Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 32 for “"Risk Measurement"”.
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Credit risk measurement and modelling
… 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 different maturities and rating categories, it supports the …
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Contributions to solvency risk measurement
The thesis focuses on risk measures used to calculate solvency capital requirements. It consists of three independent papers. The first paper (Chapter 2) investigates time-consistency, the relation that should hold across risk measurements of the same financial position at different time points. …
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Mathematical foundations of risk measurement
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1986.
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Risk measurement and management of insurance companies
This thesis reviews some fundamental risk measurement and management concepts that insurance companies will face in the following years. The first chapter evaluates the theoretical and practical framework of the different approaches with respect to the determination of regulatory capital held by …
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Quantile-based methods for prediction, risk measurement and inference
… quantile methods in addressing prediction, risk measurement and inference problems. From a prediction perspective, a problem of creating model-free prediction intervals for a future unobserved value of a random variable drawn from a sample distribution is considered. With the objective of …
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Advancing SCRAM: Privacy-Centric Approaches in Cyber Risk Measurement
The Secure Cyber Risk Aggregation and Measurement (SCRAM) framework allows multiple parties to compute aggregate cyber-risk measurements without the need to disclose publicly any information about their identity and their personal data. The framework, through the use of Multi-Party Computation …
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Consumer credit risk measurement : challenges for the Paraguayan banking system
Credit risk is often a critical risk in the financial sector. Therefore, how a financial institution manages its credit risk is an important determinant of profitability and solvency. In this regard, the identification and measurement of credit risk is the first component of efficient risk …
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Valuation and Risk Measurement of Guaranteed Annuity Options under Stochastic Environment
… frameworks for the accurate pricing and risk management of complex insurance products with option-embedded features. We propose stochastic models for the evolution of the two main risk factors, the interest rate and mortality rate, which could also have a correlation structure. For the …
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
Longevity risk is a non-diversifiable risk and regarded as a pressing socio-economic challenge of the century. Its accurate assessment and quantification is therefore critical to enable pension-fund companies provide sustainable old-age security and maintain a resilient global insurance market. …
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Application of valuation-by-components to risk measurement and foreign exchange exposures in international projects
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Civil Engineering, 1990.
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Volatility Modeling and Risk Measurement using Statistical Models based on the Multivariate Student's t Distribution
An effective risk management program requires reliable risk measurement. Failure to assess inherited risks in mortgage-backed securities in the U.S. market contributed to the financial crisis of 2007–2008, which has prompted government regulators to pay greater attention to controlling risk in …
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Performance measurement and attribution of international equity portfolios : a practical model for Canadian investors
… intuitive and useful performance attribution and risk measurement framework for international equity portfolios. The framework presented is then used to evaluate the performance of a Canadian-based international equity portfolio yielding results which would be of particular interest to its …
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Measurement of Operational Risks with Stochastic Models in Turkish Banking System
… as direct and indirect impacts of operational risk, endorses the need for the measurement and management of this risk. In order to manage operational risk, it must be quantified and measured properly. Measurement of operational risk requires considerably different and more sophisticated …
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Probablistic risk analysis of financial investment decisions. A probabilistic analysis of the financial performance of'selected Colombian companies and banks for the period 1973-1977 with application to the investment decision process.
… a stochastic procedure developed for assessing risk and reducing uncertainty inherent in the investment decision making process. It is proposed that the two most important profitability financial ratios in relation to investment decisions are the return on equity and the return on assets …
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The evolution and dynamics of stocks on the Johannesburg Securities Exchange and their implications for equity investment management
… the market. Chapter 4 looks at the evolution of risk measurement and the distribution of returns on the JSE. There is evidence of fat tails and that the Student t-distribution is a better fit for the JSE returns than the Normal distribution. The Gaussian based Value-at-Risk model also proved to …
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Examining approaches to quantifying cyber risk for improved cybersecurity management
… societal influence continues to grow, cyber risk management is becoming a serious priority. Individuals are putting their important assets and personal data, such as social security numbers, passwords, medical history, and more into the cloud. As a result, security breaches pose a drastic …
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Retail deposit pricing and interest rate risk
… pricing of such deposits or the interest rate risk posed by such deposit balances. In this thesis we address the pricing of retail deposits in a dynamic, general equilibrium framework in order to draw conclusion regarding the important time series relationship between deposit and competitive …
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