A Game-theoretic Stochastic Agents Model for Enterprise Risk Management

Yuichi Ikeda, Shigeru Kawamoto, Osamu Kubo, Yasuhiro Kobayashi and Chihiro Fukui
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Yuichi Ikeda: Hitachi Ltd.
Shigeru Kawamoto: Hitachi Ltd.
Osamu Kubo: Hitachi Ltd.
Yasuhiro Kobayashi: Hitachi Ltd.
Chihiro Fukui: Hitachi Ltd.

A chapter in Practical Fruits of Econophysics, 2006, pp 210-213 from Springer

Abstract: Summary A model of business scenario simulation is developed by applying game theory to the stochastic agents described by the Langevin equations for enterprise risk management (ERM). Business scenarios of computer-related industries are simulated using the developed model, and are compared with real market data. Economic capital was calculated based on the business scenario, as the most basic requisite of ERM.

Keywords: Langevin equation; game theory; agent model; enterprise risk management (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_38

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DOI: 10.1007/4-431-28915-1_38

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