Analytical Methods for Risk Management

Author: Paul R. Garvey
Publisher: CRC Press
ISBN: 9781420011395
Format: PDF, Kindle
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A Text on the Foundation Processes, Analytical Principles, and Implementation Practices of Engineering Risk Management Drawing from the author’s many years of hands-on experience in the field, Analytical Methods for Risk Management: A Systems Engineering Perspectivepresents the foundation processes and analytical practices for identifying, analyzing, measuring, and managing risk in traditional systems, systems-of-systems, and enterprise systems. Balances Risk and Decision Theory with Case Studies and Exercises After an introduction to engineering risk management, the book covers the fundamental axioms and properties of probability as well as key aspects of decision analysis, such as preference theory and risk/utility functions. It concludes with a series of essays on major analytical topics, including how to identify, write, and represent risks; prioritize risks in terms of their potential impacts on a systems project; and monitor progress when mitigating a risk’s potential adverse effects. The author also examines technical performance measures and how they can combine into an index to track an engineering system’s overall performance risk. In addition, he discusses risk management in the context of engineering complex, large-scale enterprise systems. Applies Various Methods to Risk Engineering and Analysis Problems This practical guide enables an understanding of which processes and analytical techniques are valid and how they are best applied to specific systems engineering environments. After reading this book, you will be on your way to managing risk on both traditional and advanced engineering systems.

Advanced Risk Analysis in Engineering Enterprise Systems

Author: Cesar Ariel Pinto
Publisher: CRC Press
ISBN: 1439826153
Format: PDF, ePub, Mobi
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Since the emerging discipline of engineering enterprise systems extends traditional systems engineering to develop webs of systems and systems-of-systems, the engineering management and management science communities need new approaches for analyzing and managing risk in engineering enterprise systems. Advanced Risk Analysis in Engineering Enterprise Systems presents innovative methods to address these needs. With a focus on engineering management, the book explains how to represent, model, and measure risk in large-scale, complex systems that are engineered to function in enterprise-wide environments. Along with an analytical framework and computational model, the authors introduce new protocols: the risk co-relationship (RCR) index and the functional dependency network analysis (FDNA) approach. These protocols capture dependency risks and risk co-relationships that may exist in an enterprise. Moving on to extreme and rare event risks, the text discusses how uncertainties in system behavior are intensified in highly networked, globally connected environments. It also describes how the risk of extreme latencies in delivering time-critical data, applications, or services can have catastrophic consequences and explains how to avoid these events. With more and more communication, transportation, and financial systems connected across domains and interfaced with an infinite number of users, information repositories, applications, and services, there has never been a greater need for analyzing risk in engineering enterprise systems. This book gives you advanced methods for tackling risk problems at the enterprise level.

Probability Methods for Cost Uncertainty Analysis

Author: Paul R. Garvey
Publisher: CRC Press
ISBN: 148221976X
Format: PDF, ePub
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Probability Methods for Cost Uncertainty Analysis: A Systems Engineering Perspective, Second Edition gives you a thorough grounding in the analytical methods needed for modeling and measuring uncertainty in the cost of engineering systems. This includes the treatment of correlation between the cost of system elements, how to present the analysis to decision-makers, and the use of bivariate probability distributions to capture joint interactions between a system’s cost and schedule. Analytical techniques from probability theory are stressed, along with the Monte Carlo simulation method. Numerous examples and case discussions illustrate the practical application of theoretical concepts. While the original chapters from the first edition remain unchanged, this second edition contains new material focusing on the application of theory to problems encountered in practice. Highlights include the use of GERM to build development and production cost estimating relationships as well as the eSBM, which was developed from a need in the community to offer simplified analytical alternatives to advanced probability-based approaches. The book also lists the major technical works of the late Dr. Stephen A. Book, a mathematician and world-renowned cost analyst whose contributions advanced the theory and practice of cost risk analysis.

