Dissertations / Theses on the topic 'Risk assessment - Mathematical models'
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Yeo, Keng Leong Actuarial Studies Australian School of Business UNSW. "Claim dependence in credibility models." Awarded by:University of New South Wales. School of Actuarial Studies, 2006. http://handle.unsw.edu.au/1959.4/25971.
Full textWang, Na. "Estimation of Extra Risk and Benchmark Dose in Dose Response Models." Fogler Library, University of Maine, 2008. http://www.library.umaine.edu/theses/pdf/WangN2008.pdf.
Full textZhu, Dongming 1963. "Asymmetric heavy-tailed distributions : theory and applications to finance and risk management." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102854.
Full textOwen, Michelle L. "Exposure model : detailed profiling and quantification of the exposure of personnel to geotechnical hazards in underground mines." University of Western Australia. School of Civil and Resource Engineering, 2004. http://theses.library.uwa.edu.au/adt-WU2005.0031.
Full textKusnetsov, Michael. "Clearing models for systemic risk assessment in interbank networks." Thesis, London School of Economics and Political Science (University of London), 2018. http://etheses.lse.ac.uk/3804/.
Full textShen, Yunxiang. "Risk analysis and its application in mining project evaluation." Thesis, McGill University, 1987. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=64009.
Full textGalane, Lesiba Charles. "The risk parity approach to asset allocation." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95974.
Full textENGLISH ABSTRACT: We consider the problem of portfolio's asset allocation characterised by risk and return. Prior to the 2007-2008 financial crisis, this important problem was tackled using mainly the Markowitz mean-variance framework. However, throughout the past decade of challenging markets, particularly for equities, this framework has exhibited multiple drawbacks. Today many investors approach this problem with a 'safety first' rule that puts risk management at the heart of decision-making. Risk-based strategies have gained a lot of popularity since the recent financial crisis. One of the 'trendiest' of the modern risk-based strategies is the Risk Parity model, which puts diversification in terms of risk, but not in terms of dollar values, at the core of portfolio risk management. Inspired by the works of Maillard et al. (2010), Bruder and Roncalli (2012), and Roncalli and Weisang (2012), we examine the reliability and relationship between the traditional mean-variance framework and risk parity. We emphasise, through multiple examples, the non-diversification of the traditional mean-variance framework. The central focus of this thesis is on examining the main Risk-Parity strategies, i.e. the Inverse Volatility, Equal Risk Contribution and the Risk Budgeting strategies. Lastly, we turn our attention to the problem of maximizing the absolute expected value of the logarithmic portfolio wealth (sometimes called the drift term) introduced by Oderda (2013). The drift term of the portfolio is given by the sum of the expected price logarithmic growth rate, the expected cash flow, and half of its variance. The solution to this problem is a linear combination of three famous risk-based strategies and the high cash flow return portfolio.
AFRIKAANSE OPSOMMING: Ons kyk na die probleem van batetoewysing in portefeuljes wat gekenmerk word deur risiko en wins. Voor die 2007-2008 finansiele krisis, was hierdie belangrike probleem deur die Markowitz gemiddelde-variansie raamwerk aangepak. Gedurende die afgelope dekade van uitdagende markte, veral vir aandele, het hierdie raamwerk verskeie nadele getoon. Vandag, benader baie beleggers hierdie probleem met 'n 'veiligheid eerste' reël wat risikobestuur in die hart van besluitneming plaas. Risiko-gebaseerde strategieë het baie gewild geword sedert die onlangse finansiële krisis. Een van die gewildste van die moderne risiko-gebaseerde strategieë is die Risiko- Gelykheid model wat diversifikasie in die hart van portefeulje risiko bestuur plaas. Geïnspireer deur die werke van Maillard et al. (2010), Bruder and Roncalli (2012), en Roncalli and Weisang (2012), ondersoek ons die betroubaarheid en verhouding tussen die tradisionele gemiddelde-variansie raamwerk en Risiko- Gelykheid. Ons beklemtoon, deur middel van verskeie voorbeelde, die niediversifikasie van die tradisionele gemiddelde-variansie raamwerk. Die sentrale fokus van hierdie tesis is op die behandeling van Risiko-Gelykheid strategieë, naamlik, die Omgekeerde Volatiliteit, Gelyke Risiko-Bydrae en Risiko Begroting strategieë. Ten slotte, fokus ons aandag op die probleem van maksimering van absolute verwagte waarde van die logaritmiese portefeulje welvaart (soms genoem die drif term) bekendgestel deur Oderda (2013). Die drif term van die portefeulje word gegee deur die som van die verwagte prys logaritmiese groeikoers, die verwagte kontantvloei, en die helfte van die variansie. Die oplossing vir hierdie probleem is 'n lineêre kombinasie van drie bekende risiko-gebaseerde strategieë en die hoë kontantvloei wins portefeulje.
