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Dissertations / Theses on the topic 'Risk'
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Svindland, Gregor. "Convex Risk Measures Beyond Bounded Risks." Diss., lmu, 2009. http://nbn-resolving.de/urn:nbn:de:bvb:19-97156.
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Krewski, D. "Risk and risk management." Thesis, University of Ottawa (Canada), 1988. http://hdl.handle.net/10393/5272.
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Yang, Fan. "Asymptotics for Risk Measures of Extreme Risks." Diss., University of Iowa, 2013. https://ir.uiowa.edu/etd/4928.
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This thesis focuses on measuring extreme risks in insurance business. We mainly use extreme value theory to develop asymptotics for risk measures. We also study the characterization of upper comonotonicity for multiple extreme risks.
Firstly, we conduct asymptotics for the Haezendonck--Goovaerts (HG) risk measure of extreme risks at high confidence levels, which serves as an alternative way to statistical simulations. We split the study of this problem into two steps. In the first step, we concentrate on the HG risk measure with a power Young function, which yields certain explicitness. Then we derive asymptotics for a risk variable with a distribution function that belongs to one of the three max-domains of attraction separately. We extend our asymptotic study to the HG risk measure with a general Young function in the second step. We study this problem using different approaches and overcome a lot of technical difficulties. The risk variable is assumed to follow a distribution function that belongs to the max-domain of attraction of the generalized extreme value distribution and we show a unified proof for all three max-domains of attraction.
Secondly, we study the first- and second-order asymptotics for the tail distortion risk measure of extreme risks. Similarly as in the first part, we develop the first-order asymptotics for the tail distortion risk measure of a risk variable that follows a distribution function belonging to the max-domain of attraction of the generalized extreme value distribution. In order to improve the accuracy of the first-order asymptotics, we further develop the second-order asymptotics for the tail distortion risk measure. Numerical examples are carried out to show the accuracy of both asymptotics and the great improvements of the second-order asymptotics.
Lastly, we characterize the upper comonotonicity via tail convex order. For any given marginal distributions, a maximal random vector with respect to tail convex order is proved to be upper comonotonic under suitable conditions. As an application, we consider the computation of the HG risk measure of the sum of upper comonotonic random variables with exponential marginal distributions.
The methodology developed in this thesis is expected to work with the same efficiency for generalized quantiles (such as expectile, Lp-quantiles, ML-quantiles and Orlicz quantiles), quantile based risk measures or risk measures which focus on the tail areas, and also work well on capital allocation problems.
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Qazi, Abroon. "Supply chain risk management : exploring an integrated process for managing interdependent risks and risk mitigation strategies." Thesis, University of Strathclyde, 2017. http://digitool.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=27944.
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The goal of this research is to investigate interdependency modelling of supply chain risks, and to develop and empirically evaluate a supply chain risk management process that not only integrates all stages of the process but also captures interdependencies between risks and risk mitigation strategies. The proposed process is tailored to the risk management needs of both conventional and project driven supply chains. Project driven supply chains necessitate experimenting untested (unique) strategies depending on the level of project complexity whereas in the case of conventional supply chains, there is generally a consensus in establishing interdependencies between risks and the efficacy of strategies. A systematic literature review methodology was employed to identify research gaps and establish the research agenda. In order to gain an insight into industrial practice, empirical research was conducted in South Australia involving semi-structured interviews with experts in project risk management that resulted in the development of a project complexity and risk management (ProCRiM) process. The research gaps identified and the findings of the empirical research helped in developing dependency based probabilistic supply chain risk measures that can be readily used for assessing and managing risks associated with global supply chains. In order to capture interdependencies between supply chain risks, strategies and performance measures, two case studies were conducted in reputed supply chains involving semi-structured interviews and focus group sessions that resulted in the development of two risk management frameworks: an adapted version of ProCRiM applicable to project driven supply chains and a framework specific to conventional supply chains. The research also focused on investigating the merits and challenges associated with implementing the proposed process. In order to capture the risk appetite of a decision maker, a process namely supply chain risk network management is developed and illustrated through a simulation study.
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Lindström, Anders, Victor Lopez, and Daniel Sivertsson. "Risky Business : En studie i avkastning och risk." Thesis, Örebro University, Department of Business, Economics, Statistics and Informatics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-1015.
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Sammanfattning
Denna uppsats undersöker möjligheterna att bedöma en akties framtida risk och avkastning med hjälp av nyckeltalen soliditet och marknadstillväxt. För att göra detta undersöks företag noterade på Stockholmsbörsen under perioden 2004-12-31 till 2006-06-30. Analysen görs med hjälp av linjär regression och visar att nyckeltalen inte har något signifikant samband med risk och avkastning med reservation för ett lågt men signifikant samband mellan marknadstillväxt och beta på 5%-nivå.
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This essay sets out to explore the possibilities of determining the risk and return of a stock by means of a company’s financial structure and growth in market value. The research is done by analysing stocks on the Stockholm Stock Exchange during the period 31-12-2004 to 30-06-2006. The stocks are analysed using linear regression and shows that there is no significant relationship between the growth in market value, financial structure and risk and return save for a small but significant relationship between growth in market value and beta on a 5% significance level.
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Wolf, Elke. "IS risks and operational risk management in banks /." Lohmar : Eul, 2005. http://www.gbv.de/dms/zbw/480662231.pdf.
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Tang, Zhaofeng. "Quantitative risk management under systematic and systemic risks." Diss., University of Iowa, 2019. https://ir.uiowa.edu/etd/7035.
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The contemporary risk management practice emphasizes the interplay of multilevel risks, of which the systematic and systemic risks are considered the main culprits of catastrophic losses. With this in mind, this thesis investigates three important topics in quantitative risk management, in which the systematic and systemic risks play a devastating role.
First of all, we center on the design of reinsurance policies that accommodate the joint interests of the insurer and reinsurer by drawing upon the celebrated notion of Pareto optimality in the context of a distortion-risk-measure-based model. Such a topic is of considerable practical interest in the current post financial crisis era when people have witnessed the significant systemic risk posed by the insurance industry and the vulnerability of insurance companies to systemic events. Specifically, we characterize the set of Pareto-optimal reinsurance policies analytically and introduce the Pareto frontier to visualize the insurer-reinsurer trade-off structure geometrically. Another enormous merit of developing the Pareto frontier is the considerable ease with which Pareto-optimal reinsurance policies can be constructed even in the presence of the insurer's and reinsurer's individual risk constraints. A strikingly simple graphical search of these constrained policies is performed in the special cases of value-at-risk and tail value-at-risk.
Secondly, we propose probabilistic and structural characterizations for insurance indemnities that are universally marketable in the sense that they appeal to both policyholders and insurers irrespective of their risk preferences and risk profiles. We begin with the univariate case where there is a single risk facing the policyholder, then extend our results to the case where multiple possibly dependent risks co-exist according to a mixture structure capturing policyholder's exposure to systematic and systemic risks.
Next, we study the asymptotic behavior of the loss from defaults of a large credit portfolio. We consider a static structural model in which latent variables governing individual defaults follow a mixture structure incorporating idiosyncratic, systematic, and systemic risks. The portfolio effect, namely the decrease in overall risk due to the portfolio size increase, is taken into account. We derive sharp asymptotics for the tail probability of the portfolio loss as the portfolio size becomes large and our main finding is that the occurrence of large losses can be attributed to either the common shock variable or systematic risk factor, whichever has a heavier tail.
Finally, we extend the asymptotic study of loss from defaults of a large credit portfolio under an amalgamated model. Aiming at investigating the dependence among the risk components of each obligor, we propose a static structural model in which each obligor's default indicator, loss given default, and exposure at default are respectively governed by three dependent latent variables with exposure to idiosyncratic, systematic, and systemic risks. The asymptotic distribution as well as the asymptotic value-at-risk and expected shortfall of the portfolio loss are obtained. The results are further refined when a specific mixture structure is employed for latent variables.
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Hager, Peter. "Corporate Risk Management : Cash Flow at Risk und Value at Risk /." Frankfurt am Main : Bankakademie-Verl, 2004. http://www.gbv.de/dms/zbw/378196367.pdf.
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Wang, Andrew J. "Risk allocation for temporal risk assessment." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/85516.
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Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2013.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 63-64).
