Quantitative enterprise risk management

Quantitative enterprise risk management

"This well-balanced introduction to enterprise risk management (ERM) integrates quantitative and qualitative approaches and motivates key mathematical and statistical methods with abundant real-world cases - both successes and failures. Worked examples and end-of-chapter exercises support reade...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Hardy, Mary Rosalyn 1958- (VerfasserIn), Saunders, David M. (VerfasserIn)
Format: Buch
Sprache:English
Veröffentlicht: Cambridge ; New York, NY ; Port Melbourne, Australia ; New Delhi, India ; Singapore Cambridge University Press 2022
Schriftenreihe:International series on actuarial science
Schlagworte:
Risikomanagement
Unternehmen
Risk management
Risk management / Mathematical models
Risk Management
Gestion du risque
Gestion du risque / Modèles mathématiques
risk management
BUSINESS & ECONOMICS / Statistics
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Inhaltsangabe:
  • Introduction to enterprise risk management
  • Risk taxonomy
  • Risk measures
  • Frequency-severity analysis
  • Extreme value theory
  • Copulas
  • Stress testing
  • Market risk models
  • Short-term portfolio risk
  • Economic scenario generators
  • Interest rate risk
  • Credit risk
  • Liquidity risk
  • Model risk and governance
  • Risk mitigation using options and derivatives
  • Risk transfer
  • Regulation of financial institutions
  • Risk-adjusted measures of profit and capital allocation
  • Behavioural risk management
  • Crisis management

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