RiskMetrics

The RiskMetrics variance model (also known as exponential smoother) was first established in 1989, when Sir Dennis Weatherstone, the new chairman of…

Papers overview

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2017

A framework for simulating weather-induced dependent faults across networks is proposed and demonstrated on a truncated GB…

2016

The article is devoted to the adaptation of VaR (EaR) methodology for the risk evaluation of intellectual assets (digital images…

2012

Abstract : Structural integrity programs of the United States Air Force (USAF) include periodic inspection to detect damage…

2011

The smooth functioning of the EU internal market entails not only regulatory harmonisation, but also a set of rules which, re…

2011

Success of a Component Based System (CBS) depends heavily on the selection of the right components. In reality, components are…

2011

Recent accidents like Buncefield and Texas City have put risk to people from explosion high on the agenda, particularly with…

2010

In this paper, we present a framework that links two commonly used risk metrics: default probabilities and credit spreads. This…

2009

The Dutch government is in the process of revising its national flood safety policy. The current Dutch Flood Defense Act lays…

Review

2007

Review

2007

Abstract. The assets managed by Switzerland’s large institutional investors are huge. It is hence very important to have reliable…

2007

In recent years, Value-at-Risk (VaR) has become a standard measure of market risk commonly used by financial managers. VaR…