Academic literature on the topic 'Conditional systemic risk measure'
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Journal articles on the topic "Conditional systemic risk measure"
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Doldi, Alessandro, and Marco Frittelli. "Conditional Systemic Risk Measures." SIAM Journal on Financial Mathematics 12, no. 4 (January 2021): 1459–507. http://dx.doi.org/10.1137/20m1370616.
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Dhaene, Jan, Roger J. A. Laeven, and Yiying Zhang. "Systemic risk: Conditional distortion risk measures." Insurance: Mathematics and Economics 102 (January 2022): 126–45. http://dx.doi.org/10.1016/j.insmatheco.2021.12.002.
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Hoffmann, Hannes, Thilo Meyer-Brandis, and Gregor Svindland. "Risk-consistent conditional systemic risk measures." Stochastic Processes and their Applications 126, no. 7 (July 2016): 2014–37. http://dx.doi.org/10.1016/j.spa.2016.01.002.
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Ding, Rui, and Stan Uryasev. "CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions." Journal of Risk and Financial Management 13, no. 11 (November 3, 2020): 270. http://dx.doi.org/10.3390/jrfm13110270.
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Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an institution) measure based on drawdowns. This new measure accounts for consecutive negative returns of a security, while CoVaR and CoCVaR combine together negative returns from different time periods. For instance, ten 2% consecutive losses resulting in 20% drawdown will be noticed by CoCDaR, while CoVaR and CoCVaR are not sensitive to relatively small one period losses. The proposed measure provides insights for systemic risks under extreme stresses related to drawdowns. CoCDaR and its multivariate version, mCoCDaR, estimate an impact on big cumulative losses of the entire financial system caused by an individual firm’s distress. It can be used for ranking individual systemic risk contributions of financial institutions (banks). CoCDaR and mCoCDaR are computed with CVaR regression of drawdowns. Moreover, mCoCDaR can be used to estimate drawdowns of a security as a function of some other factors. For instance, we show how to perform fund drawdown style classification depending on drawdowns of indices. Case study results, data, and codes are posted on the web.
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Brownlees, Christian, and Robert F. Engle. "SRISK: A Conditional Capital Shortfall Measure of Systemic Risk." Review of Financial Studies 30, no. 1 (August 6, 2016): 48–79. http://dx.doi.org/10.1093/rfs/hhw060.
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Mwamba, John Weirstrass Muteba, and Serge Angaman. "Systemic risk and real economic activity: A South African insurance stress index of systemic risk." Asian Academy of Management Journal of Accounting and Finance 18, no. 1 (July 29, 2022): 195–218. http://dx.doi.org/10.21315/aamjaf2022.18.1.8.
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This study investigates the link between systemic risk in the South African insurance sector real economic activity in South Africa. To this end, we use six systemic risk measures, the Conditional Value at Risk (CoVaR), the Marginal Conditional Value at Risk (ΔCoVaR), the Comovement and Interconnectedness of the South African insurance sector (Eigen), the Dynamic Mixture Copula Marginal Expected Shortfall (DMC-MES), the Average Conditional Volatility (Ave-vol), and the South African Volatility Index (SAVI). We first evaluate the significance of each measure by assessing its ability to forecast future economic downturns in South Africa. We find that only two systemic risk measures possess the ability to predict future economic downturns in South Africa. We then use principal component quantile regression analysis to aggregate these measures into a composite stress index of systemic risk for the South African insurance sector and assess the ability of the proposed index to predict future economic downturns in South Africa. Our results reveal that the proposed index is a good predictor of future economic downturns in South Africa. Thus, our results suggest that regulators and risk managers must develop an analysis of systemic risk in the insurance sector with particular attention to its effects on real economic activity. In addition, our index can potentially be used as an instrument to monitor and mitigate systemic risk in the insurance sector in order to ensure the stability of the financial system and the economy in South Africa.
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Koike, Takaaki, and Marius Hofert. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations." Risks 8, no. 1 (January 15, 2020): 6. http://dx.doi.org/10.3390/risks8010006.
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In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution given the so-called crisis event. By considering a crisis event as an intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional expected shortfall (CoES), VaR contributions, and range VaR (RVaR) contributions as special cases. For this class of allocations, analytical calculations are rarely available, and numerical computations based on Monte Carlo (MC) methods often provide inefficient estimates due to the rare-event character of the crisis events. We propose an MCMC estimator constructed from a sample path of a Markov chain whose stationary distribution is the conditional distribution given the crisis event. Efficient constructions of Markov chains, such as the Hamiltonian Monte Carlo and Gibbs sampler, are suggested and studied depending on the crisis event and the underlying loss distribution. The efficiency of the MCMC estimators is demonstrated in a series of numerical experiments.
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Fan, Yiting, and Rui Fang. "Some Results on Measures of Interaction among Risks." Mathematics 10, no. 19 (October 2, 2022): 3611. http://dx.doi.org/10.3390/math10193611.
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It has become a common understanding that financial risk can spread rapidly from one institution to another, and the stressful status of one institution may finally result in a systemic crisis. One popular method to assess and quantify the risk of contagion is employing the co-risk measures and risk contribution measures. It is interesting and important to understand how the underlining dependence structure and magnitude of random risks jointly affect systemic risk measures. In this paper, we mainly focus on the conditional value-at-risk, conditional expected shortfall, the delta conditional value-at-risk, and the delta conditional expected shortfall. Existing studies mainly focus on the situation with two random risks, and this paper makes some contributions by considering the scenario with possibly more than two random risks. By employing the tools of stochastic order, positive dependence concepts and arrangement monotonicity, several results concerning the usual stochastic order, increasing convex order, dispersive order and excess wealth order are presented. Concisely speaking, it is found that for a large enough stress level, a larger random risk tends to lead to a more severe systemic risk. We also performed some Monte Carlo experiments as illustrations for the theoretical findings.
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Liu, Yuhao, Petar M. Djurić, Young Shin Kim, Svetlozar T. Rachev, and James Glimm. "Systemic Risk Modeling with Lévy Copulas." Journal of Risk and Financial Management 14, no. 6 (June 5, 2021): 251. http://dx.doi.org/10.3390/jrfm14060251.
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We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for CoVaR by a joint distribution correction. We test the proposed NTS model on the daily S&P 500 index and Dow Jones index with in-sample and out-of-sample tests. The results show that the NTS copula outperforms traditional copulas in the accuracy of both tail dependence and marginal processes modeling.
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Doldi, Alessandro, and Marco Frittelli. "Real-Valued Systemic Risk Measures." Mathematics 9, no. 9 (April 30, 2021): 1016. http://dx.doi.org/10.3390/math9091016.
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We describe the axiomatic approach to real-valued Systemic Risk Measures, which is a natural counterpart to the nowadays classical univariate theory initiated by Artzner et al. in the seminal paper “Coherent measures of risk”, Math. Finance, (1999). In particular, we direct our attention towards Systemic Risk Measures of shortfall type with random allocations, which consider as eligible, for securing the system, those positions whose aggregated expected utility is above a given threshold. We present duality results, which allow us to motivate why this particular risk measurement regime is fair for both the single agents and the whole system at the same time. We relate Systemic Risk Measures of shortfall type to an equilibrium concept, namely a Systemic Optimal Risk Transfer Equilibrium, which conjugates Bühlmann’s Risk Exchange Equilibrium with a capital allocation problem at an initial time. We conclude by presenting extensions to the conditional, dynamic framework. The latter is the suitable setup when additional information is available at an initial time.
Dissertations / Theses on the topic "Conditional systemic risk measure"
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DOLDI, ALESSANDRO. "EQUILIBRIUM, SYSTEMIC RISK MEASURES AND OPTIMAL TRANSPORT: A CONVEX DUALITY APPROACH." Doctoral thesis, Università degli Studi di Milano, 2021. http://hdl.handle.net/2434/812668.
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This Thesis focuses on two main topics. Firstly, we introduce and analyze the novel concept of Systemic Optimal Risk Transfer Equilibrium (SORTE), and we progressively generalize it (i) to a multivariate setup and (ii) to a dynamic (conditional) setting. Additionally we investigate its relation to a recently introduced concept of Systemic Risk Measures (SRM). We present Conditional Systemic Risk Measures and study their properties, dual representation and possible interpretations of the associated allocations as equilibria in the sense of SORTE. On a parallel line of work, we develop a duality for the Entropy Martingale Optimal Transport problem and provide applications to problems of nonlinear pricing-hedging. The mathematical techniques we exploit are mainly borrowed from functional and convex analysis, as well as probability theory. More specifically, apart from a wide range of classical results from functional analysis, we extensively rely on Fenchel-Moreau-Rockafellar type conjugacy results, Minimax Theorems, theory of Orlicz spaces, compactness results in the spirit of Komlós Theorem. At the same time, mathematical results concerning utility maximization theory (existence of optima for primal and dual problems, just to mention an example) and optimal transport theory are widely exploited.
The notion of SORTE is inspired by the Bühlmann's classical Equilibrium Risk Exchange (H. Bühlmann, "The general economic premium principle", Astin Bulletin, 1984). In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann's definition the vector that assigns the budget constraint is given a priori. In the SORTE approach, on the contrary, the budget constraint is endogenously determined by solving a systemic utility maximization problem. SORTE gives priority to the systemic aspects of the problem, in order to first optimize the overall systemic performance, rather than to individual rationality. Single agents' preferences are, however, taken into account by the presence of individual optimization problems. The two aspects are simultaneously considered via an optimization problem for a value function given by summation of single agents' utilities. After providing a financial and theoretical justification for this new idea, in this research sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE are presented.
