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Dissertations / Theses on the topic 'Risk assessment - Mathematical models'

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Published: 4 June 2021

Last updated: 26 January 2023

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1

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.

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Existing credibility models have mostly allowed for one source of claim dependence only, that across time for an individual insured risk or a group of homogeneous insured risks. Numerous circumstances demonstrate that this may be inadequate and insufficient. In this dissertation, we developed a two-level common effects model, based loosely on the Bayesian model, which allows for two possible sources of dependence, that across time for the same individual risk and that between risks. For the case of Normal common effects, we are able to derive explicit formulas for the credibility premium. This

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2

Wang, 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.

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3

Zhu, 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.

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This thesis focuses on construction, properties and estimation of asymmetric heavy-tailed distributions, as well as on their applications to financial modeling and risk measurement. First of all, we suggest a general procedure to construct a fully asymmetric distribution based on a symmetrically parametric distribution, and establish some natural relationships between the symmetric and asymmetric distributions. Then, three new classes of asymmetric distributions are proposed by using the procedure: the Asymmetric Exponential Power Distributions (AEPD), the Asymmetric Student-t Distributions (A

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4

Owen, 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.

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[Truncated abstract] This thesis presents an operationally applicable and reliable model for quantification of the exposure of underground mining personnel to geotechnical hazards. The model is shown to have the flexibility to apply to very different operational environments, within the context of mechanised metalliferous mines. It provides an essential component for carrying out quantitative geotechnical risk analyses of underground mines. Increasingly prevalent within the Australian mining industry are moves towards a riskbased philosophy instead of prescriptive design procedures. A barrier

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5

Kusnetsov, 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/.

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In this thesis I consider the problem of clearing models used for systemic risk assessment in interbank networks. I investigate two extensions of the classical Eisenberg & Noe (2001) model. The first extension permits the analysis of networks with interbank liabilities of several maturities. I describe a clearing mechanism that relies on a fixed-point formulation of the vector of each bank’s liquid assets at each maturity date for a given set of defaulted banks. This formulation is consistent with the main stylised principles of insolvency law, permits the construction of simple dynamic models

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6

Shen, 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.

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7

Galane, Lesiba Charles. "The risk parity approach to asset allocation." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95974.

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Thesis (MSc)--Stellenbosch University, 2014.<br>ENGLISH 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 p

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8

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/.

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9

Baade, Ingrid Annette. "Survival analysis diagnostics." Thesis, Queensland University of Technology, 1997.

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10

Ghosh, Gregory. "Lifesafety Analysis in the Building Firesafety Method." Digital WPI, 2004. https://digitalcommons.wpi.edu/etd-theses/1106.

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"The purpose of this thesis is to demonstrate and enhance the technical basis of the procedure for evaluating lifesafety within the Building Firesafety Engineering Method (BFSEM). A framework for the analysis has been documented, but not extensively tested in a building situation. Hence, procedures to obtain the necessary input data and to evaluate that data needed to be developed. In addition, the general framework had to be tested rigorously enough to identify weaknesses. "

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11

Cross, 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.

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Aerospace design requirements mandate acceptable levels of structural failure risk. Probabilistic fatigue models enable estimation of the likelihood of fatigue failure. A key step in the development of these models is the accurate inference of the probability distributions for dominant parameters. Since data sets for these inferences are of limited size, the fatigue model parameter distributions are themselves uncertain. A hierarchical Bayesian approach is adopted to account for the uncertainties in both the parameters and their distribution. Variables specifying the distribution of the f

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12

Dicks, 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.

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Thesis (MComm)--Stellenbosch University, 2013.<br>ENGLISH 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 indepen

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13

Kroon, Rodney Stephen. "A framework for estimating risk." Thesis, Link to the online version, 2008. http://hdl.handle.net/10019.1/1104.

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14

Allen, 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/.

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A behavioral model for acute responses in bivalves, was developed using time series analysis for use in a real-time biomonitoring unit. Stressed bivalves closed their shell and waited for the stressful conditions to pass. Baseline data showed that group behavior of fifteen bivalves was periodic, however, individuals behaved independently. Group behavior did not change over a period of 20 minutes more than 30 percent, however, following toxic exposures the group behavior changed by more than 30 percent within 20 minutes. Behavior was mathematically modeled using autoregression to compare curren

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15

Sun, Yu. "Risk-based framework for freight movement analysis." Thesis, Queensland University of Technology, 2002.

