This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.
This book concentrates on the measurement and modelling of operational risk. It
presents the method developed by the author, based on a combination of the Delta method with Extreme Value theory (EVT). Some of the discussion is very specific to the banking industry. Visit the page for this book at Amazon.