Temporal uncertainty arises when performing any activity in the natural world. When activities are composed into temporal plans, then, there is a risk of not meeting the plan requirements. Currently, we do not have quantitatively precise methods for assessing temporal risk of a plan. Existing methods that deal with temporal uncertainty either forgo probabilistic models or try to optimize a single objective, rather than satisfy multiple objectives. This thesis offers a method for evaluating whether a schedule exists that meets a set of temporal constraints, with acceptable risk of failure. Our key insight is to assume a form of risk allocation to each source of temporal uncertainty in our plan, such that we may reformulate the probabilistic plan into an STNU parameterized on the risk allocation. We show that the problem becomes a deterministic one of finding a risk allocation which implies a schedulable STNU within acceptable risk. By leveraging the principles behind STNU analysis, we derive conditions which encode this problem as a convex feasibility program over risk allocations. Furthermore, these conditions may be learned incrementally as temporal conflicts. Thus, to boost computational efficiency, we employ a generate-and-test approach to determine whether a schedule may be found.
by Andrew J. Wang.
M. Eng.
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Blomqvist, T. (Teemu). "Low risk investing and risk parity." Master's thesis, University of Oulu, 2017. http://urn.fi/URN:NBN:fi:oulu-201701121066.
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This thesis finds evidence of the outperformance of the risk parity (RP) strategies in comparison to the traditional equal-weighted portfolios. The empirical study focuses on backtesting the portfolio strategies by using two datasets, a long sample and a broad sample. The long sample data consists of U.S. common stocks listed in NYSE, AMEX and NASDAQ as well as U.S. government bonds over January 1929 to December 2015. The broad sample consists of global multi-asset index data including stocks, bonds, credit, commodities, real estate and hedge funds over January 2002 to December 2015.
Risk parity refers to the asset allocation strategy that diversifies by risk, not by dollars. As stocks are much more volatile than bonds, traditionally diversified portfolios such as equal-weighted portfolio or market capitalization-weighted portfolio are most likely dominated by risks raising from equity markets. An optimal RP portfolio consists of equal risk contribution between and within asset classes. Put simply, a RP investor overweights low risk assets and underweights high risk assets.
The main objective of the thesis is to evaluate the performance of two RP strategies, the inverse volatility method and the equal risk contribution method, in comparison to the equal-weighted portfolios. As a RP portfolio typically has a heavy allocation in low risk assets, the strategy requires leverage to raise the expected return to desired levels. Hence, this thesis focuses on analysis of both strategies, leveraged and unleveraged RP portfolios. The main analysis is carried out in several phases including market friction adjusted and unadjusted analyses. In addition, the strategies are tested in different interest rate environments. The performance of the portfolios is measured by realized Sharpe ratios. The study also observes abnormal returns by using a simple regression model.
The key findings of the study are as follows: The RP strategies outperform the traditional equal-weighted portfolios on risk-adjusted basis after adjustments for market frictions. The unleveraged RP portfolios deliver higher Sharpe ratios than leveraged portfolios. However, the leveraged RP portfolio still achieves a higher Sharpe ration in comparison to the equal-weighted portfolio. The RP strategies underperform when interest rates are rising moderately or sharply. The equal risk contribution method outperforms the inverse volatility method.
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Turac, Jannis. "Risks with construction project risk management : An insight into how professionals within the construction industry manage risk." Thesis, KTH, Ledning och organisering i byggande och förvaltning, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277014.
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In one of the largest and most important industries in Sweden, the construction industry, the success of the projects can be closely related to how uncertainties of outcomes or risk are managed. For a construction project to be successful, different individuals and organizations need to provide their knowledge and experience to fulfill the project scope. Risk is something that, if properly managed, will make the project achieve and perhaps surpass these goals and if not, make the project underperform. There exist frameworks for how risk should be managed and also theories for how past experience influence future decisions. How risk within construction projects are managed is related to the experience of the team members as well as top management’s insight in the risk management process. Through a qualitative approach, based on literature as well as interviews, this master thesis provides an insight into how the key project participants are managing risk. Further, this study examines possible shortcomings with risk management practices and proposes management strategies for these. In this study, consultants working with both developers and contractors have been included to share their view. The results of this study show that current risk management practices deviate from the practice proposed within research and industry related literature. This makes the construction projects to rely heavily on individual’s knowledge and there is a risk that lessons learned will not be spread within the organization or the society. Further, risk and opportunities are often managed within the same framework which does not provide for risk to be managed accordingly and opportunities to be exploited. It is proposed that professionals within the industry have a risk propensity that is rather unchanged by gaining more experience but there exists a shift in how risk is perceived. These findings are closely related to how much insight top management within the organization have. Today, most efforts are concentrated on how the project is performing in relation to the budget and schedule which makes risk management a reactive rather than a proactive measure.I en av Sveriges största och viktigaste branscher, byggbranschen, kan byggprojektens resultat vara nära relaterat till hur osäkerheter samt risk hanteras. För att ett byggprojekt ska bli framgångsrikt måste alla inblandande parter bidra med sina kunskaper och erfarenheter för att uppfylla projektets mål. Risk är någonting som genom en bra hantering antingen kan överträffa dessa mål eller istället göra att projektet misslyckas att nå dessa. Det finns ramverk för hur risker ska hanteras samt teorier för hur tidigare erfarenheter påverkar framtida beslut. Hur risker inom byggprojekt hanteras är relaterat till projektgruppernas erfarenhet samt företagsledningens insyn i riskhanteringsprocessen. Genom en kvalitativ studie baserad på såväl litteratur som intervjuer ger denna masteruppsats en inblick i hur de viktigaste projektdeltagarna hanterar risk. Vidare undersöker denna uppsats även vilka risker själva riskhanteringsprocessen har samt föreslår åtgärder för dessa. I denna studie har konsulter med erfarenheter av att arbeta med både beställare och byggentreprenörer inkluderats för att få en så bred syn som möjligt på hanteringen från de olika parterna. Resultatet av denna studie visar att den nuvarande riskhanteringsprocessen inom flera av organisationerna avviker från den modell som förespråkas av forskning och branschorganisationer. Detta gör att organisationerna ofta förlitar sig på individernas kunskap och att lärdomar sprids dåligt inom organisationen och samhället. Vidare så hanteras risker och möjligheter ofta på samma sätt vilket innebär att risker inte hanteras rätt och möjligheter utnyttjas inte. Dessutom verkar yrkesverksamma inom branschen ha en riskbenägenhet som är relativt oförändrad av erfarenhet men deras uppfattning av risk förskjuts. Resultaten är nära relaterade till hur stor insyn och delaktighet organisationernas ledning har i själva riskhanteringsprocessen. Idag handlar det mycket om att ledningen har en reaktiv inställning till risker, efter att dessa fallit ut, istället för att ta till proaktiva åtgärder.
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Abdullah, Hanifa. "A risk analysis and risk management methodology for mitigating wireless local area networks (WLANs) intrusion security risks." Diss., Pretoria : [s.n.], 2006. http://upetd.up.ac.za/thesis/available/etd-10122006-155850.
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Christensen, Morten, and Daniel Tågmark. "Banking risks and the risk of banking : A quantitative study on risk for banks using key indicators." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-30420.
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The financial sector plays a key role in each country economic system. Banks tend to have the biggest influence in this sector and play a major role in a country's economic development and wealth. In this case Banks are different to other large companies, and nowadays we can even see that banking is getting more and more globalized and even universal. But even banks suffer decline and times of lack in prosperity. This is often shown in financial crisis where banks tend to hurt more than other large companies, such as the financial crisis in 2007-2009. There are models and key indicators that can measure a bank's overall performance and how well it would stand in times of financial decline, using variables and making calculation through key indicators from the banks. There are two ways a bank can be affected and influenced on; through internal- and external factors. Many of the models being used today focuses on the internal factors, simply because they are the easiest to recover and for the banks to adjust and affect. This deductive study examines which key indicators can be used to measure the soundness of the largest banks in the Baltic Sea region, combining the internal factors with external factors to try to achieve a greater overall view from the most current financial periods of distresses to the current date.Den finansiella sektorn spelar en huvudroll i varje ekonomiskt system. Banker tenderar att ha det största inflytande på denna sektor och spelar en huvudroll i varje lands ekonomiska utveckling och välmående. På detta sätt är banker annorlunda än andra stora företag, och numera kan även konstatera att även bankväsendet har blivit mer global och även mer universell. Men även banker genomgår perioder med brist i välstånd. Det är ofta visat i ekonomiska kriser att banker tenderar att genomgå svårare perioder än många andra företag, så som i den finansiella krisen 2007-2009. Det finns modeller och nyckeltal som mäter bankers övergripande prestation och hur väl bankerna skulle stå sig i sämre tider, genom att använda variabler och utgöra beräkningar genom nyckeltal från bankerna. Det finns två sätt en bank kan bli influerad och påverkad på; genom interna- och externa faktorer. Många av de modeller som finns idag fokuserar på de interna faktorerna, just för att de är de faktorerna som oftast är enklast för bankerna att justera och påverka. Den här deduktiva studien har undersökt nyckeltal som kan användas för att mäta välmående på de största bankerna inom Östersjöområdet, kombinerat med både de interna- och externa faktorer för att försöka uppnå en mer komplett helhets bild från de senaste finansiella kriserna upp till idag.