Blatt, Sharon L. "An in-depth look at the information ratio." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0824104-155216/.
Full textBaade, Ingrid Annette. "Survival analysis diagnostics." Thesis, Queensland University of Technology, 1997.
Find full textGhosh, Gregory. "Lifesafety Analysis in the Building Firesafety Method." Digital WPI, 2004. https://digitalcommons.wpi.edu/etd-theses/1106.
Full textCross, Richard J. (Richard John). "Inference and Updating of Probabilistic Structural Life Prediction Models." Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/19828.
Full textDicks, Anelda. "Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85674.
Full textENGLISH ABSTRACT: Accurate estimation of Value at Risk (VaR) and Expected Shortfall (ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be large. Traditional models to estimate VaR and ES are investigated. Following usual practice, 99% 10 day VaR and ES measures are calculated. A comprehensive theoretical background is first provided and then the models are applied to the Africa Financials Index from 29/01/1996 to 30/04/2013. The models considered include independent, identically distributed (i.i.d.) models and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) stochastic volatility models. Extreme Value Theory (EVT) models that focus especially on extreme market returns are also investigated. For this, the Peaks Over Threshold (POT) approach to EVT is followed. For the calculation of VaR, various scaling methods from one day to ten days are considered and their performance evaluated. The GARCH models fail to converge during periods of extreme returns. During these periods, EVT forecast results may be used. As a novel approach, this study considers the augmentation of the GARCH models with EVT forecasts. The two-step procedure of pre-filtering with a GARCH model and then applying EVT, as suggested by McNeil (1999), is also investigated. This study identifies some of the practical issues in model fitting. It is shown that no single forecasting model is universally optimal and the choice will depend on the nature of the data. For this data series, the best approach was to augment the GARCH stochastic volatility models with EVT forecasts during periods where the first do not converge. Model performance is judged by the actual number of VaR and ES violations compared to the expected number. The expected number is taken as the number of return observations over the entire sample period, multiplied by 0.01 for 99% VaR and ES calculations.
AFRIKAANSE OPSOMMING: Akkurate beraming van Waarde op Risiko (Value at Risk) en Verwagte Tekort (Expected Shortfall) is krities vir die bestuur van ekstreme mark risiko’s. Hierdie risiko’s kom met klein waarskynlikheid voor, maar die finansiële impakte is potensieel groot. Tradisionele modelle om Waarde op Risiko en Verwagte Tekort te beraam, word ondersoek. In ooreenstemming met die algemene praktyk, word 99% 10 dag maatstawwe bereken. ‘n Omvattende teoretiese agtergrond word eers gegee en daarna word die modelle toegepas op die Africa Financials Index vanaf 29/01/1996 tot 30/04/2013. Die modelle wat oorweeg word sluit onafhanklike, identies verdeelde modelle en Veralgemeende Auto-regressiewe Voorwaardelike Heteroskedastiese (GARCH) stogastiese volatiliteitsmodelle in. Ekstreemwaarde Teorie modelle, wat spesifiek op ekstreme mark opbrengste fokus, word ook ondersoek. In hierdie verband word die Peaks Over Threshold (POT) benadering tot Ekstreemwaarde Teorie gevolg. Vir die berekening van Waarde op Risiko word verskillende skaleringsmetodes van een dag na tien dae oorweeg en die prestasie van elk word ge-evalueer. Die GARCH modelle konvergeer nie gedurende tydperke van ekstreme opbrengste nie. Gedurende hierdie tydperke, kan Ekstreemwaarde Teorie modelle gebruik word. As ‘n nuwe benadering oorweeg hierdie studie die aanvulling van die GARCH modelle met Ekstreemwaarde Teorie vooruitskattings. Die sogenaamde twee-stap prosedure wat voor-af filtrering met ‘n GARCH model behels, gevolg deur die toepassing van Ekstreemwaarde Teorie (soos voorgestel deur McNeil, 1999), word ook ondersoek. Hierdie studie identifiseer sommige van die praktiese probleme in model passing. Daar word gewys dat geen enkele vooruistkattingsmodel universeel optimaal is nie en die keuse van die model hang af van die aard van die data. Die beste benadering vir die data reeks wat in hierdie studie gebruik word, was om die GARCH stogastiese volatiliteitsmodelle met Ekstreemwaarde Teorie vooruitskattings aan te vul waar die voorafgenoemde nie konvergeer nie. Die prestasie van die modelle word beoordeel deur die werklike aantal Waarde op Risiko en Verwagte Tekort oortredings met die verwagte aantal te vergelyk. Die verwagte aantal word geneem as die aantal obrengste waargeneem oor die hele steekproefperiode, vermenigvuldig met 0.01 vir die 99% Waarde op Risiko en Verwagte Tekort berekeninge.
