Managing Operational Risk: Methodology and Prospects

Grigory Temnov ()
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Grigory Temnov: Vienna University of Technology, Institute for Mathematical Methods in Economics, Financial and Actuarial Mathematics

A chapter in Mathematical Control Theory and Finance, 2008, pp 397-417 from Springer

Abstract: Summary In the present paper we describe a combined methodology used for modelling and measuring operational risk. Our basic aim is to choose and adjust an efficient combination of techniques in order to cover a range of problems associated with OpRisk and justify our choice. We analyze each part of the methodology and briefly overview some recent results, as well as the prospects of the future research.

Keywords: Fast Fourier Transformation; Prior Distribution; Bayesian Inference; Operational Risk; Negative Binomial Distribution (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-69532-5_23

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DOI: 10.1007/978-3-540-69532-5_23

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