Once laid the theoretical foundation for the newly introduced SORTE, this Thesis proceeds in extending such a notion to the case when the value function to be optimized has two components, one being the sum of the single agents' utility functions, as in the aforementioned case of SORTE, the other consisting of a truly systemic component. This marks the progress from SORTE to Multivariate Systemic Optimal Risk Transfer Equilibrium (mSORTE). Technically, the extension of SORTE to the new setup requires developing a theory for multivariate utility functions and selecting at the same time a suitable framework for the duality theory. Conceptually, this more general setting allows us to introduce and study a Nash Equilibrium property of the optimizers. Existence, uniqueness, Pareto optimality and the Nash Equilibrium property of the newly defined mSORTE are proved in this Thesis. Additionally, it is shown how mSORTE is in fact a proper generalization, and covers both from the conceptual and the mathematical point of view the notion of SORTE.
Proceeding further in the analysis, the relations between the concepts of mSORTE and SRM are investigated in this work. The notion of SRM we start from was introduced in the papers "A unified approach to systemic risk measures via acceptance sets" (Math. Finance, 2019) and "On fairness of systemic risk measures" (Finance Stoch., 2020) by F. Biagini, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis. SRM of Biagini et al. are generalized in this Thesis to a dynamic (namely conditional) setting, adding also a systemic, multivariate term in the threshold functions that Biagini et al. consider in their papers. The dynamic version of mSORTE is introduced, and it is proved that the optimal allocations of dynamic SRM, together with the corresponding fair pricing measures, yield a dynamic mSORTE. This in particular remains true if conditioning is taken with respect to the trivial sigma algebra, which is tantamount to working in the non-dynamic setting covered in Biagini et al. for SRM, and in the previous parts of our work for mSORTE. The case of exponential utility functions is thoroughly examined, and the explicit formulas we obtain for this specific choice of threshold functions allow for providing a time consistency property for allocations, dynamic SRM and dynamic mSORTE.
The last part of this Thesis is devoted to a conceptually separate topic. Nonetheless, a clear mathematical link between the previous work and the one we are to describe is established by the use of common techniques. A duality between a novel Entropy Martingale Optimal Transport (EMOT) problem (D) and an associated optimization problem (P) is developed. In (D) the approach taken in Liero et al. (M. Liero, A. Mielke, and G. Savaré, "Optimal entropy-transport problems and a new Hellinger-Kantorovich distance between positive measures", Inventiones mathematicae, 2018) serves as a basis for adding the constraint, typical of Martingale Optimal Transport (MOT) theory, that the infimum of the cost functional is taken over martingale probability measures, instead of finite positive measures, as in Liero et al.. The Problem (D) differs from the corresponding problem in Liero et al. not only by the martingale constraint, but also because we admit less restrictive penalization terms D, which may not have a divergence formulation. In Problem (P) the objective functional, associated via Fenchel conjugacy to the terms D, is not any more linear, as in Optimal Transport or in MOT. This leads to a novel optimization problem which also has a clear financial interpretation as a non linear subhedging value. Our results in this Thesis establish a novel nonlinear robust pricing-hedging duality in financial mathematics, which covers a wide range of known robust results in its generality.
The research for this Thesis resulted in the production of the following works: F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis, "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics, 2021; A. Doldi and M. Frittelli, "Multivariate Systemic Optimal Risk Transfer Equilibrium", Preprint: arXiv:1912.12226, 2019; A. Doldi and M. Frittelli, "Conditional Systemic Risk Measures", Preprint: arXiv:2010.11515, 2020; A. Doldi and M. Frittelli, "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality", Preprint: arXiv:2005.12572, 2020.
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Hoffmann, Hannes [Verfasser], and Thilo [Akademischer Betreuer] Meyer-Brandis. "Multivariate conditional risk measures : with a view towards systemic risk in financial networks / Hannes Hoffmann ; Betreuer: Thilo Meyer-Brandis." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2017. http://d-nb.info/1137835222/34.
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Bjarnadottir, Frida. "Implementation of CoVaR, A Measure for Systemic Risk." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102684.
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Abstract In recent years we have witnessed how distress can spread quickly through the financial system and threaten financial stability. Hence there has been increased focus on developing systemic risk indicators that can be used by central banks and others as a monitoring tool. For Sveriges Riksbank it is of great value to be able to quantify the risks that can threaten the Swedish financial system CoVaR is a systemic risk measure implemented here with that with that purpose. CoVaR, which stands for conditional Value at Risk, measures a financial institutions contribution to systemic risk and its contribution to the risk of other financial institutions. The conclusion is that CoVaR can together with other systemic risk indicators help get a better understanding of the risks threatening the stability of the Swedish financial system.
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ARDUCA, MARIA. "Measures of Risk: valuation and capital adequacy in illiquid markets, and systemic risk." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2021. http://hdl.handle.net/10281/307643.
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In questa tesi studiamo problemi di pricing e misure di rischio in mercati con frizioni, e misure di rischio sistemico. Il contesto è quello di mercati uniperiodali. Nel primo capitolo consideriamo un modello con costi di transazione convessi all'istante iniziale, vincoli convessi sui portafogli, e insieme di accettazione convesso che riflette le preferenze di un agente che agisce da compratore sul mercato. Definiamo l'insieme dei "prezzi consistenti" per ogni possbile payoff, dove con consistenti intendiamo sia rispetto al mercato, sia rispetto alle preferenze dell'agente. Mostriamo che l'estremo superiore di questo insieme coincide con il noto prezzo di superreplicazione, e in questo modo diamo un'interpretazione a quest ultimo al di là di quella classica nei problemi di hedging. Estendiamo il Teorema Fondamentale dell'Asset Pricing a un contesto dove gli "accordi accettabili" sostituiscono gli arbitraggi (cioè l'insieme di accettazione sostituisce il cono positivo), e i prezzi non sono lineari. Questo consente, sotto opportune ipotesi, di caratterizzare l'insieme dei prezzi consistenti di un payoff.
Nel secondo capitolo, consideriamo un'economia astratta con costi di transazione sia all'istante iniziale sia a scadenza, e vincoli sui portafogli. Non assumiamo convessità a priori, anche se alcuni risultati valgono solo sotto opportune ipotesi di convessità. Un regolatore esterno fissa l'insieme di accettazione, cioè l'insieme delle possibili posizioni a scadenza di un agente che lui ritiene accettabili dal punto di vista della rischiosità. Definiamo requisiti di capitale che generalizzano le misure di rischio coerenti di Artzner, Delbaen, Eber e Heath (1999) in quanto rappresentano il minimo importo di capitale che l'agente deve investire sul mercato per reggiungere i requisiti di accettabilità. Il capitolo si propone di studiare le proprietà di queste misure di rischio generalizzate. In particolare, stabiliamo delle condizioni sui portafogli che assicurano che la misura di rischio sia semicontinua dal basso, e confrontiamo queste condizioni con le assunzioni del tipo "no accordi accettabili". Nel caso convesso e quasi convesso, forniamo anche una rappresentazione duale di questi funzionali.
Nel terzo capitolo stabiliamo rappresentazioni duali di misure di rischio sistemico. Modelliamo le interazioni tra un numero finito di istituzioni attraverso una funzione di aggegazione, e assumiamo che un regolatore decida l'insieme di posizioni aggregate accettabili. Il rischio sistemico è misurato come il minimo quantitativo di capitale che deve essere inserito nel sistema (prima o dopo l'aggregazione) per far sì che la posizione aggregata sia accettabile. Lavoriamo dunque con misure di rischio sistemico sia del tipo "prima allocare, poi aggregare", sia "prima aggregare, poi allocare". In entrambi i casi forniamo un'analisi dettagliata del corrispondente insieme di accettazione sistemico e della sua funzione di supporto. Lo stesso approccio fornisce una semplice dimostrazione della rappresentazione duale di misure di rischio per posizioni univariate indotte da funzioni di utilità.In this thesis, we study pricing and risk measures in markets with frictions, and systemic risk measures. All along the thesis, we focus on uniperiodal market models. In the first chapter, we consider a model with convex transaction costs at initial time, convex portfolio constraints and convex acceptance set that reflects the preferences of an agent who acts as a buyer in the market. We define the set of market consistent prices for every conceivable payoff, where consistent is meant with respect to the market and the preferences of the buyer. We show that the supremum of this set coincides with the well-known superreplication price, this giving to this functional an interpretation that goes beyond the classical hedging explanation. We develop an extension of the Fundamental Theorem of Asset Pricing in a context where arbitrages are replaced by acceptable deals (i.e. the positive cone is replaced by the acceptance set) and prices are not linear. This allows to characterize, under suitable assumptions, the set of market consistent prices of any payoff. In the second chapter, we consider an abstract economy with transaction costs both at initial time and at maturity, and portfolio constraints. We do not assume convexity a priori, tough some results hold only under convexity assumptions. An external regulator fixes the acceptance set, that is the set of possible agent's capital positions that he deems acceptable from a risk perspective. We define capital adequacy rules that generalize the coherent risk measures of Artzner, Delbaen, Eber and Heath (1999) in that they represent the minimum amount that the agent has to invest in the market in order to reach the acceptability requirements. The chapter aims to study the properties of these generalized risk measures. In particular, we establish conditions on the portfolios ensuring that they are lower semicontinuous, and we compare these conditions with no-acceptable deal type assumptions. In convex and quasi convex case, we also provide a dual representation of the functionals of interest. In the third chapter we establish dual representations of systemic risk measures. We model interactions among a finite number of institutions through an aggregation function, and we assume that a regulator fixes a set of acceptable aggregated positions. Systemic risk is estimated as the minimum amount of capital that has to be injected in the system (before or after aggregation) in order to make the aggregated position acceptable. Hence, we deal with systemic risk measures of both ``first allocate, then aggregate'' and ``first aggregate, then allocate'' type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. Our general results cover some specific cases already studied in literature. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.
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Kouaissah, Noureddine. "Financial Applications of the Conditional Expectation." Doctoral thesis, Università degli studi di Bergamo, 2017. http://hdl.handle.net/10446/77164.
