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Dissertations / Theses on the topic 'Risk modelling'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Gilbert, Emmeleen Ulita. "Risk-return portfolio modelling." Master's thesis, University of Cape Town, 2007. http://hdl.handle.net/11427/19030.

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Markowitz introduced the concept of modelling the risk associated with a given security as the variance of the expected return and showed how under certain conditions an investors portfolio can be managed by balancing the expected return of the portfolio and its variance. Building on Markowitz original framework, William Sharpe, extended these ideas by connecting a portfolio to a risky asset. This extension became known as the Sharpe Index Model. There are number of assumptions governing the residuals of the Sharpe index model, one being that the error terms of the stocks are uncorrelated. The

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2

Shao, Jia. "Modelling catastrophe risk bonds." Thesis, University of Liverpool, 2015. http://livrepository.liverpool.ac.uk/2033679/.

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Insurance companies are seeking more adequate liquidity funds to cover the insured property losses related to nature and man-made disasters. Past experience shows that the losses caused by catastrophic events, such as earthquakes, tsunamis, floods or hurricanes, are extremely large. One of the alternative methods of covering these extreme losses is to transfer part of the risk to the financial markets, by issuing catastrophe-linked bonds. This thesis focuses on model and value Catastrophe (CAT) risk bonds. The findings of this thesis is twofold. First, we study the pricing process for CAT bond

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3

Aas, Kjersti. "Statistical Modelling of Financial Risk." Doctoral thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2007. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-1780.

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4

Esparragoza, Rodriguez Juan Carlos. "Large portfolio credit risk modelling." Thesis, Imperial College London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274.

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A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deterministic processes (PDPs). An efficient pricing technique is proposed using a newly- 1ntroduced quadrature algorithm using a decomposition of the sample space similar to the canonical Poisson space decomposition. Accurate calibration to iTraxx spreads is demonstrated.

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5

Scarrott, Carl John. "Reactor modelling and risk assessment." Thesis, Lancaster University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.414910.

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6

Anastassopoulou, Nikolitsa. "Credit risk measurement and modelling." Thesis, City University London, 2006. http://openaccess.city.ac.uk/8497/.

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This thesis aims to make a contribution to the understanding of the key economic and company specific components of credit spreads in the investment and non-investment grade US bond market for different maturing bond indices. It calls for the full integration of different market andfirm specific variables into a unique framework, in order to predict credit spread changes. Key determinants of default risk are employed to determine credit migration risk. Particularly, this thesis provides evidence as to the relation between different macroeconomic factors and credit spread changes in all differe

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7

Zheng, Teng. "Model risk in financial modelling." Thesis, University of Kent, 2017. https://kar.kent.ac.uk/66707/.

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Motivated by current post-crisis discussions and the corresponding shift in regulatory requirements, this thesis is dedicated to the study of model risk in financial modelling. It is well-known that the majority of finance quantities that are involved in asset pricing, trading, and risk management activities are dependent on the chosen financial models. This gives rise to model risk in all financial activities. Even when the chosen model form is appropriate, model outputs are still subject to parameter estimation uncertainty. Therefore, among different sources of model risk, we mainly focused

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8

Kratz, Gutstav. "Risk Modelling in Payment Guarantees." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229418.

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The Swedish Export Credit Agency (EKN) issues payment guarantees to Swedish companies who face the risk of non-payments in export transactions. Commitments are typically correlated, as defaults of companies are driven by other factors than factors specific to that company, such as the economic cycle or the regional conditions. In deciding upon how much capital to be reserved to remain solvent even in an unlikely scenario, this has to be accounted for in order to not underestimate financial risks.By studying models for credit risk and the research available in the area, the popular CreditRisk+

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9

Kasprowicz, Tomasz. "Threshold Theory--modelling risk attitude /." Available to subscribers only, 2008. http://proquest.umi.com/pqdweb?did=1650506301&sid=11&Fmt=2&clientId=1509&RQT=309&VName=PQD.

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10

Tran, Cao Son. "Structures in credit risk modelling." Thesis, Queensland University of Technology, 2021. https://eprints.qut.edu.au/207989/1/Cao%20Son_Tran_Thesis.pdf.

