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Default Risk Modeling Beyond the First-Passage Approximation. I. Extended Black-Cox Model
Default Risk Modeling First-Passage Approximation Black-Cox Model
2010/4/27
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firms ability to avoid default even if companys liabilities momentaril...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Black-Scholes model Capital-at-Risk Expected Shortfall logarithmic utility optimal consumption portfolio optimization utility maximization Value-at-Risk
2010/4/27
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in te...
Soil bioengineering for risk mitigation and environmental restoration in a humid tropical area
Soil bioengineering risk mitigation environmental restoration humid tropical area
2010/2/20
The use of soil bio-engineering techniques in developing countries is a relevant issue for disaster mitigation, environmental restoration and poverty reduction. Research on the autochthonal plants sui...
Soil bioengineering for risk mitigation and environmental restoration in a humid tropical area
Soil bioengineering risk mitigation environmental restoration humid tropical area
2010/3/5
The use of soil bio-engineering techniques in developing countries is a relevant issue for disaster mitigation, environmental restoration and poverty reduction. Research on the autochthonal plants sui...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Asymptotics of the probability minimizing a “down-side” risk
probability minimizing down-side Asymptotics
2010/4/27
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation c...
Risk assessment for hazardous materials transportation
HazMat route optimization risk analysis
2010/9/15
The assessment of hazardous materials (HazMats) transport risk assumes a fundamental importance, especially in urban areas, in order to identify possible alternative routes and choose among these the ...
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
cluster-like architecture Premia software Nsp
2010/4/27
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like archi...
In this paper we indicate a natural generalization of the notion of the coherent risk measure in some partially ordered normed linear space E, according to the remark that was first made in [9] about ...
Hanging on the line–on the need to assess the risk to global submarine telecommunications infrastructure–an example of the Hawaiian bottleneck and Australia
global submarine telecommunications infrastructure Hawaiian bottleneck Australia
2009/12/16
National economies are becoming increasingly dependent on the global telecommunications system – and in particular, its submarine cable infrastructure. We note that a variety of natural hazard process...
Mitigating mountain hazards in Austria–legislation,risk transfer,and awareness building
Mitigating mountain hazards legislation risk transfer awareness building
2009/12/16
Embedded in the overall concept of integral risk management, mitigating mountain hazards is pillared by land use regulations, risk transfer, and information. In this paper aspects on legislation relat...
We analytically estimate the risk function of natural hazards (earthquakes, rockfalls, forestfires, landslides) by means of a non-extensive approach which is based on implementing the Tsallis entropy ...
Improving risk assessment by defining consistent and reliable system scenarios
risk assessment consistent and reliable system scenarios
2009/12/16
During the entire procedure of risk assessment for hydrologic hazards, the selection of consistent and reliable scenarios, constructed in a strictly systematic way, is fundamental for the quality and ...
Taking the heterogeneity of citizens into account:flood risk communication in coastal cities–a case study of Bremen
heterogeneity of citizens flood risk communication coastal cities
2009/12/10
The likely manifestations of climate change like flood hazards are prominent topics in public communication. This can be shown by media analysis and questionnaire data. However, in the case of flood r...