Statistical Science


Dr Gareth Peters' new book "Advances in Heavy Tailed Risk Modelling: A Handbook of Operational Risk" now available

31 March 2015

Together with Dr Pavel Shevchenko (CSIRO), Dr Gareth Peters has completed a second volume of invited manuscripts on Operational Risk and Insurance Analytics for the special series in financial mathematics in the Wiley Handbook Series:

  • Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk (Volume 1) by Marcelo G. Cruz, Gareth W. Peters and Pavel V. Shevchenko.
  • Advances in Heavy Tailed Risk Modelling: A Handbook of Operational Risk (Volume 2) by Gareth W. Peters and Pavel V. Shevchenko.

Volume 2 on heavy tailed modelling in risk and insurance represents the culmination of three years of writing and provides a comprehensive guide to quantitative modelling topics, supported by over 50 journal articles on this topic written by the co-authors, who have published actively in this area over the last ten years. At over 700 pages, the book features in-depth discussions on a large number of topics of relevance to Operational Risk modelling. 

The book is intended to act as a comprehensive guide for advanced topics in risk management modelling for Operational Risk, Basel II/III and Solvency II. In addition, it will form the basis of advanced aspects of the taught course in Operational Risk modelling at UCL and should become a valuable research guide for applied quantitative risk analyists to develop new research innovations in the modelling of such risk processes.

The book can now be pre-ordered from Amazon at the link below.