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The thesis is concerned with the design of conceptual structures in credit risk modelling. The focus is on designing mathematical constructs that serve as a unified framework for reasoning about credit risk modelling. Three contributions are made to this area of research: category theory, providing a powerful tool to study the relations of common structures underlying credit risk modelling; stacking model, to address issues of inconsistent and biased performance measurement; and the Kelly criterion, shifting the focus from dichotomous classification to optimal credit risk allocation.

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11

Sylta, Øyvind. "Hydrocarbon migration modelling and exploration risk." Doctoral thesis, Norwegian University of Science and Technology, Department of Geology and Mineral Resources Engineering, 2004. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-1492.

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12

Larneback, Marcus. "Modelling Operational Risk using Actuarial Methods." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51340.

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Within the financial industry Operational Risk is a relatively new concept, but within recent years it has gained more attention due to prior economically devastating events; these are events that cannot be categorized as market- or credit risks. The purpose of this thesis is to study the Loss Distribution Approach(LDA). This is one of the more rigorous models proposed by the Basel Committee on Banking Supervision, in order to calculate the required capital charge that should be set aside to cover future operational loss events within financial institutions. The focus is on the close connec- t

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13

Kwok, Ho King Calvin Actuarial Studies Australian School of Business UNSW. "Energy price modelling and risk management." Awarded by:University of New South Wales. Actuarial Studies, 2007. http://handle.unsw.edu.au/1959.4/40602.

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This thesis focuses on the development of a forecasting model for short- to medium-term electricity spot prices, based on modelling the dynamics of the supply and demand functions. It is found that the equilibrium assumption frequently adopted in electricity price models does not always hold; to overcome this problem, a notional demand process derived from the market clearing condition is proposed. Not only is this demand process able to capture all the price-affecting factors in one variable, but it also allows the equilibrium assumption to be satisfied and a spot price model to be built, usi

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14

Jackson, Alexander. "Interest rate and credit risk modelling." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400043.

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15

Ma, Zishun. "Topics in financial market risk modelling." Thesis, University of Newcastle Upon Tyne, 2012. http://hdl.handle.net/10443/1675.

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The growth of the financial risk management industry has been motivated by the increased volatility of financial markets combined with the rapid innovation of derivatives. Since the 1970s, several financial crises have occurred globally with devastating consequences for financial and non-financial institutions and for the real economy. The most recent US subprime crisis led to enormous losses for financial and non-financial institutions and to a recession in many countries including the US and UK. A common lesson from these crises is that advanced financial risk management systems are required

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16

Bedendo, Mascia. "Density forecasting in financial risk modelling." Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/2661/.

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As a result of an increasingly stringent regulation aimed at monitoring financial risk exposures, nowadays the risk measurement systems play a crucial role in all banks. In this thesis we tackle a variety of problems, related to density forecasting, which are fundamental to market risk managers. The computation of risk measures (e.g. Value-at-Risk) for any portfolio of financial assets requires the generation of density forecasts for the driving risk factors. Appropriate testing procedures must then be identified for an accurate appraisal of these forecasts. We start our research by assessing

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17

Parslow, Gary Iain. "Erosion risk modelling of subsea components." Thesis, Cranfield University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267498.

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18

Gallagher, Raymond. "Uncertainty modelling in quantitative risk analysis." Thesis, University of Liverpool, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.367676.

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19

Xu, Dapeng. "Essays on theoretical credit risk modelling." Thesis, University of Strathclyde, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275173.

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20

Apere, Pius Oyabramo. "Modelling life insurance new business risk." Thesis, City University London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.435038.

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21

Ledezma, RosaliÌa Diana DiÌaz. "Three studies in credit risk modelling." Thesis, City University London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.397858.

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22

Hunt, A. "Mortality modelling and longevity risk management." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13532/.

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The 20th century has witnessed some of the largest and most widespread gains in human longevity ever witnessed, which show no sign of slowing down during the early years of the 21st century. The risk of further, higher than anticipated improvements in life expectancy - known as longevity risk - is now a major and growing field of study. This thesis investigates a number of theoretical and practical problems within the field of longevity risk relating to the structure and identifiability issues within many of the most common models used to study mortality rates, the construction of new mortalit

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23

Hossain, Nafees. "Accurate portfolio risk-return structure modelling." Doctoral thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/18423.