Kroon, Rodney Stephen. "A framework for estimating risk." Thesis, Link to the online version, 2008. http://hdl.handle.net/10019.1/1104.
Full textAllen, H. Joel. "A Behavioral Model for Detection of Acute Stress in Bivalves." Thesis, University of North Texas, 1998. https://digital.library.unt.edu/ark:/67531/metadc277998/.
Full textSun, Yu. "Risk-based framework for freight movement analysis." Thesis, Queensland University of Technology, 2002.
Find full textMello, Bernardo Brazão Rego. "Classificação de risco setorial com base nos métodos Weighted Influence Non-linear Gauge System e Analytic Hierarchy Process." reponame:Biblioteca Digital do Banco Nacional de Desenvolvimento Econômico e Social, 2014. http://web.bndes.gov.br/bib/jspui/handle/1408/5341.
Full textDissertação (mestrado) - Faculdade de Economia e Finanças Ibmec, Rio de Janeiro, 2014.
Devido à crescente importância dos mercados financeiros nas últimas décadas, o risco de crédito tem se tornado um tema fundamental na tomada de decisões acerca de investimentos, taxas de financiamento, solvência corporativa, tendência e perspectivas etc. Os modelos de avaliação de risco de crédito, em geral, podem ser classificados em duas categorias: quantitativo e qualitativo. Modelos quantitativos buscam analisar informações de demonstrativos financeiros e seus indicadores, enquanto modelos qualitativos focam na análise de variáveis intangíveis que afetam os negócios globais. Estes modelos normalmente seguem uma estrutura "top-down" de análise setorial, competitividade e comparação de pares e gestão. O objetivo desta dissertação é apresentar um modelo de classificação de risco setorial com base em métodos de análise multicritério que possam mensurar a importância das variáveis que afetam os setores da economia brasileira, bem como a influência entre estas. O modelo é baseado, principalmente, no método Weighted Influence Non-Linear Gauge System. Acerca dos julgamentos sobre as variáveis, o modelo baseia-se na utilização do método Analytic Hierarchy Process. O resultado do modelo é apresentado através de níveis de risco, aplicado a quatorze setores da economia brasileira. A dissertação se encerra com uma discussão sobre os resultados, bem como com um esboço do direcionamento para futuras pesquisas.
Due to the increasing importance of the financial market over the past decades, credit risk has become a paramount issue in investment, loan spreads, corporate solvency, trends and prospetcs, etc. Credit risk evaluation models may be classified in two broad categories: quantitative and qualitative. Quantitative models seek to analyze information from financial statement and indexes, while qualitative models focus on the analysis of intangible variables that affect global business. These models typically follow a top-down approach by analyzing the industry risk, competitiveness and peer comparison and management. The aim of this thesis is to present an industry risk assessment model based on multicriteria analysis methods that can measure the strengh of variables that affect the industries of Brazilian economy, as well as the influence between them. The model is based primarily on the Weighted Influence Non-Linear Gauge System method. Concerning human judgements about the variables, the model is founded on the use of the Analytic Hierarchy Process method. The result from the model is presented through risk levels, applied to fourteen industries in the Brazilian economy. The thesis closes with a discussion of results, as well as with an outline to future research directions.
Sahlin, Carl, and Carl-Johan Hugner. "Dealing with the ORSA : A Dynamic Risk-Factor Based Approach for the Small, Swedish Non-Life Insurer." Thesis, KTH, Industriell Management, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-133477.
Full textDen egna risk- och solvensutvärderingen, ORSA, kallas hjärtat av det kommande regelverket för europeiska försäkringsbolag - Solvens II. Syftet med ORSA-processen är att ge en övergripande helhetsbild av försäkringsgivarens risker genom att analysera deras finansiella ställning och affärsstrategi. Det finns inget fördefinierat sätt att genomföra denna process, vilket innebär att företagen tvingas att utveckla en modell på egen hand, på ett sätt som de finner lämpligt. I samarbete med ett regionalt försäkringsbolag i Sverige utvecklar vi en struktur och en grund för en ORSA-modell. En modell som är tillräckligt flexibel för att kunna användas av liknande försäkringsgivare men samtidigt standardiserad nog att lösa problemet med begränsade resurser i dessa mindre organisationer. Vi tillämpar en riskfaktor-baserad metod, prognostiserar resultat- och balansräkning för bolaget och utför stresstester. Metoden är utformad för att utvecklas vidare av den enskilde försäkringsgivaren så som de finner lämpligt. Den föreslagna metoden ger delvis tillfredsställande resultat och vi anser att det är en grund väl lämpad att använda som utgångspunkt för att konstruera riskmätningsmetoder för små, skadeförsäkringsbolag.
