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Event-based historical Value-at-Risk

Frederik Hogenboom, Michael de Winter, Milan Jansen, Alexander Hogenboom, Flavius Frasincar, Uzay Kaymak
2012 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)  
Value-at-Risk (VaR) is an important tool to assess portfolio risk.  ...  When calculating VaR based on historical stock return data, we hypothesize that this historical data is sensitive to outliers caused by news events in the sampled period.  ...  INTRODUCTION I N today's financial markets, Value-at-Risk (VaR) is a widely used risk measure quantifying the risk of loss on a portfolio of financial equities.  ... 
doi:10.1109/cifer.2012.6327787 dblp:conf/cifer/HogenboomWJHFK12 fatcat:j7koy7vo2bbsnhi72b5feq73mq

Analysis of Historical River Floods - A Contribution Towards Modern Flood Risk Management [chapter]

Jochen Seidel, Paul Dostal, Florian Imbery
2012 Risk Management for the Future - Theory and Cases  
Peak annual discharges for return times at the gauging station Plochingen (Neckar) based on different data series Analysis of Historical River Floods -A Contribution Towards Modern Flood Risk Management  ...  These data were normalized at the upper left value.  ...  Analysis of Historical River Floods -A Contribution Towards Modern Flood Risk Management, Risk Management for the Future -Theory and Cases, Dr Jan Emblemsvåg (Ed.), ISBN: 978-953-51-0571-8, InTech, Available  ... 
doi:10.5772/32463 fatcat:n3fkoa2xbraepobrf266gzdbaq

Event-based probabilistic risk assessment of livestock snow disasters in the Qinghai–Tibetan Plateau

Tao Ye, Weihang Liu, Jidong Wu, Yijia Li, Peijun Shi, Qiang Zhang
2019 Natural Hazards and Earth System Sciences  
This study develops an event-based probabilistic risk assessment (PRA) model for livestock snow disasters in the Qinghai–Tibetan Plateau (QTP) region and derives risk assessment results based on historical  ...  Our event-based PRA results provide a quantitative reference for preparedness and insurance solutions in reducing mortality risk.  ...  In historical records, two or more events in a single year at a single location are rare.  ... 
doi:10.5194/nhess-19-697-2019 fatcat:2amqtdterrgvrp4jbckmrf62oi

Development of a Flash Flood Confidence Index from Disaster Reports and Geophysical Susceptibility

Andrew Kruczkiewicz, Agathe Bucherie, Fernanda Ayala, Carolynne Hultquist, Humberto Vergara, Simon Mason, Juan Bazo, Alex de Sherbinin
2021 Remote Sensing  
The analysis of historical disaster events is a critical step towards understanding current risk levels and changes in disaster risk over time.  ...  Results indicate the potential value of disaggregating events labeled as a primary disaster type into events of a particular subtype.  ...  Figure 3 . 3 Historical flood events from the derived dataset (2007-2019): (a) Number of events per administrative level 3 (Parroquia) based on the 3365 historical records; (b) Location of the historical  ... 
doi:10.3390/rs13142764 fatcat:67abrqxy55cvfbrrwyg4xozboa

Designing stress scenarios for portfolios

Krishan Mohan Nagpal
2017 Risk Management: An International Journal  
The approach relies on historical data and derives the scenario based on market changes during historical periods that would have been the most stressful for the given portfolio.  ...  factors, (d) no need of prior assumptions on joint distribution of market risk factors, and (e) transparency of the results as they are developed from market changes during actual stressful historical  ...  from time T 1 to T 2 : Change in time t portfolio value based on risk factor changes from T 1 to T 2 = Portfolio value (risk factor values at time t plus changes in risk factor values from T 1 to T 2  ... 
doi:10.1057/s41283-017-0024-x fatcat:rzg63qkcb5fg3nxnjwfnj5reza

Hazards of Risk: Identifying Plausible Community Wildfire Disasters in Low-Frequency Fire Regimes

Andy McEvoy, Becky K. Kerns, John B. Kim
2021 Forests  
Optimized wildfire risk reduction strategies are generally not resilient in the event of unanticipated, or very rare events, presenting a hazard in risk assessments which otherwise rely on actuarial, mean-based  ...  Results indicate that nearly half of communities are vulnerable to a future disaster, that the magnitude of plausible disasters exceeds any recent historical events, and that ignitions on private land  ...  We thank Teresa Alcock at Oregon Dept. of Forestry as well as Alan Ager and Michelle Day from the U.S. Forest Service, Rocky Mountain Research Station for conceptual support and guidance.  ... 
doi:10.3390/f12070934 fatcat:64opaamyr5ak3a6xcvvaorwhoy

Comparing an insurer's perspective on building damages with modelled damages from pan-European winter windstorm event sets: a case study from Zurich, Switzerland

Christoph Welker, Thomas Röösli, David N. Bresch
2021 Natural Hazards and Earth System Sciences  
In this study, we compare how modelling of building damages complements claims-based risk assessment.  ...  Our study emphasizes the importance of complementing a claims-based perspective with a probabilistic risk modelling approach to better understand windstorm risks.  ...  GEV) distribution fitted to the historic SSI values.  ... 
doi:10.5194/nhess-21-279-2021 fatcat:xibl3fxtfvfjvg3xfue74tuelm

Quantifying Risk Propagation Within a Network of Business Processes and IT Services