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This dissertation examines different financial applications of some conditional expectation estimators. In the first application, we provide some theoretical motivations behind the use of the moving average rule as one of the most popular trading tools among practitioners. In particular, we examine the conditional probability of the price increments and we study how this probability changes over time. In the second application, we present different approaches to evaluate the presence of the arbitrage opportunities in the option market. In particular, we investigate empirically the well-known put-call parity no-arbitrage relation and the state price density. We first measure the violation of the put-call parity as the difference in implied volatilities between call and put options. Furthermore, we propose alternative approaches to estimate the state price density under the classical hypothesis of the Black and Scholes model. In the third application, we investigate the implications for portfolio theory of using conditional expectation estimators. First, we focus on the approximation of the conditional expectation within large-scale portfolio selection problems. In this context, we propose a new consistent multivariate kernel estimator to approximate the conditional expectation. We show how the new estimator can be used for the return approximation of large-scale portfolio problems. Moreover, the proposed estimator optimizes the bandwidth selection of kernel type estimators, solving the classical selection problem. Second, we propose new performance measures based on the conditional expectation that takes into account the heavy tails of the return distributions. Third, we deal with the portfolio selection problem from the point of view of different non-satiable investors, namely risk-averse and risk-seeking investors. In particular, using a well-known ordering classification, we first identify different definitions of returns based on the investors’ preferences. The new definitions of returns are based on the conditional expected value between the random wealth assessed at different times. Finally, for each problem, we propose an empirical application of several admissible portfolio optimization problems using the US stock market.
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Karniychuk, Maryna. "Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables." Master's thesis, Universitätsbibliothek Chemnitz, 2007. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200700024.
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In this thesis the performances of different approximations are compared for a standard actuarial and
financial problem: the estimation of quantiles and conditional
tail expectations of the final value of a series of discrete cash
flows.
To calculate the risk measures such as quantiles and Conditional
Tail Expectations, one needs the distribution function of the
final wealth. The final value of a series of discrete payments in
the considered model is the sum of dependent lognormal random
variables. Unfortunately, its distribution function cannot be
determined analytically. Thus usually one has to use
time-consuming Monte Carlo simulations. Computational time still
remains a serious drawback of Monte Carlo simulations, thus
several analytical techniques for approximating the distribution
function of final wealth are proposed in the frame of this thesis.
These are the widely used moment-matching approximations and
innovative comonotonic approximations.
Moment-matching methods approximate the unknown distribution
function by a given one in such a way that some characteristics
(in the present case the first two moments) coincide. The ideas of
two well-known approximations are described briefly. Analytical
formulas for valuing quantiles and Conditional Tail Expectations
are derived for both approximations.
Recently, a large group of scientists from Catholic University
Leuven in Belgium has derived comonotonic upper and comonotonic
lower bounds for sums of dependent lognormal random variables.
These bounds are bounds in the terms of "convex order". In order
to provide the theoretical background for comonotonic
approximations several fundamental ordering concepts such as
stochastic dominance, stop-loss and convex order and some
important relations between them are introduced. The last two
concepts are closely related. Both stochastic orders express which
of two random variables is the "less dangerous/more attractive"
one.
The central idea of comonotonic upper bound approximation is to
replace the original sum, presenting final wealth, by a new sum,
for which the components have the same marginal distributions as
the components in the original sum, but with "more dangerous/less
attractive" dependence structure. The upper bound, or saying
mathematically, convex largest sum is obtained when the components
of the sum are the components of comonotonic random vector.
Therefore, fundamental concepts of comonotonicity theory which are
important for the derivation of convex bounds are introduced. The
most wide-spread examples of comonotonicity which emerge in
financial context are described.
In addition to the upper bound a lower bound can be derived as
well. This provides one with a measure of the reliability of the
upper bound. The lower bound approach is based on the technique of
conditioning. It is obtained by applying Jensen's inequality for
conditional expectations to the original sum of dependent random
variables. Two slightly different version of conditioning random
variable are considered in the context of this thesis. They give
rise to two different approaches which are referred to as
comonotonic lower bound and comonotonic "maximal variance" lower
bound approaches.
Special attention is given to the class of distortion risk
measures. It is shown that the quantile risk measure as well as
Conditional Tail Expectation (under some additional conditions)
belong to this class. It is proved that both risk measures being
under consideration are additive for a sum of comonotonic random
variables, i.e. quantile and Conditional Tail Expectation for a
comonotonic upper and lower bounds can easily be obtained by
summing the corresponding risk measures of the marginals involved.
A special subclass of distortion risk measures which is referred
to as class of concave distortion risk measures is also under
consideration. It is shown that quantile risk measure is not a
concave distortion risk measure while Conditional Tail Expectation
(under some additional conditions) is a concave distortion risk
measure. A theoretical justification for the fact that "concave"
Conditional Tail Expectation preserves convex order relation
between random variables is given. It is shown that this property
does not necessarily hold for the quantile risk measure, as it is
not a concave risk measure.
Finally, the accuracy and efficiency of two moment-matching,
comonotonic upper bound, comonotonic lower bound and "maximal
variance" lower bound approximations are examined for a wide range
of parameters by comparing with the results obtained by Monte
Carlo simulation. It is justified by numerical results that,
generally, in the current situation lower bound approach
outperforms other methods. Moreover, the preservation of convex
order relation between the convex bounds for the final wealth by
Conditional Tail Expectation is demonstrated by numerical results.
It is justified numerically that this property does not
necessarily hold true for the quantile.
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Drapeau, Samuel. "Risk preferences and their robust representation." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2010. http://dx.doi.org/10.18452/16135.
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Ziel dieser Dissertation ist es, den Begriff des Risikos unter den Aspekten seiner Quantifizierung durch robuste Darstellungen zu untersuchen. In einem ersten Teil wird Risiko anhand Kontext-Invarianter Merkmale betrachtet: Diversifizierung und Monotonie. Wir führen die drei Schlüsselkonzepte, Risikoordnung, Risikomaß und Risikoakzeptanzfamilen ein, und studieren deren eins-zu-eins Beziehung. Unser Hauptresultat stellt eine eindeutige duale robuste Darstellung jedes unterhalbstetigen Risikomaßes auf topologischen Vektorräumen her. Wir zeigen auch automatische Stetigkeitsergebnisse und robuste Darstellungen für Risikomaße auf diversen Arten von konvexen Mengen. Diese Herangehensweise lässt bei der Wahl der konvexen Menge viel Spielraum, und erlaubt damit eine Vielfalt von Interpretationen von Risiko: Modellrisiko im Falle von Zufallsvariablen, Verteilungsrisiko im Falle von Lotterien, Abdiskontierungsrisiko im Falle von Konsumströmen... Diverse Beispiele sind dann in diesen verschiedenen Situationen explizit berechnet (Sicherheitsäquivalent, ökonomischer Risikoindex, VaR für Lotterien, "variational preferences"...). Im zweiten Teil, betrachten wir Präferenzordnungen, die möglicherweise zusätzliche Informationen benötigen, um ausgedrückt zu werden. Hierzu führen wir einen axiomatischen Rahmen in Form von bedingten Präferenzordungen ein, die lokal mit der Information kompatibel sind. Dies erlaubt die Konstruktion einer bedingten numerischen Darstellung. Wir erhalten eine bedingte Variante der von Neumann und Morgenstern Darstellung für messbare stochastische Kerne und erweitern dieses Ergebnis zur einer bedingten Version der "variational preferences". Abschließend, klären wir das Zusammenpiel zwischen Modellrisiko und Verteilungsrisiko auf der axiomatischen Ebene.The goal of this thesis is the conceptual study of risk and its quantification via robust representations. We concentrate in a first part on context invariant features related to this notion: diversification and monotonicity. We introduce and study the general properties of three key concepts, risk order, risk measure and risk acceptance family and their one-to-one relations. Our main result is a uniquely characterized dual robust representation of lower semicontinuous risk orders on topological vector space. We also provide automatic continuity and robust representation results on specific convex sets. This approach allows multiple interpretation of risk depending on the setting: model risk in the case of random variables, distributional risk in the case of lotteries, discounting risk in the case of consumption streams... Various explicit computations in those different settings are then treated (economic index of riskiness, certainty equivalent, VaR on lotteries, variational preferences...). In the second part, we consider preferences which might require additional information in order to be expressed. We provide a mathematical framework for this idea in terms of preorders, called conditional preference orders, which are locally compatible with the available information. This allows us to construct conditional numerical representations of conditional preferences. We obtain a conditional version of the von Neumann and Morgenstern representation for measurable stochastic kernels and extend then to a conditional version of the variational preferences. We finally clarify the interplay between model risk and distributional risk on the axiomatic level.
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Luo, Fei-Shan, and 羅妃珊. "Risk Measure, Conditional VaR and the Performance of Portfolio Optimization." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/k8u57r.
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碩士國立虎尾科技大學
經營管理研究所
96
Since the return volatility of financial assets plays an important role on the performance of portfolios, investors can improve the performance of their portfolios by controlling the volatility of their assets. Therefore, this study examines the influence of the risk estimation on the performance of portfolios. The data used in this study consists of daily returns of the 150 listed companies in the TSEC Taiwan 50 index and TSEC Taiwan Mid-Cap 100 Index and spans from June, 2003 to April, 2008. Under the framework of the fixed window approach, three risk measures, namely the equally weighted moving average model, the exponentially weighted moving average model, and the bootstrap simulation model, are employed to predict the Value-at-Risk and the Conditional Value-at-Risk of the portfolios. After solving the minimization problems of the Conditional Value-at-Risk of the portfolios, the optimal portfolios could be held and their performances could then be compared. The results of this study are shown as follows: (1) All of the optimal portfolios built by minimizing the Conditional Value-at-Risk, which are calculated by different risk measures, have better performance than that of the Taiwan Stock Exchange Capitalization Weighted Stock Index. (2) The estimates of the Value-at-Risk and Conditional Value-at-Risk predicted by different risk measures have crucial influence on the performance of the optimal asset allocation. When the confidence level is 95%, the bootstrap simulation model seems to have the best performance in the risk measures. In case of the 99% confidence level, equally weighted moving average model is the best one among the risk measures.
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Yang, Te-Chun, and 楊德淳. "To Measure the Systemic Risk of Financial Institution in Taiwan." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/33884682254869989221.
