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230209s2013 xx o ||| 0 eng d |
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|a EBLCP
|b eng
|c EBLCP
|d OCLCQ
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|d EBLCP
|d OCLCQ
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| 066 |
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|c (S
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|a 9781118749418
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|a 1118749413
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|a (OCoLC)1347025448
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|a 658.15/5
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|2 23/eng/20230216
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| 049 |
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|a UAMI
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| 100 |
1 |
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|a Anderson, Edward J.
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| 245 |
1 |
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|a Business Risk Management
|h [electronic resource] :
|b Models and Analysis.
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| 260 |
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|a Newark :
|b John Wiley & Sons, Incorporated,
|c 2013.
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| 300 |
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|a 1 online resource (385 p.).
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| 490 |
1 |
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|a New York Academy of Sciences Ser.
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| 500 |
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|a Description based upon print version of record.
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| 505 |
0 |
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|a Cover -- Title Page -- Copyright -- Contents -- Preface -- Chapter 1 What is risk management? -- 1.1 Introduction -- 1.2 Identifying and documenting risk -- 1.3 Fallacies and traps in risk management -- 1.4 Why safety is different -- 1.5 The Basel framework -- 1.6 Hold or hedge? -- 1.7 Learning from a disaster -- 1.7.1 What went wrong? -- Notes -- References -- Exercises -- Chapter 2 The structure of risk -- 2.1 Introduction to probability and risk -- 2.2 The structure of risk -- 2.2.1 Intersection and union risk -- 2.2.2 Maximum of random variables -- 2.3 Portfolios and diversification
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|a 2.3.1 Adding random variables -- 2.3.2 Portfolios with minimum variance -- 2.3.3 Optimal portfolio theory -- 2.3.4 When risk follows a normal distribution -- 2.4 The impact of correlation -- 2.4.1 Using covariance in combining random variables -- 2.4.2 Minimum variance portfolio with covariance -- 2.4.3 The maximum of variables that are positively correlated -- 2.4.4 Multivariate normal -- 2.5 Using copulas to model multivariate distributions -- 2.5.1 *Details on copula modeling -- Notes -- References -- Exercises -- Chapter 3 Measuring risk -- 3.1 How can we measure risk? -- 3.2 Value at risk
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| 505 |
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|a 3.3 Combining and comparing risks -- 3.4 VaR in practice -- 3.5 Criticisms of VaR -- 3.6 Beyond value at risk -- 3.6.1 *More details on expected shortfall -- Notes -- References -- Exercises -- Chapter 4 Understanding the tails -- 4.1 Heavy-tailed distributions -- 4.1.1 Defining the tail index -- 4.1.2 Estimating the tail index -- 4.1.3 *More details on the tail index -- 4.2 Limiting distributions for the maximum -- 4.2.1 *More details on maximum distributions and Fisher-Tippett -- 4.3 Excess distributions -- 4.3.1 *More details on threshold exceedances
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| 505 |
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|a 5.2.5 What shape is the utility function? -- 5.2.6 *Expected utility when probabilities are subjective -- 5.3 Stochastic dominance and risk profiles -- 5.3.1 *More details on stochastic dominance -- 5.4 Risk decisions for managers -- 5.4.1 Managers and shareholders -- 5.4.2 A single company-wide view of risk -- 5.4.3 Risk of insolvency -- Notes -- References -- Exercises -- Chapter 6 Understanding risk behavior -- 6.1 Why decision theory fails -- 6.1.1 The meaning of utility -- 6.1.2 Bounded rationality -- 6.1.3 Inconsistent choices under uncertainty
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| 500 |
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|a 6.1.4 Problems from scaling utility functions
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 655 |
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0 |
|a Electronic books.
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| 776 |
0 |
8 |
|i Print version:
|a Anderson, Edward J.
|t Business Risk Management
|d Newark : John Wiley & Sons, Incorporated,c2013
|z 9781118349465
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| 830 |
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0 |
|a New York Academy of Sciences Ser.
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=7104026
|z Texto completo
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| 880 |
8 |
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|6 505-00/(S
|a 4.4 Estimation using extreme value theory -- 4.4.1 Step 1. Choose a threshold u -- 4.4.2 Step 2. Estimate the parameters ξ and β -- 4.4.3 Step 3. Estimate the risk measures of interest -- Notes -- References -- Exercises -- Chapter 5 Making decisions under uncertainty -- 5.1 Decisions, states and outcomes -- 5.1.1 Decisions -- 5.1.2 States -- 5.1.3 Outcomes -- 5.1.4 Probabilities -- 5.1.5 Values -- 5.2 Expected Utility Theory -- 5.2.1 Maximizing expected profit -- 5.2.2 Expected utility -- 5.2.3 No alternative to Expected Utility Theory -- 5.2.4 *A sketch proof of the theorem
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| 938 |
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|a ProQuest Ebook Central
|b EBLB
|n EBL7104026
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| 994 |
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|a 92
|b IZTAP
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