Omrane, Fatma. "Human health risk assessment of occupational exposure to trace metallic elements mixtures in metalworking industries in the Sfax metropolis (Tunisia)." Thesis, Université de Lorraine, 2018. http://www.theses.fr/2018LORR0097/document.
Full textTrace metallic elements (TMEs) are pollutants of great concern even in trace amounts because of their toxicity and cumulative property. Some of them can be carcinogenic. The Sfax metropolis, located in the southern region of Tunisia, has been affected by releases of TMEs for decades. Several studies confirmed that this pollution is predominantly originated from anthropogenic sources, mainly from industrial activities. It represents a threat to the health of residents, particularly for those also exposed during occupational activities in industrial processes. The present study aims to assess health risks associated with occupational exposure in industries handling TMEs in their production processes, following the human health risk assessment approach. To this end, five companies using raw material containing TMEs to produce a variety of metallic products accepted to participate to the study. The metals that were investigated are Al, Cr, Ni, Cu, Zn and Pb. Mathematical models for estimating occupational exposure to chemicals were used to predict indoor air TME exposure levels in 15 different job tasks. Air monitoring was conducted in order to compare the predicted workplace air concentrations versus the direct measured ones, using both workplace-fixed monitors and personal samplers. And finally, urine samples were collected from 61 workers to assess whether TMEs excretion correlate with job exposure levels. Globally, the predicted air estimates relate well with measured concentrations over the whole set of job tasks. Better predictions were found for certain activities, in particular for steel cutting and welding processes. The values that correspond to the 90th percentile of the exposure distribution were then used in the interaction-based hazard index HIint to assess health risks associated with the mixtures of TMEs. Total cancer risk was also investigated. Results showed high exposures for metals that may elicit respiratory conditions, with a HIint reaching 93.6, the highest levels being for the shielded metal arc welding and metal shearing and slitting tasks. The risk is enhanced by a synergetic effect between Cr, Ni and Cu. High risks of lung and kidney cancers were demonstrated (the predicted life-long total cancer risk for exposed workers is 3.7×10-4). This work shows that mathematical models can be accurate in predicting TME airborne exposure levels for several processes in the metallurgic industry, a result that is of interest to help the different stakeholders to monitor efficiently exposure surveillance and abatement. Progress in industrial hygiene is needed in this industrial sector to reduce the high level of health risks currently experienced by the metalworking workers
Khajeh-Hosseini, Ali. "Supporting system deployment decisions in public clouds." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/3412.
Full textLEITE, ELIANA R. "Indicadores de segurança para um d´pósito final de fontes radioativas seladas." reponame:Repositório Institucional do IPEN, 2012. http://repositorio.ipen.br:8080/xmlui/handle/123456789/10142.
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Dissertação (Mestrado)
IPEN/D
Instituto de Pesquisas Energeticas e Nucleares - IPEN-CNEN/SP
Getley, Ian L. Department of Aviation Faculty of Science UNSW. "Cosmic and solar radiation monitoring of Australian commercial flight crew at high southern latitudes as measured and compared to predictive computer modelling." Awarded by:University of New South Wales, 2007. http://handle.unsw.edu.au/1959.4/40536.
Full textMarshall, Scott. "An Empirical Approach to Evaluating Sufficient Similarity: Utilization of Euclidean Distance As A Similarity Measure." VCU Scholars Compass, 2010. http://scholarscompass.vcu.edu/etd/102.
Full textGobira, Diogo Barboza. "Precificação de derivativos exóticos no mercado de petróleo." reponame:Repositório Institucional do BNDES, 2014. http://web.bndes.gov.br/bib/jspui/handle/1408/7023.
Full textDissertação (mestrado) - Instituto Nacional de Matemática Pura e Aplicada, Rio de Janeiro, 2014.
Estudamos a precificação de opções exóticas nos mercados de petróleo e de seus derivados. Iniciamos com uma análise exploratória dos dados, revisitando suas propriedades estatísticas e fatos estilizados relacionados às volatilidades e correlações. Subsidiados pelos resultados de tal análise, apresentamos alguns dos principais modelos forward para commodities e um vasto conjunto de estruturas determinísticas de volatilidades, bem como os respectivos métodos de calibragem, para os quais executamos testes com dados reais. Para melhorar o desempenho de tais modelos na precificação do smile de volatilidade, reformulamos o modelo de volatilidade estocástica de Heston para lidar com uma ou múltiplas curvas forward, permitindo sua utilização na precificação de contratos definidos sobre múltiplas commodities. Calibramos e testamos tais modelos a partir de dados reais dos mercados de petróleo, gasolina e gás, e comprovamos a sua superioridade frente aos modelos de volatilidade determinística. Para subsidiar a precificação de opções exóticas e contratos OTC, revisitamos dos pontos de vista teórico e prático assuntos como simulação de Monte Carlo, soluções numéricas para SDEs e exercício americano. Finalmente, por meio de uma bateria de simulações numéricas, mostramos como os modelos podem ser utilizados na precificação de opções exóticas que tipicamente ocorrem nos mercados de commodities, como as calendar spread options, crack spread options e as opções asiáticas.
