{"id":"https://openalex.org/W638674495","doi":null,"title":"Operational risk with Excel and VBA : applied statistical methods for risk management","display_name":"Operational risk with Excel and VBA : applied statistical methods for risk management","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W638674495","mag":"638674495"},"language":"en","primary_location":{"id":"pmh:oai:203.131.219.242:ebook/11575","doi":null,"is_oa":false,"landing_page_url":"http://203.131.219.242/cdm/ref/collection/ebook/id/11575","pdf_url":null,"source":{"id":"https://openalex.org/S7407064352","display_name":"Thammasat University Digital Collections","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5011036756","display_name":"Nigel Da Costa Lewis","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Nigel Da Costa Lewis","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5011036756"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":20.352,"has_fulltext":false,"cited_by_count":36,"citation_normalized_percentile":{"value":0.98786528,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":98},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.4535999894142151,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.4535999894142151,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.19869999587535858,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13500","display_name":"Probability and Statistical Research","score":0.12729999423027039,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/operational-risk","display_name":"operational risk","score":0.9470000267028809},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.828000009059906},{"id":"https://openalex.org/keywords/microsoft-excel","display_name":"Microsoft Excel","score":0.41100001335144043},{"id":"https://openalex.org/keywords/vba","display_name":"VBA","score":0.9829999804496765},{"id":"https://openalex.org/keywords/random-variable","display_name":"random variables","score":0.7870000004768372},{"id":"https://openalex.org/keywords/probability","display_name":"probability","score":0.546999990940094},{"id":"https://openalex.org/keywords/covariance-and-correlation","display_name":"covariance and correlation","score":0.7160000205039978},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.8550000190734863},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.9169999957084656},{"id":"https://openalex.org/keywords/hypothesis-testing","display_name":"hypothesis testing","score":0.9750000238418579},{"id":"https://openalex.org/keywords/confidence-intervals","display_name":"confidence intervals","score":0.8619999885559082},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.39899998903274536},{"id":"https://openalex.org/keywords/credit-scoring","display_name":"credit scoring","score":0.3840000033378601},{"id":"https://openalex.org/keywords/credit-risk-capital","display_name":"credit risk capital","score":0.3569999933242798}],"concepts":[{"id":"https://openalex.org/C11489865","wikidata":"https://www.wikidata.org/wiki/Q944806","display_name":"Operational risk","level":3,"score":0.5317032933235168},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5249466896057129},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5064693689346313},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.46149691939353943},{"id":"https://openalex.org/C152636012","wikidata":"https://www.wikidata.org/wiki/Q817168","display_name":"Benford's law","level":2,"score":0.4424417018890381},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.4170720875263214},{"id":"https://openalex.org/C2776677110","wikidata":"https://www.wikidata.org/wiki/Q18357734","display_name":"Operational risk