Quantitative Enterprise Risk Management 1st Edition by Mary Hardy, David Saunders 9781009098465 1009098462
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Product details:
ISBN 10: 1009098462
ISBN 13: 9781009098465
Author: Mary R. Hardy, David Saunders
This well-balanced introduction to enterprise risk management 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 readers in consolidating what they learn. The mathematical level, which is suitable for graduate and senior undergraduate students in quantitative programs, is pitched to give readers a solid understanding of the concepts and principles involved, without diving too deeply into more complex theory. To reveal the connections between different topics, and their relevance to the real world, the presentation has a coherent narrative flow, from risk governance, through risk identification, risk modelling, and risk mitigation, capped off with holistic topics – regulation, behavioural biases, and crisis management – that influence the whole structure of ERM. The result is a text and reference that is ideal for graduate and senior undergraduate students, risk managers in industry, and anyone preparing for ERM actuarial exams.
Table of contents:
Chapter 1: Introduction to Enterprise Risk Management
Chapter 2: Risk Taxonomy
Chapter 3: Risk Measures
Chapter 4: Frequency-Severity Analysis
Chapter 5: Extreme Value Theory
Chapter 6: Copulas
Chapter 7: Stress Testing
Chapter 8: Market Risk Models
Chapter 9: Short Term Portfolio Risk
Chapter 10: Economic Scenario Generators
Chapter 11: Interest Rate Risk
Chapter 12: Credit Risk
Chapter 13: Liquidity Risk
Chapter 14: Model Risk and Governance
Chapter 15: Risk Mitigation Using Options and Derivatives
Chapter 16: Risk Transfer
Chapter 17: Regulation of Financial Institutions
Chapter 18: Risk Adjusted Measures of Profit and Capital Allocation
Chapter 19: Behavioural Risk Management
Chapter 20: Crisis Management
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Tags: Mary Hardy, David Saunders, Quantitative, Enterprise