We study the pricing of exotic options in the oil and its derivatives markets. We begin with a exploratory analysis of the data, revisiting statistical properties and stylized facts related to the volatilities and correlations. Based on this results, we present some of the main commodity forward models and a wide range of deterministic volatility structures, as well as its calibration methods, for which we ran tests with real market data. To improve the performance of such models in pricing the volatility smile, we reformulate the Heston stochastic volatility model to cope with one or multiple forward curves together, allowing its use for the pricing of multicommodity based contracts. We calibrate and test such models for the oil, gasoline and natural gas markets, confirming their superiority against deterministic volatility models. To support the tasks of exotic options and OTC contracts pricing, we also revisit, from the theoretical and practical points of view, tools and issues such as Monte Carlo simulation, numerical solutions to SDEs and American exercise. Finally, through a battery of numerical simulations, we show how the presented models can be used to price typical exotic options occurring in commodity markets, such as calendar spread options, crack spread options and Asian options.
Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.
Full textNgwenza, Dumisani. "Quantifying Model Risk in Option Pricing and Value-at-Risk Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31059.
Full textGu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.
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Mathematics
Doctoral
Doctor of Philosophy
Ikwuegbu, Chigozie Charles. "Models for Risk assessment of Mobile applications." Thesis, Blekinge Tekniska Högskola, Institutionen för datavetenskap, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-20119.
Full textLiu, Binbin, and 刘彬彬. "Some topics in risk theory and optimal capital allocation problems." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199291.
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Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.
Full textRong, Yian, and 戎軼安. "Applications of comonotonicity in risk-sharing and optimal allocation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/207205.
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Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
Basak, Rishi. "Environmental management systems and the intra-firm risk relationship." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0034/MQ64316.pdf.
Full textAlharthi, Muteb. "Bayesian model assessment for stochastic epidemic models." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/33182/.
Full textWei, Zhenghong. "Empirical likelihood based evaluation for value at risk models." HKBU Institutional Repository, 2007. http://repository.hkbu.edu.hk/etd_ra/896.
Full textLi, Tang, and 李唐. "Markov chain models for re-manufacturing systems and credit risk management." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203700.
Full textHao, Fangcheng, and 郝方程. "Options pricing and risk measures under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B4714726X.
Full textZhao, Bo. "Overview of Financial Risk Assessment." Kent State University Honors College / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=ksuhonors1399203159.
Full textManasse, Paul Reuben. "Time-dependent stochastic models for fire risk assessment." Thesis, University of Liverpool, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317171.
Full textKallis, Constantinos. "Construction and assessment of risk models in medicine." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/79266/.
Full textPalhares, André Vitor de Almeida. "Probabilistic Risk Assessment in Clouds: Models and Algorithms." Universidade Federal de Pernambuco, 2012. https://repositorio.ufpe.br/handle/123456789/10423.
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Cloud reliance is critical to its success. Although fault-tolerance mechanisms are employed by cloud providers, there is always the possibility of failure of infrastructure components. We consequently need to think proactively of how to deal with the occurrence of failures, in an attempt to minimize their effects. In this work, we draw the risk concept from probabilistic risk analysis in order to achieve this. In probabilistic risk analysis, consequence costs are associated to failure events of the target system, and failure probabilities are associated to infrastructural components. The risk is the expected consequence of the whole system. We use the risk concept in order to present representative mathematical models for which computational optimization problems are formulated and solved, in a Cloud Computing environment. In these problems, consequence costs are associated to incoming applications that must be allocated in the Cloud and the risk is either seen as an objective function that must be minimized or as a constraint that should be limited. The proposed problems are solved either by optimal algorithm reductions or by approximation algorithms with provably performance guarantees. Finally, the models and problems are discussed from a more practical point of view, with examples of how to assess risk using these solutions. Also, the solutions are evaluated and results on their performance are established, showing that they can be used in the effective planning of the Cloud.
Alexander, Byron Vernon Terry. "Legacy system upgrade for software risk assessment." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2001. http://handle.dtic.mil/100.2/ADA401409.
