Keyword: risk

Found 1845 papers in total
Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
2001,
This paper investigates the dynamic behaviour of daily aggregate returns of one of...
A pricing model for secondary market yield based floating rate notes subject to default risk
A pricing model for secondary market yield based floating rate notes subject to default risk
2001,
The purpose of this article is to price secondary market yield based floating rate...
Dynamic value at risk under optimal and suboptimal portfolio policies
Dynamic value at risk under optimal and suboptimal portfolio policies
2001,
At present, all value at risk (VaR) implementations – i.e., all risk measures of...
Efficient frontier cutoff policies in credit portfolios
Efficient frontier cutoff policies in credit portfolios
2001,
Historically, account acquisition in scored retail credit and loan portfolios has...
Optimal location of deep-sea tsunami detectors
Optimal location of deep-sea tsunami detectors
2001,
The development of deep-sea detectors has significantly enhanced the potential for...
Fuzzy mean-variance approach to strategic decision in agricultural management
Fuzzy mean-variance approach to strategic decision in agricultural management
2001,
When we decide the production of each agricultural product in the uncertain...
Opportunities for reducing deliquencies and defaults in federal housing credit programs: A review of new technologies and promising practices
Opportunities for reducing deliquencies and defaults in federal housing credit programs: A review of new technologies and promising practices
2001,
New technologies offer opportunities and create new risks for programs of the Federal...
Solving large scale mean-variance models with dense non-factorable covariance matrices
Solving large scale mean-variance models with dense non-factorable covariance matrices
2001,
This paper is concerned with an efficient algorithm for solving a large-scale dense...
Portfolio selection problem with minimax type risk function
Portfolio selection problem with minimax type risk function
2001,
The investor's preference in risk estimation of portfolio selection problems is...
Production, operating risk and market uncertainty: A valuation perspective on controlled policies
Production, operating risk and market uncertainty: A valuation perspective on controlled policies
1998,
This paper develops a contingent claims model of an optimally controlled production...
Use of fuzzy numbers in project risk (criticality) assessment
Use of fuzzy numbers in project risk (criticality) assessment
2001,
We put forward a fuzzy way of measuring the criticality of project activities and of...
Dependence of the optimal risk control decisions on the terminal value for a financial corporation
Dependence of the optimal risk control decisions on the terminal value for a financial corporation
2000,
The paper deals with the model of a firm which has a possibility to choose among a...
Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
2000,
A catastrophe may affect different locations and produce losses that are rare and...
The influence of perceived stock value price histories in the mean–variance-instability model
The influence of perceived stock value price histories in the mean–variance-instability model
2001,
The model introduced by H. Talpaz, A. Harpaz and J.B. Penson extends the...
Modelling project investment decisions under uncertainty using possibility theory
Modelling project investment decisions under uncertainty using possibility theory
2001,
With the increasing popularity of privately financed and operated construction...
The impact of disruption and delay when compressing large projects: Going for incentives?
The impact of disruption and delay when compressing large projects: Going for incentives?
2001,
Demands by clients for earlier delivery after a project has started are increasing....
Modelling the absolute returns of different stock indices: Exploring the forecastability of an alternative measure of risk
Modelling the absolute returns of different stock indices: Exploring the forecastability of an alternative measure of risk
2000,
Conventional measures of the risk of a financial asset make use of the unobserved...
Impact of uncertainty and risk aversion on price and order quantity in the newsvendor problem
Impact of uncertainty and risk aversion on price and order quantity in the newsvendor problem
2000,
We consider a single-period inventory model in which a risk-averse retailer faces...
Optimal portfolios for exponential Lévy processes
Optimal portfolios for exponential Lévy processes
2000,
We consider the problem of maximizing the expected utility from consumption or...
Interest rate futures and bank hedging
Interest rate futures and bank hedging
1999,
This note examines a situation in which hedging may actually increase a bank's...
Certainty preference and the Arrow–Pratt measure
Certainty preference and the Arrow–Pratt measure
2000,
In Schmidt a new axiomatic model of decision making under risk has been developed,...
Neural network approach to sensitivity and uncertainty analysis
Neural network approach to sensitivity and uncertainty analysis
1999,
Computer simulation of the dynamic evolution of complex systems has become a...
A Laplace transform representation in a class of renewal queueing and risk processes
A Laplace transform representation in a class of renewal queueing and risk processes
1999,
For a class of renewal queueing processes characterized by a rational...
Sensitivity measures for split-capital investment trusts
Sensitivity measures for split-capital investment trusts
1999,
Statistical measures of risk based on historical data are useful tools in assessing...
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