When Do I Take Which Distribution? (Paperback)

Uwe Wehrspohn

ISBN 10: 3031073290 / ISBN 13: 9783031073298

Published by Springer International Publishing AG, Cham, 2022

About this Item

Paperback. This book provides the statistical basis for quantitative risk management by presenting and explaining the most important distributions. Distributions describe the occurrence and impact of a risk. They are a prerequisite for risk aggregation, risk analysis and risk assessment as required by the German revision standards IDW PS 340, StaRUG and FISG.This book portrays the distributions that are fundamental for enterprise risk management and shows when and how they are used. These include the Bernoulli distribution, the binomial distribution, the Poisson distribution, the uniform distribution, the triangular distribution, the PERT distribution, the modified PERT distribution, the trapezoidal distribution, the custom distribution, the normal distribution, the lognormal distribution, the Weibull distribution, the expert distribution, the poly distribution and the compound distribution. Furthermore, the book explains how the parameterisation of the distributions can be done via expert estimates or algorithmic calibration. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9783031073298

Bibliographic Details

• Title: When Do I Take Which Distribution? (Paperback)
• Publisher: Springer International Publishing AG, Cham
• Publication Date: 2022
• Language: English
• ISBN 10: 3031073290
• ISBN 13: 9783031073298
• Binding: Paperback
• Edition: 1st Edition
• Condition: new

About this title

Synopsis

This book provides the statistical basis for quantitative risk management by presenting and explaining the most important distributions. Distributions describe the occurrence and impact of a risk. They are a prerequisite for risk aggregation, risk analysis and risk assessment as required by the German revision standards IDW PS 340, StaRUG and FISG.

This book portrays the distributions that are fundamental for enterprise risk management and shows when and how they are used. These include the Bernoulli distribution, the binomial distribution, the Poisson distribution, the uniform distribution, the triangular distribution, the PERT distribution, the modified PERT distribution, the trapezoidal distribution, the custom distribution, the normal distribution, the lognormal distribution, the Weibull distribution, the expert distribution, the poly distribution and the compound distribution. Furthermore, the book explains how the parameterisation of the distributions can be done via expert estimates or algorithmic calibration.

 

About the Author

Dietmar Ernst is Professor of International Finance at the International School of Finance (ISF) at the Nürtingen-Geislingen University of Applied Science (Germany) and Director of the European Institute of Quantitative Finance (EIQF). His fields of work are corporate finance, risk management, quantitative finance, financial modelling and financial engineering.

Uwe Wehrspohn is a consultant in the field of risk management and computing and Managing Director of Wehrspohn GmbH & Co. KG (Germany) and Research Fellow at the Risk Management Research Centre at the University of Würzburg (Germany).