Full textThesis Advisor(s): Berzins, Valdis ; Murrah, Michael. "December 2001." Includes bibliographical references (p. 91). Also available online.
Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.
Full textVeraart, Luitgard Anna Maria. "Mathematical models for market making, option pricing and systemic risk." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613365.
Full textZhu, Jinxia, and 朱金霞. "Ruin theory under Markovian regime-switching risk models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203980.
Full textReynolds, Joel Howard. "Multi-criteria assessment of ecological process models using pareto optimization /." Thesis, Connect to this title online; UW restricted, 1997. http://hdl.handle.net/1773/6377.
Full textPatil, Rohit A. "Novel application of quantitative risk assessment modelling to a continuous fermenter." Thesis, 2006. http://hdl.handle.net/2440/69737.
Full textThesis (M.Eng.Sc.) -- University of Adelaide, School of Chemical Engineering, 2006
"Optimal dynamic portfolio selection under downside risk measure." 2014. http://library.cuhk.edu.hk/record=b6116127.
Full textInstead of controlling "symmetric" risks measured by central moments of terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk measures, the safety-first principle, the value-at-risk (VaR), the conditional value-at-risk (CVaR) and the lower-partial moments (LPM) are probably the most promising representatives.
In this dissertation, we investigate a general class of dynamic mean-downside risk portfolio selection formulations, including the mean-exceeding probability portfolio selection formulation, the dynamic mean-VaR portfolio selection formulation, the dynamic mean-LPM portfolio selection formulation and the dynamic mean-CVaR portfolio selection formulation in continuous-time, while the current literature has only witnessed their static versions. Our contributions are two-fold, in both building up tractable formulations and deriving corresponding optimal policies. By imposing a limit funding level on the terminal wealth, we conquer the ill-posedness exhibited in the class of mean-downside risk portfolio models. The limit funding level not only enables us to solve dynamic mean-downside risk portfolio optimization problems, but also offers a flexibility to tame the aggressiveness of the portfolio policies generated from the mean-downside risk optimization models. Using quantile method and martingale approach, we derive optimal solutions for all the above mentioned mean-downside risk models. More specifically, for a general market setting, we prove the existence and uniqueness of the Lagrangian multiplies, which is a key step in applying the martingale approach, and establish a theoretical foundation for developing efficient numerical solution approaches. Furthermore, for situations where the opportunity set of the market setting is deterministic, we derive analytical portfolio policies.
Detailed summary in vernacular field only.
Zhou, Ke.
Thesis (Ph.D.) Chinese University of Hong Kong, 2014.
Includes bibliographical references (leaves i-vi).
Abstracts also in Chinese.
"Bayesian approach for risk bucketing." 2009. http://library.cuhk.edu.hk/record=b5894184.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 46-48).
Abstract also in Chinese.
Chapter 1 --- Introduction to Global Credit Risk Management Standard --- p.1
Chapter 1.1 --- Background --- p.2
Chapter 1.2 --- Basel Accords --- p.2
Chapter 1.3 --- Risk Bucketing --- p.7
Chapter 2 --- Current Practices of Risk Bucketing and PD Estimation --- p.10
Chapter 2.1 --- Credit Scoring --- p.10
Chapter 2.2 --- Risk Bucketing after Credit Scoring --- p.12
Chapter 2.3 --- Related Literature Review --- p.14
Chapter 2.4 --- Objective --- p.16
Chapter 3 --- Bayesian Model for risk bucketing --- p.17
Chapter 3.1 --- The Model --- p.17
Chapter 3.2 --- Posterior Distribution --- p.19
Chapter 3.3 --- Gibbs Sampler for the Posterior Distribution --- p.22
Chapter 3.3.1 --- General Gibbs Sampler Theory --- p.22
Chapter 3.3.2 --- The Gibbs Sampler for the Proposed Model --- p.23
Chapter 3.4 --- Monitoring Convergence of the Gibbs Sampler --- p.26
Chapter 3.5 --- "Estimation, Bucketing and Prediction" --- p.28
Chapter 3.5.1 --- Estimation --- p.28
Chapter 3.5.2 --- Bucketing --- p.28
Chapter 3.5.3 --- Prediction --- p.29
Appendix --- p.29
Chapter 4 --- Simulation Studies and Real Data Analysis --- p.32
Chapter 4.1 --- Simulation Studies --- p.32
Chapter 4.1.1 --- Details of Simulation --- p.32
Chapter 4.1.2 --- Simulation Procedures --- p.34
Chapter 4.1.3 --- Predictive Performance --- p.35
Chapter 4.1.4 --- Summary of Simulation Results --- p.36
Chapter 4.2 --- Real Data Analysis --- p.37
Chapter 5 --- Conclusion and Discussion --- p.44
Bibliography --- p.46
"Risk management of the financial markets." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5895616.