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Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility models has become one of the hot spots in operations research. In this thesis, one of the areas we explore is the theoretical formulation of the optimal portfolio selection problem under Ito calculus framework. Particularly, a stochastic variation calculus problem, i.e., seeking the optimal stochastic

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24

Tarca, Silvio. "Regulatory Capital Modelling for Credit Risk." Thesis, The University of Sydney, 2015. http://hdl.handle.net/2123/13926.

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Abstract. The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital modelling for credit risk, and extend the model specification of the IRB approach to a more general setting than the usual Gaussian case. It rests on the proposition that quantiles of the distribution of conditional expectation of portfolio percentage loss may be substituted for quantiles of the portfolio loss distribution. We present a more compa

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25

Singh, Abhay Kumar. "Modelling Extreme Market Risk - A Study of Tail Related Risk Measures." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2011. https://ro.ecu.edu.au/theses/417.

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Market risk modelling is one of the most dynamic domains in finance. Risk is the uncertainty that affects the values of assets in the system in an unknown fashion causing fluctuations in their values and in investment outcomes. Market risk is defined as the losses due to fluctuations in the prices of financial assets which are caused by changing market conditions. Market risk modelling comprises tools and techniques which quantify the risk associated with financial instruments. Risk quantification is necessary to devise strategies such as hedging or diversification against the risk, to avoid s

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26

Schmelck, Anders. "Modelling risk in multi asset-class portfolios." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2010. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-14977.

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Using a simulation based model, with the Black-Scholes framework for equity andThe LIBOR Market Model for interest rates, we study market risk in multi assetclassportfolios, with static and dynamic weighting. The risk measures consideredare Value-at-Risk and Expected-Tail-Loss. The theoretical foundation is introducedand imperfections in the models and their assumptions are pointed out.The validity of the models and risk measures is tested using a backtesting procedureagainst data ranging from September 1999 to September 2009, with particularemphasis on the turbulent period of 2007 to Septembe

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27

Katsigiannakis, Konstantinos. "Electricity price risk : modelling the supply stack." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/7429.

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28

Yu, Lanhua. "Risk management : modelling dependence between asset returns." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.420966.

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29

Jobst, Norbert Josef. "On credit risk modelling,measurement and optimisation." Thesis, Brunel University, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270193.

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30

Cheung, W. "Credit risk modelling with default-triggered acquisition." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.597588.

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In this thesis, I propose that, given the opportunities for default-triggered acquisition (DTA), it is <i>liquidation risk</i> rather than just <i>default risk</i> that should really concern creditors, particularly senior debt investors. DTA is an important market phenomenon with significant implications for credit risk, but is under-researched in the credit risk modelling literature. This thesis attempts to bridge the gap. It developed three diffusion –based models, one for risky bond pricing (Chapter 3), and two for the potential acquirers’ positions, i.e. the <i>European</i> type of option-

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31

Weigel, Peter. "Term structure modelling : pricing and risk management." Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/63584/.

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This thesis is about interest rate modelling with applications in pricing and risk management of interest rate derivatives and portfolios. The first part of the thesis is developed within the random field framework suggested by Kennedy (1994). The framework is rich enough to be used for both pricing and risk management, but we believe its real value lies in the latter. Our main objective is to construct infinite-factor Gaussian field models that can fit the sample covariance matrices observed in the market. This task has not previously been addressed by the work on field methodology. We develo

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32

Gonzalez, Jhonny. "Modelling and controlling risk in energy systems." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/modelling-and-controlling-risk-in-energy-systems(b575d2c7-154f-4aca-b15e-4b99e0b3c661).html.

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The Autonomic Power System (APS) grand challenge was a multi-disciplinary EPSRC-funded research project that examined novel techniques that would enable the transition between today's and 2050's highly uncertain and complex energy network. Being part of the APS, this thesis reports on the sub-project 'RR2: Avoiding High-Impact Low Probability events'. The goal of RR2 is to develop new algorithms for controlling risk exposure to high-impact low probability (Hi-Lo) events through the provision of appropriate risk-sensitive control strategies. Additionally, RR2 is concerned with new techniques fo

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33

Li, Wang. "Default contagion modelling and counterparty credit risk." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html.

