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security-metrics

risk

Research on all things risk

Defining Risk: Variance of its use in practice and language.

The language of "risk" is highly flexible. Two people talking about "risk" may be speaking at each other entirely differently.


risk = an unwanted event which may or may not occur.
risk = the cause of an unwanted event which may or may not occur.
risk = the probability of an unwanted event which may or may not occur.
risk = the statistical expectation value of an unwanted event which may or may not occur.
risk = the fact that a decision is made under conditions of known probabilities (“decision under risk” as opposed to “decision under uncertainty”)

Other definitions are used frequently. For instance, lacking a popular mitigation (Driving with no seatbelt) or something at stake, subject to other threats (a position in a stock).

Using very specific language for scenarios

"The clarity test" is described here.

Scenario Modeling

Scenario Modeling vs Probabilitic Forecasting: Will it Rain Tuesday vs There is a 20% probability it will rain Thursday

The forecast is the %, from an average, from a model, from an expert, from a panel, etc

Probabalistic Forecasting

Experts Estimating Things

This section generally appeals to how experts can be queried for quantitative data. The process of doing so, industrial examples, history of.

Parimutuel betting (link)

This describes the practice of gathering up forecast material and, typically, averaging it together. Further described in Probabilistic Forecasts and Reproducing Scoring Systems

References and Reading

https://www.springer.com/gp/book/9781402082016 <- De Finetti is the "father" of subjective bayesianism (which is at the heart of risk forecasting), and this book is a non-mathy introduction into the mathematics of it, but also what it "means"

https://journals.ametsoc.org/doi/pdf/10.1175/2009MWR2945.1 <- this is a pretty good math paper discussing why logarithmic scoring rules are better

https://www.amazon.de/dp/B005NZMSM0/ref=dp-kindle-redirect?_encoding=UTF8&btkr=1 <- "Red-Blooded Risk" - the author has a long career in financial risk management, and ... it's a strange book; it's a bit like going for a long walk with your cranky weird uncle in the second degree that is clearly a bit strange, but has read widely and rambles for a few hours about all the things he has read and seen. So it isn't very "structured", but still enlightening and enjoyable

https://www.amazon.com/Uncertain-Judgements-Eliciting-Experts-Probabilities/dp/0470029994/ref=sr_1_1 Uncertain Judgements: Eliciting Experts' Probabilities 1st Edition

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