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陳嘉祺. "The Valuation and Risk Measure of CDO-Squared under Conditional Independence." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/06886322499539142453.
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碩士國立政治大學
金融研究所
95
In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss distribution. Our algorithm accounts for the number of defaults, the location of defaults among inner CDOs, and in addition the degree of overlapping between inner CDOs. Our algorithm is a natural extension of the probability bucketing method of Hull and White (2004). We analyze the sensitivity of different parameters on the tranche spreads of a CDO-squared, and in order to characterize the risk-reward profiles of CDO-squared tranches, we introduces appropriate risk measures that quantify the degree of overlapping among the inner CDOs. Hull and White (2004) presents a recursive scheme known as probability bucketing approach to construct conditional loss distribution of CDO. However, this approach is insufficient to capture the complexities of CDO². In the case of the modeling of CDO, we are concerned for the probabilities of different number of defaults upon a time horizon t, e.g., the probabilities of 3 defaults happened within a year. With the mentioned probabilities, we can then calculate the expected loss within the time horizon, which enables us to figure out the spreads of CDO. However, in the modeling of CDO², an appropriate valuation should be able to overcome two more difficulties: (1) the overlapping structure of the underlying CDOs, and (2) the location where defaults happened, in order to get the fair spreads of CDO².
Books on the topic "Conditional systemic risk measure"
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Lobanov, Aleksey. Biomedical foundations of security. ru: INFRA-M Academic Publishing LLC., 2019. http://dx.doi.org/10.12737/1007643.
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The textbook discusses the threats and risks to life and health of people in post-industrial society. The role and place of medical and biological technologies in the system of ensuring the safety of the population of the Russian Federation are shown from the standpoint of an interdisciplinary approach.
Briefly, but quite informative, the structure of the human body and the principles of its functioning are described. The specificity and mechanism of toxic effects on humans of harmful substances, energy effects and combined action of the main damaging factors of sources of emergency situations of peace and war are shown.
The medical and biological aspects of ensuring the safety of human life in adverse environmental conditions, including in regions with hot and cold climates (Arctic) are considered. Means and methods of first aid to victims are shown. The questions of organization and carrying out of measures of medical support of the population in zones of emergency situations and the centers of defeat are covered.
Designed for students, students and cadets of educational institutions of higher education, studying under the bachelor's program. It can also be useful for teachers, researchers and a wide range of professionals engaged in practical work on the planning and organization of biomedical protection of the population.
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Blumberg, Emily A. Introduction. Oxford University Press, 2016. http://dx.doi.org/10.1093/med/9780199938568.003.0400.
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This chapter discusses the infections in patients receiving immunosuppressive drugs. Immunosuppressive medications are a mainstay of treatment for diverse immunologically mediated conditions. The impact of these medications on the risk for infection is variable and sometimes difficult to determine. Immunosuppressive agents can be divided into a heterogeneous set of classes with unique effects on the immune system; the risks for infections reflect the specific immunological perturbation associated with the medication. Currently, guidelines have been published recommending specific preventive measures to limit the likelihood that these immunosuppressive agents will be associated with infection. The chapter concludes that future study will be important to develop algorithms to define risk and specify appropriate preventive interventions.
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Ziegler, Andreas R., and David Sifonios. The Assessment of Environmental Risks and the Regulation of Process and Production Methods (PPMs) in International Trade Law. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780198795896.003.0012.
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The WTO case law has considered that measures relating to the processes and production methods (PPMs) of imported products by the importing country are not GATT-incompatible per se but the precise conditions applicable to such measures remain unsettled. This debate on the justifiability of trade restrictive measures by the importing country may be analysed in the light of competing visions of the future. While in the free traders’ imagination the free trade increases states’ wealth and thus enables them to address environmental problems, environmentalists seek to prevent catastrophic futures, which could occur through certain production practices. A form of ideal future might also be discovered in the acknowledgment of sustaintable development as one of the objectives of the world trading system. These different and partly competing visions of the future may be a way to explain the intensity of the PPM debate and the evolution and fluctuation of the case law in this field.
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de Geus, Eco, Rene van Lien, Melanie Neijts, and Gonneke Willemsen. Genetics of Autonomic Nervous System Activity. Edited by Turhan Canli. Oxford University Press, 2013. http://dx.doi.org/10.1093/oxfordhb/9780199753888.013.010.
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Large individual differences in the activity of the autonomic nervous system (ANS) play a key role in risk for cardiovascular disease. This chapter presents an overview of the measurement strategies that can be used to study ANS activity in samples that are sufficiently large to allow genetic analyses. Heart rate variability, in particular, respiratory sinus arrhythmia (RSA) is identified as the measure of choice to index parasympathetic activity, whereas preejection period (PEP) is the measure of choice to index sympathetic activity. Twin studies have demonstrated significant genetic contributions to resting levels of both RSA (heritability estimates range from 25 to 71 percent) and PEP (heritability estimates range from 48 to 74 percent) and the genetic variance in these traits seems to further increase under conditions of psychological stress. Identifying the genetic variants that influence parasympathetic and sympathetic activity may increase our understanding of the role of the ANS in cardiovascular disease.
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Sullivan, Maria A. Conclusion. Oxford University Press, 2016. http://dx.doi.org/10.1093/med/9780199392063.003.0012.
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Addiction in older adults very often goes unrecognized, for several reasons: social biases about the elderly, age-related metabolic changes, and the inappropriate use of prescription benzodiazepines and opioids to address untreated anxiety and mood conditions. Alcohol or substance-use disorders (SUDs) in older individuals may present in subtle and atypical ways. Strategies to overcome such difficulties include systematic screening using validated instruments, patient education regarding the impact of psychoactive substances on health, and cautious prescribing practices. Relying on standard DSM criteria may result in a failure to detect an SUD that presents with cognitive symptoms or physical injury, as well as the absence of work or social consequences. Older individuals can benefit from the application of risk-stratification measures, and they can be referred, e.g., to age-appropriate group therapy and non-confrontational individual therapy focusing on late-life issues of loss and sources of social support, as well as be offered medication management for alcohol or substance use disorder. Although research has been limited in this population, treatment outcomes have been found to be superior in older adults than younger adults.
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Schmidt-Thomé, Philipp. Climate Change Adaptation. Oxford University Press, 2017. http://dx.doi.org/10.1093/acrefore/9780190228620.013.635.
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Climate change adaptation is the ability of a society or a natural system to adjust to the (changing) conditions that support life in a certain climate region, including weather extremes in that region. The current discussion on climate change adaptation began in the 1990s, with the publication of the Assessment Reports of the Intergovernmental Panel on Climate Change (IPCC). Since the beginning of the 21st century, most countries, and many regions and municipalities have started to develop and implement climate change adaptation strategies and plans. But since the implementation of adaptation measures must be planned and conducted at the local level, a major challenge is to actually implement adaptation to climate change in practice. One challenge is that scientific results are mainly published on international or national levels, and political guidelines are written at transnational (e.g., European Union), national, or regional levels—these scientific results must be downscaled, interpreted, and adapted to local municipal or community levels. Needless to say, the challenges for implementation are also rooted in a large number of uncertainties, from long time spans to matters of scale, as well as in economic, political, and social interests. From a human perspective, climate change impacts occur rather slowly, while local decision makers are engaged with daily business over much shorter time spans.Among the obstacles to implementing adaptation measures to climate change are three major groups of uncertainties: (a) the uncertainties surrounding the development of our future climate, which include the exact climate sensitivity of anthropogenic greenhouse gas emissions, the reliability of emission scenarios and underlying storylines, and inherent uncertainties in climate models; (b) uncertainties about anthropogenically induced climate change impacts (e.g., long-term sea level changes, changing weather patterns, and extreme events); and (c) uncertainties about the future development of socioeconomic and political structures as well as legislative frameworks.Besides slow changes, such as changing sea levels and vegetation zones, extreme events (natural hazards) are a factor of major importance. Many societies and their socioeconomic systems are not properly adapted to their current climate zones (e.g., intensive agriculture in dry zones) or to extreme events (e.g., housing built in flood-prone areas). Adaptation measures can be successful only by gaining common societal agreement on their necessity and overall benefit. Ideally, climate change adaptation measures are combined with disaster risk reduction measures to enhance resilience on short, medium, and long time scales.The role of uncertainties and time horizons is addressed by developing climate change adaptation measures on community level and in close cooperation with local actors and stakeholders, focusing on strengthening resilience by addressing current and emerging vulnerability patterns. Successful adaptation measures are usually achieved by developing “no-regret” measures, in other words—measures that have at least one function of immediate social and/or economic benefit as well as long-term, future benefits. To identify socially acceptable and financially viable adaptation measures successfully, it is useful to employ participatory tools that give all involved parties and decision makers the possibility to engage in the process of identifying adaptation measures that best fit collective needs.
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Ng, Wan-Fai, Arjan Vissink, Elke Theander, and Francisco Figueiredo. Sjögren’s syndrome—management. Oxford University Press, 2013. http://dx.doi.org/10.1093/med/9780199642489.003.0128.
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Management of Sjögren's syndrome (SS) encompasses confirmation of diagnosis, disease assessment, and treatment of glandular and systemic manifestations including special situations such as pregnancy and SS-related lymphoma. The American European Consensus Group classification criteria 2002 are the current gold standard for the diagnosis of SS. Salivary gland sialometry, sialochemistry, and ultrasound and tear osmolarity may be useful adjuncts. Symptoms of SS are non-specific and must be actively explored. When assessing patients with SS, it is important to consider not only objective parameters such as abnormalities in blood tests and changes in tear and salivary flow, but also patient-reported outcome measures and impact on quality of life. Current management of patients with SS is hampered by the lack of evidence-based strategies. The symptoms experienced by patients with SS are often not fully appreciated by clinicians, which may contribute to the suboptimal management of the condition. Management of fatigue remains a major challenge and a holistic, multidisciplinary approach is recommended. Factors that may contribute to fatigue should be fully addressed. Recent advances in the understanding of the pathogenic mechanisms of SS have informed more targeted therapeutic strategies with some promising data. Optimal management of SS requires expertise from different disciplines. Combined clinics with rheumatology, oral medicine, and ophthalmology input will improve care and communications as well as reduce the number of clinic visits for patients and healthcare-related cost. Effective link between pSS specialists, dentists, opticians, and general practitioners will facilitate early diagnosis and reduce risk of long-term disability of SS.