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This thesis introduces models for pricing credit default swaps (CDS) and evaluating the counterparty risk when buying a CDS in the over-the-counter (OTC) market from a counterpart subjected to default risk. Rather than assuming that the default of the referencing firm of the CDS is independent of the trading parties in the CDS, this thesis proposes models that capture the default correlation amongst the three parties involved in the trade, namely the referencing firm, the buyer and the seller. We investigate how the counterparty risk that CDS buyers face can be affected by default correlation

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34

Hunt, Laurence T. "Modelling human decision under risk and uncertainty." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:244ce799-7397-4698-8dac-c8ca5d0b3e28.

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Humans are unique in their ability to flexibly and rapidly adapt their behaviour and select courses of action that lead to future reward. Several ‘component processes’ must be implemented by the human brain in order to facilitate this behaviour. This thesis examines two such components; (i) the neural substrates supporting action selection during value- guided choice using magnetoencephalography (MEG), and (ii) learning the value of environmental stimuli and other people’s actions using functional magnetic resonance imaging (fMRI). In both situations, it is helpful to formally model the underl

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35

Kyselá, Eva. "Modelling portfolios with heavy-tailed risk factors." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264017.

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The thesis aims to investigate some of the approaches to modelling portfolio returns with heavy-tailed risk factors. It first elaborates on the univariate time series models, and compares the benchmark model (GARCH with Student t innovations or its GJR extension) predictive performance with its two competitors, the EVT-GARCH model and the Markov-Switching Multifractal (MSM) model. The motivation of EVT extension of GARCH specification is to use a more proper distribution of the innovations, based on the empirical distribution function. The MSM is one of the best performing models in the multif

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36

Du, Toit Carl. "Modelling market risk with SAS Risk Dimensions : a step by step implementation." Thesis, Link to the online version, 2005. http://hdl.handle.net/10019/1015.

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37

Starobinskaya, Irina. "Structural modelling of operational risk in financial institutions : application of Bayesian networks and balanced scorecards to IT infrastructure risk modelling /." Berlin : Pro Business, 2008. http://d-nb.info/991725328/04.

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38

Crossland, Ross. "Risk in the development design." Thesis, University of Bristol, 1997. http://hdl.handle.net/1983/aa5c6f5c-8e74-44ab-a6da-545ec6d39cfd.

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39

Vadeboncoeur, Nathan Noel. "Knowing climate change : modelling, understanding, and managing risk." Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/50777.

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Climate change is a complex problem. Approaches to understanding climate change risk and preparing for its management include assessments of biophysical changes, the influence of public risk perceptions on support for policies aimed at adapting to these changes, and analysis of the governance structures charged with developing and implementing climate action plans. Climate change issues, however, are often approached from a disciplinary perspective and there are few studies examining how climate risk is viewed from multiple perspectives in a particular locale. This thesis takes a bottom-up app

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40

Dimitrova, Dimitrina S. "Dependent risk modelling in (re)insurance and ruin." Thesis, City, University of London, 2007. http://openaccess.city.ac.uk/18910/.

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The work presented in this dissertation is motivated by the observation that the classical (re)insurance risk modelling assumptions of independent and identically distributed claim amounts, Poisson claim arrivals and premium income accumulating linearly at a certain rate, starting from possibly non-zero initial capital, are often not realistic and violated in practice. There is an abundance of examples in which dependence is observed at various levels of the underlying risk model. Developing risk models which are more general than the classical one and can successfully incorporate dependence b

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41

Roberts, C. M., and n/a. "Modelling cybercrime and risk for New Zealand organisations." University of Otago. Department of Information Science, 2009. http://adt.otago.ac.nz./public/adt-NZDU20091009.162528.

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The Internet is now fundamental to the global economy. Growing from an experimental and research network in the late 1960's, it is now the foundation of a wide range of economic, infrastructure support, communication and information sharing activities. In doing so it has also provided a vehicle for cybercrime. Organised cybercrime and state-sponsored malicious cyber activity are predicted to become the predominant cyber threats over the next five to ten years. Corporate governance is playing an increasingly important role in ensuring compliance with the growing body of legislation and regulati

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42

Margonis, Efstathios. "Modelling credit risk with applications to credit derivatives." Thesis, Imperial College London, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.398142.

