This project focuses on risk analysis of corporate bond portfolios. We separate the total risk of the portfolio into three parts, which are market risk, credit risk and liquidity risk. The market risk component is quantified by value-at-risk (VaR) determined by change in yield to maturity of the bond portfolio. For the credit risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called basis which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity risk by using the basis. In addition, we also introduce a Fama-French multi-factor model to analyze factor significance to the corporate bond portfolio.

"For industrial explosion protection, residual risk analysis determines the likelihood that a given protection scheme will fail to mitigate an explosion occurrence, where one or more points of a system are subject to failure. Current design practice for providing explosion protection measures for industrial hazards follows a process where, although the designer satisfies accepted industry codes and standards, the result is a system where the risk of failure remains unknown. This thesis proposes and demonstrates the use of a methodology to assist design engineers in constructing an explosion protection system that meets a specified quantifiable level of risk. This new methodology can assist building owners and decision makers in selecting a design that best meets their risk-based goals and objectives."

This project focuses on risk analysis of corporate bond portfolios. We divide the total risk of the portfolio into three parts, which are market risk, credit risk and liquidity risk. The market risk component is quantified by value-at-risk (VaR) which is determined by change in yield to maturity of the bond portfolio. For the credit risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called `basis' which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity risk by using the basis. In addition we also introduce a Fama-French multi-factor model to analyze the factor significance to the corporate bond portfolio.

Thesis (Ph.D)--Boston University. / The aims of this study were: (1) to test whether hypotheses regarding the behavior of schizophrenics which had received support in level of aspiration studies would also be supported by decision theory type chance taking measures; and (2) to examine the kinds of risks toward which schizophrenics were most sensitive. Two theoretical models, decision theory and level of aspiration theory, dealing with decision making in situations involving the threat of failure, were shown to be basically similar in their formulation; they differed, however, in regard to the independence of probability and reward, and the degree of the individual's control over the outcome and the motive of achievement. "Risk," which was considered to be the objective equivalent of the clinical concept "threat of failure," was defined operationally as the negative term of the expected value model (i.e., as the product of the probability of loss and the amount of possible loss). [TRUNCATED]

Abstract Introduction: Swedish soldiers expose themselves to significant risks in international efforts, despite the risks soldiers are still motivated to participate in operations for Försvarsmakten (FM). Most often, expert assessments of risks have been formed before a specific effort that excludes the soldiers 'subjective perception of the threats and risks that may arise, this can mean that soldiers risk getting inadequate information about future risks and that training prior to intervention lacks important and central parts of the soldiers' risk assessment. Aim: The study aims to investigate risk understanding and risk perception by interviewing Swedish soldiers who have been in place in Afghanistan. Method: The study uses a case study based on the implementation of qualitative interviews. Results: When collecting data and during the analysis process, three main themes were identified with the following subcategories. Conclusion: The respondents' experience of the international effort highlights that their risk perception does not correlate with the risk understanding they had with them from home. The assignment changed the respondents' subjective risk understanding and risk perception.

This research explores the evolution of risk management practices, from traditional to enterprise risk management (ERM), in Iran's automotive industry. It also investigates the alignment of ERM and performance management, and their mutual impact. Academic and industry studies reveal that throughout recent decades there has been an increasing interest into ERM development and its alignment with performance management. However, despite the increase in ERM adoption over recent years, ERM is still in the early stages of implementation and requires further research and development. Moreover, a literature review revealed that the literature in respect of the alignment of ERM with performance management is limited and those existing are mostly of a visionary nature and lack practical implementation. Therefore, the gap identified through the literature review led to the development of a theoretical framework within this research, exploring the main organisational elements significant to the effective alignment of ERM and performance management and its implementation, which will provide practitioners and academics with practical guideline regarding such alignment. This research was completed through two empirical stages within the context of automotive industry. The primary data were collected and analysed through a mixed methods approach: 30 semi-structured interviewees were conducted with senior managers within the automotive industry (Qualitative). In the second stage, automotive industry professionals' responses were gathered from 101 survey questionnaires (Quantitative). The theoretical and empirical findings of this research confirm that in the recent decades, risk management has been evolving and transforming from its traditional approach to a strategic foundation, leading organisations towards competitive advantage and value creation. This research also indicates that aligning ERM with organisational performance management is critical in establishing a sustainable ERM and enhancing business performance over time. Based on the empirical findings of this research supported by theoretical findings, a lack of support from senior managers for effective ERM implementation and its alignment with performance management is considered as one of the significant challenges of sustainable ERM. In addition, a lack of ERM infrastructure and shareholders' poor understanding of ERM remains as challenging factors in aligning ERM with performance management. To the Researcher's best of knowledge, there is very limited literature into alignment of ERM and performance management in automotive industry. Therefore, this research's main contribution to the body of knowledge is the development of an effective framework for automotive industry, aligning ERM with organisational performance management, along with guidance for its implementation in practice. The key limitation associated with this research is that, due to complexity of ERM and its incorporation with other management functions and various organisational elements in the developed framework (Chapter 7, Section 7-1), it might be difficult somewhat to manage at the beginning of the framework adoption. It should be emphasised that the framework has been developed for those organisations that have a good understanding of ERM principles. So, this limitation might apply to those with inadequate knowledge of ERM. In addition, the developed aligning framework addresses the challenges and concerns of automotive industry organisations in aligning ERM with performance management. Applying this research in other sectors and industries provides the opportunity to investigate the potential changes and/or collaboration of certain elements of the framework based on the business area that the organisation operates in. The Researcher recommends further investigation into intangible organisational factors, such as how critical ERM culture could be effective in alignment of ERM with performance management. Moreover, the Researcher recommends that as ERM is growing quickly, future studies should continue to reveal and correlate new factors into the current framework. It is further recommended that future researchers could attempt to measure the benefits as well as the shortcomings associated with implementation of the aligning framework. This enables management with in organisations to improve the framework's advantage and to attempt to overcome its limitations.