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Ma, Shichao, and 马世超. "Stakeholder risk attitudes in safety risk management : exploring the relationship between risk attitude and safety risk management performance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2015. http://hdl.handle.net/10722/210183.
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A construction project requires a multitude of people with different skills and interests and the coordination of a wide range of disparate, yet interrelated, activities. Such complexity is further compounded by the unique characteristics of a project and many other external uncertainties. As a result, construction is subject to more risk than other business activities. In a risky situation, individuals or organizations perceive the situation in their own ways and behave differently to meet their own interests. Many researchers have asserted that divergent risk attitudes are sources of mismatched risk perceptions and inconsistent behaviors among project participants in different organizations, which can disturb proactive and consistent organizational activities. The research on risk attitude has, therefore, been advocated to exploring ways to consistently arouse people‘s cognition, affection, and behavior among stakeholders. However, previous research has been a widely misunderstood concept and remains a fragmented focus in the construction field. Evidence on the construction of risk attitude and how it manifests itself is unavailable. To date, prior researchers have suffered from an issue-oriented focus that has resulted in simplified models by studying single level of antecedents of risk attitude and consequences of management performance, rather than multi-level. Moreover, previous studies only focused on the direct relationship between risk attitude and management performance instead of providing a profound conceptualization of the indirect relationship between risk attitude and management performance or empirically exploring risk attitude‘s antecedents and consequences. The current study seeks to bridge this research gap.
Triangulation research is employed as an appropriate research methodology in which both qualitative and quantitative data collection are used to test the research propositions. The research plan draws upon ontology and methodological pluralism.
By adopting the Critical Incident Technique (CIT), coupled with an intensive literature review, one can explore the manifestation of risk attitude and its antecedents by analyzing critical incidents derived from preliminary interviews. Cognitive Motivation Theory (CMT) and Social Cognitive Theory (SCT) provide rationales to combine a processed view of risk attitude and the antecedents and management performance of individuals and organizations into a multi-level model of risk attitude. Responses to a questionnaire survey of 239 individuals nested in 61organizations were analyzed with a blend of Confirmatory Factor Analysis (CFA) and Hierarchical Linear Modeling (HLM) to establish and examine the hypothesized relationships in the theoretical model. To capture the practical manifestation of risk attitude and its influence on management performance, case studies of two ongoing construction projects were performed.
The findings summarized from both qualitative and quantitative studies indicated that risk attitude diverged due to the multi-level influences of its antecedents on project participants, resulting in inconsistent risk perception and risk inclinations. Risk attitude has two levels of manifestation – an individual and organization level. Individual risk attitude manifests itself as cognition, affection, and behavioral inclination, while organizational risk attitude mainly shows up as managerial trust, formalization, an ambiguity of goals and objectives, and a merit system. The findings confirmed that motivated individuals tend to present more consistent risk attitude and be more willing to and capable of exhibiting good management performance. The motivation behind this study is beyond the traditional motivational means. It extends from internal motivation with its locus of control and self-efficacy to external motivation with its interpersonal exchanges, external controls, and observational learning. The risk attitudes of motivated people to evoke better management performance, especially in the process of integrating risk management into a safety management system and the outcome performance of a stakeholder‘s satisfaction and potential to organizations.
The research attempts to advance risk attitude theory by re-conceptualizing the antecedents of risk attitude and the consequences of management performance make the underlying theorizing mechanism explicit and testable. This study also provides practical indications of concrete interventions by managers to make risk attitudes converge and then strengthen safety risk management. The thesis contributes to multi-level analysis in the management research field and differentiates the different levels of participants in construction projects. Methodological pluralism and blended qualitative and quantitative research methods will be addressed to demonstrate the different and complementary perspectives of research. Due to limited samples, the generalizability of the findings in the different project types or across other levels needs to be further verified.published_or_final_version
Real Estate and Construction
Doctoral
Doctor of Philosophy
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Jeffers, Akele. "Perceived Risk for HIV among High Risk Individuals: A Comparison of Adolescents and Adults." Digital Archive @ GSU, 2012. http://digitalarchive.gsu.edu/iph_theses/230.
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The United States continues to be affected by the HIV/AIDS epidemic, and now public health is faced with new challenges in mitigating the spread of the disease. African-Americans are disproportionately affected by HIV and a further understanding about the factors that influence high risk sexual behaviors needs to be continuously examined. The aim of this study was to understand and compare the the perception of HIV risk and factors associated with risk perception in high risk adult and adolescent groups. After multivariate analysis, having multiple partners was the only predictor of an increased risk perception among adults. Among adolescents, no significant relationship was found between HIV risk indicators and having an increased HIV risk perception. Both adults and adolescents appeared to underestimate their HIV risk based on their reported risk sexual behaviors. More work is necessary to help adolescents accurately assess their risk of infection.
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Černák, Peter. "Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76579.
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The Master's Thesis deals with the topic of risk management in a non-financial company. The goal of this Thesis is to create a framework for review of risk management process and to practically apply it in a case study. Objectives of the theoretical parts are: stating the reasons for risk management in non-financial companies, addressing the main parts of risk management and providing guidance for review of risk management process. A special attention is paid to financial risks. The practical part applies the framework created in the theoretical part on a case study -- review/gap analysis of risk management process in a Czech non-financial companies operating in utilities. Risk management process in this company is described with a special attention to management of financial risk. Author's own remarks on the process and recommendations are stated in the practical part.
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Viklund, Mattias. "Risk policy : trust, risk perception, and attitudes." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2002. http://www.hhs.se/efi/summary/604.htm.
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Purewsuren, Zazral. "Sovereign risk and structural credit risk models." Thesis, University of Sheffield, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.577690.
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This thesis is an analysis of sovereign default using option pricing models. The first part of the thesis applies the structural credit risk models of Gapen, Gray, Lim and Xiao, (GGLX) and Karmann and Maltritz (KM) to 25 countries accounting for about 75% of global GDP. The GGLX model underestimates sovereign spread and hence the probability of default. This confirms one of the main criticisms of structural credit risk models when applied to corporate default. By contrast, the estimates produced by the KM are far too high; the estimated probability of default is almost one in some cases. The second part of the thesis estimates the default risk indicators using the GGLX model in conjunction a number of different assumptions about the value of sovereign assets. It also uses market values of sovereign spread, which thus becomes an input to the model rather than an output. These approaches have not been reported in the literature before. In addition, Ito's lemma is used derive the corresponding geometric Brownian motion for sovereign spread. Using the new approach, the implied probabilities of default are larger than those obtained using standard GGLX. The model also gives revised values for domestic currency liability and its volatility. These are larger than the values reported by national agencies, thus contributing to the explanation of why structural credit risk models underestimate real-world credit spreads and the risk of default. The outputs from the model also lead to the construction of balance sheet ratios, which contribute to information about the likelihood of sovereign default. Overall, the new model results in default rankings and associated measures which are significantly more realistic than those produced by the standard GGLX model.
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Liu, Yi. "Essays on systemic risk and risk spillovers." Thesis, University of Birmingham, 2017. http://etheses.bham.ac.uk//id/eprint/7313/.