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43

Sangrasi, Asif. "Component level risk assessment modelling for grid resources." Thesis, University of Leeds, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.590154.

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Service level agreements (SLAs), as formal contractual agreements, increase the confidence level between the End User and the Grid Resource provider, as compared to the best effort approach. However, SLAs fail short of assessing the risk in acceptance of the SLA; Risk Assessment in Grid computing fills that gap. Risk Assessment is crucial for the Resource provider as failing to fulfil an SLA will result in facing a financial penalty_ Thus risk, a deterrent to the commercial viability of Grids, needs to be assessed and mitigated to overcome the pitfalls associated with SLAs. The current approac

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44

Miao, Daniel Wei-Chung. "Markov Modulated Poisson Processes in Credit Risk Modelling." Thesis, University of Oxford, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490112.

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In this thesis, we use the Markov Modulated Poisson Process (MMPP) to model default arrival, a central issue of credit risk modelling. We work within the framework of reduced-form models to describe default rates as Markov chains, as an alternative to diffusion-based models. On one hand, the Markov chain models are able to approximate closely the diffusion models. On the other hand, their discrete nature provides more modelling flexibility and allows for the incorporation of advanced features. With these benefits they can be applied to a range of credit derivative pricing problems.

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45

Ahlgren, Markus. "Internal Market Risk Modelling for Power Trading Companies." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173917.

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Since the financial crisis of 2008, the risk awareness has increased in the -financial sector. Companies are regulated with regards to risk exposure. These regulations are driven by the Basel Committee that formulates broad supervisory standards, guidelines and recommends statements of best practice in banking supervision. In these regulations companies are regulated with own funds requirements for market risks. This thesis constructs an internal model for risk management that, according to the "Capital Requirements Regulation" (CRR) respectively the "Fundamental Review of the Trading Book" (F

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46

Alwohaibi, Maram. "Modelling the risk of underfunding in ALM models." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/16337.

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Asset and Liability Management (ALM) models have become well established decision tools for pension funds. ALMs are commonly modelled as multi-stage, in which a large terminal wealth is required, while at intermediate time periods, constraints on the funding ratio, that is, the ratio of assets to liabilities, are imposed. Underfunding occurs when the funding ratio is too low; a target value for funding ratios is pre-specified by the decision maker. The risk of underfunding has been usually modelled by employing established risk measures; this controls one single aspect of the funding ratio dis

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47

Mavaddat, Nasim. "Risk modelling in BRCA1 and BRCA2 mutation carriers." Thesis, University of Cambridge, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.610839.

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48

Villegas, Ramirez Andres. "Mortality : modelling, socio-economic differences and basis risk." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13574/.

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During the last two centuries the developed world experienced a persistent increase in life expectancy. Although past trends suggests that life expectancy will continue to increase, there is considerable uncertainty surrounding the future evolution of mortality. In addition, past mortality improvements have not been shared equally across the population, resulting in a widening of socio-economic inequalities in mortality. The uncertainty and socio-economic variability of life expectancy pose a challenge for the design of pension systems and the management of longevity risk in pension funds and

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49

Yan, Yang. "Essays in modelling and estimating Value-at-Risk." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/1033/.

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The thesis concerns semiparametric modelling and forecasting Value-at-Risk models, and the applications of these in financial data. Two general classes of semiparametric VaR models are proposed, the first method is introduced by defining some efficient estimators of the risk measures in a semiparametric GARCH model through moment constraints and a quantile estimator based on inverting an empirical likelihood weighted distribution. It is found that the new quantile estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals. At

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50

Albaz, Naif. "Modelling credit risk for SMEs in Saudi Arabia." Thesis, Cranfield University, 2017. http://dspace.lib.cranfield.ac.uk/handle/1826/13044.

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The Saudi Government’s 2030 Vision directs local banks to increase and improve credit for the Small and Medium Enterprises (SMEs) of the economy (Jadwa, 2017). Banks are, however, still finding it difficult to provide credit for small businesses that meet Basel’s capital requirements. Most of the current credit-risk models only apply to large corporations with little constructed for SMEs applications (Altman and Sabato, 2007). This study fills this gap by focusing on the Saudi SMEs perspective. My empirical work constructs a bankruptcy prediction model based on logistic regressions that cover

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