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Format: 1 online resource (252 pages)

ISBN: 9783031181009

Series Statement: Studies in Systems, Decision and Control ; v.219

Note: Intro -- Introduction -- Contents -- 1 Understanding Risk -- 1.1 Introduction -- 1.2 Definitions and Typologies -- 1.2.1 Risk: A Short History -- 1.2.2 Defining Risk -- 1.2.3 Types of Risks -- 1.2.4 The Risk Curve -- 1.3 Qualitative Evaluation of Risk -- 1.4 A Mathematical Formulation -- 1.4.1 The Utility Function -- 1.4.2 Attitudes to Risk -- 1.4.3 Incorporating Risk Preferences -- 1.5 Risk Aversion -- 1.5.1 The Arrow-Pratt Measure of Risk Aversion -- 1.5.2 Risk Aversion Under Alternative Utility Specifications -- 1.6 Measuring the Risk Premium -- 1.6.1 Average Risk Premia in Europe -- 1.6.2 Variance Across Countries and Industries -- 1.6.3 Different Risk Premium Regimes -- 1.7 Conclusion -- References -- 2 Standard Risk Metrics -- 2.1 Introduction -- 2.2 Risk as a Random Variable -- 2.2.1 Normal Distribution -- 2.2.2 Family of Fat Tails Distributions -- 2.2.3 Log-Normal Distribution -- 2.2.4 Power Law Distributions -- 2.3 Simple Risk Metrics -- 2.3.1 Measures of Variance -- 2.3.2 Market Beta -- 2.3.3 Risk and Return Tradeoffs -- 2.4 Advanced Risk Metrics -- 2.4.1 Value at Risk -- 2.4.2 Expected Shortfall -- 2.4.3 Risk as Anomaly -- 2.5 Empirical Stability of Metrics -- 2.5.1 Simple Risk Metrics -- 2.5.2 Value at Risk -- 2.5.3 Expected Shortfall -- 2.6 Conclusion -- References -- 3 Risk in Digital Assets -- 3.1 Introduction -- 3.2 Information Assets -- 3.2.1 Types of Information Assets -- 3.2.2 Sources and Types of Risks -- 3.2.3 Estimating Risk Probability and Impact -- 3.3 Valuation of Information Assets -- 3.3.1 Market Metrics -- 3.3.2 Expert Estimates -- 3.4 Digital Financial Assets -- 3.4.1 Types of Digital Financial Assets -- 3.4.2 Types of Risks in Digital Financial Assets -- 3.4.3 Estimating Risk Probability and Impact -- 3.5 Risk Modeling for Emerging Assets -- 3.5.1 Stylized Facts and Traditional Risk Metrics. , 3.5.2 Statistical Properties of the Series -- 3.5.3 Risk Management Methodology -- 3.6 Conclusion -- References -- 4 Networks of Risk -- 4.1 Introduction -- 4.2 Networks and Risk -- 4.2.1 System Structure and Risk -- 4.2.2 Network Diffusion -- 4.2.3 Social Networks -- 4.3 Network Topologies -- 4.3.1 Random Erdös-Renyi Networks -- 4.3.2 Growth and Preferential Attachment in Networks -- 4.3.3 Small World Networks -- 4.3.4 Network Metrics -- 4.3.5 Network Robustness and Resilience -- 4.4 Network Construction -- 4.4.1 Network Data and Visualization -- 4.4.2 Bayesian Belief Networks -- 4.5 Network Sources of Risk -- 4.5.1 Overall Dynamics of the Digital Sectors -- 4.5.2 Network Sources of Risk for the Digital Sectors -- 4.6 Conclusion -- References -- 5 Analyzing Rare Risks -- 5.1 Introduction -- 5.2 Expert Judgment -- 5.2.1 Individual Judgment -- 5.2.2 Judgment Decomposition -- 5.2.3 Structured Analogies -- 5.2.4 Group Judgment Methods -- 5.2.5 Uncertainty and Calibration -- 5.3 Statistical Methods -- 5.3.1 Pure Statistical Methods -- 5.3.2 Judgment-Adjusted Forecast -- 5.4 Prediction Markets -- 5.5 Monte Carlo Methods and Scenarios -- 5.6 Modeling the Unexpected in the Digital Economy -- 5.6.1 Overall Model Structure -- 5.6.2 Key Results -- 5.7 Conclusion -- References -- 6 Humans in the Network -- 6.1 Introduction -- 6.2 Utility and Risk Preferences -- 6.2.1 Constant Absolute Risk Aversion (CARA) -- 6.2.2 Constant Relative Risk Aversion (CRRA) -- 6.2.3 Hyperbolic Absolute Risk Aversion (HARA) -- 6.2.4 Advanced Utility Specifications -- 6.2.5 The Utility of Utility Functions -- 6.3 Prospect Theory -- 6.4 Neural and Behavioral Foundations -- 6.4.1 Heuristics, Biases and Decision Architecture -- 6.4.2 Neural Circuitry of Risk -- 6.5 Mediating Online Environment -- 6.6 Information and Influence -- 6.6.1 Humans as Intuitive Statisticians. , 6.6.2 Performance Under Uncertainty -- 6.6.3 Influence of Online Social Networks -- 6.6.4 Modeling Human Decisions -- 6.7 Conclusion -- References -- Concluding Remarks.

Additional Edition: Print version: Gerunov, Anton Risk Analysis for the Digital Age Cham : Springer International Publishing AG,c2022 ISBN 9783031180996

Language: English