management","level":4,"score":0.4135245680809021},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.40817058086395264},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24373593926429749},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11305618286132812},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.11006295680999756}],"mesh":[],"locations_count":4,"locations":[{"id":"pmh:oai:203.131.219.242:ebook/11575","doi":null,"is_oa":false,"landing_page_url":"http://203.131.219.242/cdm/ref/collection/ebook/id/11575","pdf_url":null,"source":{"id":"https://openalex.org/S7407064352","display_name":"Thammasat University Digital Collections","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"pmh:oai:aleph.bib-bvb.de:BVB01-013349550","doi":null,"is_oa":false,"landing_page_url":"http://www.loc.gov/catdir/bios/wiley047/2003023869.html","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:beyond.library.tu.ac.th:ebook/11575","doi":null,"is_oa":false,"landing_page_url":"http://beyond.library.tu.ac.th/cdm/ref/collection/ebook/id/11575","pdf_url":null,"source":{"id":"https://openalex.org/S4406923056","display_name":"TU Digital Collections (Thammasat University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"mag:638674495","doi":null,"is_oa":false,"landing_page_url":"http://ci.nii.ac.jp/ncid/BA69316810","pdf_url":null,"source":{"id":"https://openalex.org/S4306464293","display_name":"Wiley eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"ebook platform"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":"John Wiley eBooks","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":100,"referenced_works":["https://openalex.org/W1208804","https://openalex.org/W28891235","https://openalex.org/W47906050","https://openalex.org/W148477406","https://openalex.org/W225075989","https://openalex.org/W305126360","https://openalex.org/W380516208","https://openalex.org/W404240460","https://openalex.org/W565720452","https://openalex.org/W582104776","https://openalex.org/W614670535","https://openalex.org/W617536194","https://openalex.org/W638111005","https://openalex.org/W657673115","https://openalex.org/W1481984145","https://openalex.org/W1484629505","https://openalex.org/W1487897776","https://openalex.org/W1488001421","https://openalex.org/W1494406182","https://openalex.org/W1503234831","https://openalex.org/W1512015032","https://openalex.org/W1516216243","https://openalex.org/W1521361552","https://openalex.org/W1528905581","https://openalex.org/W1552015435","https://openalex.org/W1558174409","https://openalex.org/W1583246348","https://openalex.org/W1589112945","https://openalex.org/W1593021443","https://openalex.org/W1973991899","https://openalex.org/W1978136073","https://openalex.org/W1993141097","https://openalex.org/W2002938413","https://openalex.org/W2005204582","https://openalex.org/W2006879073","https://openalex.org/W2007342501","https://openalex.org/W2007617549","https://openalex.org/W2011453559","https://openalex.org/W2012884393","https://openalex.org/W2014378975","https://openalex.org/W2015968801","https://openalex.org/W2019291268","https://openalex.org/W2024925230","https://openalex.org/W2026709358","https://openalex.org/W2027447060","https://openalex.org/W2032490797","https://openalex.org/W2033465281","https://openalex.org/W2035971761","https://openalex.org/W2036194630","https://openalex.org/W2044503966","https://openalex.org/W2064644892","https://openalex.org/W2068127700","https://openalex.org/W2070688896","https://openalex.org/W2071381562","https://openalex.org/W2074812030","https://openalex.org/W2077586264","https://openalex.org/W2079035814","https://openalex.org/W2082213358","https://openalex.org/W2083644728","https://openalex.org/W2084223008","https://openalex.org/W2086019482","https://openalex.org/W2086238730","https://openalex.org/W2092648747","https://openalex.org/W2093801705","https://openalex.org/W2119280385","https://openalex.org/W2122686681","https://openalex.org/W2129499781","https://openalex.org/W2130673478","https://openalex.org/W2131844139","https://openalex.org/W2138839431","https://openalex.org/W2142257518","https://openalex.org/W2142836028","https://openalex.org/W2142909539","https://openalex.org/W2144584029","https://openalex.org/W2152922857