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 96 for “"Risk models"”.
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INCORPORATING THE SOUTHERN OSCILLATION INDEX INTO WEATHER RISK MODELS
Weather derivatives link a set of payments to a set of predetermined weather outcomes.
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Credit risk models for mortgage loan loss given default
Arguably, the credit risk models reported in the literature for the retail lending<br/>sector have so far been less developed than those for the corporate sector,<br/>mainly due to the lack of publicly available data. Having been given access to a<br/>dataset on defaulted mortgages kindly provided …
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Learning risk models for pancreatic cancer from electronic health records
… subtle, which underscores the need for better risk modeling to predict a patient's chance of pancreatic cancer well before it would usually be diagnosed. We propose a series of novel models that apply standard machine learning techniques to Electronic Health Records (EHRs) to predict risk of …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
In this thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward …
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Quantifying Model Risk in Option Pricing and Value-at-Risk Models
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 …
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Improving Clinical Risk Models through Integration of Polygenic Risk Scores and Omics
… to disease research. Methods such as polygenic risk score analysis have been presented to enhance disease risk prediction, however, the clinical utility of these methods are controversial. Similarly, the identification of genes associated with likely causal SNPs is unclear as identified SNPs …
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Essays in Quantitative Risk Management for Financial Regulation of Operational Risk Models
… to ensure the solvency of a bank. Mathematical models are typically used by banks to quantify sufficient amounts of capital. In this thesis, we explore areas that advance our knowledge in regulatory risk management. In the first essay, we explore an aspect of operational risk loss modeling using …
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Evaluating value at risk models: an application to the Johannesburg Stock Exchange
The management of market risk is an essential determinant of the stability of a financial institution, and by extension, of the overall financial system. There are various variables which impact on the accuracy of a market risk management system. For various reasons which are discussed in this …
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Assessment of Multiple Third-Party Risk Models Incorporating Uncertainty Quantification and Sensitivity Analysis
This study compares three UAS third-party risk (TPR) assessment tools—Quantitative Approach and Departure Risk Assessment (QUADRA), Autonomous Planning and Replanning (AutoPRep), and the Ground Risk Assessment Service Provider (GRASP)—under controlled mission parameters, similar population …
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Development of statistical methodologies and risk models to perform real-time safety monitoring in interventional cardiology
Post-marketing surveillance of medical pharmaceuticals and devices has received a great deal of media, legislative, and academic attention in the last decade. Among medical devices, these have largely been due to a small number of highly publicized adverse events, some of them in the domain of …
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Ecological studies of Clostridioides difficile and COVID-19 infection with the application of space-time risk models
… infection (CDI) and COVID-19, to identify risk factors at an ecological population-based level. A mixture of open-sourced and routinely collected data, at different spatial scales, were used to understand the surveillance capacities of observational public health data. Antimicrobial …
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Two applications of U-Statistic type processes to detecting failures in risk models and structural breaks in linear regression models
… is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It …
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Development and Evaluation of Risk Models to Predict Readmission or Death Following Discharge from an Adult General Systems Intensive Care Unit
… from intensive care unit (ICU) to ward are high-risk periods of healthcare delivery associated with ICU readmission and post-ICU mortality. Evidence-based processes for transitions are crucial for improving outcomes. Validated prediction models that include consistently associated risk factors …
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Ecological risk models for visceral leishmaniais [sic] in Bahia, Brazil and diagnosis of Trypanosoma cruzi infection in dogs in south central Louisiana
Three predictive models were developed within a geographic information system using earth observing satellite remote sensing (RS), the Genetic Algorithm for Rule-Set Prediction (GARP) and the growing degree day-water budget (GDD-WB) concept to predict the distribution and potential risk of visceral …
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Refining Value-at-Risk estimates: An Extreme Value Theory Approach
This thesis proposes new approaches to Value-at-Risk estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed …
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The hazardous materials vehicle routing problem
… problem (HMVRP), this thesis compares different risk models and analyses their influence on the problem outcomes. Additionally, heuristic and meta-heuristic solution procedures are proposed for handling the NP-hard nature of the problem. For this purpose, four different studies are conducted. …
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