Business Risk Management

Edward J. Anderson 지음

Wiley 2013년 10월 23일 출간

작품소개

책소개

A comprehensive and accessible introduction to modern quantitative risk management.The business world is rife with risk and uncertainty, and risk management is a vitally important topic for managers. The best way to achieve a clear understanding of risk is to use quantitative tools and probability models. Written for students, this book has a quantitative emphasis but is accessible to those without a strong mathematical background.Business Risk Management: Models and AnalysisDiscusses novel modern approaches to risk managementIntroduces advanced topics in an accessible mannerIncludes motivating worked examples and exercises (including selected solutions)Is written with the student in mind, and does not assume advanced mathematicsIs suitable for self-study by the manager who wishes to better understand this important field.Aimed at postgraduate students, this book is also suitable for senior undergraduates, MBA students, and all those who have a general interest in business risk.

목차

Preface xiii1 What is risk management? 11.1 Introduction 21.2 Identifying and documenting risk 51.3 Fallacies and traps in risk management 71.4 Why safety is different 91.5 The Basel framework 111.6 Hold or hedge? 121.7 Learning from a disaster 13Notes 17References 18Exercises 192 The structure of risk 222.1 Introduction to probability and risk 232.2 The structure of risk 252.3 Portfolios and diversification 302.4 The impact of correlation 402.5 Using copulas to model multivariate distributions 49Notes 58References 59Exercises 603 Measuring risk 633.1 How can we measure risk? 643.2 Value at risk 673.3 Combining and comparing risks 733.4 VaR in practice 763.5 Criticisms of VaR 793.6 Beyond value at risk 82Notes 88References 88Exercises 894 Understanding the tails 924.1 Heavy-tailed distributions 934.2 Limiting distributions for the maximum 1004.3 Excess distributions 1094.4 Estimation using extreme value theory 115Notes 121References 122Exercises 1235 Making decisions under uncertainty 1255.1 Decisions, states and outcomes 1265.2 Expected Utility Theory 1305.3 Stochastic dominance and risk profiles 1485.4 Risk decisions for managers 156Notes 160References 161Exercises 1626 Understanding risk behavior 1646.1 Why decision theory fails 1656.2 Prospect Theory 1726.3 Cumulative Prospect Theory 1806.4 Decisions with ambiguity 1896.5 How managers treat risk 191Notes 194References 194Exercises 1957 Stochastic optimization 1987.1 Introduction to stochastic optimization 1997.2 Choosing scenarios 2127.3 Multistage stochas

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저자(글) Edward J. Anderson

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Edward J. AndersonThe University of Sydney Business School, Australia