","https://openalex.org/W2154351671","https://openalex.org/W2155949904","https://openalex.org/W2156812602","https://openalex.org/W2168148036","https://openalex.org/W2170206178","https://openalex.org/W2285451863","https://openalex.org/W2314218188","https://openalex.org/W2327188017","https://openalex.org/W2328015960","https://openalex.org/W2330302092","https://openalex.org/W2332014069","https://openalex.org/W2333890031","https://openalex.org/W2398675128","https://openalex.org/W2432517183","https://openalex.org/W2469193778","https://openalex.org/W2472121514","https://openalex.org/W2514142901","https://openalex.org/W2796616088","https://openalex.org/W2797532987","https://openalex.org/W2797569913","https://openalex.org/W2798180542","https://openalex.org/W2904628954","https://openalex.org/W2995702573","https://openalex.org/W3121138521","https://openalex.org/W3146166473"],"related_works":["https://openalex.org/W600415526","https://openalex.org/W617536194","https://openalex.org/W2647549886","https://openalex.org/W606767287","https://openalex.org/W1591041007","https://openalex.org/W2383288898","https://openalex.org/W582104776","https://openalex.org/W2752717541","https://openalex.org/W6989044474","https://openalex.org/W7099198859"],"abstract_inverted_index":{"Preface.":[0],"Acknowledgments.":[1],"CHAPTER":[2,31,85,137,171,203,242,295,329,354,400,415,463,501,536,603,625,682],"1:":[3],"Introduction":[4,605],"to":[5,22,118,606],"Operational":[6,13,23,42,126,145,179,208,420,455,468,539,579,628,674,687,694],"Risk":[7,24,35,43,73,146,180,209,347,363,421,456,469,540,580,629,675,688,695],"Management":[8],"and":[9,37,41,51,90,98,102,109,142,175,190,195,212,339,361,381,403,432,446,482],"Modeling.":[10,506,552,619,667,696],"What":[11,271,634],"is":[12,635],"Risk?":[14],"The":[15,356,365,423,442,545,553,561],"Regulatory":[16],"Environment.":[17],"Why":[18],"a":[19,95,120,222,485,522,588,595,636,651],"Statistical":[20,205,215,390,700],"Approach":[21],"Management?":[25],"Summary.":[26,80,132,166,198,237,290,324,349,395,410,458,496,531,598,620,677],"Review":[27,81,133,167,187,199,238,291,325,350,396,411,459,497,532,599,621,678],"Questions.":[28,82,134,168,200,239,292,326,351,397,412,460,498,533,600,622,679],"Further":[29,83,135,169,201,240,293,327,352,398,413,461,499,534,601,623,680,697],"Reading.":[30,84,136,170,202,241,294,328,353,399,414,462,500,535,602,624,681,698],"2:":[32],"Random":[33,39,47],"Variables,":[34],"indicators,":[36],"Probability.":[38,49,53],"Variables":[40],"Indicators.":[44,147,181],"Types":[45,434],"of":[46,94,128,144,150,154,178,188,207,214,245,252,277,285,298,304,310,315,337,341,358,367,378,392,435,515,520,557,565,575,613,657,663,705],"Variable.":[48],"Frequency":[50,297,303,309,340],"Subjective":[52],"Probability":[54,247,269,300,306],"Functions.":[55,79,165],"Case":[56,58,64,70,111,113,123,156,158,227,280,318,374,477,524,582,640],"Studies.":[57,112,157],"Study":[59,65,71,114,124,159,228,281,319,375,478,525,583,641],"2.1:":[60],"Downtown":[61],"Investment":[62],"Bank.":[63],"2.2:":[66],"Mr.":[67],"Mondey's":[68],"OPVaR.":[69],"2.3:":[72],"in":[74,372,419,454,467,484,529,550,578],"Software":[75,647],"Development.":[76],"Useful":[77],"Excel":[78,164,189,232],"3:":[86],"Expectation,":[87],"Covariance,":[88],"Variance,":[89,108],"Correlation.":[91,103,406],"Expected":[92,116],"Value":[93,563,608],"RandomVariable.":[96],"Variance":[97],"Standard":[99,707],"Deviation.":[100],"Covariance":[101],"Some":[104],"Rules":[105],"for":[106,193,234,450,491,509,547,591,594,646,673],"Correlation,":[107],"Covariance.":[110],"3.1:":[115],"Time":[117],"Complete":[119],"Complex":[121],"Transaction.":[122],"3.2:":[125],"Cost":[127],"System":[129],"Down":[130],"Time.":[131],"4:":[138],"Modeling":[139,283,331,492,527],"Central":[140,151],"Tendency":[141],"Variability":[143],"Empirical":[148],"Measures":[149,153],"Tendency.":[152],"Variability.":[155],"4.1:":[160],"Approximating":[161],"Business":[162,596],"Risk.":[163,323,649],"5:":[172],"Measuring":[173,182,184,405],"Skew":[174,194],"Fat":[176,185,196],"Tails":[177],"Skew.":[183],"Tails.":[186,197],"VBA":[191],"Functions":[192,233],"6:":[204],"Testing":[206],"Parameters.":[210,253],"Objective":[211],"Language":[213],"Hypothesis":[216,223,235],"Testing.":[217,236],"Steps":[218],"Involved":[219],"In":[220],"Conducting":[221],"Test.":[224,317],"Confidence":[225],"Intervals.":[226],"6.1:":[229],"Stephan's":[230],"Mistake.":[231],"7:":[243],"Severity":[244,276,284,336],"Loss":[246,278,286,299,305,311,333,338,342,382],"Models.":[248,301,307],"Normal":[249,708],"Distribution.":[250,255,257,259,261,263,265,267,709,711,714,716],"Estimation":[251],"Beta":[254],"Erlang":[256],"Exponential":[258],"Gamma":[260],"Lognormal":[262],"Pareto":[264],"Weibull":[266],"Other":[268,308,433,489],"Distributions.":[270,312,334,343],"Distribution":[272,703],"Best":[273],"Fits":[274],"My":[275],"Data?":[279],"7.1:":[282],"Legal":[287,585,592],"Liability":[288],"Losses.":[289],"8:":[296],"Popular":[302],"Chi-Squared":[313,710],"Goodness":[314],"Fit":[316],"8.1:":[320],"Key":[321],"Personnel":[322],"9:":[330],"Aggregate":[332],"Aggregating":[335],"Calculating":[344],"OpVaR.":[345],"Coherent":[346],"Measures.":[348],"10:":[355],"Law":[357,366,371],"Significant":[359,368],"Digits":[360],"Fraud":[362,393],"Identification.":[364],"Digits.":[369],"Benford's":[370,384],"Finance.":[373],"10.1:":[376],"Analysis":[377],"Trader's":[379],"Profit":[380],"Using":[383,521,542,566],"Law.":[385],"A":[386,448,507,643],"Step":[387],"Towards":[388],"Better":[389],"Methods":[391],"Detection.":[394],"11:":[401],"Correlation":[402,445],"Dependence.":[404,407,409],"Stochastic":[408],"12:":[416],"Linear":[417,425],"Regression":[418,426,451,466],"Management.":[422,457,470,581,676],"Simple":[424],"Model.":[427],"Multiple":[428,438],"Regression.":[429,436,439,441,447,473,476,488],"Prediction.":[430],"Polynomial":[431],"Multivariate":[437],"Regime-Switching":[440],"Difference":[443],"Between":[444],"Strategy":[449],"Model":[452,508,645],"Building":[453],"13:":[464],"Logistic":[465,472,475,487],"Binary":[471,494],"Bivariate":[474,486,493],"13.1:":[479],"Nostro":[480],"Breaks":[481],"Volume":[483],"Approaches":[490],"Endpoints.":[495,544],"14:":[502],"Mixed":[503,510],"Dependent":[504,511],"Variable":[505],"Variables.":[512,568],"Working":[513],"Assumption":[514],"Independence.":[516],"Understanding":[517],"the":[518,558,571,655,686,706,720],"Benefits":[519,662],"WAI.":[523],"14.1:":[526],"Failure":[528],"Compliance.":[530],"15:":[537],"Validating":[538],"Proxies":[541],"Surrogate":[543,548,567,576,589],"Need":[546],"Endpoints":[549],"OR":[551],"Prentice":[554,559],"Criterion.":[555,560],"Limitations":[556,574],"Real":[562],"Added":[564],"Validation":[569],"Via":[570],"Proportion":[572],"Explained.":[573],"Modelling":[577],"15.1:":[584],"Experience":[586],"as":[587],"Endpoint":[590],"Costs":[593],"Unit.":[597],"16:":[604],"Extreme":[607],"Theory.":[609],"Fisher-Tippet-Gnedenko":[610],"Theorem.":[611],"Method":[612],"Block":[614],"Maxima.":[615],"Peaks":[616],"over":[617],"Threshold":[618],"17:":[626],"Managing":[627],"with":[630],"Bayesian":[631,637,664],"Belief":[632,638,665],"Networks.":[633],"Network?":[639],"17.1:":[642],"BBN":[644],"Product":[648],"Creating":[650],"BBN-Based":[652],"Simulation.":[653],"Assessing":[654],"Impact":[656],"Different":[658],"Managerial":[659],"Strategies.":[660],"Perceived":[661],"Network":[666],"Common":[668],"Myths":[669],"About":[670,719],"BBNs-The":[671],"Truth":[672],"18:":[683],"Epilogue.":[684],"Winning":[685],"Argument.":[689],"Final":[690],"Tips":[691],"on":[692],"Applied":[693],"Appendix.":[699],"Tables.":[701],"Cumulative":[702],"Function":[704],"Student's":[712],"t":[713],"F":[715],"Notes.":[717],"Bibliography.":[718],"CD-ROM.":[721],"Index.":[722]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":5}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}