Risk Modeling Articles

  • 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 ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • 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

  • The loan officer's subjective judgment and its role in microfinance institutions

    Microfinance institutions can classify their customers into different risk classes either empirically, by means of credit scoring models, or manually by having human judges recollect their professional experience. Regarding the applicability of credit scoring models in microfinance institutions, recent studies have concluded that credit scoring is still unable to fully replace the traditional ...


    By Inderscience Publishers

  • Drought risk modelling for thermoelectric power plants siting using an excess over threshold approach

    Water availability is among the most important elements of thermoelectric power plant site selection and evaluation criteria. With increased variability and changes in hydrologic statistical stationarity, one concern is the increased occurrence of extreme drought events that may be attributable to climatic changes. As hydrological systems are altered, operators of thermoelectric power plants need ...


    By Inderscience Publishers

  • R&D investment responses to R&D subsidies: a theoretical analysis and a microeconometric study

    Subsidies to the Norwegian high–tech industries have traditionally been given as 'matching grants', i.e., the subsidies are targeted, and the firms have to contribute a 50% own risk capital to the subsidised projects. Our results suggest that grants do not crowd out privately financed R&D, but that subsidised firms do not increase their privately financed R&D either. Hence, the own risk capital ...


    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

  • A compendium of distributions used in modelrisk - whitepaper

    Introduction The precision of a risk analysis relies very heavily on the appropriate use of probability distributions to accurately represent the uncertainty and variability of the problem. In our experience, inappropriate use of probability distributions has proved to be a very common failure of risk analysis models. It stems, in part, from an inadequate understanding of the theory ...


    By Vose Software

  • 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 ...


    By Inderscience Publishers

  • Mutual funds return and risk decomposition evaluation based on quadratic-constrained DEA models

    This paper proposes two quadratic-constrained DEA models for the evaluation of mutual funds, from a perspective of evaluation based on endogenous benchmarks. In comparison to the previous studies, this paper decomposes the two vital factors for mutual funds performance, i.e., risk and return, in these quadratic-constrained DEA models, one of which is a partly controllable quadratic-constrained ...


    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

  • A risk analysis of 401k stable value funds

    A 401k plan is a defined contribution pension plan provided by employers to employees in the USA. Each plan is established by an employer and allows employees to set aside pre-tax dollars for investment into a basket of securities, typically mutual funds and company stock. One common investment option made available to policy holders are stable value funds (SVF), which invest in high quality ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • 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 ...


    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

  • Mean reversion in the US treasury constant maturity rates

    The daily structure of the US treasury constant maturity rates is investigated in this paper by means of fractional integration techniques. Using a version of the tests of Robinson (1994) along with a model selection criterion based on diagnostic tests on the residuals, we show that the behaviour of this series can be captured by I(d) statistical models with the fractional parameter d close to ...


    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

  • Discrete-time affine term structure models: an ARCH formulation

    Discrete-time affine term structure models can be expressed in AR(1)-ARCH form but it is not possible to get a non-negative variance equation only by restricting the parameters. In this paper, we use distribution assumption in order to assure the variance to be non-negative. We present a complete formulation for one-factor and multi-factor models with inverse Gaussian conditional innovations ...


    By Inderscience Publishers

  • 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 ...


    By Inderscience Publishers

  • The international risk-return relationships during up and down markets: a reassessment

    Applying a multiple regression model, this paper re-examines the monthly and weekly risk-return relationships of 13 international stock markets during up and down markets. Our model corrects the effects of heteroskedasticity and autocorrelation of the residuals using the method of Newey and West (1987). Our results provide reliable evidence that not only beta, but also unsystematic risk and ...


    By Inderscience Publishers

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