Autorentext

Paul Sweeting is an Honorary Professor of Actuarial Science, and President of the Institute and Faculty of Actuaries. As well as having been a chief risk officer for one of the world's largest social insurance funds, he has worked in pensions, investment and life insurance. Paul is a Fellow of the Institute and Faculty of Actuaries, of the Chartered Institute for Securities and Investment, and of the Royal Statistical Society. He is also a CFA Charterholder and a Chartered Enterprise Risk Actuary.

Klappentext

This comprehensive yet accessible guide to enterprise risk management for financial institutions contains all the tools needed to build and maintain an ERM framework. It discusses the internal and external contexts within which risk management must be carried out, and it covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks. This third edition has been thoroughly revised and updated to reflect new regulations and legislation. It includes additional detail on machine learning, a new section on vine copulas, and significantly expanded information on sustainability. A range of new case studies include Theranos and FTX. Suitable as a course book or for self-study, this book forms part of the core reading for the Institute and Faculty of Actuaries' examination in enterprise risk management.

Inhalt

1. An introduction to enterprise risk management; 2. Types of financial institution; 3. Stakeholders; 4. The internal environment; 5. The external environment; 6. Process overview; 7. Definitions of risk; 8. Risk identification; 9. Some useful statistics; 10. Statistical distributions; 11. Modelling techniques; 12. Extreme value theory; 13. Modelling time series; 14. Quantifying particular risks; 15. Risk assessment; 16. Responses to risk; 17. Continuous considerations; 18. Economic capital; 19. Risk frameworks; 20. Case studies from financial institutions; 21. Further case studies; 22. Solutions to questions; References; Index.