Economics and finance of risk and of the future /
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| Author / Creator: | Kast, Robert. |
|---|---|
| Imprint: | Chichester, West Sussex, England ; Hoboken, NJ : John Wiley & Sons, c2006. |
| Description: | vii, 232 p. : ill. ; 25 cm. |
| Language: | English |
| Series: | Wiley finance series |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/6019751 |
Table of Contents:
- Acknowledgements
- General Introduction
- Financial assets
- Risks
- Uncertainty and precaution
- Problems: new methods and new instruments
- Presentation of the book
- Part I. Individual vs Collective Choice
- Introduction to Part I
- 1. Risks in a Public Project: The Millau Viaduct
- 2. Individual Valuations and Economic Rationality
- 2.1. Preferences on consequences and utilities of decisions
- 2.2. Decisions, acts and contingent assets
- 2.2.1. Time contingent consumption
- 2.2.2. Games of chance
- 2.3. Criterion and individual valuation: averaging
- 2.4. A simple decision theoretic model
- 2.5. A general criterion of individual valuation
- 2.6. The two main criteria for decision-making in front of a known probability distribution: paradoxes and limitations
- 3. Aggregation of Individual Choices
- 3.1. Public choices
- 3.1.1. Comparability of individual utility functions
- 3.1.2. Arrow's impossibility theorem
- 3.1.3. Cost-benefit analysis
- 3.2. Market aggregation of individual preferences
- 3.2.1. The general equilibrium model under uncertainty
- 3.2.2. Reference to market prices in public capital budgeting
- 4. Individual and Collective Risk Management Instruments
- 4.1. Decision trees
- 4.1.1. Decision tree structure
- 4.1.2. Quantification of the decision tree
- 4.1.3. Decision trees in practice
- 4.2. Optimisation under constraints: mathematical programming
- 4.3. Risk and cost-benefit analysis
- 4.3.1. Valuation of non-traded commodities
- 4.3.2. Risk weighting
- Concluding comments on Part I
- Part II. Risk vs Uncertainty
- Introduction to Part II
- 5. Insurable and Uninsurable Risks
- 5.1. Insurance of risks with a known probability distribution
- 5.2. Insurance of risks with uncertainties
- 5.3. Non-insurable risks
- 6. Risk Economics
- 6.1. Laws of large numbers and the principles of insurance
- 6.2. Risk aversion and applications to the demand for insurance
- 6.3. Background risk
- 6.4. Risk measures: variance and Value at Risk
- 6.5. Stochastic dominance
- 6.6. Aversion to risk increases
- 6.7. Asymmetric information: moral hazard and adverse selection
- 7. Marketed Risks
- 7.1. A general theory of risk measurement
- 7.1.1. Risk valuation
- 7.1.2. Equilibrium models of risk trades
- 7.2. Applications to risk valuation
- 7.2.1. Financial assets
- 7.2.2. Insurance
- 8. Management Instruments for Risk and for Uncertainty
- 8.1. Choosing optimal insurance
- 8.2. Insurance claims securitisation
- 8.2.1. Hedging catastrophe risks
- 8.2.2. Social risks
- 8.3. Valuing controversial risks
- 8.3.1. Reference to CAPM
- 8.3.2. Tracking error minimisation
- 8.3.3. Looking for a functional relationship
- 8.3.4. Looking for a comonotonic relationship
- Concluding comments on Part II
- Part III. Static vs Dynamic
- Introduction to Part III
- 9. Risk Businesses
- 9.1. Lotteries and the gambling business
- 9.2. Risks and investments
- 9.2.1. Financial market risks
- 9.2.2. Interest rate risk
- 9.2.3. Venture capital
- 9.2.4. Country risk
- 9.3. Credit risk
- 10. Valuation without Flexibilities
- 10.1. The net present value
- 10.2. Discounting
- 10.3. Static models of financial market equilibrium pricing
- 10.4. The value at risk
- 11. Valuation with Options
- 11.1. General theory of a dynamic measure of risks
- 11.1.1. Discrete time valuation
- 11.1.2. Valuation in continuous time
- 11.2. Applications to risk valuation
- 11.2.1. Financial risks
- 11.2.2. Investment projects
- 12. Static and Dynamic Risk Instruments
- 12.1. Static risk management instruments
- 12.2. Managing flexibilities
- 12.2.1. Managing credit risk
- 12.2.2. Construction of a hedging portfolio
- Concluding comments on Part III
- General Conclusion
- 1. How to deal with controversies
- 2. Look for market valuation
- 3. Measuring time
- Traps
- Research Paths
- References
- Index