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This thesis studies the implications of risk spillover effects in the systemic risk regarding the financial institutions and the financial system. We study the risk spillovers from sovereign CDS market to financial CDS market and the systemic risk contributions of sovereign countries. We then extend the previous study to investigate the dynamics of sovereign risk spillovers to the sovereign bond market, sovereign CDS market, and the national banking sectors, and we examine the interdependence of these markets. Lastly, we study the implications of network interconnectedness of the financial institutions and its contributions to systemic risk. Our research provides deeper understanding regarding the systemic risk and risk spillovers, and offer practical empirical evidence regarding the regulation of financial institutions.
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Nilsson, Joachim, and Gabriel Adéla. "Reducering utav enkät : Risk mot icke-risk." Thesis, Linköpings universitet, Statistik och maskininlärning, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-179203.
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I denna rapport kommer det jämföras tre modeller inom tre olika metoder som är “Klassisk test teori”, “Itemrespons theory” och “Forward selection” för att undersöka ifall det är möjligt att minska antalet frågor ner tillcirka fyra frågor och ändå kunna prediktera de utfall som erhåller ingen risk i en enkät om spelproblematik medgod säkerhet. För varje metod så kommer det presenteras en modell med två frågor, en modell med fyra frågoroch slutligen en modell med sex frågor samt dess precision på hur väl de kan prediktera de med ingen riskkorrekt. Samtlig modellframtagning använder sig utav en träningsmängd utav datamaterialet och valideringensker på en testmängd, detta för att undvika överanpassning utav modeller. För att dessa metoder skall kunna prestera så bra som möjligt har en del databearbetning utförts så somatt hantera bortfall, extremvärden samt avgränsningar för att samtliga metoder skall fungera. Flera utav modellerna kan prediktera korrekt med över 90% säkerhet och slutgiltligen erhålls en modell inomforward selection metoden som med enbart fyra utav femton frågor kan prediktera 93,5% korrekt.
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Mulhern, Brian G. "Risky business: risk tolerance in U.S. Army Special Forces." Thesis, Monterey, California: Naval Postgraduate School, 2014. http://hdl.handle.net/10945/42694.
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Approved for public release; distribution is unlimitedThis research looks at the issue of risk tolerance, and analyzes its role in U.S. Army Special Forces (SF). More specifically, it assesses the degree to which senior members of an organization allow junior members to make autonomous decisions, and argues that the unconventional warfare (UW) mission and nature of SF call for a higher degree of risk tolerance than is seen in conventional forces. A longitudinal case study of the conflict in Afghanistan shows that in 2001 SF had a long leash to allow for autonomy and flexibility, which was necessary to succeed in a UW environment. However, by 2006, the leash was shortened and more control measures were implemented. While a short leash may be appropriate for a conventional battlefield, it adversely impacts SF effectiveness in a UW environment. The three main reasons that induce risk aversion in SF leaders are exogenous political factors, organizational considerations including chain of command, and organizational culture, which is reinforced by the current Army officer evaluation system. This analysis suggests that the deleterious impact of these factors needs to be addressed in SF.
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Simpson, S. H. ""Anything's risky" : a theoretical examination of adolescent risk decisions." Thesis, Queen's University Belfast, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.676737.
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This thesis examines how young people define and use risk in their everyday lives. A constructivist methodology was adopted and eleven focus group discussions were conducted in Belfast, Northern Ireland. Focus groups were utilised to capture the 'group effect. and how it relates to the construction of risk. The research allowed young people to nominate and define the risks discussed in the research allowing for both positive and negative risks to emerge. Ultimately, the goal of this research was to capture young people's decision making processes whether to participate in risk activities or not. This research challenges traditional notions that risk is a negative construct which is rationally avoided using three risk theories; (1) risk society thesis (espoused by Ulrich Beck), (2) cultural theory (championed by Mary Douglas) and (3) governmentality (developed by Michel Foucault). The analysis utilises a variety of risk behaviours (as defined by the respondents) to construct a more comprehensive understanding of risk. Three analysis chapters are presented which discuss (1) risk, power and regulation, (2) risk, uncertainty and otherness, and (3) risk, subjectivity and positive risk. What emerge are dichotomies within and between the theory and findings which are relevant to the themes of knowledge, control and experience. These dichotomies are mapped against three types of intervention (1) Cross community programmes, (2) youth sport initiatives and (3) formal education and used to form recommendations to inform policy and practice.
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Nelson, Laura Kathleen. "Risky business: social media metrics and political risk analysis." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13626.
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Quantifying country risk – and in particular, political risk – poses great difficulties for business, institutions, and investors alike. As economic indicators are updated far less frequently than Facebook feeds, it can be challenging for political risk analysts to understand, and more importantly measure, what is taking place in real time on the ground. However, with the growing availability of big data from social media platforms such as Twitter, now is an opportune moment to examine the types of social media metrics that are available and the limitations to applying them to country risk analysis, particularly during episodes of political upheaval. This study, using the qualitative method of bibliographical research, identifies the current landscape of data available from Twitter, analyzes the current and potential methods of analysis, and discusses their possible application to the field of political risk analysis. After a thorough review of the field to date, and given the expected near- to medium-term technological advancements, this study concludes that despite obstacles like the cost of data storage, limitations of real-time analysis, and the potential for data manipulation, the potential benefits of the application of social media metrics to the field of political risk analysis, particularly for structured-qualitative and quantitative models, outweigh the challenges.
A quantificação do risco país – e do risco político em particular – levanta várias dificuldades às empresas, instituições, e investidores. Como os indicadores econômicos são atualizados com muito menos freqüência do que o Facebook, compreender, e mais precisamente, medir – o que está ocorrendo no terreno em tempo real pode constituir um desafio para os analistas de risco político. No entanto, com a crescente disponibilidade de 'big data' de ferramentas sociais como o Twitter, agora é o momento oportuno para examinar os tipos de métricas das ferramentas sociais que estão disponíveis e as limitações da sua aplicação para a análise de risco país, especialmente durante episódios de violência política. Utilizando o método qualitativo de pesquisa bibliográfica, este estudo identifica a paisagem atual de dados disponíveis a partir do Twitter, analisa os métodos atuais e potenciais de análise, e discute a sua possível aplicação no campo da análise de risco político. Depois de uma revisão completa do campo até hoje, e tendo em conta os avanços tecnológicos esperados a curto e médio prazo, este estudo conclui que, apesar de obstáculos como o custo de armazenamento de informação, as limitações da análise em tempo real, e o potencial para a manipulação de dados, os benefícios potenciais da aplicação de métricas de ferramentas sociais para o campo da análise de risco político, particularmente para os modelos qualitativos-estruturados e quantitativos, claramente superam os desafios.
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Gallagher, Elisabeth. "Studies in risk analysis, with an emphasis on risk assessment and risk communication." Thesis, Royal Veterinary College (University of London), 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.419975.
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Etheridge, B. "The effect of income risk, asset risk and policy risk on household behaviour." Thesis, University College London (University of London), 2012. http://discovery.ucl.ac.uk/1354484/.
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This thesis quantitatively examines the types of risk that households face, how they prepare for these risks, and the effect of these risks on inequality. The first substantive chapter reviews the evolution of inequality over 1978 to 2005 in the UK along several dimensions and serves as an introduction to subsequent chapters. Following the inequality surge in the 1980s, inequality generally rose more slowly in the 1990s on most measures. The second chapter seeks to explain a puzzling episode in the evolution of inequality in the late 1990s: consumption inequality rose while income inequality fell. I explain this episode by accounting for two features of the UK economy over the period: a house price boom and a sequence of redistributive reforms by the new Labour government. I conclude that asset price movements and government policies can have a noticeable effect on `permanent' (consumption) inequality and that the redistributive effect of the reforms was largely undone by the coincident house price boom. The third chapter uses panel data over 1991 to 2006 to estimate the transmission of income shocks through to consumption. Only around 50% of `permanent' income shocks are transmitted. This estimate reconciles two views of risk over the period: long-lasting income fluctuations, measured by panel data on incomes alone, were high, while consumption risk, measured by the growth in consumption inequality, was much lower. The results further indicate that such income `shocks' are either not fully permanent or are often foreseen by younger households. The fourth chapter theoretically examines the precautionary savings motive for consecutive income risks. In most cases (and particularly when facing permanent shocks) households can combine saving for near-term risks with saving for long-term risks. I term this saving `complementary'. However, in some interesting cases, the interaction of future risks ampli es the precautionary motive.
