Optimal enterprise risk management and decision making with shared and dependent risks

Imagen del registro

Colección: Artículos

Título: Optimal enterprise risk management and decision making with shared and dependent risks / Jing Ai, Patrick L. Brockett, TianyangWang

Autor: Ai, Jing

Notas: Sumario: Dynamic enterprise risk management (ERM) entails holistic decision making for critical corporate functions such as capital budgeting and risk management. The interplay across business divisions, however, is complicated due to their natural interactions through risk exposures that are shared and dependent across an intricate corporate structure. This article develops an integrated optimization framework via a copula-based decision tree interface to facilitate ERM decision making to meet the specified enterprise goal in a multiperiod setting. We illustrate our model and provide managerial insights with a case study for a financial services company engaged in both banking and insurance businesses.

Otras clasificaciones: 7

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/