When Do I Take Which Distribution?
Description
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.
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Persons
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).
Content
- Intro
- Preface
- Contents
- Chapter 1: Distributions for the Occurrence of the Risk
- 1.1 Bernoulli Distribution
- 1.2 Binomial Distribution
- 1.3 Poisson Distribution
- Chapter 2: Distributions for the Effects of Risk
- 2.1 Constant Distribution
- 2.2 The Uniform Distribution
- 2.3 Triangular, PERT, and Modified PERT Distribution
- 2.4 Trapezoidal Distribution
- 2.5 Custom Distributions
- 2.6 Normal Distribution
- 2.7 Lognormal Distribution
- 2.8 Weibull Distribution
- 2.9 Expert Distributions
- 2.10 Poly Distributions
- 2.11 Automatic Calibration of the Distributions
- 2.12 Compound Distribution
- Chapter 3: Application of Distributions in ERM
