Operational Risk with Excel and VBA: Applied Statistical by Nigel Da Costa Lewis

By Nigel Da Costa Lewis

A beneficial reference for knowing operational riskOperational danger with Excel and VBA is a realistic advisor that purely discusses statistical tools which were proven to paintings in an operational probability administration context. It brings jointly a wide selection of statistical tools and types that experience confirmed their worthy, and features a concise therapy of the subject. This publication offers readers with transparent reasons, appropriate details, and finished examples of statistical tools for operational threat administration within the genuine world.Nigel Da Costa Lewis (Stamford, CT) is president and CEO of StatMetrics, a quantitative learn boutique. He got his PhD from Cambridge college.

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Extra resources for Operational Risk with Excel and VBA: Applied Statistical Methods for Risk Management (Wiley Finance)

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This is because either A, B, or C is certain to occur. Furthermore, given Prob(A) and Prob(B), we can find Prob(C), which is equal to 1 − [Prob(A) + Prob(B)]. 5. Mutually Exclusive Events Given two events A and B that cannot both occur together, the probability that either A or B occurs is equal to the sum of their separate probabilities, or Prob(A or B) = Prob(A) + Prob(B). 2 that either the number of trades that failed to settle when expected today is equal to (event A), greater than (event B), or less than (event C) the number of trades that failed to settle yesterday.

PROBABILITY We use probability to help characterize risk indicators, the number of OR events, and the size of OR losses. Intuitively, a probability should lie between 0 and 1. An outcome or event that cannot occur should have a probability of 0, and an event that is certain to occur will have a probability of 1. What is the probability that the number of trades that fail to settle when expected today will be the same as yesterday, equal to yesterday, or more than yesterday? Since one of these outcomes is certain to occur, the probability is 1.

Conditional Probability The conditional probability of an event A given another event B is the probability that A will occur given that B has occurred. We write it as Prob(A | B). 25. 05, which is as expected. If Prob(A | B) = Prob(A), then the events A and B are said to be statistically independent. This means the occurrence of B does not alter the probability that A will occur. STATISTICAL INDEPENDENCE What is the value of statistical independence? To gain an insight into its value, consider two potential risk indicators X and Y.

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