Yeung, Wing Chuen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 68-70). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background Study --- p.4 / Chapter 2.1 --- Liquidity Management --- p.4 / Chapter 2.2 --- Default Prediction Analysis --- p.7 / Chapter 2.3 --- The Merton Model --- p.10 / Chapter 3 --- Insolvency Model --- p.15 / Chapter 3.1 --- Insolvency Probability --- p.16 / Chapter 3.2 --- Factors Affecting Insolvency Probability --- p.19 / Chapter 3.3 --- Chapter Summary --- p.29 / Chapter 4 --- "Profitability, Liquidity and Insolvency" --- p.30 / Chapter 4.1 --- Profitability and Liquidity --- p.31 / Chapter 4.2 --- Modified Insolvency Probability --- p.34 / Chapter 4.3 --- Chapter Summary --- p.38 / Chapter 5 --- Decision on Optimal Liquidity Level --- p.39 / Chapter 5.1 --- Expected Loss in case of Insolvency --- p.40 / Chapter 5.2 --- Optimal Liquidity Level --- p.43 / Chapter 5.3 --- Numerical Example --- p.46 / Chapter 5.4 --- Chapter Summary --- p.49 / Chapter 6 --- Liquidity Strategies --- p.50 / Chapter 6.1 --- Liquidity Strategies --- p.51 / Chapter 6.2 --- Scenario Tests --- p.54 / Chapter 6.3 --- Chapter Summary --- p.59 / Chapter 7 --- Conclusions --- p.60 / Chapter A --- Fibonacci Algorithm --- p.62 / Chapter B --- Stimulation Results --- p.64 / Bibliography --- p.68

The ongoing shift from Defined Benefit (DB) pension plans to Defined Contribution (DC) pension plans in private sectors has transferred investment risk and longevity risk from pension providers to individuals. Professional advice on how to best generate retirement incomes from accumulated pension savings is therefore in great demand. A common solution is buying an immediate annuity; however the immediate annuity market has long been experiencing low demand. Another solution is following a safe drawdown rate during retirement; however this exposes retirees to the risk of outliving their pension savings. In recent years, behavioral factors have been successful in explaining individuals’ decision-making process, this thesis is therefore devoted to the investigation of the low demand of immediate annuities by considering behavioral models; and the use of annuity products in optimal decumulation strategy designs. This thesis has two major contributions. First, both Cumulative Prospect Theory (CPT) and Hyperbolic discount model can explain the low demand of immediate annuities and suggest that people would be willing to purchase deferred annuities. This has laid a research foundation for introducing and promoting the deferred annuity product. Second, we provide an optimal partial annuitisation strategy involving deferred annuities in a utility maximisation decumulation plan. In the proposed strategy the retirement period is divided into two stages: a stage where pensioners use their savings to cover their living expenses and a second stage where a payment stream from deferred annuities is available. This strategy effectively helps retirees manage the longevity risk at advanced ages and turns the drawdown plan from accumulated savings into an easier decision than before – because of a fixed rather than unknown drawdown period.