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Brink, Charlotte H. "Measuring political risk as risks to foreign investment : a computer-assisted model for analysing and managing political risk." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/52929.
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Thesis (PhD)--University of Stellenbosch, 2002.ENGLISH ABSTRACT: As the title suggests, the major challenge that this study faces is to set out and design a model for analysing and enabling the management of political risk as investment risk - a model that is both sensitive to and reflective of the comprehensive business and investment climate in a country, not only credit or country risk, or only pure political risk in its narrowest definition. In reading about past and more recent research in the field of political risk analysis, it becomes clear that many authors begin by noting the diversity and the discrepancies of the existing definitions of political risk, but evidence in political risk insurance shows that the major perceived political risks that investors insure their interests against seem to be confiscation, expropriation and nationalisation. In the light of this study's findings though, a case can be put forward for urging that the conceptualisation of political risk be extended to further include any or all of the micro political risk factors and their indicators that have been identified to ensure that political events do not impact negatively on a foreign company's profitability. Foreign investors put assets at risk to achieve their objectives and the assessment of these risks, including political risks, is the key to successful operations. Opportunities and risks are often two sides of the same coin and political risk comprises a large part of the environmental forces in terms of the management challenges a Multinational Company (MNC) faces in any investment climate. A firm's foreign investment strategy deals with the positioning of the organisation in an uncertain host country environment and investment climate. This study attempts to explain how a firm's political risk exposure, which refers to the sensitivity of a firm's projected profitability and operationability in a host country to changes in the investment climate, could be managed and reduced. It is hoped that political risk analysis and management can assist foreign operations in managing the risks that might have otherwise proven to be destructive to profitability and operationability. It is irresponsible to present a potential investor with a risk assessment that does not incorporate political risk factors and their indicators, let alone environmental, societal and socio-economic risk factor indicators. Ultimately any business climate, regardless of the country being studied, is underwritten by a political system, political climate, political culture and business culture of the system in which foreign business wishes to operate profitably. What is often labelled as unnecessary and irrelevant detail in risk analysis often results in a lack of using micro risk factors and their indicators and an underestimation of the importance of such micro risk indicators. Hopefully this study takes up the challenge of showing that political risk can be managed and political risk analysis can be made more precise - that it is possible to measure and manage political risk.
AFRIKAANSE OPSOMMING: Soos die titel van hierdie studie voorstel is een van die grootste uitdagings die ontwerp van 'n model vir die analise van politieke risiko as beleggingsrisiko - 'n model wat ter selfde tyd sensitief is vir en weerspieëlend van 'n land se algemeen omvattende besigheids- en beleggingsklimaat, en nie slegs suiwer politieke risiko in die nouste sin van die woord nie. 'n Literatuurstudie van meer onlangse navorsing, asook navorsing wat in die verlede gedoen is oor politieke risiko en die analise daarvan, dui daarop dat baie outeurs melding maak van die diversiteit en teenstrydighede in die bestaande definisies van politieke risiko. Die teenwoordigheid van versekering teen politieke risiko wys egter daarop dat die primêre politieke risiko's waarteen beleggers hulle belange verseker meesal nasionalisering en onteiening is, asook die beslaglegging op beleggings. Teen die agtergrond van hierdie studie se bevindinge, kan daar egter 'n saak uitgemaak word vir die verbreeding van die konseptualisering van politieke risiko om enige of alle van die mikro-politieke risiko faktorindikatore wat in hierdie studie identifiseer word in te sluit, om sodoende te verseker dat die negatiewe gevolge wat politieke gebeure moontlik mag inhou vir 'n buitelandse maatskappy se belange, sover moontlik beperk word. Buitelandse beleggers stel bates bloot aan risiko's ten einde voorafgestelde doelwitte te bereik en die assessering van hierdie risiko's, insluitende politieke risiko's, is 'n groot bydraende' faktor tot die suksesvolle bedryf van buitelandse beleggings. Geleenthede en risiko's is dikwels twee kante van diesIefde muntstuk en politieke risiko maak 'n groot deel uit van die uitdagende beleggingsomgewing waarin die bestuur van 'n multinasionale korporasie (MNK) daagliks moet funksioneer. 'n Maatskappy se buitelandse beleggingstrategie handel met die posisionering van die organisasie in die onvoorspelbare beleggingsklimaat van 'n vreemde land. Hierdie studie poog ook om te verduidelik hoe die mate waarin 'n firma blootgestel word aan politieke risiko, met ander woorde die sensitiwiteit van 'n firma se voorgenome winsgewendheid en bedryf teenoor veranderinge in die beleggingsklimaat van 'n vreemde land, bestuur en verminder kan word. Daar word gehoop dat politieke risiko analise en die bestuur daarvan 'n bydra kan lewer tot buitelandse besighede se bestuur van hierdie risiko's, wat andersins 'n vemietgende impak kan hê op die winsgewendheid van buitelandse bedrywighede. Dit is onverantwoordelik om aan 'n buitelandse belegger 'n risiko analise voor te lê wat nie politieke risiko faktore en die daarmee gepaardgaande indikatore insluit nie. Die studie argumenteer verder dat faktorindikatore wat die fisiese omgewing, sosiale asook sosio-ekonomiese faktore aanspreek ook in 'n risiko analise ingesluit moet word. Oplaas is enige besigheidsklimaat, nieteenstaande die land wat bestudeer word, onderskryf deur 'n politieke stelsel, politieke klimaat, politieke kultuur en besigheidskultuur van die stelsel waarin die buitelandse besigheid winsgewende resultate as doelwit het. Wat dikwels beskou word as onnodige en irrelevante detail in risiko analise lei dikwels tot 'n gebrek aan die insluiting van mikro-risiko faktore en hulle indikatore weens 'n onderskatting van die noodsaaklikheid daarvan om juis sulke mikro-risiko faktorindikatore in 'n risiko analise in te bou. Hierdie studie aanvaar hopelik die uitdaging om te wys dat politieke risiko tog bestuur kan word en dat politieke risiko analise tog meer eksak gemaak kan word - dat dit wel moontlik is om politieke risiko te meet en bestuur.
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Hughes, Laura Elizabeth. "The Influence of Multiple Risk Factors on WMSD Risk and Evaluation of Measurement Methods Used to Assess Risks." Diss., Virginia Tech, 2007. http://hdl.handle.net/10919/27015.
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Despite high prevalence rates of work-related musculoskeletal disorders (WMSDs), the causes and pathways of WMSD development are not fully understood. Multiple factors (physical, psychosocial, and individual) have been associated with WMSD development, but causal inferences are not available due to lack of experimental designs. Because the responses, validity, and reliability of measured outcomes under multiple-exposure environments are not known, the current work analyzed the effects of multiple WMSD risk factors on several measurement methods.
Forty-eight participants completed four trials of simulated manufacturing work at different levels of physical and psychosocial exposure for one psychosocial dimension (job control, job demands, time pressure, or social support). The three independent variables significantly affected outcomes, including muscle activity, heart rate, task performance, discomfort and workload ratings, and psychosocial environment perceptions. Social interaction should take priority over working in isolation, and pressure to achieve high performance should be minimized to reduce WMSD risk.
A secondary data analysis determined measurements that could estimate WMSD risk efficiently. Convergent and discriminant validity was assessed to retain methods that provided unique information and minimized overlap between similar methods. For the given manufacturing environment, one muscle activity measure, heart rate mean and variability, one set of workload and discomfort ratings, and a psychosocial questionnaire were the best WMSD risk measurement methods.
The third study assessed the test-retest reliability of the outcome measures of an additional trial involving 24 participants. Workload and discomfort appeared reliable under high levels of physical exposure but not under psychosocial manipulations. Physiological measures were reliable for <50% of parameters. The psychosocial questionnaire was reliable under favorable social support but not high physical exposure and favorable job control.
The final study determined the number of psychosocial factors experienced through factor analysis on psychosocial questionnaire responses from the main experiment. Participants could distinguish psychosocial dimensions in the work environment, and this questionnaire may be used in experimental settings to measure perceptions of the psychosocial environment.
The current research provided a basis for measuring physical and psychosocial exposure simultaneously in occupational settings. Using this knowledge may allow practitioners to focus on interventions and designs that reduce WMSD risk exposure.Ph. D.
