Research Catalog

Title

Quantitative enterprise risk management / Mary R. Hardy, David Saunders.

Author

Hardy, Mary, 1958-

Publication

• Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2022.
• ©2022

Items in the Library & Off-site

Holdings

Details

Additional Authors

Saunders, David (Professor of business mathematics)

Description

xx, 667 pages : illustrations; 24 cm.

Summary

"This well-balanced introduction to enterprise risk management (ERM) 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 senior undergraduates 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 senior undergraduate students, risk managers in industry, and anyone preparing for ERM actuarial exams"--

Series Statement

International series on actuarial science

Uniform Title

International series on actuarial science.

Subject

• Risk management
• Risk management > Mathematical models
• Risk Management
• Gestion du risque
• Gestion du risque > Modèles mathématiques
• risk management
• BUSINESS & ECONOMICS / Statistics

Bibliography (note)

• Includes bibliographical references (pages 650-657) and index.

Contents

1. Introduction to enterprise risk management -- 2. Risk taxonomy -- 3. Risk measures -- 4. Frequency-severity analysis -- 5. Extreme value theory -- 6. Copulas -- 7. Stress testing -- 8. Market risk models -- 9. Short-term portfolio risk -- 10. Economic scenario generators -- 11. Interest rate risk -- 12. Credit risk -- 13. Liquidity risk -- 14. Model risk and governance -- 15. Risk mitigation using options and derivatives -- 16. Risk transfer -- 17. Regulation of financial institutions -- 18. Risk-adjusted measures of profit and capital allocation -- 19. Behavioural risk management -- 20. Crisis management.

ISBN

• 9781009098465
• 1009098462
• 9781009089470 (canceled/invalid)

LCCN

• 2021063093
• 99991985010

OCLC

• on1268113036
• 1268113036
• SCSB-14335527

Owning Institutions

Columbia University Libraries