Author: Rudiger FreyPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Quantitative Risk Management
Author: Rudiger FreyQuantitative Risk Management
Author: Thomas S. ColemanPublisher: John Wiley & Sons
ISBN: 1118235932
Category : Business & Economics
Languages : en
Pages : 581
Book Description
State of the art risk management techniques and practices—supplemented with interactive analytics All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that "risk management" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets. Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfolio risk and analytics Explains why tactical and strategic decisions must be made at every level of the firm and portfolio Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.
Quantitative Risk Management and Decision Making in Construction
Author: Amarjit SinghPublisher: ASCE Press
ISBN: 9780784414637
Category : Construction industry
Languages : en
Pages : 0
Book Description
Singh introduces valuable techniques for weighing and evaluating alternatives in decision making with a focus on risk analysis for identifying, quantifying, and mitigating risks associated with construction projects.
Encyclopedia of Quantitative Risk Analysis and Assessment
Author: Publisher: John Wiley & Sons
ISBN: 0470035498
Category : Mathematics
Languages : en
Pages : 2163
Book Description
Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Quantitative Risk Assessment
Author: Terje AvenPublisher: Cambridge University Press
ISBN: 1139496433
Category : Mathematics
Languages : en
Pages : 225
Book Description
Quantitative risk assessments cannot eliminate risk, nor can they resolve trade-offs. They can, however, guide principled risk management and reduction - if the quality of assessment is high and decision makers understand how to use it. This book builds a unifying scientific framework for discussing and evaluating the quality of risk assessments and whether they are fit for purpose. Uncertainty is a central topic. In practice, uncertainties about inputs are rarely reflected in assessments, with the result that many safety measures are considered unjustified. Other topics include the meaning of a probability, the use of probability models, the use of Bayesian ideas and techniques, and the use of risk assessment in a practical decision-making context. Written for professionals, as well as graduate students and researchers, the book assumes basic probability, statistics and risk assessment methods. Examples make concepts concrete, and three extended case studies show the scientific framework in action.
Quantitative Risk Assessment (QRA) for Natural Hazards
Author: Nasim UddinPublisher: Amer Society of Civil Engineers
ISBN: 9780784411537
Category : Technology & Engineering
Languages : en
Pages : 87
Book Description
CDRM 5 explains the the practical aspects of using quantitative risk assessment (QRA) to develop optimal engineering designs that mitigate the effects of natural hazards, especially on civil infrastructure.
Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
Author: M. RasmussenPublisher: Springer
ISBN: 0230512852
Category : Business & Economics
Languages : en
Pages : 453
Book Description
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Financial Risk Forecasting
Author: Jon DanielssonPublisher: John Wiley & Sons
ISBN: 1119977118
Category : Business & Economics
Languages : en
Pages : 307
Book Description
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Quantitative Enterprise Risk Management
Author: Mary R. HardyPublisher: Cambridge University Press
ISBN: 1009098462
Category : Business & Economics
Languages : en
Pages : 689
Book Description
This relevant, readable text integrates quantitative and qualitative approaches, connecting key mathematical tools to real-world challenges.
Guidelines for Chemical Process Quantitative Risk Analysis
Author: CCPS (Center for Chemical Process Safety)Publisher: John Wiley & Sons
ISBN: 0470935413
Category : Technology & Engineering
Languages : en
Pages : 784
Book Description
Chemical process quantitative risk analysis (CPQRA) as applied to the CPI was first fully described in the first edition of this CCPS Guidelines book. This second edition is packed with information reflecting advances in this evolving methodology, and includes worked examples on a CD-ROM. CPQRA is used to identify incident scenarios and evaluate their risk by defining the probability of failure, the various consequences and the potential impact of those consequences. It is an invaluable methodology to evaluate these when qualitative analysis cannot provide adequate understanding and when more information is needed for risk management. This technique provides a means to evaluate acute hazards and alternative risk reduction strategies, and identify areas for cost-effective risk reduction. There are no simple answers when complex issues are concerned, but CPQRA2 offers a cogent, well-illustrated guide to applying these risk-analysis techniques, particularly to risk control studies. Special Details: Includes CD-ROM with example problems worked using Excel and Quattro Pro. For use with Windows 95, 98, and NT.