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Omidvar, Ali. "Classification of risk mitigation strategies in construction projects." Thesis, University of British Columbia, 2008. http://hdl.handle.net/2429/2704.
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This thesis proposes a classification system of risk mitigation strategies based on literature search and industry interviews. Following that, a list of generic properties was generated to describe individual strategies. In parallel, populating the properties of a large number of identified strategies was attempted. The practical implications are discussed mainly focusing on knowledge management for risk mitigation strategies.
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Gottlieb, Katherine A. "Assessing Risk in Adolescent Offenders: A Comparison of Risk Profiles versus Summed Risk Factors." ScholarWorks@UNO, 2013. http://scholarworks.uno.edu/td/1739.
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Research supports interventions for high-risk juvenile offenders to reduce recidivism. Methods for assessing delinquent risk vary, however. Aggregate risk scores (i.e. number of risk factors) and specific risk profiles (i.e. types of risk factors) are both empirically supported techniques. This study compared aggregate scores versus profiles for predicting measures of criminal severity among detained adolescents (n=292). Twenty-four risk factors from the Structured Assessment of Violence Risk in Youth (SAVRY) were summed to calculate aggregate scores. Using latent class analysis (LCA), profiles were identified based on scores from the following theoretically important SAVRY risk factors: Risk Taking/Impulsivity, Anger Management Problems, Low Empathy/Remorse (CU traits), and Attention Deficit/Hyperactivity Difficulties. LCA identified one low-risk profile, plus two high-risk profiles differentiated by levels of CU traits. Aggregate scores significantly predicted four out of six criminal severity indicators, while profiles failed to predict any measures. Results support aggregate scores over profiles for assessing delinquent severity.
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Boscolo, Chio Michele <1995>. "The assessment of credit risk in international trade: country risk and enterprise specific risk." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/16864.
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International Trade and export are fundamental activities for companies that want to compete in a globalised market.
This descriptive-analytical study has the goal to define the risks that companies must consider operating beyond the domestic boundary.
The main risk analysed in this thesis is the credit risk, that in international trade transactions must be seen as a binomial composed of the specific risk of the buyer enterprise and the risk of the country the buyer enterprise is located in.
This thesis is divided into two parts. The first part is intended to introduce the definition and the literature of the topics mentioned above. The second part is an analytical case study which has the goal of assessing the risk descripted by using economical models and theories.
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Haugen, Petter. "Financial Risk, Risk Appetite and the Macroeconomic Environment." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9472.
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This thesis seeks to establish a methodology to reveal whether the risk appetite held by investors is dependent on the macroeconomic environment and, if present, to quantify this dependency. To do so a generic model is built and a case study is carried out with data from DnBNOR. The available data consists of the daily profit and losses together with the number and volume of transactions made in a currency portfolio owned by DnBNOR and some selected timeseries on exchange rates, all against NOK. Also, timeseries on the gross national product and consumer price index are collected from Statistics Norway. In the process of building the model, the thesis sets out the theoretical foundation for different risk measurement concepts and gives a presentation of the theory on business cycles as this is used to classify and measure the macroeconomic environment. The model is built with a Bayesian approach and implemented in WinBUGS. The use of Bayesian statistics is motivated by different time resolution of the data; some of the data is observed every day while other parts are observed each quarter. The thesis' main idea is to decompose the relevant part of the economy in one microeconomic and one macroeconomic state. The microeconomic state is unique for each day while the macroeconomic state accounts for one quarter; together they give the expected risk appetite for each day. In this way the impact from the macroeconomic state is quantified and the results show that the macroeconomic state is statistically significant for the risk appetite. As this is a case study one needs more data and research before any universal valid conclusions can be made.
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Hermansson, Hélène. "Rights at Risk : Ethical Issues in Risk Management." Doctoral thesis, KTH, Filosofi och teknikhistoria, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4570.
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he subject of this thesis is ethical aspects of decision-making concerning social risks. It is argued that a model for risk management must acknowledge several ethical aspects and, most crucial among these, the individual’s right not to be unfairly exposed to risks. Article I takes as its starting point the demand frequently expressed in the risk literature for consistent risk management. It is maintained that a model focusing on cost-benefit analysis does not respect the rights of the individual. Two alternative models are outlined. They evolve around the separateness of individuals, rights, and fair risk taking. It is claimed that a model that focuses on a fair procedure for risk decisions seems most fruitful to develop. Article II discusses the NIMBY (Not In My Backyard) conflict. The ethical premises behind the negative characterization of the NIMBY concept are investigated. It is argued that a collective weighing of risks and benefits ignores individuals’ rights not to be unfairly exposed to risks in siting scenarios. Article III presents a three-party model tool for ethical risk analysis. The focus in such analysis is a discussion of three parties that are involved in risk decisions: the risk-exposed, the beneficiary, and the decision-maker. Seven crucial ethical questions are discerned by combining these parties pairwise. Article IV discusses a model for procedural justice for risk decisions. Two theories of deliberative democracy are explored. The first focuses on a hypothetical contract, the second argues for the actual inclusion of affected parties. It is maintained that hypothetical reasoning should mainly serve as a guide concerning risk issues that affect people who cannot be included in the decision-making process. Otherwise an interactive dialogical reasoning is to be preferred. Article V explores the claim that there are no real, objective risks – only subjective descriptions of them. It is argued that even though every risk can be described in different ways, involve value judgements and emotions, the ideal of objectivity should not be abandoned.QC 20100714
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Fromm, Jana. "Risk denial and neglect : studies in risk perception." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2005. http://www.hhs.se/efi/summary/689.htm.
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Roberts, Briar Falee. "Risk taking and risk perception in young adults /." Title page, table of contents and abstract only, 2004. http://web4.library.adelaide.edu.au/theses/09ARPS/09arpsr6432.pdf.
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Hermansson, Hélène. "Rights at risk : ethical issues in risk management /." Stockholm : Filosofi och teknikhistoria, Kungliga Tekniska högskolan, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4570.
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De, La Huerta Nunez Celeste Ximena. "Risk vulnerability : risk sharing in Mexican rural households." Thesis, University of East Anglia, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.588740.
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Despite being a middle income economy, Mexico typifies the situation of many low-income countries for the nearly 23 million rural Mexicans living in poverty. Rural households in Mexico live in settings characterized by multiple risks which threaten their livelihoods and impact negatively on their welfare. However, they have not responded passively to the deteriorating situation in the countryside and have developed strategies to cope with hardship. The purpose of this research is to investigate the interconnections between this risky environment, the realization of shocks and the risk management and coping mechanisms available to households and its members. Using a mixed methods approach, the thesis combines qualitative and quantitative analysis. Primary data was collected using semi-structured interviews and a survey designed to capture, in detail, issues related to risk, shocks and risk coping strategies. Secondary data from the Mexican Family Life Survey (MxFLS) was used to test for risk sharing across and within households. Overall, our results show that idiosyncratic and covariate shocks have a negative impact on consumption suggesting that insurance is incomplete across and more importantly, within households. However, households and its members use a portfolio of coping strategies depending on the type of shock. Informal mechanisms in the form of savings, borrowing, transfers, and labour supply adjustments play an important role in consumption smoothing. This thesis makes two important contributions. First, it complements the literature on risk and coping strategies by examining the mechanisms for dealing with shocks and their accessibility to the household. Second, empirical evidence on the negative effects of shocks and the effectiveness of risk coping strategies enhances our understanding of the factors that increase vulnerability to poverty of rural households. This information contributes to the design and implementation of social protection programmes to facilitate the identification of those in need and reach the intended beneficiaries.
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Meyrick, Jane. "Conceiving risk : adolescent contraceptive risk taking and prevention." Thesis, University of Westminster, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.323006.
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Zhang, Yang (Stephen). "Counterparty credit risk, funding risk and central clearing." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/61334.
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In this thesis we have a review of the critical issues of CVA/DVA/FVA pricing framework, provide detailed economic interpretations of these xVA terms and present empirical studies on DVA hedging practice in the marketplace and a new approach to hedge DVAs. The economic drivers and implications of central clearing and initial margins on derivatives are addressed as well.
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Fang, Ding. "Survival risk and liquidity risk involving hedge fund." Thesis, University of Strathclyde, 2018. http://digitool.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=29512.
