risk model Articles
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Is game theory a useful tool for terrorism insurance?
This paper addresses the topic of terrorism insurance. Financial markets and international institutions believe that terrorism risk modelling falls short of making the likelihood of future attacks more predictable and quantifiable. We present the literature of research in the domain of game theory applied to terrorism insurance, we scrutinise the possibility of using evolutionary game theory and ...
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A risk management framework and model for pension investment funds
Risk management in finance is an increasingly important area, which has been highlighted in the midst of the global credit crisis. In this paper, we propose a new risk management model for pension investment funds: a risk management framework and risk measure based on modelling the pension fund value as an option. We review risk management, discussing risk management frameworks and risk ...
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Copulae and operational risks
The motivation of this paper is to develop efficient statistical methods aimed at measuring operational risk. A number of recent legislations and market practices are motivating such developments. For instance, 'the New Basel Capital Accord' (Basel II, 2001), published by Basel Committee on Banking supervision, requires financial institutions to measure operational risks, defined as "the risk of ...
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Critical infrastructure and smart technology risk modelling using computational intelligence
We discuss the criticality of infrastructure in economic development and security, and identify various risks posed by smart technologies as applied to infrastructure. We provide a computational intelligence methodology, using attitudinal and fuzzy modelling, and illustrate its application as a risk modelling decision technology in the selection of smart technology in critical ...
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Global sensitivity analysis for latent factor credit risk models
This paper proposes the use of global sensitivity analysis to evaluate the risk associated with a credit portfolio model. Although successfully applied in many disciplines such as chemistry, biology and environmental science, the use of global sensitivity analysis is still rare in financial contexts. One-at-a-time sensitivity analysis is usually applied despite its shortcomings. The scope of this ...
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Modelling the default risk in large credit portfolios
We propose a reduced-form model for credit risk in a multivariate setting. The default intensities are linear combinations of three independent affine jump-diffusion processes representing the intensities of general, sectoral and idiosyncratic credit events. The model can be efficiently calibrated to term structures of default probabilities and conditional probabilities of default given the ...
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A conditional value-at-risk model for insurance products with a guarantee
We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that ...
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2010 Marie Curie prize lecture: low-dose induced protection invalidates the linear-no-threshold model in mammalian bodies ? a system-biology approach
Low-dose irradiation of mammalian tissues causes damage and protection, the ratio of which increasingly advances damage as doses increase. Below about 100 mSv, there is no observation of increased cancer incidence in exposed human populations. These data contradict the linear-no-threshold (LNT) dose-risk model. A biological system approach formalises the body to be organised in hierarchical ...
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Risk management pervasiveness and organisational maturity: a critical review
Implementing risk management remains a significant challenge for many organisations. In order to help address this issue, risk management maturity models have become an important tool for improving and assessing organisational risk capability. In this paper, we present a critical review of the existing literature on risk management maturity models. Drawing on existing theory, we challenge current ...
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Technologies of logic and probabilistic management of risk of social and economic systems
We propose the risk of logic and probabilistic management technologies of social and economic systems for informational and analytical support of leaders and of managers to make decisions. We describe components of risk management technologies. We give an example of risk logic and probabilistic (LP) model of successful development of Russia. We state methods of quantitative LP–analysis and ...
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System of systems modelling and simulation – an outlook and open issues
System of systems (SoS) engineering is an emerging sub-discipline, within which modelling and simulation is a key area. The failure of many SoS endeavours can be attributed to the inappropriate application of systems engineering processes, including modelling approaches. Selection of suitable modelling approaches is critical to ensuring representative models are created, ensuring reliable SoS ...
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Using reliability and simulation models in business continuity planning
Business continuity planning is a process to ensure that an organisation can continue to function effectively and resiliently when faced with crisis events. A key phase of the process is risk analysis, which involves identifying events, determining causes, and estimating probabilities and impact. In this paper we focus on estimating probabilities. Current practice often relies on ad hoc methods ...
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Multi-attribute aspects for risk assessment of natural hazards
This paper reviews the process of risk-based decision making and creates a new multi-attribute framework for risk analysis of natural hazards. This is based on perceived risks, which are the domain of the social sciences, and mathematical risks, the work of technical sciences. Considering both engineering risk and society's perceived risk has lead to the development of a graphical tool which ...
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Time-based collision risk models for air traffic management systems
A finite supply of airspace and limited opportunities for expansion of physical infrastructure has led aviation authorities worldwide to commit substantial resources toward the development of new initiatives to accommodate rising demand in the global airspace system. The European Union is developing the Single European Sky , while a parallel program in the USA, the Next Generation Air Traffic ...
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A fuzzy decision-making model for risk ranking with an application to an onshore gas refinery
This paper aims to identify the important risks in Iranian onshore gas refinery plants and introduce new effective criteria. Risks are prioritised on the basis of the significance of impacts on typical project objectives in terms of cost, time, quality, safety and environmental sustainability. Then, this problem is defined in the Fuzzy Multicriteria Decision-Making (FMCDM) field. The Fuzzy ...
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Professional services risk modeling tool case study
Professional Services Risk Modeling Tool (2 of 2) Result: A user-friendly data collection software tool was delivered to the client along with a manual for running and modifying the tool. This tool led the client's agent through a series of data acquisition steps with visual cues, error checking and the ability to add notes and new elements. The tool effectively makes in-depth expert knowledge ...
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A risk mitigation approach for concurrent engineering projects
Generally, risks are encountered and generate negative outcomes in concurrent engineering (CE) projects including project delays, cost overruns and unacceptable quality. These outcomes can be avoided by establishing a systematic risk management process. In this research, a risk management approach used is outlined, according to Australia and New Zealand risk management standard (AS/NZS 4360: ...
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Traffic equilibrium in a stochastic transportation network
The Traffic Equilibrium (TE) problem is to predict traffic flows in a transportation network given the travel demand between every pair of nodes. The existing TE models assume deterministic networks. However, real world transportation networks are stochastic in the sense that arc attributes are random variables. This paper addresses the TE problem in a stochastic network. The general problem is ...
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Company valuation under risk and flexibility: discrete models comparison
This paper concentrates on the comparison of company valuation models under risk and flexibility (real option approach). This approach simultaneously reflects uncertainty in a company's future cash flows and flexibility in decision–making. Here, models for financial options valuation are applied on company assets. Equity value is calculated as American real call option hold by shareholders on ...
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Default forecasting for small-medium enterprises: does heterogeneity matter?
In this paper we discuss and compare a set of classical and Bayesian longitudinal models to predict small-medium enterprise (SME) default probability, taking unobservable firm and business sector heterogeneities, as well as time variation, into account. By using a panel data set of German SMEs, we compare a large set of models by looking at their in-sample and out-of-sample forecasts. To choose ...
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