Extreme Risk Interdependence

Extreme Risk Analysis

Quantitative risk management allows for qualitative notions such as optimality and expected returns to be put on a quantitative footing. It complements subjective risk considerations with an objective, statistical perspective. Broadly, quantitative risk management consists of two distinct elements. The first is measurement, which involves quantifying the overall risk of a portfolio. The second ...

Extreme Risk Management

Quantitative risk management relies on a constellation of tools that are used to analyze portfolio risk. We develop the standard toolkit, which includes betas, risk budgets and correlations, in a general, coherent, mnemonic framework centered around marginal risk contributions. We apply these tools to generate side-by-side analyses of volatility and expected shortfall, which is a measure of ave...

Flood Risk from Extreme Events

There is increasing evidence that more frequent flooding resulting from increases in the frequency and intensity of storms are likely to be one consequence of anthropogenic climate change in many parts of the world including the United Kingdom. Flooding in the UK is currently a major and costly environmental hazard with annual damage from floods of around £1 billion at present levels of protect...

Risk Assessment of Extreme Events

Risk assessment is a means to characterize and reduce uncertainty to support our ability to deal with catastrophe through risk management. This paper addresses the application of risk assessment to both the built and natural environments, to improve our understanding and management of human health, safety, and security within those environments, especially in the context of extreme and unantici...

Cyber Insurance and IT Security Investment: Impact of Interdependence Risk