RiskQuanti?cation
Management,DiagnosisandHedging
LaurentCondamin
Jean-PaulLouisot
PatrickNa°S?

共288页，3.27mb.

Contents
Foreword xi
Introductionxiii
1Foundations1
Riskmanagement:principlesandpractice1
De?nitions3
Systematicandunsystematicrisk4
Insurablerisks4
Exposure7
Management7
Riskmanagement7
Riskmanagementobjectives8
Organizationalobjectives8
Othersigni?cantobjectives10
Riskmanagementdecisionprocess11
Step1(R)CDiagnosisofexposures1
Step2(R)CRisktreatment1
Step3(R)CAuditandcorrectiveactions1
Stateoftheartandthetrendsinriskmanagement20
Riskpro?le,riskmaporriskmatrix20
Frequency! Severity20
Risk?nancingandstrategic?nancing23
Fromriskmanagementtostrategicriskmanagement23
Frommanagingphysicalassetstomanagingreputation25
Fromriskmanagertochiefriskof?cer26
Whyisriskquanti?cationneeded?27
Riskquanti?cation(R)Caknowledge-basedapproach2
Introduction28
Causalstructureofrisk28
Buildingaquantitativecausalmodelofrisk31
Exposure,frequency,andprobability33
Exposure,occurrence,andimpactdrivers34
v

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viContents
Controllingexposure,occurrence,andimpact35
Controllable,predictable,observable,andhiddendrivers35
Costofdecisions36
Risk?nancing37
Riskmanagementprogrammeasanin?uencediagram38
Modellinganindividualriskortheriskmanagementprogramme39
Summary41
2ToolBox43
Probabilitybasics43
Introductiontoprobabilitytheory43
Conditionalprobabilities45
Independence49
Bayes°Otheorem5
Randomvariables54
Momentsofarandomvariable57
Continuousrandomvariables58
Mainprobabilitydistributions62
Introduction(R)Cthebinomialdistribution6
Overviewofusualdistributions64
Fundamentaltheoremsofprobabilitytheory67
Empiricalestimation68
Estimatingprobabilitiesfromdata68
Fittingadistributionfromdata69
Expertestimation71
Fromdatatoknowledge71
Estimatingprobabilitiesfromexpertknowledge73
Estimatingadistributionfromexpertknowledge74
Identifyingthecausalstructureofadomain74
Conclusion75
Bayesiannetworksandin?uencediagrams76
Introductiontothecase77
IntroductiontoBayesiannetworks78
Nodesandvariables79
Probabilities79
Dependencies81
Inference83
Learning85
Extensiontoin?uencediagrams87
IntroductiontoMonteCarlosimulation90
Introduction90
Introductoryexample:structuredfunds90
Riskmanagementexample1(R)Chedgingweatherrisk9
Description96
Collectinginformation98
Model99

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Contentsvii
Manualscenario101
MonteCarlosimulation101
Summary104
Riskmanagementexample2(R)Cpotentialearthquakeincementindustry10
Analysis104
Model106
MonteCarlosimulation107
Conclusion109
Abitoftheory109
Introduction109
De?nition110
EstimationaccordingtoMonteCarlosimulation111
Randomvariablegeneration112
Variancereduction113
Softwaretools117
3QuantitativeRiskAssessment:AKnowledgeModellingProcess119
Introduction119
Increasingawarenessofexposuresandstakes119
Objectivesofriskassessment120
Issuesinriskquanti?cation121
Riskquanti?cation:aknowledgemanagementprocess122
ThebaselIIframeworkforoperationalrisk122
Introduction123
Thethreepillars123
Operationalrisk124
Thebasicindicatorapproach124
Thesoundpracticespaper125
Thestandardizedapproach125
Thealternativestandardizedapproach127
Theadvancedmeasurementapproaches(AMA)127
Riskmitigation130
Partialuse130
Conclusion131
Identi?cationandmappingoflossexposures131
Quanti?cationoflossexposures134
Thecandidatescenariosforquantitativeriskassessment134
Theexposure,occurrence,impact(XOI)model135
Modellingandconditioningexposureatperil135
Summary136
Modellingandconditioningoccurrence137
Consistencyofexposureandoccurrence137
Evaluatingtheprobabilityofoccurrence140
Conditioningtheprobabilityofoccurrence143
Summary144
Modellingandconditioningimpact145

