Risk Modeling

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Risk Modeling, Assessment, and Management

Yacov Y. Haimes
Risk Modeling Assessment and Management Book PDF

Author : Yacov Y. Haimes
Publisher : John Wiley & Sons
Page : 810 pages
File Size : 41,5 Mb
Release : 2011-09-20
Category : Technology & Engineering
ISBN : 9781118210925

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Risk Modeling, Assessment, and Management by Yacov Y. Haimes Pdf

Examines timely multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management Risk Modeling, Assessment, and Management, Third Edition describes the state of the art of risk analysis, a rapidly growing field with important applications in engineering, science, manufacturing, business, homeland security, management, and public policy. Unlike any other text on the subject, this definitive work applies the art and science of risk analysis to current and emergent engineering and socioeconomic problems. It clearly demonstrates how to quantify risk and construct probabilities for real-world decision-making problems, including a host of institutional, organizational, and political issues. Avoiding higher mathematics whenever possible, this important new edition presents basic concepts as well as advanced material. It incorporates numerous examples and case studies to illustrate the analytical methods under discussion and features restructured and updated chapters, as well as: A new chapter applying systems-driven and risk-based analysis to a variety of Homeland Security issues An accompanying FTP site—developed with Professor Joost Santos—that offers 150 example problems with an Instructor's Solution Manual and case studies from a variety of journals Case studies on the 9/11 attack and Hurricane Katrina An adaptive multiplayer Hierarchical Holographic Modeling (HHM) game added to Chapter Three This is an indispensable resource for academic, industry, and government professionals in such diverse areas as homeland and cyber security, healthcare, the environment, physical infrastructure systems, engineering, business, and more. It is also a valuable textbook for both undergraduate and graduate students in systems engineering and systems management courses with a focus on our uncertain world.

Introduction to Credit Risk Modeling

Christian Bluhm,Ludger Overbeck,Christoph Wagner
Introduction to Credit Risk Modeling Book PDF

Author : Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publisher : CRC Press
Page : 384 pages
File Size : 51,9 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781584889939

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Introduction to Credit Risk Modeling by Christian Bluhm,Ludger Overbeck,Christoph Wagner Pdf

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

Multi-Asset Risk Modeling

Morton Glantz,Robert Kissell
Multi Asset Risk Modeling Book PDF

Author : Morton Glantz,Robert Kissell
Publisher : Academic Press
Page : 544 pages
File Size : 46,8 Mb
Release : 2013-12-03
Category : Business & Economics
ISBN : 9780124016941

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Multi-Asset Risk Modeling by Morton Glantz,Robert Kissell Pdf

Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

Interest Rate Risk Modeling

Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Interest Rate Risk Modeling Book PDF

Author : Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Publisher : John Wiley & Sons
Page : 429 pages
File Size : 52,5 Mb
Release : 2005-05-31
Category : Business & Economics
ISBN : 9780471737445

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Interest Rate Risk Modeling by Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva Pdf

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

Risk Modeling for Hazards and Disasters

Gero Michel
Risk Modeling for Hazards and Disasters Book PDF

Author : Gero Michel
Publisher : Elsevier
Page : 338 pages
File Size : 42,5 Mb
Release : 2017-08-29
Category : Science
ISBN : 9780128040935

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Risk Modeling for Hazards and Disasters by Gero Michel Pdf

Risk Modeling for Hazards and Disasters covers all major aspects of catastrophe risk modeling, from hazards through to financial analysis. It explores relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies. It also provides further insight into the shortcomings of current models and examines model risk and ideas to diversify risk assessment. Risk Modeling for Hazards and Disasters instructs readers on how to assess, price and then hedge the losses from natural and manmade catastrophes. This book reviews current model development and science and explains recent changes in the catastrophe modeling space, including new initiatives covering uncertainty and big data in the assessment of risk for insurance pricing and portfolio management. Edited by a leading expert in both hazards and risk, this book is authored by a global panel including major modeling vendors, modeling consulting firms, and well-known catastrophe modeling scientists. Risk Modeling for Hazards and Disasters provides important insight into how models are used to price and manage risk. Includes high profile case studies such as the Newcastle earthquake, Hurricane Andrew and Hurricane Katrina Provides crucial information on new ideas and platforms that will help address the new demands for risk management and catastrophe risk reporting Presents the theory and practice needed to know how models are created and what is and what is not important in the modeling process Covers relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies

Credit Risk Modeling

David Lando
Credit Risk Modeling Book PDF

Author : David Lando
Publisher : Princeton University Press
Page : 328 pages
File Size : 47,7 Mb
Release : 2009-12-13
Category : Business & Economics
ISBN : 9781400829194

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Credit Risk Modeling by David Lando Pdf

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Advances in Credit Risk Modeling and Management

Frédéric Vrins
Advances in Credit Risk Modeling and Management Book PDF

Author : Frédéric Vrins
Publisher : MDPI
Page : 190 pages
File Size : 45,9 Mb
Release : 2020-07-01
Category : Business & Economics
ISBN : 9783039287604

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Advances in Credit Risk Modeling and Management by Frédéric Vrins Pdf

Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.

