Risk Quantification, Risk Modelling, Risk Aggregation, and Model Risks

Robert Rieg, Ute Vanini and Werner Gleißner
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Robert Rieg: Aalen University
Ute Vanini: Kiel University of Applied Science
Werner Gleißner: Future Value Group AG

Chapter Chapter 5 in Enterprise Risk Management, 2025, pp 83-108 from Springer

Abstract: Abstract This chapter introduces the principles and methods of appropriate risk quantification and risk aggregation. In addition to explaining the most important probability distributions for quantification, this chapter discusses typical problems with this task. Within the guidelines of risk quantification, a method is provided that enables the appropriate quantification of different risks. The chapter additionally shows how the overall scope of risk of a company is determined based on corporate planning by means of risk aggregation, especially Monte Carlo simulation.

Keywords: Binomial distribution; Monte Carlo simulation (MCS); Normal distribution; Probability distributions; Risk aggregation; Risk modelling; Risk quantification; Triangular distribution; Uniform distribution (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-86425-4_5

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DOI: 10.1007/978-3-031-86425-4_5

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