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Ng, Wan-Fai, Arjan Vissink, Elke Theander, and Francisco Figueiredo. Sjögren’s syndrome—management. Oxford University Press, 2014. http://dx.doi.org/10.1093/med/9780199642489.003.0128_update_001.
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Management of Sjögren’s syndrome (SS) encompasses confirmation of diagnosis, disease assessment, and treatment of glandular and systemic manifestations including special situations such as pregnancy and SS-related lymphoma. The American European Consensus Group (AECG) classification criteria 2002 are the current gold standard for the diagnosis of SS. Salivary gland sialometry, sialochemistry, and ultrasound and tear osmolarity may be useful adjuncts. Recently, preliminary classification criteria of the American College of Rheumatology have been introduced as an alternative to the AECG criteria. Symptoms of SS are non-specific and must be actively explored. When assessing patients with SS, it is important to consider not only objective parameters such as abnormalities in blood tests and changes in tear and salivary flow, but also patient-reported outcome measures and impact on quality of life. Current management of patients with SS is hampered by the lack of evidence-based strategies. The symptoms experienced by patients with SS are often not fully appreciated by clinicians, which may contribute to the suboptimal management of the condition. Management of fatigue remains a major challenge and a holistic, multidisciplinary approach is recommended. Factors that may contribute to fatigue should be fully addressed. Recent advances in the understanding of the pathogenic mechanisms of SS have informed more targeted therapeutic strategies with some promising data. Optimal management of SS requires expertise from different disciplines. Combined clinics with rheumatology, oral medicine, and ophthalmology input will improve care and communications as well as reduce the number of clinic visits for patients and healthcare-related cost. Effective link between pSS specialists, dentists, opticians, and general practitioners will facilitate early diagnosis and reduce risk of long-term disability of SS.
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McLauchlin, J. Listeriosis. Oxford University Press, 2011. http://dx.doi.org/10.1093/med/9780198570028.003.0014.
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Listeriosis occurs in a variety of animals including humans, and most often affects the pregnant uterus, the central nervous system (CNS) or the bloodstream. During pregnancy, infection spreads to the foetus, which will either be born severely ill or die in-utero. In non-pregnant animals, listeriosis usually presents as meningitis, encephalitis. In humans, infection most often occurs in the immunocompromised and elderly, and to a lesser extent the pregnant woman, the unborn, or the newly delivered infant. Infection can be treated successfully with antibiotics, however 20–40% of human cases are fatal..In domestic animals (especially in sheep and goats) listeriosis usually presents as encephalitis, abortion, or septicaemia, and is a cause of considerable economic loss.The genus Listeria comprises six species of Gram-positive bacteria. Almost all cases of listeriosis are due to Listeria monocytogenes although up to 10% of cases in sheep are due to Listeria ivanovii.Listeriae are ubiquitous in the environment worldwide, especially in sites with decaying organic vegetable material. Many animals carry the organism in the faeces without serious infection. The consumption of contaminated food or feed is the principal route of transmission for both humans and animals, however other means of transmission occur.Human listeriosis is rare (<1 to > 10 cases per million people in North America and Western Europe), but because of the high mortality rate, it is amongst the most important causes of death from food-borne infections in industrialized countries. In the UK, human listeriosis is the biggest single cause of death from a preventable food-borne disease. Listeriosis in domestic animals is a cause of considerable economic loss. Control measures should be directed towards both to exclude Listeria from food or feed as well as inhibiting its multiplication and survival. Silage which is spoiled or mouldy should not be used, and care should be taken to maintain anaerobic conditions for as long as possible.Dietary advice is available for disease prevention, particularly targeted at ‘at risk’ individuals to modify their diet to avoid eating specific foods such as soft cheese and pâté.
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Zydroń, Tymoteusz. Wpływ systemów korzeniowych wybranych gatunków drzew na przyrost wytrzymałości gruntu na ścinanie. Publishing House of the University of Agriculture in Krakow, 2019. http://dx.doi.org/10.15576/978-83-66602-46-5.
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The aim of the paper was to determine the influence of root systems of chosen tree species found in the Polish Flysch Carpathians on the increase of soil shear strength (root cohesion) in terms of slope stability. The paper's goal was achieved through comprehensive tests on root systems of eight relatively common in the Polish Flysch Carpathians tree species. The tests that were carried out included field work, laboratory work and analytical calculations. As part of the field work, the root area ratio (A IA) of the roots was determined using the method of profiling the walls of the trench at a distance of about 1.0 m from the tree trunk. The width of the. trenches was about 1.0 m, and their depth depended on the ground conditions and ranged from 0.6 to 1.0 m below the ground level. After preparing the walls of the trench, the profile was divided into vertical layers with a height of 0.1 m, within which root diameters were measured. Roots with diameters from 1 to 10 mm were taken into consideration in root area ratio calculations in accordance with the generally accepted methodology for this type of tests. These measurements were made in Biegnik (silver fir), Ropica Polska (silver birch, black locust) and Szymbark (silver birch, European beech, European hornbeam, silver fir, sycamore maple, Scots pine, European spruce) located near Gorlice (The Low Beskids) in areas with unplanned forest management. In case of each tested tree species the samples of roots were taken, transported to the laboratory and then saturated with water for at least one day. Before testing the samples were obtained from the water and stretched in a. tensile testing machine in order to determine their tensile strength and flexibility. In general, over 2200 root samples were tested. The results of tests on root area ratio of root systems and their tensile strength were used to determine the value of increase in shear strength of the soils, called root cohesion. To this purpose a classic Wu-Waldron calculation model was used as well as two types of bundle models, the so called static model (Fiber Bundle Model — FIRM, FBM2, FBM3) and the deformation model (Root Bundle Model— RBM1, RBM2, mRBM1) that differ in terms of the assumptions concerning the way the tensile force is distributed to the roots as well as the range of parameters taken into account during calculations. The stability analysis of 8 landslides in forest areas of Cicikowicleie and Wignickie Foothills was a form of verification of relevance of the obtained calculation results. The results of tests on root area ratio in the profile showed that, as expected, the number of roots in the soil profile and their ApIA values are very variable. It was shown that the values of the root area ratio of the tested tree species with a diameter 1-10 ram are a maximum of 0.8% close to the surface of the ground and they decrease along with the depth reaching the values at least one order of magnitude lower than close to the surface at the depth 0.5-1.0 m below the ground level. Average values of the root area ratio within the soil profile were from 0.05 to 0.13% adequately for Scots pine and European beech. The measured values of the root area ratio are relatively low in relation to the values of this parameter given in literature, which is probably connected with great cohesiveness of the soils and the fact that there were a lot of rock fragments in the soil, where the tests were carried out. Calculation results of the Gale-Grigal function indicate that a distribution of roots in the soil profile is similar for the tested species, apart from the silver fir from Bie§nik and European hornbeam. Considering the number of roots, their distribution in the soil profile and the root area ratio it appears that — considering slope stability — the root systems of European beech and black locust are the most optimal, which coincides with tests results given in literature. The results of tensile strength tests showed that the roots of the tested tree species have different tensile strength. The roots of European beech and European hornbeam had high tensile strength, whereas the roots of conifers and silver birch in deciduous trees — low. The analysis of test results also showed that the roots of the studied tree species are characterized by high variability of mechanical properties. The values Of shear strength increase are mainly related to the number and size (diameter) of the roots in the soil profile as well as their tensile strength and pullout resistance, although they can also result from the used calculation method (calculation model). The tests showed that the distribution of roots in the soil and their tensile strength are characterized by large variability, which allows the conclusion that using typical geotechnical calculations, which take into consideration the role of root systems is exposed to a high risk of overestimating their influence on the soil reinforcement. hence, while determining or assuming the increase in shear strength of soil reinforced with roots (root cohesion) for design calculations, a conservative (careful) approach that includes the most unfavourable values of this parameter should be used. Tests showed that the values of shear strength increase of the soil reinforced with roots calculated using Wu-Waldron model in extreme cases are three times higher than the values calculated using bundle models. In general, the most conservative calculation results of the shear strength increase were obtained using deformation bundle models: RBM2 (RBMw) or mRBM1. RBM2 model considers the variability of strength characteristics of soils described by Weibull survival function and in most cases gives the lowest values of the shear strength increase, which usually constitute 50% of the values of shear strength increase determined using classic Wu-Waldron model. Whereas the second model (mRBM1.) considers averaged values of roots strength parameters as well as the possibility that two main mechanism of destruction of a root bundle - rupture and pulling out - can occur at the same. time. The values of shear strength increase calculated using this model were the lowest in case of beech and hornbeam roots, which had high tensile strength. It indicates that in the surface part of the profile (down to 0.2 m below the ground level), primarily in case of deciduous trees, the main mechanism of failure of the root bundle will be pulling out. However, this model requires the knowledge of a much greater number of geometrical parameters of roots and geotechnical parameters of soil, and additionally it is very sensitive to input data. Therefore, it seems practical to use the RBM2 model to assess the influence of roots on the soil shear strength increase, and in order to obtain safe results of calculations in the surface part of the profile, the Weibull shape coefficient equal to 1.0 can be assumed. On the other hand, the Wu-Waldron model can be used for the initial assessment of the shear strength increase of soil reinforced with roots in the situation, where the deformation properties of the root system and its interaction with the soil are not considered, although the values of the shear strength increase calculated using this model should be corrected and reduced by half. Test results indicate that in terms of slope stability the root systems of beech and hornbeam have the most favourable properties - their maximum effect of soil reinforcement in the profile to the depth of 0.5 m does not usually exceed 30 kPa, and to the depth of 1 m - 20 kPa. The root systems of conifers have the least impact on the slope reinforcement, usually increasing the soil shear strength by less than 5 kPa. These values coincide to a large extent with the range of shear strength increase obtained from the direct shear test as well as results of stability analysis given in literature and carried out as part of this work. The analysis of the literature indicates that the methods of measuring tree's root systems as well as their interpretation are very different, which often limits the possibilities of comparing test results. This indicates the need to systematize this type of tests and for this purpose a root distribution model (RDM) can be used, which can be integrated with any deformation bundle model (RBM). A combination of these two calculation models allows the range of soil reinforcement around trees to be determined and this information might be used in practice, while planning bioengineering procedures in areas exposed to surface mass movements. The functionality of this solution can be increased by considering the dynamics of plant develop¬ment in the calculations. This, however, requires conducting this type of research in order to obtain more data.
