Quantitative Methods In Risk Analysis: A Practitioner's Guide (World Scientific Series in Finance)

The aim of this book is to provide the basic concepts and techniques underlying the quantitative analysis of risk in stochastic dynamic systems. The methods are general, but the emphasis is on financial systems in market economies, and operating systems in transportation. Real world case studies are included. These case studies illustrate how risk analysis is done in practice. Data files are also analysed with the EViews software.

Throughout the book, the role of decisions on the outcome from stochastic systems is emphasized. The theme is that "decisions have consequences". The standard risk measures for the consequences from downside outcomes are presented, and risk-return models incorporate those measures into optimal decisions.

With the inclusion of both conceptual models and practical applications, the book is accessible to senior undergraduate and graduate students in business. In particular, the book is a suitable reference or text for a risk analysis course for masters of business administration students.

Some mathematical background is required to understand the models and equations. Experience with statistical reasoning and statistical software is an advantage. There are appendices which summarize relevant mathematical concepts included in the book.

Michael Foster is President of Canmac Economics. He has over 40 years of experience in economic analysis, modelling, and forecasting. He has conducted hundreds of economic forecasts, program evaluations, economic impacts, strategic plans, market analysis, and general economic studies. Many of these studies were augmented with specifically constructed forecasting and economic simulation models. Dr Foster has held academic appointments at Dalhousie University, St. Mary's University and Cape Breton University. Dr Foster was awarded a long-term research and teaching contract for one of eight original Chairs in the Management of Technological Change sponsored by NSERC (National Sciences and Engineering Research Council of Canada) and SSHRC (Social Sciences and Humanities Research Council).

Leonard MacLean is Professor Emeritus in the Rowe School of Business at Dalhousie University in Halifax, Canada. Dr MacLean has held visiting appointments at Cambridge University, University of Bergamo, University of British Columbia, Simon Fraser University, Royal Roads University, University of Zimbabwe, and University of Indonesia. From 1989 to 1995 he served as Director of the School of Business Administration at Dalhousie University. He is the finance books editor for World Scientific Press, and has held editorial positions with several journals. Professor MacLean's research focuses on stochastic models in finance, systems reliability in transportation, and sports analytics. He has published more than 100 articles, with papers appearing in journals such as Journal of Economic Theory, Management Science, Quantitative Finance, Transportation Research, Safety Science, Journal of Banking and Finance and Journal of Economic Dynamics and Control. Professor MacLean has also co-authored 8 books. This work has been funded by grants from the Natural Sciences and Engineering Council of Canada and the Herbert Lamb Trust. Dr MacLean teaches in the areas of statistics and operations management.