Oscar González-Rojas, Nicolás Castro, Sebastian Lesmes
2020 Business & Information Systems Engineering  
A high level of accuracy was observed when comparing the actual value of the process risk and the projected value considering risk propagation.  ...  This paper presents a holistic approach for quantifying risk propagation in business processes based on the risk analysis of their underlying IT and human resources.  ...  This algorithm uses the Value at Risk (VAR) and the Conditional Value at Risk (CVAR) financial techniques to quantify risks in average and severe events on IT resources respectively.  ... 
doi:10.1007/s12599-020-00634-3 fatcat:cdrmc3r7r5aqrfeeuldomktjq4

Historical data enhances safety supervision system performance in T1DM insulin therapy risk management

Colleen Hughes-Karvetski, Stephen D. Patek, Marc D. Breton, Boris P. Kovatchev
2013 Computer Methods and Programs in Biomedicine  
Historical heightened risk of hypoglycemia throughout the day prompts an increase in the aggressiveness of insulin attenuation as compared to the original brakes that are based on real-time data alone.  ...  Through the use of available real-time data supplemented with historical glucose information to assess hypoglycemic risk, we are able to better anticipate and prevent hypoglycemia.  ...  In addition, the algorithm anticipates the potential for hypoglycemic risk based on patient's routine behavioral events, targeting the historical impact that these events have on glycemic fluctuation.  ... 
doi:10.1016/j.cmpb.2011.12.016 pmid:22342221 pmcid:PMC3369012 fatcat:5yx3nrb74ffltfyc3ex2i6qkua

Discharges of past flood events based on historical river profiles

D. Sudhaus, J. Seidel, K. Bürger, P. Dostal, F. Imbery, H. Mayer, R. Glaser, W. Konold
2008 Hydrology and Earth System Sciences  
The discharge estimations were made for the flood events of 1824 and 1882 5 based on historical cross profiles.  ...  It was carried out within the BMBF research project RIMAX (Risk Management of Extreme Flood Events).  ...  Furthermore, the authors thank the General State Archive Karlsruhe and the City Archive Stuttgart for the permission to scan and publish historical records. We would also like to thank T.  ... 
doi:10.5194/hess-12-1201-2008 fatcat:qhq7kkpruzd5ng6ono6xcyum6a

Discharges of past flood events based on historical river profiles

D. Sudhaus, J. Seidel, K. Bürger, P. Dostal, F. Imbery, H. Mayer, R. Glaser, W. Konold
2008 Hydrology and Earth System Sciences Discussions  
The discharge estimations were made for the flood events of 1824 and 1882 5 based on historical cross profiles.  ...  It was carried out within the BMBF research project RIMAX (Risk Management of Extreme Flood Events).  ...  Furthermore, the authors thank the General State Archive Karlsruhe and the City Archive Stuttgart for the permission to scan and publish historical records. We would also like to thank T.  ... 
doi:10.5194/hessd-5-323-2008 fatcat:jpdztxe3tbd3rp6qvt5xm6huam

Modelling Value-at-Risk in Investment Banks: "Empirical Evidence of JP Morgan, Merrill Lynch and Bank of America"

Rajeev Rana
2018 International Journal of Economics & Management Sciences  
Since bank's adhere to risk-based capital requirements by using their own internal risk models to determine their 5% or 1% value-at-risk i.e. VaR at (0.05) or (0.01).  ...  represents, the computed Historical Simulation of forecasted value-at-risk (VaR) for the Bank of America, JP Morgan Chase & Co., and Merrill Lynch Citation: Rana R (2018) Modelling Value-at-Risk in Investment  ... 
doi:10.4172/2162-6359.1000515 fatcat:yn7qlmpmwrasnet3ce4qukic5e

CLIMADA – a global weather and climate risk assessment platform

Gabriela Aznar-Siguan, David N. Bresch
2019 Geoscientific Model Development Discussions  
</strong> The need for assessing the risk of extreme weather events is ever increasing.  ...  CLIMADA supports multi-hazard calculations and provides an event-based probabilistic approach that is globally consistent for a wide range of resolutions, suitable for whole-country to detailed local studies  ...  from the full set of events (34'650 events) -model distribution in Fig. 7 -evaluated at every historical event.  ... 
doi:10.5194/gmd-2018-338 fatcat:rc4fif3e2zgytlu4c2qaim7vnu

Exploration of Copula Models Use in Risk Assessment for Freezing and Snow Events: A Case Study in Southern China

Qian Li, Liutong Chen, Zhengtao Yan, Yingjun Xu
2022 Sustainability  
Based on precipitation and average temperature data from 258 national meteorological stations over the past 70 years, this study established a historical freezing and snow event data set, extracting the  ...  By comparing the calculations with the real return period for historical extreme events, we found that the bivariate joint return period based on a copula model was more accurate than the univariate return  ...  Based on this, a set of historical events was established for each station.  ... 
doi:10.3390/su14052568 fatcat:zhynivvdznbbpaky6wotvjerqe

Climate change and non-stationary flood risk for the upper Truckee River basin

L. E. Condon, S. Gangopadhyay, T. Pruitt
2015 Hydrology and Earth System Sciences  
Historical floods are simulated at two UTRB gauge locations, Farad and Reno, using the Variable Infiltration Capacity (VIC) model and non-stationary Generalized Extreme Value (GEV) models.  ...  Overall, flood risk at both locations (Farad and Reno) is projected to increase 10–20% between the historical period 1950 to 1999 and the future period 2000 to 2050 and 30–50% between the same historical  ...  Despite these differences, comparison with historical flood events demonstrates that the GEV model does reasonably well at simulating historical flood magnitudes, even if some individual historical events  ... 
doi:10.5194/hess-19-159-2015 fatcat:wa23p4sg4vcfffj3cdpe64koc4
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