wiley & Sons. https://doi.org/10.1002/9781118909560