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Decision-making models have, m the recent years, been developed to provide systematic and comprehensive tools to analyse, evaluate and manage freight movement. Freight transport models developed thus far have not precisely defined risk agents brought by travelling vehicles, which lead to indistinct risk types. Instead, most of the models developed discussed the risks mainly related to direct impacts by traffic accidents. On the other hand, transport efficiency, which is of more and more concern, has not been sufficiently emphasised in the previous models. This thesis studies the factors in

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16

Mello, 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.

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Bibliografia: p. 46-48<br>Dissertação (mestrado) - Faculdade de Economia e Finanças Ibmec, Rio de Janeiro, 2014.<br>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, en

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17

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.

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The Own Risk and Solvency Assessment, ORSA, is referred to as the heart of the regulation to be for European insurance companies - Solvency II. The aim of the ORSA process is to provide an overall and holistic view of the insurer’s risks by analyzing their current financial status and business strategy at hand. There is no predefined way to implement this process, which means that the companies are forced to develop a model themselves, as they see fit. In collaboration with a regional insurance company in Sweden we develop a structure and framework for an ORSA-model, flexible enough to be used

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18

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.

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Les éléments trace métalliques (ETM) sont des polluants qui sont sources de préoccupations majeures à cause de leurs toxicités et de leurs propriétés cumulatives. Certains d’eux peuvent être cancérogènes. La métropole de Sfax, située au sud de la Tunisie, a été touchée par des rejets et émissions d’ETM depuis des décennies. Plusieurs études ont confirmé que la pollution métallique est principalement d’origine anthropique, liée en particulier aux activités industrielles. Cela présente un risque sur la santé des habitants, particulièrement pour ceux qui sont également exposés par leur métier dan

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19

Khajeh-Hosseini, Ali. "Supporting system deployment decisions in public clouds." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/3412.

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Decisions to deploy IT systems on public Infrastructure-as-a-Service clouds can be complicated as evaluating the benefits, risks and costs of using such clouds is not straightforward. The aim of this project was to investigate the challenges that enterprises face when making system deployment decisions in public clouds, and to develop vendor-neutral tools to inform decision makers during this process. Three tools were developed to support decision makers: 1. Cloud Suitability Checklist: a simple list of questions to provide a rapid assessment of the suitability of public IaaS clouds for a spec

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20

LEITE, 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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Made available in DSpace on 2014-10-09T12:35:13Z (GMT). No. of bitstreams: 0<br>Made available in DSpace on 2014-10-09T13:57:01Z (GMT). No. of bitstreams: 0<br>Dissertação (Mestrado)<br>IPEN/D<br>Instituto de Pesquisas Energeticas e Nucleares - IPEN-CNEN/SP

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21

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.

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This study set out to examine the levels of galactic cosmic radiation exposure to Australian aircrew during routine flight operations, with particular attention to the high southern latitude flights between Australia and South Africa. Latitudes as high as 65?? South were flown to gain the data and are typical of the normal flight routes flown between Sydney and Johannesburg on a daily basis. In achieving this objective it became evident that suitable commercially available radiation monitoring equipment was not readily available and scientific radiation monitors were sourced from overseas res

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22

Marshall, 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.

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Individuals are exposed to chemical mixtures while carrying out everyday tasks, with unknown risk associated with exposure. Given the number of resulting mixtures it is not economically feasible to identify or characterize all possible mixtures. When complete dose-response data are not available on a (candidate) mixture of concern, EPA guidelines define a similar mixture based on chemical composition, component proportions and expert biological judgment (EPA, 1986, 2000). Current work in this literature is by Feder et al. (2009), evaluating sufficient similarity in exposure to disinfectio

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23

Gobira, 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.

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Bibliografia: p. 109-111<br>Dissertação (mestrado) - Instituto Nacional de Matemática Pura e Aplicada, Rio de Janeiro, 2014.<br>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 calibrag

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24

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.

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25

Ngwenza, 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.

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Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston a

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26

Gu, 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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In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of credit risks, the development of mathematical and statistical tools to estimate and predict these risks, and methods for solving the significant computational problems arising in this context. The reduced-form intensity based credit risk models are studied. A new type of reduced-form intensity-based model is introduced, which can incorporate the impacts of both observable trigger events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigge

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27

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.