Credit Risk: Modeling, Valuation and Hedging

Tomasz R. Bielecki,Marek Rutkowski
Credit Risk Modeling Valuation and Hedging Book PDF

Author : Tomasz R. Bielecki,Marek Rutkowski
Publisher : Springer Science & Business Media
Page : 517 pages
File Size : 50,9 Mb
Release : 2013-03-14
Category : Business & Economics
ISBN : 9783662048214

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Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki,Marek Rutkowski Pdf

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Credit-Risk Modelling

David Jamieson Bolder
Credit Risk Modelling Book PDF

Author : David Jamieson Bolder
Publisher : Springer
Page : 684 pages
File Size : 53,7 Mb
Release : 2018-10-31
Category : Business & Economics
ISBN : 9783319946887

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Credit-Risk Modelling by David Jamieson Bolder Pdf

The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline.

Financial Risk Management and Modeling

Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou
Financial Risk Management and Modeling Book PDF

Author : Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou
Publisher : Springer Nature
Page : 480 pages
File Size : 52,6 Mb
Release : 2021-09-13
Category : Business & Economics
ISBN : 9783030666910

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Financial Risk Management and Modeling by Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou Pdf

Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Credit Risk Modeling using Excel and VBA

Gunter Löeffler,Peter N. Posch
Credit Risk Modeling using Excel and VBA Book PDF

Author : Gunter Löeffler,Peter N. Posch
Publisher : John Wiley & Sons
Page : 280 pages
File Size : 49,9 Mb
Release : 2007-04-30
Category : Business & Economics
ISBN : 9780470510742

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Credit Risk Modeling using Excel and VBA by Gunter Löeffler,Peter N. Posch Pdf

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.

Operational Risk

Harry H. Panjer
Operational Risk Book PDF

Author : Harry H. Panjer
Publisher : John Wiley & Sons
Page : 460 pages
File Size : 42,7 Mb
Release : 2006-10-13
Category : Business & Economics
ISBN : 9780470051306

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Operational Risk by Harry H. Panjer Pdf

Discover how to optimize business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics is organized around the principle that the analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk. This book is designed to provide risk analysts with a framework of the mathematical models and methods used in the measurement and modeling of operational risk in both the banking and insurance sectors. Beginning with a foundation for operational risk modeling and a focus on the modeling process, the book flows logically to discussion of probabilistic tools for operational risk modeling and statistical methods for calibrating models of operational risk. Exercises are included in chapters involving numerical computations for students' practice and reinforcement of concepts. Written by Harry Panjer, one of the foremost authorities in the world on risk modeling and its effects in business management, this is the first comprehensive book dedicated to the quantitative assessment of operational risk using the tools of probability, statistics, and actuarial science. In addition to providing great detail of the many probabilistic and statistical methods used in operational risk, this book features: * Ample exercises to further elucidate the concepts in the text * Definitive coverage of distribution functions and related concepts * Models for the size of losses * Models for frequency of loss * Aggregate loss modeling * Extreme value modeling * Dependency modeling using copulas * Statistical methods in model selection and calibration Assuming no previous expertise in either operational risk terminology or in mathematical statistics, the text is designed for beginning graduate-level courses on risk and operational management or enterprise risk management. This book is also useful as a reference for practitioners in both enterprise risk management and risk and operational management.

Risk Analysis and Portfolio Modelling

Elisa Luciano,David Allen
Risk Analysis and Portfolio Modelling Book PDF

Author : Elisa Luciano,David Allen
Publisher : MDPI
Page : 224 pages
File Size : 45,9 Mb
Release : 2019-10-16
Category : Business & Economics
ISBN : 9783039216246

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Risk Analysis and Portfolio Modelling by Elisa Luciano,David Allen Pdf

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Catastrophe Modeling

Patricia Grossi,Howard Kunreuther
Catastrophe Modeling Book PDF

Author : Patricia Grossi,Howard Kunreuther
Publisher : Springer Science & Business Media
Page : 252 pages
File Size : 54,5 Mb
Release : 2006-01-27
Category : Business & Economics
ISBN : 9780387231297

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Catastrophe Modeling by Patricia Grossi,Howard Kunreuther Pdf

Based on the research that has been conducted at Wharton Risk Management Center over the past five years on catastrophic risk. Covers a hot topic in the light of recent terroristic activities and nature catastrophes. Develops risk management strategies for reducing and spreading the losses from future disasters. Provides glossary of definitions and terms used throughout the book.

Risk Modelling in General Insurance

Roger J. Gray,Susan M. Pitts
Risk Modelling in General Insurance Book PDF

Author : Roger J. Gray,Susan M. Pitts
Publisher : Cambridge University Press
Page : 409 pages
File Size : 43,5 Mb
Release : 2012-06-28
Category : Business & Economics
ISBN : 9780521863940

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Risk Modelling in General Insurance by Roger J. Gray,Susan M. Pitts Pdf

A wide range of topics give students a firm foundation in statistical and actuarial concepts and their applications.