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The purpose of this thesis is to examine the predictability of hedge fund performance by using survival risk and liquidity risk analyses. Institutional investors are interested in long-run investments in the hedge fund industry and the high liquidation rate in the hedge fund industry brings significant risk to their investors. This research not only estimates the relationship between hedge fund characteristics and failure risk, but also examines the relationship between hedge fund survival risk, liquidity risk and their relative performance. This thesis is relevant to both researchers and practitioners in exploring a tangible analysis of hedge fund performance. The sample of this study derives from the TASS database from January 1984 to July 2014. The sampling time period covers the Asian crisis in 1997, the Russian crisis in 1998, the collapse of the sub-prime mortgage crisis in the US in 2007 and the subsequent credit crunch. The original database contains 14,031 hedge funds for this period, of which 6,505 are live funds and 7,526 are liquidated funds. The first empirical chapter estimates the predictability of hedge fund performance by use of a semi-parametric procedure. The results suggest that hedge fund monthly returns are predictable with proper identification of fund failure. The identification of fund failure can extract funds that are liquidated because of poor performance. The empirical evidence suggests that fund failure risk has strong explanatory power regarding hedge fund performance The second empirical chapter estimates the predictability of hedge fund performance by using investor-induced liquidity. It suggests that hedge fund liquidity risk derived from investors is an important factor of hedge fund performance analysis. The result also confirms that investor-induced liquidity in the more recent past has more explanatory power regarding its post-performance. Moreover, incubation bias could influence the predictability of hedge fund performance significantly. The result from fund performance shows that the fire sale problem was more significant in the recent financial crisis period but not significant in a normal period. The last empirical chapter investigates the predictability of hedge fund performance by using a combined prediction model. The result indicates that a model combining survival risk and liquidity risk exhibits more detail and performs better than using a prediction model with a single dimension. The result also indicates that incubation bias influences the predictability of hedge fund performance. Moreover, more recent data influences the predictability of hedge fund performance more significantly. On the other hand, long distance past data can provide a more significant result in estimation of covariates by using the Cox proportional hazard model. It is helpful to investigate the interactions between the risk of hedge fund characteristics and their performance practically.
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Penha, Ricardo Miguel do Brito. "Default risk : analysis of a credit risk model." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12902.
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Mestrado em Ciências ActuariaisUma parte considerável do negócio bancário inclui naturalmente o empréstimo de dinheiro. Inerentemente, o risco de não receber de volta o montante emprestado é assumido pela instituição bancária. Neste trabalho, o risco de incumprimento é estudado através da função de distribuição das perdas agregadas. Depois de feita a ponte entre as características de uma carteira de empréstimos de um banco e as características de uma carteira de apólices de seguros vida, os resultados da Teoria de Risco podem ser aplicados à carteira em estudo. O CreditRisk+, geralmente classificado como o modelo actuarial, é um modelo de risco de crédito que tem por base esta ponte. Para aplicação deste modelo, é necessária informação relativa às probabilidades de incumprimento de cada devedor e a exposição ao risco, que no nosso caso é igual ao montante em dívida. Na primeira parte deste trabalho é estimada a probabilidade de incumprimento através de um modelo logit, tendo em conta alguns indicadores financeiros da empresa. Seguidamente, no contexto de um modelo de risco coletivo, é aplicado o método iterativo de Panjer. Seguindo a metodologia proposta pelo modelo CreditRisk+, a carteira é seguidamente dividida em setores e, em cada setor, é introduzida volatilidade à probabilidade de incumprimento. No final, conclui-se que conseguem ser obtidos resultados semelhantes utilizando métodos de aproximação menos dispendiosos, nomeadamente com a aproximação NP. Finalmente, a taxa de juro média que o banco deveria aplicar aos empréstimos em carteira é calculada, assim como a reserva que deveria ter sido constituída.
A considerable part of the banking business includes the lending of money. Inherently, a bank incurs the risk of not receiving back the money lent. In this work, default risk is studied through the distribution function of the aggregate losses. After making the link between the characteristics of a portfolio of loans and of a life insurance policies portfolio, Risk Theory results are applied to the portfolio of loans under study. CreditRisk+, usually classified as the actuarial model, is a credit risk model which uses this link. As an input to this model, both the individual probabilities of default for each obligor and the exposure at risk are needed. The first part of this work focus on the estimation of the probability of default through a logit model, taking into account some financial indicators of the company. Then, in the context of a collective risk model, Panjer?s recursive algorithm is applied. Following the methodology of CreditRisk+, the portfolio is then divided into sectors and default volatility is introduced in each sector, reaching a different aggregate loss distribution function. At the end, we find that similar results are obtained with less time consuming approximation methods, particularly with NP approximation. Finally, the average interest rate that the bank should have charged to the loans in the portfolio is found as well as the amount of money that should have been reserved to account for losses.
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Pieskä, J. (Jukka). "Risk factor based investing:case: MSCI risk factor indices." Master's thesis, University of Oulu, 2016. http://urn.fi/URN:NBN:fi:oulu-201601141032.
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The aim of this thesis is to study risk factor based investing and test how well MSCI constructs their risk factor based indices. Risk factor based investing has gained a lot of media exposure in the recent years and “Smart Beta” products are becoming more popular. Blackrock estimated that there are more than 700 exchange traded products available and they have over $ 529 billion in assets under management. Risk factor investing aims to harvest the risk premia associated with factors like size, momentum and value.
I tested whether MSCI is able to provide higher Sharpe ratios for higher risk exposure indices and how much they deviated from the parent index of MSCI World. I used the Ledoit & Wolf bootstrap inference test to find out whether the Sharpe ratios of high exposure and high capacity indices differ from each other. Furthermore, I tested how well the Fama & French Three Factor-model with the addition of Carhart momentum factor could explain the returns of MSCI’s risk factor indices. I also constructed different risk factor portfolios using risk-parity methods to see whether it is possible to enhance the returns of risk factor indices by combining them.
The main results and conclusions of this thesis were that risk factor investing can provide excess returns. These excess returns are readily available by investing in MSCI’s risk factor indices. Another key finding was that by utilizing risk-parity methods an investor can achieve excess returns over an equally weighted risk factor portfolio and over the MSCI’s own Diversified Mix index. Furthermore, even though MSCI is the world leader in index creation, their way of creating indices doesn’t seem to be very efficient and it would be beneficial to analyse other index providers, too.
The data used in this thesis were gathered from “MSCI’s end of day index data search”. The data consists of six risk factor indices from developed countries. The price data ranged from November 1998 to August 2015. For the Ledoit & Wolf test I gathered four high capacity indices and four high exposure indices from the same time period. The proxies for academic factors were provided by Kenneth French on his website.
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Novák, Martin. "Value at Risk models for Energy Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71889.
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The main focus of this thesis lies on description of Risk Management in context of Energy Trading. The paper will predominantly discuss Value at Risk and its modifications as a main overall indicator of Energy Risk.
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Kong, Xianghe. "Three essays on variance risk and correlation risk." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6090.
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This thesis focuses on variance risk and correlation risk in the equity market, and consists of three essays. The first essay demonstrates that the variance risk, mea- sured as the difference between the realized return variance and its risk-neutral expectation, is an important determinant of the cross-sectional variation of hedge fund returns. Empirical evidence shows that funds with significantly higher loadings on variance risk outperform lower-loading funds on average. However, they incur severe losses during market downturns. Failure to account for variance risk results in overestimation of funds' absolute returns and underestimation of risk. The results provide important implications for hedge fund risk management and performance evaluations. The second essay examines the empirical properties of a widely-used correlation risk proxy, namely the dispersion trade between the index and individual stock options. I find that discrete hedging errors in such trading strategy can result in incorrect inferences on the magnitude of correlation risk premium and render the proxy unreliable as a measure of pure exposure to correlation risk. I implement a dynamic hedging scheme for the dispersion trade, which significantly improves the estimation accuracy of correlation risk and enhances the risk-return profile of the trading strategy. Finally, the third essay aims to forecast the average pair-wise correlations between stocks in the market portfolio. I investigate a comprehensive list of forecasting models and find that past average correlation and the option-implied correlation provide superior out-of-sample forecasting performance compared to other predictors. I provide empirical evidence showing that the forecasts of average correlation can improve the optimal portfolio choices and substantially enhance the performance of active correlation trading strategies.
