Risk Analysis and Management

Basic information
Neptun code: 
vihim277
Hosting department: 
HIT
Major: 
BME-VIK Business Information Systems
Level: 
MSc - Master of Science
Type: 
Specialization subject
Availability: 
active
Objective: 
The course is concerned with the identification, assessment and analysis of the different forms of enterprise risk. It also focuses on the techniques of handling and avoiding risks in order to help the decision maker with different strategies in risk mitigation. The syllabus includes the following areas: Identification of errors and hazardous elements prone to failure. Construction of risk indicators and identifying key risk factors. Developing risk reporting plans, action plans and applying risk mitigation techniques. Stochastic risk models. Behavioural simulation, algorithmic tools of risk analysis. Variance reduction and fine tuning. Evaluation of simulation results. Optimization problems, scenario analysis, Cox law. The role and identification of episodes. Testing mechanisms, testing plans, stress test. Risk estimation models and procedures. Stochastic reliability models, survival functions, lifecycle distributions, hazard. Case dependent inference, and error-model based risk estimation methods.

Obtained skills and expertise:

  • Risk analysis (assessing practical risks and losses)
  • Developing action plans for risk mitigation.

Synopsis:

  • Identification of errors and hazardous elements prone to failure
  • Construction of risk indicators and identifying key risk factors
  • Developing risk reporting plans, action plans and applying risk mitigation techniques
  • Stochastic risk models
  • Behavioural simulation, algorithmic tools of risk analysis
  • Variance reduction and fine tuning
  • Evaluation of simulation results
  • Optimization problems, scenario analysis, Cox law
  • The role and identification of episodes.
  • Testing mechanisms, testing plans, stress test
  • Risk estimation models and procedures
  • Stochastic reliability models, survival functions, life-cycle distributions, hazard
  • Case dependent inference, and error-model based risk estimation methods

Course prerequisites: Statistical analysis

References

  • Klein: Survival Analysis, 3rd edition. Springer, 2005.
  • Molak: Fundamentals of Risk Analysis and Risk Management. CRC Press, 1997.
  • Wose: Risk Analysis: A Quantitative Guide, 2nd edition. Wiley, 2000.
  • Wosmer, Lemeshow, May: Applied Survival Analysis: Regression Modeling of Time to Event Data, 2nd ed., 2008.
  • Allison: Survival Analysis Using SAS: A Practical Guide. 1995.