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Table of Contents
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
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