MSC (Med),Population-Based Epidemiology, Faculty of Health Sciences, University of the Witwatersrand, 2007 / Objective To compare risk factors between HIV-positive concordant and discordant couples. Study design This is a cross-sectional secondary data analysis study using data from Africa Centre Demographic Information System (ACDIS) database (June 2003 to December 2004) and data from the first round of population-based HIV surveillance conducted by the Africa Centre for Health and Population Studies. Methods Eighty-five HIV-positive concordant couples (both partners were HIV-positive) and 73 discordant couples (one partner was HIV-positive and other partner HIV-negative) were identified and selected from the first round of population-based HIV surveillance conducted from June 2003 to December 2004 in Hlabisa Demographic Surveillance System site. Partners health and sexual behaviour data were collected together with the blood sample for HIV test during the same round. Socio-economic and demographic data of partners were obtained from the ACDIS database and were collected within the same period (June 2003 to December 2004). The behavioural, biological, demographic and socio-economic risk factors for HIVpositive concordance and transmission within discordant couples were analysed. Circumcision and area of residence respectively were the biological and demographic factors considered. Number of household assets was used as a proxy for socioeconomic status. The behavioural factors considered were male condom-use, sexual debut (age at first sex), number of lifetime partners and premarital partners. The age and educational level of partners were considered as potential confounders. 5 RESULTS The uncircumcised men were more likely to be in HIV-positive concordant couples than to be in discordant couples (OR =10.8, 95% CI [1.93 – 60.30], p=0.007). Partners living in urban area were 4.7 times more at risk of being in a HIV-positive concordant relationship than to be in discordant relationship (OR=4.7, 95% CI [2.09 - 10.39], p<0.001). Male not using condom on regular basis with female partners, early sexual debut, greater number of premarital partners, household assets and lifetime partners were found not to be significantly associated with HIV-positive concordance. Conclusion There are several biologic, socio-economic, demographic and behavioural risk factors for HIV-positive concordance. However, identifying some of them might be used to address transmission of HIV among discordant couples through intervention programs. Although cross-sectional studies are not ideal for establishing temporality, this study corroborates the findings of other studies that living in urban areas and circumcision are associated with HIV transmission.

Cette thèse traite de la modélisation des dérivés de crédit et se compose de deux parties: La première partie concerne le modèle à densité, récemment proposé par El Karoui et al. où on fait l'hypothèse que la loi conditionnelle de temps de défaut sachant la filtration référence est équivalente à sa loi (non-conditionnelle). Sous cette hypothèse, nous donnons des démonstrations différentes (et plus simples) aux résultats déjà existant dans la théorie du grossissement initial et progressif des filtrations. En outre, nous présentons de nouveaux résultats comme par exemple le théorème de représentation prévisible pour la filtration progressivement grossie dans le cas multidimensionnel. Nous proposons ensuite plusieurs méthodes pour construire des modèles à densité, dans les cas unidimensionnel et multidimensionnel. Enfin, nous montrons que le modèle à densité est une approche efficace pour la couverture dynamique de produits dérivés de crédit multi-name. Dans la deuxième partie, afin d'étudier le risque de contrepartie dans un contrat de CDS, nous avons proposé un modèle markovien dans lequel des défauts simultanés sont possibles. Le wrong-way risk est donc représenté par le fait que, à moment de la défaillance de la contrepartie, il y a une probabilité strictement positive pour que l'entité de référence fasse défaut aussi. Nous commençons par considérer une chaîne de Markov à quatre états correspondant à deux noms; Dans ce cas simple, nous obtenons des formules semi-explicites pour la plupart des quantités importantes, comme le prix, la CVA, l’EPE ou les ratios de couverture. Nous généralisons ensuite ce cadre pour tenir compte du risque de spread en introduisant des facteurs stochastiques; nous traitons un modèle copule Markovien avec des intensités stochastiques. Nous abordons également la question de la couverture dynamique du CVA avec un CDS écrit sur la contrepartie. Pour l'implémentation du modèle, nous spécifions les intensités par des processus affines, ce qui compte tenu de la propriété copule dynamique du modèle, rend la calibration de ce modèle efficace. Les résultats numériques sont présentés pour montrer la pertinence du comportement de la CVA dans le modèle avec les faits stylisés du marché. / This thesis deals with credit derivatives modeling and consists of two parts: The first part concerns the density model, recently proposed by El Karoui et al., where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both one-dimensional and multidimensional cases. Finally, we show that the density model is an efficient approach for dynamic hedging of multi-name credit derivatives. In the second part, a Markov model is constructed for studying the counterparty risk in a CDS contract. The wrong-way risk in this model is accounted for by the possibility of the simultaneous default of the reference name and of the counterparty. We start by considering a Markov chain model of two reference credits, the firm underlying the CDS and the protection seller in the CDS. In this set-up, we have semi-explicit formulae for most quantities of interest with regard to CDS counterparty risk like price, CVA, EPE or hedging strategies. We then generalize this framework to account for the spread risk by introducing stochastic factors, so that, we deal with a Markov copula model with stochastic intensities. We also address the issue of dynamically hedging the CVA with a CDS written on the counterparty. For model implementation, we consider three different affine specification of the intensities, which in view of the dynamic copula property of the model, make calibration very efficient. Numerical results are presented to show the adequacy of the behavior of CVA in the model with stylized features.