Full textThesis (M.B.A.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 108-111).
ABSTRACT --- p.II
TABLE OF CONTENTS --- p.III
ACKNOWLEDGEMENT --- p.VI
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- LITERATURE REVIEW --- p.4
Impact due to Deregulation --- p.5
Impact due to Globalization --- p.5
Impact due to Securitization --- p.6
Impact due to Institutionalisation --- p.6
Impact due to Computerisation --- p.7
Chapter III. --- CONCEPT: MANAGEMENT OF RISK --- p.8
Definition of Risk --- p.9
Risk Analysis --- p.10
Risk Assessment --- p.10
Risk Measurement --- p.10
Risk Management --- p.11
Chapter IV. --- TYPE OF RISK --- p.13
Market/Capital Risk --- p.14
Reinvestment Risk --- p.15
Interest Rate Risk --- p.16
Credit Risk --- p.17
Liquidity or Funding Risk --- p.18
Currency and Foreign Exchange Risk --- p.19
Inflation Risk --- p.19
Operations Risk --- p.20
Legal Risk --- p.20
Political Risk --- p.21
Systemic Risk --- p.22
Portfolio Risk --- p.22
Control Risk --- p.23
Settlement Risk --- p.23
Country Risk --- p.24
Underwriting Risk --- p.24
Residual or Moral Risk --- p.24
Strategy Risk and Environment Risk --- p.25
Chapter V. --- MEASURING CHANGING RISK --- p.26
Historical Estimates --- p.28
Non-parametric Methods --- p.29
Parametric Methods --- p.30
Chapter VI. --- EVOLUTION OF RISK ESTIMATION --- p.35
Chapter VII. --- APPLYING PORTFOLIO THEORY INTO RISK ANALYSIS --- p.41
Modelling Bank Risk --- p.43
Identification of linkages between an individual loan and bank's overall risk profile --- p.43
Distribution of expected values --- p.44
Portfolio expected value --- p.44
Scenario Analysis and Formation of Loan Risk Measurement --- p.45
Subsystem --- p.45
Formation of an Integrated Risk Measurement --- p.45
Active Management of Portfolio Risk --- p.49
Chapter VIII. --- RISK ANALYSIS OF INTERNATIONAL INVESTMENT --- p.51
Discounted-Cash-Flow Analysis --- p.51
Net Present Value Approach --- p.51
Internal Rate of Return Approach --- p.54
Break-even Probability Analysis --- p.55
Certainty-Equivalent Method --- p.56
Chapter IX. --- CONSTRUCTING A MODEL FOR RISK ASSESSMENT --- p.58
"Set up a Model to Estimate ""Capital at Risk""" --- p.58
Obey the Minimum Standards --- p.60
Audit and Verify the Model --- p.62
Chapter X. --- METHODOLOGIES OF RISK MEASUREMENT
Measuring Market Risk : J P Morgan Risk Management Methodology - RiskMetrics´ёØ --- p.64
Statistical Analysis of Returns and Risk --- p.66
Market Moves and Locally Gaussian Processes --- p.72
Stochastic Volatility --- p.72
Risk and Optionality --- p.73
Mapping and Term Structure of Interest Rates --- p.73
Measuring Position Risk --- p.75
The Simplified Portfolio Approach --- p.77
The Comprehensive Approach --- p.81
The Building-Block Approach --- p.83
Chapter XI. --- ITEMS INVOLVED IN RISK MANAGEMENT --- p.85
Management Control --- p.35
Constructing Valuation Methodology --- p.90
Contents of Reporting --- p.92
Evaluation of Risk --- p.93
Counterparty Relationships --- p.93
Chapter XII. --- AFTERTHOUGHT --- p.95
APPENDIX --- p.98
BIBLIOGRAPHY --- p.108
"Robust approach to risk management and statistical analysis." 2012. http://library.cuhk.edu.hk/record=b5549601.
Full textIn this thesis we study some structural results in polynomial optimization, with an emphasis paid to the applications from risk management problems and estimations in statistical analysis. The key underlying method being studied is related to the so-called S-lemma in control theory and robust optimization. The original S-lemma was developed by Yakubovich, which states an equivalent condition for a quadratic polynomial to be non-negative over the non-negative domain of other quadratic polynomial(s). In this thesis, we extend the S-Lemma to univariate polynomials of any degree. Since robust optimization has a strong connection to the S-Lemma, our results lead to many applications in risk management and statistical analysis, including estimating certain nonlinear risk measures under moment bound constraints, and an SDP formulation for simultaneous confidence bands. Numerical experiments are conducted and presented to illustrate the effectiveness of the methods.
