AHA-BUCH

Razrabotka modeli i metoda upravleniya operatsionnymi riskami v banke

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ISBN-13:
9783659405440
Einband:
Paperback
Seiten:
96
Autor:
Raziya Azhgireeva
Gewicht:
159 g
Format:
220x150x6 mm
Sprache:
Russisch
Beschreibung:

99
Operatsionnyy risk znachitel'no otlichaetsya ot drugikh bankovskikh riskov: v protsesse ego vychisleniya i regulirovaniya vnimanie fokusiruetsya v osnovnom na faktakh, otrazhayushchikh skoree otkloneniya, chem normal'nyy khod sobytiy. Otsyuda voznikaet slozhnost' otsenki operatsionnogo riska, poetomu otsenka regulyativnogo kapitala pod operatsionnyy risk yavlyaetsya, nesomnenno, aktual'noy zadachey na segodnyashniy den'. Odnako znacheniya kvantiley vysokikh poryadkov chasto otsutstvuyut v issleduemoy vyborke ubytkov banka, libo ikh kolichestvo neveliko, poskol'ku ekstremal'nye sobytiya na finansovykh rynkakh i pri realizatsii biznes-protsessov banka yavlyayutsya otnositel'no redkimi sobytiyami. No imenno oni nanosyat znachitel'nyy finansovyy ushcherb. Poetomu dannaya rabota posvyashchena modelirovaniyu kvantiley vysokogo poryadka raspredeleniya godovykh agregirovannykh poter'. V kachestve instrumenta kolichestvennoy otsenki i modelirovaniya operatsionnogo riska ispol'zovana teoriya ekstremal'nykh znacheniy, v osnove kotoroy lezhit obobshchennoe raspredelenie Pareto. Rassmotren "podkhod prevysheniya poroga" operatsionnykh poter', uchityvayushchiy sootnoshenie mezhdu chastotoy i velichinoy bol'shikh poter' ot ustano