Quantitative Enterprise Risk Management: International Series on Actuarial Science
Autor Mary R. Hardy, David Saundersen Limba Engleză Hardback – 4 mai 2022
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Specificații
ISBN-13: 9781009098465
ISBN-10: 1009098462
Pagini: 698
Dimensiuni: 156 x 234 x 41 mm
Greutate: 1.08 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria International Series on Actuarial Science
Locul publicării:New York, United States
ISBN-10: 1009098462
Pagini: 698
Dimensiuni: 156 x 234 x 41 mm
Greutate: 1.08 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria International Series on Actuarial Science
Locul publicării:New York, United States
Cuprins
Preface; 1. Introduction to enterprise risk management; 2. Risk taxonomy; 3. Risk measures; 4. Frequency-Severity analysis; 5. Extreme value theory; 6. Copulas; 7. Stress testing; 8. Market risk models; 9. Short term portfolio risk; 10. Economic scenario generators; 11. Interest rate risk; 12. Credit risk; 13. Liquidity risk; 14. Model risk and governance; 15. Risk mitigation using options and derivatives; 16. Risk transfer; 17. Regulation of financial institutions; 18. Risk adjusted measures of profit and capital allocation; 19. Behavioural risk management; 20. Crisis management; A. Probability and statistics review; References; Index.
Recenzii
'Quantitative Enterprise Risk Management can be strongly recommended to anyone seeking to develop their skills in risk management. The book will be particularly useful for those seeking to master the more challenging technical aspects of risk management missing in other textbooks.' Andrew Cairns, Heriot-Watt University
'This hits the sweet spot between overly abstract mathematical and overly 'math lean' presentations of enterprise risk management.' Gary Hatfield, University of Minnesota
'Hardy and Saunders have written a masterpiece that not only explains [ERM] from a quantitative perspective, but also manages to bridge the gap between it and more qualitative approaches. It impressively covers the whole spectrum from risk taxonomy, risk modelling and measurement, risk mitigation, risk transfer up to (behavioural) risk, and crisis management. I highly recommend it to all those who want to get a deeper understanding of ERM.' Rudi Zagst, Technical University of Munich
'This hits the sweet spot between overly abstract mathematical and overly 'math lean' presentations of enterprise risk management.' Gary Hatfield, University of Minnesota
'Hardy and Saunders have written a masterpiece that not only explains [ERM] from a quantitative perspective, but also manages to bridge the gap between it and more qualitative approaches. It impressively covers the whole spectrum from risk taxonomy, risk modelling and measurement, risk mitigation, risk transfer up to (behavioural) risk, and crisis management. I highly recommend it to all those who want to get a deeper understanding of ERM.' Rudi Zagst, Technical University of Munich
Notă biografică
Descriere
This relevant, readable text integrates quantitative and qualitative approaches, connecting key mathematical tools to real-world challenges.