Detailed summary in vernacular field only.
Wong, Man Hong.
Thesis (Ph.D.)--Chinese University of Hong Kong, 2012.
Includes bibliographical references (leaves 134-147).
Abstract also in Chinese.
Abstract --- p.i
摘要 --- p.ii
Acknowledgement --- p.iii
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Meeting the S-Lemma --- p.5
Chapter 3 --- A strongly robust formulation --- p.13
Chapter 3.1 --- A more practical extension for robust optimization --- p.13
Chapter 3.1.1 --- Motivation from modeling aspect --- p.13
Chapter 3.1.2 --- Discussion of a more robust condition --- p.15
Chapter 4 --- Theoretical developments --- p.19
Chapter 4.1 --- Definition of several order relations --- p.19
Chapter 4.2 --- S-Lemma with a single condition g(x)≥0 --- p.20
Chapter 5 --- Confidence bands in polynomial regression --- p.47
Chapter 5.1 --- An introduction --- p.47
Chapter 5.1.1 --- A review on robust optimization, nonnegative polynomials and SDP --- p.49
Chapter 5.1.2 --- A review on the confidence bands --- p.50
Chapter 5.1.3 --- Our contribution --- p.51
Chapter 5.2 --- Some preliminaries on optimization --- p.52
Chapter 5.2.1 --- Robust optimization --- p.52
Chapter 5.2.2 --- Semidefinite programming and LMIs --- p.53
Chapter 5.2.3 --- Nonnegative polynomials with SDP --- p.55
Chapter 5.3 --- Some preliminaries on linear regression and confidence region --- p.59
Chapter 5.4 --- Optimization approach to the confidence bands construction --- p.63
Chapter 5.5 --- Numerical experiments --- p.66
Chapter 5.5.1 --- Linear regression example --- p.66
Chapter 5.5.2 --- Polynomial regression example --- p.67
Chapter 5.6 --- Conclusion --- p.70
Chapter 6 --- Moment bound of nonlinear risk measures --- p.72
Chapter 6.1 --- Introduction --- p.72
Chapter 6.1.1 --- Motivation --- p.72
Chapter 6.1.2 --- Robustness and moment bounds --- p.74
Chapter 6.1.3 --- Literature review in general --- p.76
Chapter 6.1.4 --- More literature review in actuarial science --- p.78
Chapter 6.1.5 --- Our contribution --- p.79
Chapter 6.2 --- Methodological fundamentals behind the moment bounds --- p.81
Chapter 6.2.1 --- Dual formulations, duality and tight bounds --- p.82
Chapter 6.2.2 --- SDP and LMIs for some dual problems --- p.84
Chapter 6.3 --- Worst expectation and worst risk measures on annuity payments --- p.87
Chapter 6.3.1 --- The worst mortgage payments --- p.88
Chapter 6.3.2 --- The worst probability of repayment failure --- p.89
Chapter 6.3.3 --- The worst expected downside risk of exceeding the threshold --- p.90
Chapter 6.4 --- Numerical examples for risk management --- p.94
Chapter 6.4.1 --- A mortgage example --- p.94
Chapter 6.4.2 --- An annuity example --- p.97
Chapter 6.5 --- Conclusion --- p.100
Chapter 7 --- Computing distributional robust probability functions --- p.101
Chapter 7.1 --- Distributional robust function with a single random variable --- p.105
Chapter 7.2 --- Moment bound of joint probability --- p.108
Chapter 7.2.1 --- Constraint (7.5) in LMIs --- p.112
Chapter 7.2.2 --- Constraint (7.6) in LMIs --- p.112
Chapter 7.2.3 --- Constraint (7.7) in LMIs --- p.116
Chapter 7.3 --- Several model extensions --- p.119
Chapter 7.3.1 --- Moment bound of probability of union events --- p.119
Chapter 7.3.2 --- The variety of domain of x --- p.120
Chapter 7.3.3 --- Higher moments incorporated --- p.123
Chapter 7.4 --- Applications of the moment bound --- p.124
Chapter 7.4.1 --- The Riemann integrable set approximation --- p.124
Chapter 7.4.2 --- Worst-case simultaneous VaR --- p.124
Chapter 7.5 --- Conclusion --- p.126
Chapter 8 --- Concluding Remarks and Future Directions --- p.127
Chapter A --- Nonnegative univariate polynomials --- p.129
Chapter B --- First and second moment of (7.2) --- p.131
Bibliography --- p.134
Schwartz, Carmit M. Economics Australian School of Business UNSW. "Individuals' responses to changes in risk: a person-specific analysis." 2007. http://handle.unsw.edu.au/1959.4/40575.
Full text