Business Risk Management Models and Analysis.

Detalles Bibliográficos
Autor principal: Anderson, Edward J.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Newark : John Wiley & Sons, Incorporated, 2013.
Colección:New York Academy of Sciences Ser.
Temas:
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • 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
  • 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
  • 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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