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.
- Many exercises of several different types - qualitative discussions, mathematical calculations, computational exercises on real data sets - help readers to develop a full skill set
- Detailed descriptions of risk management successes and failures in the real world reinforce the connection between strong technical skills and financial and economic aims
- Coverage of topics missing from most risk management texts - applications of behavioural finance to risk management, capital allocation, performance measurement - creates a valuable resource
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Reviews & endorsements
'Quantitative Enterprise Risk Management can be strongly recommended to anyone seeking to develop their skills in risk management. The book will be particularly useful for those seeking to master the more challenging technical aspects of risk management missing in other textbooks.' Andrew Cairns, Heriot-Watt University
'This hits the sweet spot between overly abstract mathematical and overly 'math lean' presentations of enterprise risk management.' Gary Hatfield, University of Minnesota
'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
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Product details
- Date Published: May 2022
- format: Hardback
- isbn: 9781009098465
- length: 698 pages
- dimensions: 234 x 156 x 41 mm
- weight: 1.09kg
- availability: Available
Table of Contents
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.
Look Inside
Authors
Mary R. Hardy, University of Waterloo, Ontario
Mary R. Hardy is Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. She is a past Vice President of the Society of Actuaries, and was initiated as a Chartered Enterprise Risk Analyst through the Thought Leadership program. She has a PhD in Actuarial Science from Heriot-Watt University, and is a Fellow of the Society of Actuaries, and of the Institute and Faculty of Actuaries, which awarded her the prestigious Finlaison Medal for service to the profession in 2012. Her past books include Actuarial Mathematics for Life Contingent Risks and Investment Guarantees: Modelling and Risk Management.
David Saunders, University of Waterloo, Ontario
David Saunders is Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. He is a financial mathematician, whose research focusses on the application of stochastic optimization and probability to problems in finance and insurance. Professor Saunders has served as a risk management consultant for over two decades, having worked for several firms in the banking and financial software industries. He has a PhD in Mathematics from the University of Toronto.