Business risk management: models and analysis

"Providing the foundations needed for managers who have to make decisions in an uncertain and risky environment, Business Risk Management brings together the fundamental ideas of utility theory and at the same time puts them alongside prospect theory which describes how people actually make decisions on risk using quantitative tools and probability models to provide a clear understanding of risk. Author Edward Anderson examines an ambitious range of topics, introducing practically important concepts in a way that does not require an advanced understanding of financial mathematics"--

"Business Risk Management provides the foundations needed for managers who have to make decisions in an uncertain and risky environment, using quantitative tools and probability models to provide a clear understanding of risk"--

Title Page; Copyright; Dedication; Preface; What does this book try to do?; What is the structure of this book?; How can this book be used?; Chapter 1: What is risk management?; 1.1 Introduction; 1.2 Identifying and documenting risk; 1.3 Fallacies and traps in risk management; 1.4 Why safety is different; 1.5 The Basel framework; 1.6 Hold or hedge?; 1.7 Learning from a disaster; Notes; References; Exercises; Chapter 2: The structure of risk; 2.1 Introduction to probability and risk; 2.2 The structure of risk; 2.3 Portfolios and diversification; 2.4 The impact of correlation.

2.5 Using copulas to model multivariate distributionsNotes; References; Exercises; Chapter 3: Measuring risk; 3.1 How can we measure risk?; 3.2 Value at risk; 3.3 Combining and comparing risks; 3.4 VaR in practice; 3.5 Criticisms of VaR; 3.6 Beyond value at risk; Notes; References; Exercises; Chapter 4: Understanding the tails; 4.1 Heavy-tailed distributions; 4.2 Limiting distributions for the maximum; 4.3 Excess distributions; 4.4 Estimation using extreme value theory; Notes; References; Exercises; Chapter 5: Making decisions under uncertainty; 5.1 Decisions, states and outcomes.

5.2 Expected Utility Theory…