Modeling, Measuring and Hedging Operational Risk
Author: Marcelo G. Cruz
List Price: $79.95
Our Price: Click to see the latest and low price
ISBN: 0471515604
Publisher: John Wiley & Sons (15 February, 2002)
Sales Rank: 37,643
Average Customer Rating: 4 out of 5
Customer Reviews
Rating: 5 out of 5
The Bible for Operational Risk
This is by far the best book in the area. It brings in details all the current technical discussions allowing even the reader with minimal math background to understand and even try the techniques stated in the book. Every risk manager must have it at least as a reference. The author carefully describes several techniques as:
1) Loss distribution approaches;
2) Scorecard approach;
3) Extreme value theory;
4) OpRisk management models;
5) Modeling and developing hedging programs.Excellent value for the money!
Rating: 1 out of 5
Only for quants
The book is for those with a Phd or strong math background - the writer does not attempt to cater to anyone else. Don't bother trying to understand the models discussed if you don't have this knowledge - get your Phd first! A waste of money unless you know mathematical concepts such as MLE, Fast Fourier etc.
Rating: 5 out of 5
Best book in the area by far. Superb ideas in oprisk mgt!
This is the best book in operational risk by far. It shows, on a very clear way, how to implement complex algorithms that can be used in the measurement and management of oprisk. The most interesting part of the book is the one on oprisk management and oprisk stress tests and scenario analysis. Superb! Every risk manager should have it at least as a reference. Similar Products
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