商品簡介
Risk models are models of uncertainty, engineered for some purposes. They are “educated guesses and hypotheses” assessed and valued in terms of well-defined future states and their consequences. They are engineered to predict, to manage countable and accountable futures and to provide a frame of reference within which we may believe that “uncertainty is tamed”. Quantitative-statistical tools are used to reconcile our information, experience and other knowledge with hypotheses that both serve as the foundation of risk models and also value and price risk. Risk models are therefore common to most professions, each with its own methods and techniques based on their needs, experience and a wisdom accrued over long periods of time.This book provides a broad and interdisciplinary foundation to engineering risks and to their financial valuation and pricing. Risk models applied in industry and business, heath care, safety, the environment and regulation are used to highlight their variety while financial valuation techniques are used to assess their financial consequences.This book is technically accessible to all readers and students with a basic background in probability and statistics (with 3 chapters devoted to introduce their elements). Principles of risk measurement, valuation and financial pricing as well as the economics of uncertainty are outlined in 5 chapters with numerous examples and applications. New results, extending classical models such as the CCAPM are presented providing insights to assess the risks and their price in an interconnected, dependent and strategic economic environment. In an environment departing from the fundamental assumptions we make regarding financial markets, the book provides a strategic/game-like approach to assess the risk and the opportunities that such an environment implies. To control these risks, a strategic-control approach is developed that recognizes that many risks resulting by “what we do” as well as “what others do”. In particular we address the strategic and statistical control of compliance in large financial institutions confronted increasingly with a complex and far more extensive regulation.
作者簡介
Charles S. Tapiero is the Topfer Chair Distinguished Professor of Financial Engineering and Technology Management at the Polytechnic Institute of New York University. He is also founder and department head of the Risk and Financial Engineering Department, and serves as the director of its Advanced Degrees Programs. Professor Tapiero has earned a worldwide reputation as a researcher and consultant, and has sat on the boards of large firms. Professor Tapiero is currently the co-editor in chief of Risk and Decision Analysis. His fields of interests span financial engineering, risk assessment and analysis, actuarial and insurance science, computational finance, infrastructure finance, networks and supply chain risk. Professor Tapiero has contributed more than 350 papers in academic refereed journals and 14 books. His research spans risk insurance and finance, operations risk and quality, supply chain risk, stochastic and dynamic systems, range processes and R/S statistics, logistics and industrial management, operations research and decisions analysis. Professor Tapiero has held numerous positions of responsibility at the highest levels of an industrial conglomerate (Koor Industries, 1994-2000), quasi-government and government agencies (1978-1982) and professorial positions in the United States, Europe, Israel and Asia. He received his doctoral degree in Operation Research and Management from New York University’s Graduate school of Business Administration, and held University positions at Columbia University, the University of Washington, Case Western Reserve University, the Hebrew University of Jerusalem, the Institute of Financial Mathematics in Montreal and ESSEC (France) before joining NYU-Poly.