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Lundin, Filip, and Markus Wahlgren. "Capturing Tail Risk in a Risk Budgeting Model." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273414.
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Risk budgeting, in contrast to conventional portfolio management strategies, is all about distributing the risk between holdings in a portfolio. The risk in risk budgeting is traditionally measured in terms of volatility and a Gaussian distribution is commonly utilized for modeling return data. In this thesis, these conventions are challenged by introducing different risk measures, focusing on tail risk, and other probability distributions for modeling returns. Two models for forming risk budgeting portfolios that acknowledge tail risk were chosen. Both these models were based on CVaR as a risk measure, in line with what previous researchers have used. The first model modeled returns with their empirical distribution and the second with a Gaussian mixture model. The performance of these models was thereafter evaluated. Here, a diverse set of asset classes, several risk budgets, and risk targets were used to form portfolios. Based on the performance, measured in risk-adjusted returns, it was clear that the models that took tail risk into account in general had superior performance in relation to the standard model. Nevertheless, it should be noted that the superiority was significantly higher for portfolios that constituted of mainly high-risk assets than for portfolios with more low-risk assets and also that the superior performance did not hold in all time periods considered. It was also clear that the model that used the empirical distribution to model returns performed better than the model based on an assumption of returns belonging to the Gaussian mixture model when the portfolio consisted of more assets with heavier tails.Jämfört med konventionella portföljhanteringsstrategier handlar riskbudgetering mer om att fördela risken mellan innehav i en portfölj. Risken i riskbudgetering mäts traditionellt med avseende på volatilitet och en Gaussisk fördelning används normalt för att modellera avkastningsdata. I den här avhandlingen anlyseras andra modeller som istället fokuserar på svansrisk genom att införa andra riskmått och genom att använda andra sannolikhetsfördelningar för modellering av avkastningsdata. Två modeller för att konstruera riskbudgeteringsportföljer som tar hänsyn till svansrisk har analyserats i den här avhandlingen. Båda dessa modeller använde sig av CVaR som ett riskmått, i linje med vad tidigare forskare har använt. Den första modellen modellerade avkastningar med den empiriska fördelningen och den andra modellen med en Gaussisk blandningsmodell. Därefter utvärderades hur de olika modellerna presterade. Här användes en mångfald av tillgångsklasser, flera riskbudgetar och riskmål för att bilda portföljerna. Baserat på prestanda, mätt i termer av riskjusterad avkastning, var det tydligt att de modeller som tog hänsyn till svansrisk generellt presterade bättre än den konventionella modellen. Det bör emellertid noteras att för portföljer som huvudsakligen bestod av tillgångar med låg risk så var detta resultat mindre signifikant och även att resultatet inte gällde för alla tidsperioder som analyserades. Det var också tydligt att modellen som använde den empiriska fördelningen för att modellera avkastningsdata fungerade bättre än den Gaussiska blandningsmodellen när portföljen till större del bestod av tillgångar med tyngre svansar.
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Abou-Reslan, Linda, and Sandra Pehrson. "Risk and Risk Management in Swedish fintech startups." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-386467.
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Zhang, Lequn. "Extreme Risk Forecast for Quantitative Financial Risk Management." Thesis, Curtin University, 2022. http://hdl.handle.net/20.500.11937/89362.
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Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions. This thesis develops methods based on an extended extreme value approach to improve the forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature.
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Laurene, Kimberly R. "Risky living a comparison of criminal risk-taking and risk perception in adolescent and young adult nonoffenders and offenders /." Bowling Green, Ohio : Bowling Green State University, 2010. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=bgsu1259786716.
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Saeed, Muhammad, and Mehmood Ziauddin. "A Structured Approach for Evaluating Risk Impacts in IT Projects." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-782.
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Date: 12-June-2008
Authors: Muhammad Saeed – 760721
Västerås – Sweden
Mehmood Ziauddin – 830730
Västerås – Sweden
Title: A Structured Approach for Evaluating Risk Impacts in IT Projects
Introduction: Risk is an integral part of any project and it’s more appropriate to say for IT because it is changing with a very fast pace. Different surveys, reports and researches show astonishing statistics about the risks in IT projects. Through proper risk assessment techniques most of the uncertainties can be reduced while initiating, implementing and improving IT projects. Different authors talk about different risks and different strategies to respond to them. It becomes difficult at times to keep in check all the risks. Often risk management is over hyped, and often it’s totally neglected. Their needs to be a balanced approached in risk management.
Problem: How a structured approach will be beneficial for an organization in assessing risk impacts on IT Projects?
Purpose: The aim of this report is to develop and analyze a structured approach which will permit an organization in identifying & categorizing risks and measuring their impact on IT Projects.
Method: Exploratory research approach is used and data collection is done using secondary sources. Our thesis is qualitative research based. Qualitative research is the one which is not relying on statistical data as compared to quantitative research.
Besides our text books and study material, the main source of information was internet databases and university library from where we read different articles, thesis and books. Majority of the material studied was collected from Mälardalen University Library’s online databases like, Elin@Mälardalen, Compendex, Emerald and Ebrary. We also consulted some books which we got by inter-library loan from Mälardalen University.
Conclusion: With the help of Remenyi’s approach for categorizing risks and Applegate’s approach of measuring risk impact, we have managed to develop a structured approach and reached a conclusion that proper identification and categorizing of risks can be very beneficial for an organization in numerous ways. This systematic way assists top management, project managers, IT & non IT Personnel is taking preemptive measures for managing risks. The benefits it brings is that it gives an equal understanding within the organization and this structured approach gives an in-depth and clear understanding of the risks associated with IT projects.
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Derrocks, Velda Charmaine. "Risk management." Thesis, Nelson Mandela Metropolitan University, 2010. http://hdl.handle.net/10948/1480.
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The objective of the study is to establish a perspective of risk management by doing an assessment of current risk management practices, especially in the aftermath of the 2008/2009 global financial crisis. Risk management, as a component of corporate governance, was analysed by addressing the following: - The nature of value-creating assets in business; - The primary challenges for risk management over the next three years; - The changing approaches towards risk management; - The role of legislation and external stakeholders; - The role of risk management in strategic planning; - The cost of risk management; and - The benefits of improved risk management capabilities. A survey was conducted in the form of a questionnaire in order to obtain primary information from business owners on the current role of risk management in their organisations as well as their view on the role of risk management going forward. Businesses operating in the Port Elizabeth and surrounding area with an existing relationship with Absa Business Banking Services participated in the study. Quantitative techniques were used to analyse the data that were obtained from the sample group. The study revealed that the role of risk management in enterprises is evolving into an integrated, enterprise wide risk management function that can be utilised as a source of competitive advantage, from both a funding perspective for Banks and a business perspective for business owners. Capitalising on risk management as a competitive advantage will ultimately lead to long term sustainability and profitability of South African business enterprises and the South African Banking system.
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Holdsworth, Ruth Marie. "Curating risk." Thesis, University of Bristol, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.573500.
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This thesis explores the notions of risk that are produced through four international festivals of contemporary experimental performance. The case studies are: In between Time Festival of Live Art in Bristol; the National Review of Live Art in Glasgow; Homeworks Forum in Beirut, and Oadao Festival of Live Art in Beijing. The focus is predominantly on the curation of these events, and the mediating role that the curator plays in the way works are communicated as cutting-edge and "risky". My research and conclusions are based on extensive fieldwork at each. Contextualization of the evidence is primarily offered through an analysis of the vorks programmed, interviews with participants (curators, artists and spectators), the fields of practice in which they sit due to their specific locales, and the international networks they engage with. The contextualization takes into account the wider socio-political situations of the places where they take.place, the influence hat these have had in terms of directing thematic focuses and experimentation with form. and the growth of the infrastructures which have evolved to support ways of vorkinq. I take more of an experiential approach than a theoretical one, but the potential for extrapolating theory from the evidence is suggested throughout, in particular in the Introduction and concluding chapter. In the section 'Risk as Form', covering the two British case studies, I focus on the way Live Art as a term has evolved through practice, which works across disciplines, and the drive to stabilize it. In the Beirut case study, 'Risk as Content', I consider the influence of Lebanon's civil war (1975-1990) on the work produced. In the concluding chapter, I position Oadao Festival of Live Art as an example that draws together some of the issues arising through the other three studies, and as a departure point for future research. ii