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De?ningtheimpactequation145
De?ningthedistributionsofvariablesinvolved146
Identifyingdrivers147
Summary148
Quantifyingasinglescenario148
Anexample(R)C°∞fat?ngers°±scenario
Modellingtheexposure150
Modellingtheoccurrence151
Modellingtheimpact152
Quantitativesimulation154
Mergingscenarios157
Modellingtheglobaldistributionoflosses158
Conclusion159
4IdentifyingRiskControlDrivers161
Introduction161
Losscontrol(R)Caqualitativeview16
Lossprevention(actiononthecauses)164
Eliminatingtheexposure164
Reducingtheprobabilityofoccurrence166
Lossreduction(actionontheconsequences)166
Pre-eventorpassivereduction166
Post-eventoractivereduction167
Anintroductiontocindynics169
Basicconcepts170
Dysfunctions172
Generalprinciplesandaxioms174
Perspectives174
Quantitativeexample1(R)Cpandemicin?uenza17
Introduction176
Thein?uenzapandemicriskmodel177
Exposure177
Occurrence177
Impact178
TheBayesiannetwork180
Riskcontrol181
Pre-expositiontreatment(vaccination)182
Post-expositiontreatment(antiviraldrug)182
ImplementationwithinaBayesiannetwork183
Strategycomparison185
Cumulatedpointofview185
Discussion188
Quantitativeexample2(R)CbaselIIoperationalrisk18
Theindividuallossmodel189
Analysingthepotentialseverelosses189
Identifyingthelosscontrolactions189
Analysingthecumulatedimpactoflosscontrolactions191

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Contentsix
Discussion192
Quantitativeexample3(R)Centerprise-wideriskmanagement19
Contextandobjectives195
Riskanalysisandcomplexsystems195
Analternativede?nitionofrisk196
RepresentationusingBayesiannetworks196
Selectionofatimehorizon197
Identi?cationofobjectives197
Identi?cationofrisks(events)andriskfactors(context)198
Structuringthenetwork199
Identi?cationofrelationships(causallinksorin?uences)200
Quanti?cationofthenetwork200
Exampleofglobalenterpriseriskrepresentation200
Usageofthemodelforlosscontrol201
Riskmapping201
Importancefactors202
Scenarioanalysis202
Applicationtotheriskmanagementofanindustrialplant203
Descriptionofthesystem203
Assessmentoftheexternalrisks204
Integrationofexternalrisksintheglobalrisk
assessment207
Usageofthemodelforriskmanagement210
Summary(R)Cusingquantitativemodelsforriskcontrol21
5RiskFinancing:TheRightCostofRisks211
Introduction211
Risk?nancinginstruments212
Retentiontechniques214
Currenttreatment214
Reserves215
Captives(insuranceorreinsurance)215
Transfertechniques219
Contractualtransfer(forrisk?nancing(R)Ctoanoninsurer)21
Purchaseofinsurancecover219
Hybridtechniques220
Poolsandclosedmutual220
Claimshistory-basedpremiums222
Choiceofretentionlevels222
Financialreinsuranceand?niterisks223
Prospectiveaggregatecover225
Capitalmarketsproductsforrisk?nancing225
Securitization226
Insurancederivatives227
Contingentcapitalarrangements228
Risk?nancingandriskquantifying230
Usingquantitativemodels231

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xContents
Example1:Satellitelauncher231
Example2:De?ningapropertyinsuranceprogramme243
Atentativegeneralrepresentationof?nancingmethods252
Introduction252
Risk?nancingbuildingblocks254
Usual?nancingtoolsrevisited257
Combiningariskmodelanda?nancingmodel261
Conclusion263
Index 267

[此贴子已经被作者于2008-4-28 5:45:12编辑过]