《多样化金融风险》由会员分享，可在线阅读，更多相关《多样化金融风险（508页珍藏版）》请在金锄头文库上搜索。
1、Engineering Riskand FinanceContents1Engineering Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 1.1Risks and Uncertainty Everywhere . . . . . . . . . . . . . . . . . . . .1 1.2Many Risks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 1.2.1Glo
2、balization and Risk . . . . . . . . . . . . . . . . . . . . . . .4 1.2.2Space and Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5 1.2.3Catastrophic Risks . . . . . . . . . . . . . . . . . . . . . . . . . . .5 1.2.4Debt, Credit and Counter-Party Risk . . . . . . . . . . . . .8 1.3Indu
3、stry and Other Risks: Deviant or Money . . . . . . . . . . . . .11 1.3.1Technology and Risks . . . . . . . . . . . . . . . . . . . . . . . .11 1.3.2Technology and Networking . . . . . . . . . . . . . . . . . . .12 1.3.3Technology and Cyber Risks . . . . . . . . . . . . . . . . . . .13 1.3.4Example:
4、Technology Risks, Simplicity and Complexity Risk Mitigation . . . . . . . . . . . . . . . .13 1.4Quality, Statistical Controls and the Management of Quality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .14 1.5Health and Safety Risks . . . . . . . . . . . . . . . . . . . .
5、 . . . . . . . .16 1.6Finance and Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .18 1.6.1The Risks of Certainty . . . . . . . . . . . . . . . . . . . . . . . .18 1.6.2The Risks of Complexity. . . . . . . . . . . . . . . . . . . . . .19 1.6.3The Risks of Regulation (and Non Reg
6、ulation) . . . . . .19 1.6.4Micro-Macro Mismatch Risks and Politics . . . . . . . . .19 1.6.5Risk and Incomplete Markets . . . . . . . . . . . . . . . . . . .21 1.6.6Risk Models and Uncertainty . . . . . . . . . . . . . . . . . . .22 1.7Corporate Risks . . . . . . . . . . . . . . . . . . . . . . . .
7、 . . . . . . . . . .23 1.8Risk and Networked Firms . . . . . . . . . . . . . . . . . . . . . . . . . .26 1.8.1Information Asymmetry . . . . . . . . . . . . . . . . . . . . . .27 1.9RisksMany Reasons, Many Origins . . . . . . . . . . . . . . . . . .282Risk Management Everywhere . . . . . . . . . . .
8、. . . . . . . . . . . . . . .33 2.1Elements of Applied Risk Management: A Summary . . . . . . .33 2.2Risk Management, Value and Money . . . . . . . . . . . . . . . . . .34xi2.2.1Insurance Actuarial Risk . . . . . . . . . . . . . . . . . . . . .36 2.2.2Finance and Risk . . . . . . . . . . . . . . . .
9、 . . . . . . . . . . .37 2.3Industry Processes and Risk Management . . . . . . . . . . . . . . .40 2.4Marketing and Risk Management . . . . . . . . . . . . . . . . . . . . .44 2.4.1Reputation Risks . . . . . . . . . . . . . . . . . . . . . . . . . . .44 2.4.2Advertising Claims and Branding Risks . .
10、 . . . . . . . .45 2.4.3IPO, Reputation and Risks . . . . . . . . . . . . . . . . . . . .46 2.5Externalities and Risks Management . . . . . . . . . . . . . . . . . . .49 2.6Networks and Risks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .503Probability Elements: An Applied Refresher .
11、 . . . . . . . . . . . . . .57 3.1Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .57 3.2Risk and Probability Moments . . . . . . . . . . . . . . . . . . . . . . .58 3.2.1Expectations, Variance and Other Moments . . . . . . .58 3.2.2The Expectation . . . . . . .
12、. . . . . . . . . . . . . . . . . . . .58 3.2.3The Variance/Volatility: A measure of “Deviation” . . . . . . . . . . . . . . . . . . . . . . . . . . . . .59 3.2.4Skewness, Kurtosis and Filtration . . . . . . . . . . . . . . .59 3.2.5Range and Extreme Statistics . . . . . . . . . . . . . . . . . .60
13、3.3Applications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .61 3.3.1Skewness in Standardized Stocks Rates of Returns . . . . . . . . . . . . . . . . . . . . . . . . . . .61 3.3.2Reliability, Probability Risk Constraints and Deviations Risks . . . . . . . . . . . . . . . .
14、. . . . . . .62 3.3.3The Hazard Rate and Finance . . . . . . . . . . . . . . . . .64 3.3.4Risk Variance and Valuation . . . . . . . . . . . . . . . . . .65 3.3.5VaR or Value at Risk . . . . . . . . . . . . . . . . . . . . . . .67 3.3.6Chance Constraints . . . . . . . . . . . . . . . . . . . . . . .
15、. .68 3.3.7Type I and Type II Statistical Risks . . . . . . . . . . . . .69 3.3.8Quality Assurance and Chance Constraints Risks . . .70 3.3.9Credit and Credit Granting and Estimation of Default Probabilities . . . . . . . . . . . . . . . . . . . . . .71 3.3.10Chance Constrained Programming . . . . .
16、 . . . . . . . . .73 3.3.11Chance Constraint Moments Approximations . . . . . .75 3.3.12Transformation of Random Variables into Normally Distributed Random Variables . . . . . . . . . . . . . . . . .75 3.4Generating Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .76 3.4.1The Convolution Theorem for Moment and Probability Functions . . . . . . . . . . . . . . . . . . . .77 3.4.2The Probability Generating Function of the Bernoulli Experiment . . . . . . . . . . . . . . . . .