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Mobile applications are software that extend the functionality of our smartphones by connecting us with friends and a wide range of other services. Android, which is an operating system based on the Linux kernel, leads the market with over 2.6 million applications recorded on their official store. Application developers, due to the ever-growing innovation in smartphones, are compelled to release new ideas on limited budget and time, resulting in the deployment of malicious applications. Although there exists a security mechanism on the Google Play Store to remove these applications, studies ha

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28

Liu, 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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In recent years, the Markov Regime-Switching model and the class of Archimedean copulas have been widely applied to a variety of finance-related fields. The Markov Regime-Switching model can reflect the reality that the underlying economy is changing over time. Archimedean copulas are one of the most popular classes of copulas because they have closed form expressions and have great flexibility in modeling different kinds of dependencies. In the thesis, we first consider a discrete-time risk process based on the compound binomial model with regime-switching. Some general recursive formu

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29

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.

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30

Rong, 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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Over the past decades, researchers in economics, financial mathematics and actuarial science have introduced results to the concept of comonotonicity in their respective fields of interest. Comonotonicity is a very strong dependence structure and is very often mistaken as a dependence structure that is too extreme and unrealistic. However, the concept of comonotonicity is actually a useful tool for solving several research and practical problems in capital allocation, risk sharing and optimal allocation. The first topic of this thesis is focused on the application of comonotonicity in optim

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31

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.

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32

Alharthi, Muteb. "Bayesian model assessment for stochastic epidemic models." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/33182/.

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Acrucial practical advantage of infectious diseases modelling as a public health tool lies in its application to evaluate various disease-control policies. However, such evaluation is of limited use, unless a sufficiently accurate epidemic model is applied. If the model provides an adequate fit, it is possible to interpret parameter estimates, compare disease epidemics and implement control procedures. Methods to assess and compare stochastic epidemic models in a Bayesian framework are not well-established, particularly in epidemic settings with missing data. In this thesis, we develop novel m

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33

Wei, Zhenghong. "Empirical likelihood based evaluation for value at risk models." HKBU Institutional Repository, 2007. http://repository.hkbu.edu.hk/etd_ra/896.

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34

Li, 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.

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35

Hao, 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.

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36

Zhao, Bo. "Overview of Financial Risk Assessment." Kent State University Honors College / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=ksuhonors1399203159.

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37

Manasse, 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.

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38

Kallis, Constantinos. "Construction and assessment of risk models in medicine." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/79266/.

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This thesis investigates the application of classical and contemporary statistical methods in medical research attempting to bridge the gap between statistics and clinical medicine. The importance of using simple and advanced statistical methods in constructing and assessing risk models in medicine will be demonstrated by empirical studies related to vascular complications: namely abdominal aortic aneurysm and diabetic retinopathy. First, data preprocessing and preliminary statistical analysis are examined and their application is investigated using data on abdominal aortic aneurysm. We illust

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39

Palhares, 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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Submitted by Pedro Henrique Rodrigues (pedro.henriquer@ufpe.br) on 2015-03-04T17:17:29Z No. of bitstreams: 2 dissert-avap.pdf: 401311 bytes, checksum: 5bd3f82323bd612e8265a6ab8a55eda0 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5)<br>Made available in DSpace on 2015-03-04T17:17:29Z (GMT). No. of bitstreams: 2 dissert-avap.pdf: 401311 bytes, checksum: 5bd3f82323bd612e8265a6ab8a55eda0 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Previous issue date: 2012-03-08<br>Cloud reliance is critical to its success. Although fault-tolera

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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.

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Thesis (M.S in Computer Science) Naval Postgtaduate School, December 2001.<br>Thesis Advisor(s): Berzins, Valdis ; Murrah, Michael. "December 2001." Includes bibliographical references (p. 91). Also available online.

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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.

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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value a

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Veraart, 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.

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Zhu, 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.

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Reynolds, 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.

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Patil, Rohit A. "Novel application of quantitative risk assessment modelling to a continuous fermenter." Thesis, 2006. http://hdl.handle.net/2440/69737.

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In food and pharmaceutical industries plant failure can be costly and sometimes catastrophic to public health. This thesis uses the notion of Friday 13th Syndrome, ie. the unexpected failure of a well-operated plant, to develop a new and rigorous mathematical model of a generalised, continuous fermenter to gain insight into the likelihood of bioprocess failure. This new model is developed for a continuous, anaerobic fermenter based on widely employed Monod process model.<br>Thesis (M.Eng.Sc.) -- University of Adelaide, School of Chemical Engineering, 2006

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46

"Optimal dynamic portfolio selection under downside risk measure." 2014. http://library.cuhk.edu.hk/record=b6116127.