Book chapters on the topic "Conditional systemic risk measure"
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Boduroğlu, İ. İlkay, and Bartu Köksal. "Mean-Reverting Portfolio Optimization via a Surrogate Risk Measure - Conditional Desirability Value at Risk." In Advances in Systems Engineering, 151–64. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-92604-5_14.
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Karaś, Marta, and Witold Szczepaniak. "Towards a Generalized Measure of Systemic Risk: Systemic Turbulence Measure." In Contemporary Trends and Challenges in Finance, 11–23. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-15581-0_2.
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Challet, Damien, and David Morton de Lachapelle. "A Robust Measure of Investor Contrarian Behaviour." In Econophysics of Systemic Risk and Network Dynamics, 105–18. Milano: Springer Milan, 2013. http://dx.doi.org/10.1007/978-88-470-2553-0_7.
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Boduroğlu, İ. İlkay. "Portfolio Optimization via a Surrogate Risk Measure: Conditional Desirability Value at Risk (CDVaR)." In Lecture Notes in Computer Science, 257–70. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-05348-2_23.
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Zeldea, Cristina Georgiana. "Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach." In Business Revolution in a Digital Era, 43–53. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-59972-0_4.
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Geraskin, Mikhail, and Elena Rostova. "Impact of Preventive Measures on Conditions of Risk Insurance in Cyber-Physical System of Industrial Enterprise." In Cyber-Physical Systems: Modelling and Industrial Application, 235–42. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-95120-7_20.
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Lunkov, Alexey, Sergei Sidorov, Alexey Faizliev, Alexander Inochkin, and Elena Korotkovskaya. "Quantifying the Impact of External Shocks on Systemic Risks for Russian Companies Using Risk Measure $$\varDelta \text {CoVaR}$$." In Transactions on Engineering Technologies, 31–42. Singapore: Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-0746-1_3.
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Andersson, Ragnar, and Thomas Gell. "Vision Zero on Fire Safety." In The Vision Zero Handbook, 1143–64. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-76505-7_44.
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AbstractSince 2010, Sweden has a Vision Zero policy on fire safety: no one should die or be seriously injured as a result of fire. Compared to the traffic safety model, however, the preconditions for successful implementation appear more immature and less convincing in the fire area. The purpose of this chapter is to illustrate, using the Vision Zero policy on fire safety as an example, how a Vision Zero initiative in a new area, where the conditions for governance may differ significantly from the area of inspiration, can be dealt with as a dynamic process to gradually establish credibility and effectiveness.Globally, fire is a significant cause of death and injury. The general trend is toward a slow decline, especially among middle-income and high-income countries. The decline may be due to successful fire safety efforts, but also to other conditions affecting it indirectly. Both risk-increasing and risk-reducing factors determine fire safety. Risk increasing factors include an ageing population, an increasing diversity of possible ignition sources, and a change in the composition and amount of combustible materials present in our homes. The risk-reducing factors include generally favorable socioeconomic and technological developments, including concrete societal actions directed against fire risks such as the promotion of smoke detectors and sprinkler systems.Fire safety is one of the oldest documented examples of societal risk management. City planning and construction were early influenced by fire safety considerations, while in contrast, the legal responsibility for residential fire safety has largely remained a private and individual matter. The situation is similar to the one that for long prevailed in the traffic sector, that is, the primary responsibility rests with the system’s users, not with its designers.The launch of the Vision Zero on fire safety in 2010 represented a clear boost in ambition. Along with the vision, a strategy intended to guide the work toward the visionary goal was also presented. The strategy included four items: information, technical solutions, local collaboration, and evaluation/research. Several actions were taken in line with the strategy, including a significant research effort and the development of a set of indicators to monitor progress.Ten years later, the research effort has brought new knowledge that puts previous perceptions into partly new light. The notion that survival depends on the individual’s personal capacities is strengthened. Adverse outcomes such as death and serious injury appear mainly linked to specific vulnerabilities of certain groups for medical and social reasons. Most fires are handled by the residents themselves without injuries and without assistance from Rescue Services; on the other hand, even minor fires can be fatal for vulnerable residents. This turns the problem framing toward social aspects rather than technical, since broad groups of residents lack the capacities needed, conflicting with the prevailing view that the individual should bear the primary responsibility.Other findings relate to the proven inefficiency of certain measures for groups at elevated risk and the need for re-thinking and innovations to meet the challenges ahead. This includes extended inter-sectoral collaboration on a broader spectrum of residential risks besides fire, threatening the same groups for similar social and medical reasons.This updated state of knowledge is now being used as a basis for renewing current national fire safety strategies. With reference to general principles of systems control, this chapter will discuss obstacles and challenges to establish a more robust and systematic national control of the fire problem in line with the Vision Zero policy. The appropriateness of launching Vision Zero policies in fields that are not yet ripe for systematic governance is also discussed. It is concluded that a Vision Zero initiative can still be meaningful and successfully pursued, provided that limitations in the ability to influence crucial elements in the system are openly identified and systematically addressed in a process in which strategical and policy developments interact with research and innovation.
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Andersson, Ragnar, and Thomas Gell. "Vision Zero on Fire Safety." In The Vision Zero Handbook, 1–22. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-23176-7_44-1.
Full textAbstract:
AbstractSince 2010, Sweden has a Vision Zero policy on fire safety: no one should die or be seriously injured as a result of fire. Compared to the traffic safety model, however, the preconditions for successful implementation appear more immature and less convincing in the fire area. The purpose of this chapter is to illustrate, using the Vision Zero policy on fire safety as an example, how a Vision Zero initiative in a new area, where the conditions for governance may differ significantly from the area of inspiration, can be dealt with as a dynamic process to gradually establish credibility and effectiveness.Globally, fire is a significant cause of death and injury. The general trend is toward a slow decline, especially among middle-income and high-income countries. The decline may be due to successful fire safety efforts, but also to other conditions affecting it indirectly. Both risk-increasing and risk-reducing factors determine fire safety. Risk increasing factors include an ageing population, an increasing diversity of possible ignition sources, and a change in the composition and amount of combustible materials present in our homes. The risk-reducing factors include generally favorable socioeconomic and technological developments, including concrete societal actions directed against fire risks such as the promotion of smoke detectors and sprinkler systems.Fire safety is one of the oldest documented examples of societal risk management. City planning and construction were early influenced by fire safety considerations, while in contrast, the legal responsibility for residential fire safety has largely remained a private and individual matter. The situation is similar to the one that for long prevailed in the traffic sector, that is, the primary responsibility rests with the system’s users, not with its designers.The launch of the Vision Zero on fire safety in 2010 represented a clear boost in ambition. Along with the vision, a strategy intended to guide the work toward the visionary goal was also presented. The strategy included four items: information, technical solutions, local collaboration, and evaluation/research. Several actions were taken in line with the strategy, including a significant research effort and the development of a set of indicators to monitor progress.Ten years later, the research effort has brought new knowledge that puts previous perceptions into partly new light. The notion that survival depends on the individual’s personal capacities is strengthened. Adverse outcomes such as death and serious injury appear mainly linked to specific vulnerabilities of certain groups for medical and social reasons. Most fires are handled by the residents themselves without injuries and without assistance from Rescue Services; on the other hand, even minor fires can be fatal for vulnerable residents. This turns the problem framing toward social aspects rather than technical, since broad groups of residents lack the capacities needed, conflicting with the prevailing view that the individual should bear the primary responsibility.Other findings relate to the proven inefficiency of certain measures for groups at elevated risk and the need for re-thinking and innovations to meet the challenges ahead. This includes extended inter-sectoral collaboration on a broader spectrum of residential risks besides fire, threatening the same groups for similar social and medical reasons.This updated state of knowledge is now being used as a basis for renewing current national fire safety strategies. With reference to general principles of systems control, this chapter will discuss obstacles and challenges to establish a more robust and systematic national control of the fire problem in line with the Vision Zero policy. The appropriateness of launching Vision Zero policies in fields that are not yet ripe for systematic governance is also discussed. It is concluded that a Vision Zero initiative can still be meaningful and successfully pursued, provided that limitations in the ability to influence crucial elements in the system are openly identified and systematically addressed in a process in which strategical and policy developments interact with research and innovation.
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Condemine, Cyril, Loic Grau, Yves Masson, and Sebastien Aubry. "Live Digital Twin for Hydraulic Structures Fatigue Estimation." In Lecture Notes in Civil Engineering, 494–505. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-19-6138-0_43.
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AbstractMaintaining hydraulic structures such as dams, penstocks, or water lock gates in operating conditions and optimizing their maintenance costs are key issues for energy production or river navigation. The ultimate objective is to know the real state of fatigue and damage of the structure and identify any related anomalies. In this paper, we introduce a digital twin, for fatigue evaluation merging measured data obtained with an embedded sensor network and a 3D numerical model that converts in real time measured data into fatigue. After 3 years of R&D collaboration between CNR and Morphosense in the maintenance of navigation lock gates or dam gates, this presentation exposes how the proposed Live Digital Twin solution contributes to fatigue evaluation and more generally to global structural monitoring in dealing with fundamental issues of hydraulic structures: risk assessment, maintenance in operating conditions and maintenance costs optimization. After a context and state of the art introduction, the second part will detail the system overview. In the third part, the monitoring system will be addressed.
