Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis

About the Authors

Anna S. Chernobai is an Assistant Professor of Finance in the Martin J. Whitman School of Management at Syracuse University, New York. She earned her Ph.D. in statistics and applied probability in 2006 from the University of California at Santa Barbara. Her doctorate thesis focused on statistical modeling of operational risk in financial institutions. Professor Chernobai also holds a master’s degree in economics and finance from the Warwick Business School, the University of Warwick, and a master’s degree in economics from the University of California at Santa Barbara.

Svetlozar (Zari) T. Rachev completed his Ph.D. in 1979 from Moscow State (Lomonosov) University, and his Doctor of Science Degree in 1986 from Steklov Mathematical Institute in Moscow. Currently he is Chair-Professor in Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California, Santa Barbara, in the Department of Statistics and Applied Probablity. He has published seven monographs, eight handbooks and special-edited volumes, and more than 250 research articles. Professor Rachev is cofounder of Bravo Risk Management Group specializing in financial risk-management software. Bravo Group was recently acquired by FinAnalytica, for which he currently serves as Chief-Scientist.

Frank J. Fabozzi is Professor in the Practice of Finance in the School of Management at Yale ...