risk modeling Articles

  • Models for risk management of systems of systems

    This paper addresses the need for developing a body of prescriptive theory and methodology for modelling Systems of Systems (SoS). This will enable analysts to appropriately model and understand the SoS evolving behaviour due to the continued forced changes imposed on them. To place this need in historical perspective, the evolution of the field of systems engineering/analysis is briefly ...


    By Inderscience Publishers

  • Models for reducing the risk of critical networked infrastructures

    In this paper, we review the literature studying how to reduce the disruption risk to critical networked infrastructures. This is an important area of research because huge consequences result from infrastructure disruptions. As a result, this research area has grown a lot in the last decade. In this review we discuss articles from the literature, place them into categories, and suggest topics ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • The importance of risk based conceptual site models

    This article highlights the importance of Conceptual Site Models (CSMs) to NanoRem. CSMs summarise the source-pathway-receptor linkages (SPRL) and significant uncertainties at a site in easily understood diagrams. They are updated as more information becomes available. Used in the relevant legal context, they inform risk assessment and risk management decision making. The NanoRem pilot sites ...


    By NANO IRON s.r.o.

  • Low-dose radiation risk and the linear no-threshold model

    The Linear No-Threshold (LNT) model has been traditionally used in the field of radiation safety. Public attention to and debate on this model increased after estimates that current Computed Tomography (CT) procedures in the USA will ultimately be responsible for up to 2% of cancers. However, there is evidence that in the mGy range, low doses not only cause a relatively low probability of ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • Detection of spatial variation in risk when using CAR models for smoothing relative risks

    In this paper we derive score tests for spatial independence in mortality or incidence risk in the framework of hierarchical spatial models where different Gaussian Markov random field (MRF) priors are given for modelling the area random effects (specifically, two non-intrinsic Gaussian priors and a convolution Gaussian prior). The techniques used to test the practically relevant and important ...


    By Springer

  • A model for risk minimisation on water resource usage failure

    We present a framework for solving the strategic problem of assigning transboundary water resources to demand centres under uncertainty in the water exogenous inflow in the reservoirs and other segments of the basin system along the time horizon. The functional to maximise is the probability of satisfying different targets on the stored water and different demands over a set of scenarios. A ...


    By Inderscience Publishers

  • Nitrate pollution risk assessment: from the model to the indicator

    The diffuse nature of nitrate pollution makes it difficult to evaluate existing or planned measures to reduce it. Tools have therefore been developed to assess this pollution, ranging from simple indicators to complex models. The aim of this paper is to compare indicators and models by analysing results obtained from their individual application to the same area. The pros and cons of each ...


    By Inderscience Publishers

  • Modelling, analysis and risk evaluation of resource circulation in Asia

    A considerable amount of resources is exchanged among Japan and other Asian countries. We call it 'global circulation'. Although such circulation currently causes various environmental pollutions, it will become a hopeful measure for resource conservation. For clarifying the conditions for sustainable global circulation, we evaluate several scenarios of the global circulation from the viewpoints ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • 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 ...


    By Vose Software

  • Risk analysis of landfills

    A landfill has its own risks, like many other technologies. In the framework of the Polyproject 'Risk and Safety of Technical Systems' (Swiss Federal Institute of Technology, Zurich) a special methodology has been developed for analysing and assessing the different risks of a landfill. In the first main task of this task-oriented methodology, the whole procedure and the goals of the risk analysis ...


    By Inderscience Publishers

  • Comparative Risk Assessment

    ' Comparative risk assessment provides a systematic way to compare environmental problems that pose different types and degrees of health risk. It combines information on the inherent hazards of pollutants, exposure levels and population characteristics to predict the resulting health effects. Using data from available sources, rapid, inexpensive comparative risk assessments can identify the most ...


    By The World Bank

  • Ecological Risk Assessment

    In recent years, ecological risk assessment (ERA) has emerged as an important part of environmental protection programs. The following discussion provides a brief overview of ERA issues. What is ecological risk assessment? Ecological risk assessment is the practice of determining the nature and likelihood of effects of our actions on animals, plants, and the environment. ...

  • 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 ...


    By Inderscience Publishers

  • Proactive logistics risk management – a system dynamics modelling approach

    The relationships among organisations, suppliers as well as customers have resulted in complex logistics networks and have led to an increased set of risks that need to be managed in multi-site, multi-partner projects. In this article, a framework is built which incorporates both scientific and industrial feedback gathered. A system dynamics approach is utilised which simulates several risks ...


    By Inderscience Publishers

  • A model of optimal dynamic asset allocation in a Value-at-Risk framework

    This study focuses on the problem of investors in optimising dynamic asset allocation to maximise expected utility under the value-at-risk (VaR) constraint. Although Basak and Shapiro presented this topic, they assumed a complete market and employed the martingale approach to determine a dynamic asset allocation strategy. However, a complete market does not exist in the real world and the ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

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