Conference papers on the topic "Conditional systemic risk measure"
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Akduğan, Umut, and Yasemin Koldere Akın. "Volatility Modelling in Parametric Value at Risk Calculation: An Application on Pension Funds in Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00713.
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Risk management has strategic importance with deepness and globalization of financial markets. Financial markets are faced with systematic or non-systematic risk factors. Risk management has a great importance for banks, as well as other financial institutions and investors.In this context, "Value at Risk (VaR)" is recommended as one of the methods to measure market risk by international organizations and Turkish Banking Regulation and Supervision Agency (BRSA). The parametric method (Variance-Covariance Method), one of the methods used in VaR calculation, used in pension funds which have reached large numbers and established by the Turkish pension companies. Moreover, this method is applied in two different ways based on the assumption of constant variance and based on the basis of conditional heteroscedasticity, and the results were compared. The accuracy of the calculations have been tested by backtesting method. For this purpose, daily returns company's growth equity fund between 03/01/2011 - 04/30/2013 is used for the four pension companies which is the maximum size of the fund and operating in Turkey.
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Mosoiu, Ovidiu, Catalin Cioaca, and Ion Balaceanu. "USING THE CAPITAL ASSET PRICING MODEL IN INFORMATION SECURITY INVESTMENTS." In eLSE 2018. Carol I National Defence University Publishing House, 2018. http://dx.doi.org/10.12753/2066-026x-18-220.
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Interest in real option theory has intensified over the last decade due to the high uncertainty faced by some private and public organizations when deciding to make a strategic investment (competitive environment) or when faced with an external requirement of the organizational environment (ensuring security standards). Traditional methods of investment analysis define the existence of investment opportunity by net present value (NPV), ignoring the possibility that an investment will start from a certain moment in the future. In this way, it is not possible to capture the phenomenon in dynamics, which leads to limiting the possibility of solving the existing uncertainty over the time regarding the optimal use of resources. The need to optimize managerial strategies and give some flexibility to decision-makers in relation to the changes in the organization's external environment has triggered the real options analysis (ROA). By using ROA, a win-win situation is created in which the available policy options mitigate uncertainty fluctuations of updated net worth (based on new information available) and, at the same time, by applying the best strategy, maximize earnings. Information security systems are designed on a layered architecture and the decision to improve performance on each layer is the responsibility of strategic management. Being a modular system, it is recommended to build the architecture by stages, depending on the value of the assets. Also, the relatively long duration and costs of implementation, limited resources, irreversible character, and project risks determine the value and evaluation of the investment, involving its representation as a combined option associated with a succession of decisions. The proposed model is inspired from the theory of financial and real options, but also from the fuzzy logic. This approach seeks to anchor specific mechanisms for the study of asymmetric risk events in the security market (perfect market assumptions are of course limiting but provide a quick overview, which is essential for the proposed application). Using the capital asset pricing model (CAPM), the return on investments in the security of IT & C systems, by reference to the investment risk as the estimated value, is defined. Investors can take risks that can be broken down into two components: systematic risks and non-systemic risks. Systematic risk refers to the variability of income caused by external factors (macroeconomic conditions), being a measure of the relative market volatility of relative incomes. Unsystematic risk refers to income variability caused by unpredictable factors (mismanagement decisions, abrupt technologies overtaken). The depreciation of security investments is inherent and leads to the dilemma of small and frequent investments or major and rare investments. On this issue, the proposed model can provide solutions to decision-makers. Uncertainty, irreversibility, growth potential and competition are factors that influence the behavior and investment decision. We consider that by using the capital asset pricing model in the security investments associated with eLerning training systems, we can increase the precision of optimal investment in terms of risk and opportunity balancing.
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Kouontchou, Patrick, Amaury Lendasse, Yoan Miche, Alejandro Modesto, Peter Sarlin, and Bertrand Maillet. "A R-SOM Analysis of the Link between Financial Market Conditions and a Systemic Risk Index Based on ICA-Factors of Systemic Risk Measures." In 2016 49th Hawaii International Conference on System Sciences (HICSS). IEEE, 2016. http://dx.doi.org/10.1109/hicss.2016.222.
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Ma, Xiaoxian, Jilin Qu, and Jianquan Sun. "A Risk Measure with Conditional Expectation and Portfolio Optimization with Fuzzy Uncertainty." In 2009 International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2009. http://dx.doi.org/10.1109/bife.2009.32.
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Xiao-mei, Zhu, Zhang Qun-yan, and Ren Xin. "The research of software reliability measure based on conditional value at risk." In Mechanical Engineering and Information Technology (EMEIT). IEEE, 2011. http://dx.doi.org/10.1109/emeit.2011.6023741.
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Liu, Xuan, and Yucan Liu. "Empirical Analysis of Stock Systemic Risk and Idiosyncratic Risk Pricing Capability—Comparison of Conditional and Unconditional CAPM." In 2019 16th International Conference on Service Systems and Service Management (ICSSSM). IEEE, 2019. http://dx.doi.org/10.1109/icsssm.2019.8887606.
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Górny, Adam. "Occupational Risk In Improving The Quality Of Working Conditions." In Applied Human Factors and Ergonomics Conference. AHFE International, 2020. http://dx.doi.org/10.54941/ahfe100327.
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Adherence to the systemic approach to improving working conditions is increasingly becoming a central prerequisite for the successful operation of business organizations. By adopting systemic principles to improve the quality of working conditions, organizations gain access to effective tools for eliminating hazards and strenuousness and consequently acquire the ability to grow and improve themselves. Any measures adopted within that framework are undertaken in recognition of the roles and tasks of employees seen as the internal clients of specific processes.The article demonstrates that improvements can be achieved by assessing risks. In this context, risk assessment is viewed as a tool for gathering information on irregularities. By assessing risks, businesses can identify any hazardous, deleterious and strenuous factors which require improvement (through corrective and preventive measures) and whose scope and characteristics depend on the level of occupational risk. The use of occupational risk as a criterion for selecting improvement measures helps identify adequate technical means and organizational arrangements to be applied to bring the working environment to the required quality standard. In particular cases, such means and arrangements should be complemented by using personal protection items. An essential consideration in improving working conditions is to incorporate any selected elements of the systemic approach that are critical for shaping the working environment. Only then will the proper improvement measures be effective.
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Dai, Dehao, and Desheng Wu. "An Innovative Decision Support Approach to Measure the Propagation of Systemic Risk Using Granger Causality Networks." In 2022 International Conference on Computers, Information Processing and Advanced Education (CIPAE). IEEE, 2022. http://dx.doi.org/10.1109/cipae55637.2022.00094.
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TRETIAK, Diana, and Nataliia MIEDVIEDKOVA. "RISK MANAGEMENT IN PUBLIC FINANCE SYSTEM OF UKRAINE UNDER GLOBAL CHALLENGES." In International Scientific Conference „Contemporary Issues in Business, Management and Economics Engineering". Vilnius Gediminas Technical University, 2021. http://dx.doi.org/10.3846/cibmee.2021.622.
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Purpose – to analyze the current state of risk management in Public Finance System of Ukraine and prefer recommendations for its improvement. Research methodology – the structural-functional method (for revealing the influence mechanism of public finance risks on main indicators of Public Finance System), the comparison method (for comparing the main indicators of Public Finance System between Ukraine and other countries). Findings – recommendations for reducing of public finance risks will provide the budget with reliable sources of in-comes, optimize the structure of government spending, and improve the budget process in order to create conditions for enhancing the quality and efficiency of budget decisions. Research limitations – some risks are only of a qualitative nature and cannot be measured to analyze the impact of risks on the main indicators of Public Finance System. Practical implications – improvement of a risk-oriented method in Public Finance System under global challenges is an effective method of developing the existing Public Finance Management in Ukraine. Originality/Value – risk management in Public Finance system under global challenges is a new stage of comprehen-sive relations which opens the way for further progressive reforms. A great importance is to use the experience of risk management measures gained by EU states, but also taking into account the peculiarities of socio-economic situation in Ukraine.
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Hiemer, Florian, Sylvia Keßler, and Christoph Gehlen. "Retrofitted corrosion monitoring in cracked concrete of infrastructure buildings." In IABSE Symposium, Guimarães 2019: Towards a Resilient Built Environment Risk and Asset Management. Zurich, Switzerland: International Association for Bridge and Structural Engineering (IABSE), 2019. http://dx.doi.org/10.2749/guimaraes.2019.1386.
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<p>Infrastructural buildings are subject to a high risk of reinforcement corrosion resulting from de- icing salts. A lot of effort is put in the design of these buildings in order to minimize this risk and ensure the durability during their service life. However, the evaluation of the effectiveness of these measures as well as the resulting corrosion state is an essential but critical part in the assessment of the structural condition. Therefore a versatile corrosion monitoring system was developed, which can be retrofitted in structures which are subject to a certain corrosion risk. In a first case study this monitoring system was installed in two parking structures in southern Germany which were subject to cracks in the concrete cover, combined with a chloride exposure during winter periods. All basic electrochemical parameters of reinforcement corrosion could be measured allowing for an evaluation of the corrosion development before and after the coating measure. The principle of the monitoring system proved to be an effective tool and can be used in a wide range of structures (bridges, parking garages etc.).</p>
Reports on the topic "Conditional systemic risk measure"
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Chernozhukov, Victor, Alexandre Belloni, and Mingli Chen. Quantile graphical models: prediction and conditional independence with applications to systemic risk. The IFS, December 2017. http://dx.doi.org/10.1920/wp.cem.2017.5417.
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Arias, Mauricio, Juan Carlos Mendoza-Gutiérrez, and David Perez-Reyna. Applying CoV aR to measure systemic market risk : the colombian case. Bogotá, Colombia: Banco de la República, March 2010. http://dx.doi.org/10.32468/tef.47.
