Modelling Operational Risk Using Bayesian Inference

Dr. Pavel V. Shevchanko is a Principal Research Scientist in the Division of Mathematics, Informatics and Statistics of CSIRO (The Commonwealth Scientific and Industrial Research Organisation of Australia). Dr Shevchenko joined CSIRO in 1999 to work in the area of financial risk. He leads research and commercial projects on the modelling of operational and credit risks; option pricing; insurance; modelling commodities and foreign exchange; and the development of relevant numerical methods and software. He received a MSc from Moscow Institute of Physics and Technology and Kapitza Institute for Physical Problems in 1994; and a PhD from The University of New South Wales in 1999 in theoretical physics. Dr Shevchenko has published extensively in academic journals, consults for major financial institutions and is a frequent presenter at industry and academic conferences.

• Operational Risk and Basel II.- Loss Distribution Approach.- Calculation of Compound Distribution.- Bayesian approach for LDA.- Addressing the Data Truncation Problem.- Modelling Large Losses.- Modelling Dependence.- List of Distributions.- Selected Simulation Algorithms.- Solutions for Selected Problems.- References.- Index.

From the reviews: "This hands-on book provides a very good overview of the loss distribution approach (LDA). ... The book is written in a mathematical format which allows practitioners, (advanced) graduate students (who may well be social science students) and researchers to access the concepts in a fairly straightforward way. ... unique feature of the book is the use of abstracts which precede the start of each of the main chapters. ... book also contains a useful appendix with a list of the functional forms of key distributions." (Emmanuel Haven, Mathematical Reviews, Issue 2012 d)