Financial Risk Forecasting

Author: Jon Danielsson
Publisher: Wiley
ISBN: 9780470669433
Format: PDF, ePub, Docs
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Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Metrics and Methods for Security Risk Management

Author: Carl Young
Publisher: Syngress
ISBN: 9781856179799
Format: PDF
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Security problems have evolved in the corporate world because of technological changes, such as using the Internet as a means of communication. With this, the creation, transmission, and storage of information may represent security problem. Metrics and Methods for Security Risk Management is of interest, especially since the 9/11 terror attacks, because it addresses the ways to manage risk security in the corporate world. The book aims to provide information about the fundamentals of security risks and the corresponding components, an analytical approach to risk assessments and mitigation, and quantitative methods to assess the risk components. In addition, it also discusses the physical models, principles, and quantitative methods needed to assess the risk components. The by-products of the methodology used include security standards, audits, risk metrics, and program frameworks. Security professionals, as well as scientists and engineers who are working on technical issues related to security problems will find this book relevant and useful. Offers an integrated approach to assessing security risk Addresses homeland security as well as IT and physical security issues Describes vital safeguards for ensuring true business continuity

Analytical Methods for Energy Diversity and Security

Author: Morgan Bazilian
Publisher: Elsevier
ISBN: 9780080915319
Format: PDF
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Analytical Methods for Energy Diversity and Security is an ideal volume for professionals in academia, industry and government interested in the rapidly evolving area at the nexus between energy and climate change policy. The cutting-edge international contributions allow for a wide coverage of the topic. Analytical Methods for Energy Diversity and Security focuses on the consideration of financial risk in the energy sector. It describes how tools borrowed from financial economic theory, in particular mean-variance portfolio theory, can provide insights on the costs and benefits of diversity, and thus inform investment decision making in conditions of uncertainty. It gives the reader an in-depth understanding of how to manage risk at a time when the world’s focus is on this area. The book provides insights from leading authorities in the area of energy security. It gives readers abundant, rigorous analysis and guidance at a critical time in facing the twin challenges of energy security and climate change. The book also highlights the role of clean energy technology in moving towards future diverse and intelligent electricity systems. It will be a trusted, first point of reference for decision-makers in the field of energy policy. The book includes a foreword by the 2007 Nobel Peace Prize winner. All royalties from sale of this book will be donated to charities working in the energy sector in the developing world. Theoretical underpinning and applied use of Portfolio theory in the energy sector In-depth consideration of risk Contributions from leading international energy economists Innovative methodologies for thinking about energy security and diversity

Analytical Methods for Energy Diversity and Security

Author: Morgan Bazilian
Publisher: Elsevier
ISBN: 9780080915319
Format: PDF, ePub
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Analytical Methods for Energy Diversity and Security is an ideal volume for professionals in academia, industry and government interested in the rapidly evolving area at the nexus between energy and climate change policy. The cutting-edge international contributions allow for a wide coverage of the topic. Analytical Methods for Energy Diversity and Security focuses on the consideration of financial risk in the energy sector. It describes how tools borrowed from financial economic theory, in particular mean-variance portfolio theory, can provide insights on the costs and benefits of diversity, and thus inform investment decision making in conditions of uncertainty. It gives the reader an in-depth understanding of how to manage risk at a time when the world’s focus is on this area. The book provides insights from leading authorities in the area of energy security. It gives readers abundant, rigorous analysis and guidance at a critical time in facing the twin challenges of energy security and climate change. The book also highlights the role of clean energy technology in moving towards future diverse and intelligent electricity systems. It will be a trusted, first point of reference for decision-makers in the field of energy policy. The book includes a foreword by the 2007 Nobel Peace Prize winner. All royalties from sale of this book will be donated to charities working in the energy sector in the developing world. Theoretical underpinning and applied use of Portfolio theory in the energy sector In-depth consideration of risk Contributions from leading international energy economists Innovative methodologies for thinking about energy security and diversity

Analytical Techniques in the Assessment of Credit Risk

Author: Michael Doumpos
Publisher: Springer
ISBN: 9783319994109
Format: PDF, Kindle
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This book provides a unique, focused introduction to the analytical skills, methods and techniques in the assessment of credit risk that are necessary to tackle and analyze complex credit problems. It employs models and techniques from operations research and management science to investigate more closely risk models for applications within the banking industry and in financial markets. Furthermore, the book presents the advances and trends in model development and validation for credit scoring/rating, the recent regulatory requirements and the current best practices. Using examples and fully worked case applications, the book is a valuable resource for advanced courses in financial risk management, but also helpful to researchers and professionals working in financial and business analytics, financial modeling, credit risk analysis, and decision science.