Assessment of strategies for evaluating extreme risks
Australian Centre of Excellence for Risk Analysis Reports (
2007)
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Abstract
The report begins by outlining several case studies with varying levels of data, examining the role for extreme event risk analysis. The case studies include BA’s analysis of fire blight and New Zealand apples, bank operational risk and several technical failures. The report then surveys recent developments in methods relevant to evaluating extreme risks and evaluates their properties. These include methods for fraud detection in banks, formal extreme value theory, Bayesian approaches, qualitative reasoning, and adversary and advocacy models. The document includes a supplementary report as an appendix, providing an overview of the quantification of bank operational risks.