Quantitative Enterprise Risk Management

This relevant, readable text integrates quantitative and qualitative approaches, connecting key mathematical tools to real-world challenges.

Mary R. Hardy (Author), David Saunders (Author)

9781009098465, Cambridge University Press

Hardback, published 5 May 2022

698 pages
23.4 x 15.6 x 4.1 cm, 1.09 kg

'Hardy and Saunders have written a masterpiece that not only explains [ERM] from a quantitative perspective, but also manages to bridge the gap between it and more qualitative approaches. It impressively covers the whole spectrum from risk taxonomy, risk modelling and measurement, risk mitigation, risk transfer up to (behavioural) risk, and crisis management. I highly recommend it to all those who want to get a deeper understanding of ERM.' Rudi Zagst, Technical University of Munich

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.

Preface
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
A. Probability and statistics review
References
Index.

Subject Areas: Economic statistics [KCHS]