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传统的风险控制以终端财富的各阶中心矩作为风险度量，而现在越来越多的投资模型转向以不对称的在某个特定临界值的下行风险作为风险度量。在现有的下行风险中，安全第一准则，风险价值，条件风险价值，下偏矩可能是最有活力的代表。在这篇博士论文中，在已有的静态文献之上，我们讨论了以安全第一准则，风险价值，条件风险价值，下偏矩为风险度量的一系列动态投资组合问题。我们的贡献在于两个方面，一个是建立了可以被解析求解的模型，另一个是得到了最优的投资策略。在终端财富上加上一个上界，使得我们克服了一类下行风险投资组合问题的不适定性。引入的上界不仅仅使得我们的下行风险下的投资组合问题能得到显式解，而且也让我们可以控制下行风险投资组合问题的最优投资的冒险性。用分位数法和鞅方法，我们能够得到上述的各种模型的解析解。在一定的市场条件下，我们得到了对应的拉格朗日问题的乘子的存在性和唯一性, 这也是对应的鞅方法中的核心步骤。更进一步，当市场投资组合集是确定性的时候，我们推出解析的最优财富过程和最优投资策略。<br>Instead of controlling "symmetric" risks measured by central moments of terminal wealth, more and more portfolio models have shifted their focus to manage "

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"Bayesian approach for risk bucketing." 2009. http://library.cuhk.edu.hk/record=b5894184.

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Lau, Ka Ho.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.<br>Includes bibliographical references (leaves 46-48).<br>Abstract also in Chinese.<br>Chapter 1 --- Introduction to Global Credit Risk Management Standard --- p.1<br>Chapter 1.1 --- Background --- p.2<br>Chapter 1.2 --- Basel Accords --- p.2<br>Chapter 1.3 --- Risk Bucketing --- p.7<br>Chapter 2 --- Current Practices of Risk Bucketing and PD Estimation --- p.10<br>Chapter 2.1 --- Credit Scoring --- p.10<br>Chapter 2.2 --- Risk Bucketing after Credit Scoring --- p.12<br>Chapter 2.3 --- Related Literature Review ---

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"Risk management of the financial markets." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5895616.

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by Chan Pui Man.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.<br>Includes bibliographical references (leaves 108-111).<br>ABSTRACT --- p.II<br>TABLE OF CONTENTS --- p.III<br>ACKNOWLEDGEMENT --- p.VI<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- LITERATURE REVIEW --- p.4<br>Impact due to Deregulation --- p.5<br>Impact due to Globalization --- p.5<br>Impact due to Securitization --- p.6<br>Impact due to Institutionalisation --- p.6<br>Impact due to Computerisation --- p.7<br>Chapter III. --- CONCEPT: MANAGEMENT OF RISK --- p.8<br>Definition of Risk --- p.9<b

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"Robust approach to risk management and statistical analysis." 2012. http://library.cuhk.edu.hk/record=b5549601.

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博士論文著重研究關於多項式優化的理論，並討論其在風險管理及統計分析中的應用。我們主要研究的對象乃為在控制理論和穩健優化中常見的所謂S 引理。原始的S 引理最早由Yakubovich 所引入。它給出一個二吹多項式在另一個二吹多項式的非負域上為非負的等價條件。在本論文中，我們把S 引理推廣到一元高吹多項式。由於S 引理與穩健優化密切相關，所以我們的結果可廣泛應用於風險管理及統計分析，包括估算在高階矩約束下的非線性風險量度問題，以及利用半正定規劃來計算同時置信區域帶等重要課題。同時，在相關章節的末段，我們以數值實驗結果來引證有關的新理論的有效性和應用前景。<br>In 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 origin

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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.

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In this thesis we consider two comparative statics questions of changes in risk. The first question concerns situations where an individual faces some risk and has no control over the uncertain environment. In these situations we ask what kind of changes in risk will cause the individual's expected utility to increase. The second comparative statics question concerns situations where an individual faces some risk and has some control over the uncertain environment. In particular, we consider situations where the individual maximizes her expected utility with respect to some control parameter.

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