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Alt, Jonathan, Willie Brown, George Gallarno, John Richards, and Titus Rice. Risk-based prioritization of operational condition assessments : Jennings Randolph case study. Engineer Research and Development Center (U.S.), April 2022. http://dx.doi.org/10.21079/11681/43862.
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The US Army Corps of Engineers (USACE) operates, maintains, and manages over $232 billion worth of the Nation’s water resource infrastructure. Using Operational Condition Assessments (OCA), the USACE allocates limited resources to assess asset condition in efforts to minimize risks associated with asset performance degradation, but decision makers require a greater understanding of those risks. The analysis of risk associated with Flood Risk Management assets in the context of its associated watershed system includes understanding the consequences of the asset’s failure and a determination of the likelihood that the asset will perform as expected given the current OCA ratings of critical components. This research demonstrates an application of a scalable methodology to model the probability of a dam performing as expected given the state of its subordinate gates and their components. The research team combines this likelihood with consequences generated by the application of designed simulation experiments with hydrological models to develop a measure of risk. The resulting risk scores serve as an input for an optimization program that outputs the optimal set of components to conduct OCAs on to minimize risk in the watershed. Proof-of-concept results for an initial case study on the Jennings Randolph Dam are provided.
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TARAKANOVA, V., A. ROMANENKO, and O. PRANTSUZ. MEASURES TO PREVENT POSSIBLE EMERGENCIES AT THE ENTERPRISE. Science and Innovation Center Publishing House, 2022. http://dx.doi.org/10.12731/2070-7568-2022-11-1-4-32-43.
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In the article, the authors consider emergency situations at the enterprise of the Joint-Stock Company “Scientific and Production Complex “Alternative Energy” (JSC “NPK “ALTEN”), consider measures to prevent emergency situations at the enterprise, readiness to eliminate them consequences. Compliance with these measures will improve the efficiency of the company’s industrial safety management system. The relevance of the research is aimed at an effective system of organization and management of industrial safety, which allows you to manage risks and helps to ensure favorable working conditions for the health of employees at the enterprise. A mobile emergency and emergency response system was created. The system can also be used for accounting and accident investigation, based on the use of corporate communication devices and applications for mobile operating systems.
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Alt, Jonathan, Willie Brown, George Gallarno, John Richards, Jennifer Olszewski, and Titus Rice. Risk-based prioritization of operational condition assessments : methodology and case study results. Engineer Research and Development Center (U.S.), November 2022. http://dx.doi.org/10.21079/11681/46123.
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USACE operates, maintains, and manages more than $232 billion of the Nation’s water resource infrastructure. USACE uses the Operational Condition Assessment (OCA) to allocate limited resources to assess condition of this infrastructure in efforts to minimize risks associated with performance degradation. The analysis of risk associated with flood risk management (FRM) assets includes consideration of how each asset contributes to its associated FRM watershed system, understanding the consequences of the asset’s performance degradation, and a determination of the likelihood that the asset will perform as expected given the current OCA condition ratings of critical components. This research demonstrates a proof-of-concept application of a scalable methodology to model the probability of a dam performing as expected given the state of its gates and their components. The team combines this likelihood of degradation with consequences generated by the application of designed simulation experiments with hydrological models to develop a risk measure. The resulting risk scores serve as an input for a mixed-integer optimization program that outputs the optimal set of components to conduct OCAs on to minimize risk in the watershed. This report documents the results of the application of this methodology to two case studies.
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Ayoul-Guilmard, Q., S. Ganesh, F. Nobile, R. Rossi, and C. Soriano. D6.3 Report on stochastic optimisation for simple problems. Scipedia, 2021. http://dx.doi.org/10.23967/exaqute.2021.2.001.
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This report addresses the general matter of optimisation under uncertainties, following a previous report on stochastic sensitivities (deliverable 6.2). It describes several theoretical methods, as well their application into implementable algorithms. The specific case of the conditional value at risk chosen as risk measure, with its challenges, is prominently discussed. In particular, the issue of smoothness – or lack thereof – is addressed through several possible approaches. The whole report is written in the context of high-performance computing, with concern for parallelisation and cost-efficiency.
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Ali, Rassul. Konzeptentwicklung für CDM-Projekte - Risikoanalyse der projektbezogenen Generierung von CO2-Zertifikaten (CER). Sonderforschungsgruppe Institutionenanalyse, 2007. http://dx.doi.org/10.46850/sofia.9783933795842.
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The Clean Development Mechanism (CDM) is a complex legal-institutional system that, on the one hand, offers industrialized countries options for cost-effective emission reductions and, on the other, provides developing countries with opportunities for sustainable development. Investors face the difficulty of identifying suitable CDM projects from approximately 130 possible host countries and nearly 60 possible project activities. In order to develop points of reference for strategic investments, this paper identifies and categorizes the risks arising in the value creation process of bilateral energy projects into four action-related levels. At the host level, the focus is on political-institutional and sector-specific risks, while at the investor state level, the legal design of the CDM's complementary function is relevant. The project level covers technology- and process-related risks, with the identification of the reference case and the proof of additionality posing particular problems. The future design of the CDM and the reform of the procedure at the UNFCCC level pose a fundamental risk. A two-stage assessment procedure is proposed for risk assessment: a rough analysis captures sociographic, climate policy, institutional and sector-specific criteria of the host. The differentiation of the project stage allows the localization of the project in the value chain and a differentiation regarding the use of methods. The assessment of project registration is based on the methods used and gives recognition rates per method and project category; project performance is measured in terms of the ratio of emission reductions actually realized to those planned in the project documentation. A detailed analysis following the coarse analysis provides qualitative guidance for project evaluation. These include the Executive Board's methodological principles, correct application of methodologies, identification of the reference case, proof of additionality, as well as the financial conditions of the relevant sector and publicity-related aspects. Despite individual hosts and project technologies, the developed two-step risk analysis allows, with relatively little effort and in line with business practice, an initial assessment of CDM project risks, so that overall it lays a fundamental building block for the elaboration of a strategic implementation and sustainable investment under the CDM.
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Lykins, Amy, Joey Tognela, Kylie Robinson, Rosie Ryan, and Phillip Tully. The mental health effects of eco-anxiety – a systematic review of quantitative research. INPLASY - International Platform of Registered Systematic Review and Meta-analysis Protocols, January 2023. http://dx.doi.org/10.37766/inplasy2023.1.0025.
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Review question / Objective: The aim of the review is to synthesise findings from quantitative studies that investigate ecological grief, eco-anxiety, and climate-anxiety in relation to self-reported mental health. Population of interest: The general adult population aged 18 years. Exposure (risk factor): The exposure is defined as the presence of any ecological grief, eco-anxiety, and/or climate-anxiety that is quantified either before, concurrently, or after a mental health symptom (e.g. depression, and/or anxiety - see Outcomes). As ecological grief, eco-anxiety, and climate-anxiety are relatively new concepts that lack a standard definition, we will include validated and emerging unvalidated self-report measures of these constructs, as well as closely related constructs; solastalgia, eco- and climate-grief, eco- and climate-guilt, eco- and climate-distress, eco- and climate-despair, eco- and climate-worry. Ineligible exposures are detrimental environmental events (e.g. flood, bushfire, drought) or climatic conditions (e.g. ambient temperatures) or distress related to psychosocial impacts of environmental events (e.g. loss of income or housing due to landslide). Comparator: The general adult population aged 18+ without ecological grief, eco-anxiety, and/or climate-anxiety or related constructs as defined above in Exposure. Outcome: The primary outcomes are mental health symptoms quantified by validated self-report measures of depression, anxiety, stress.
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Eylander, John, Michael Lewis, Maria Stevens, John Green, and Joshua Fairley. An investigation of the feasibility of assimilating COSMOS soil moisture into GeoWATCH. Engineer Research and Development Center (U.S.), September 2021. http://dx.doi.org/10.21079/11681/41966.
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This project objective evaluated the potential of improving linked weather-and-mobility model predictions by blending soil moisture observations from a Cosmic-ray Soil Moisture Observing System (COSMOS) sensor with weather-informed predictions of soil moisture and soil strength from the Geospatial Weather-Affected Terrain Conditions and Hazards (GeoWATCH). Assimilating vehicle-borne COSMOS observations that measure local effects model predictions of soil moisture offered potential to produce more accurate soil strength and vehicle mobility forecast was the hypothesis. This project compared soil moisture observations from a COSMOS mobile sensor driven around an area near Iowa Falls, IA, with both GeoWATCH soil moisture predictions and in situ probe observations. The evaluation of the COSMOS rover data finds that the soil moisture measurements contain a low measurement bias while the GeoWATCH estimates more closely matched the in situ data. The COSMOS rover captured a larger dynamic range of soil moisture conditions as compared to GeoWATCH, capturing both very wet and very dry soil conditions, which may better flag areas of high risk for mobility considerations. Overall, more study of the COSMOS rover is needed to better understand sensor performance in a variety of soil conditions to determine the feasibility of assimilating the COSMOS rover estimates into GeoWATCH.
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Nobile, F., Q. Ayoul-Guilmard, S. Ganesh, M. Nuñez, A. Kodakkal, C. Soriano, and R. Rossi. D6.5 Report on stochastic optimisation for wind engineering. Scipedia, 2022. http://dx.doi.org/10.23967/exaqute.2022.3.04.
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This report presents the latest methods of optimisation under uncertainties investigated in the ExaQUte project, and their applications to problems related to civil and wind engineering. The measure of risk throughout the report is the conditional value at risk. First, the reference method is presented: the derivation of sensitivities of the risk measure; their accurate computation; and lastly, a practical optimisation algorithm with adaptive statistical estimation. Second, this method is directly applied to a nonlinear relaxation oscillator (FitzHugh–Nagumo model) with numerical experiments to demonstrate its performance. Third, the optimisation method is adapted to the shape optimisation of an airfoil and illustrated by a large-scale experiment on a computing cluster. Finally, the benchmark of the shape optimisation of a tall building under a turbulent flow is presented, followed by an adaptation of the optimisation method. All numerical experiments showcase the open-source software stack of the ExaQUte project for large-scale computing in a distributed environment.