The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. In the case of Non-parametric model corresponding windows are proved by the Cross Validation method. Furthermore in our work we consider adaption of the method to intraday data using ACD and UHF-GARCH models. The project involves also application of the developed methods to real financial data and comparable analysis of the obtained results.

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University of Technology, Sydney. Faculty of Engineering. / In today’s business environment, increased competition, market globalisation, increased customer demands and accelerated technologies require organisations to focus on efficiency in every aspect of their operations. Many studies in operations management have focused on the improvement of operational performance, including reduction of process variability, increasing flexibility or implementing controls in operations. However, managing the risk in operations seems to have been neglected by researchers. Hence, there are two major objectives of this study. The first objective is to investigate the use of the operational risk management (ORM) systems in Australia and study the factors that have an impact on effective operational risk management. Then, based on the identified factors, the second objective is to develop an ORM system implementation model and guideline for Australian organisations. A review of the ORM systems and its implementation was conducted. As a result of this investigation, a definition of ORM system in this study was formulated and the factors of effective ORM system implementation were identified as a basis for the next stage of this study. An investigation of the factors of ORM system implementation was then carried out. An extensive questionnaire survey was used to collect empirical data from Australian organisations. Statistical analysis results and feedback from experts was used to develop an applicable model and guideline for ORM system implementation. The main outcome of this study is a proposed model and guideline for ORM system implementation in Australian organisations, which will assist the organisation to manage operational risks more effectively and provide motivation for carrying out further research in ORM.

Thesis (M. Phil.)--University of Hong Kong, 2008. / Includes bibliographical references (leaf 80-86) Also available in print.

Thesis (M.S. in Systems Engineering Management)--Naval Postgraduate School, September 2009. / Thesis Advisor(s): Owen, Walter. "September 2009." Description based on title screen as viewed on 6 November 2009. Author(s) subject terms: Risk Quantification, DoD Milestone Documentation, project planning, rational frame, political frame, CMMI Project Planning Process Area, CMMI Risk Management Process Area, Information Support Plan (ISP). Includes bibliographical references (p. 57-58). Also available in print.

This study used computer-mediated focus groups to investigate how college students perceive risk messages about severe weather that are communicated through Facebook. The results of this study found that perceptions of risk were consistent with many factors outlined by the Risk Perception Model, developed by Covello, Peters, Wojtecki, & Hyde (2001). Despite this, communication using Facebook requires additional factors to be considered. The model should be amended to differentiate between the different levels of trust that influence perceptions on Facebook. The tone of the message becomes a factor separate from the previously established factors of risk perception. These findings stem from the perception among college students that Facebook is a platform meant for entertainment and socializing. These implications lead to many practical considerations that risk communicators can use to increase the perception of risk during severe-weather events in order to encourage individuals to take action to protect lives and property.

Syfte: Syftet är att beskriva och analysera riskhantering av projektrisker och finansiella risker i infrastrukturprojektet Varbergstunneln under planeringsfasen där två aktörer har studerats, Trafikverket och Varbergs kommunala verksamhet, och deras perspektiv på riskhantering och hur dessa aktörers perspektiv skiljer sig åt för att få förståelse för hur olika typer av risker och aktörer riskhanterar utifrån deras perspektiv i ett infrastrukturprojekt. Bakgrund och problem: Trafikverkets uppgift är att se till att tågen kommer i tid, transporter sker så säkert som möjligt och med minsta möjliga miljöpåverkan. Tillsammans med andra aktörer ska de se till att den bästa möjliga samhällsnyttan skapas för pengarna. Den 21 mars 2013 kom regeringens tillåtlighetsbeslut för delprojektet genom Varberg för att bygga ut järnvägen från enkelspårig till dubbelspårig. Detta är en av de största utmaningarna i Varbergs kommun där den kommunala och den statliga planeringen måste gå hand i hand. Det finns stora risker kopplat till infrastrukturprojekt men det finns också stor möjlighet till samhällsekonomisk lönsamhet. Att identifiera risker kräver ett generellt tillvägagångsätt eftersom att individer inte innehar all den informationen som krävs för att veta vart alla diverse risker befinner sig i verksamheten. Problemet med riskvärdering är att kunskapen om vilka som påverkar vid tunnelprojekt är knappa. Verksamheter behöver hantera risker och verksamheter som inte gör det är mer sårbara om de ignorerar risk, betraktar risk som deras fiende eller endast planerar för en enda framtid. Forskningsfråga: Hur utförs riskhantering av projektrisker och finansiella risker i infrastrukturprojektet Varbergstunneln under planeringsfasen? Metod: Den här uppsatsen är en kvalitativ studie där vi som författare har använt en induktiv ansats. Empirin har samlats in från tre olika intervjuer kopplat till Varbergstunneln.  Resultat: Den största skillnaden mellan aktörerna är omfattningen av riskhanteringen och hur de metodiskt arbetar. Trafikverket genomför ett mycket större riskhanteringsarbete än Varbergs kommunala verksamhet. Riskidentifieringen är mer likartat mellan aktörerna, skillnaden är hur de metodiskt arbetar. Riskvärderingen är kvalitativ hos Trafikverket och kvantitativt hos Varbergs kommunala verksamhet. Hantering av risk genomförs inte på något metodiskt sätt hos Varbergs kommunala verksamhet, det enda som hanteras är ränterisker medan Trafikverket hanterar alla risker och genomför detta på ett metodiskt sätt. Slutsats: Riskhanteringen utförs på olika sätt beroende på vilket perspektiv aktören har och vilken typ av risk som riskhanteras. Riskhanteringen kan vara antingen metodisk eller icke-metodisk. Vår uppfattning är att detta beror på aktörens ansvar och hur komplicerat riskhanteringen är för aktören. Vilket perspektiv aktören har anser vi påverka om aktören är långsiktig eller kortsiktig. Trafikverket ska endast bli klar med projekteringen av tunneln medan Varbergs kommunala verksamhet ska leva med den i generationer framöver. / Purpose: The purpose is to describe and analyze the risk management of project risks and financial risks in the infrastructure project Varberg tunnel during the planning phase, in which two players have been studied, the Swedish Transport Administration and the Varberg municipal operations, and their perspective on risk management and how these actors' perspectives differ in order to get an understanding of how different types of risks and stakeholder risk manage from their perspective in an infrastructure project. Background and problem: The Swedish Transport Administration task is to ensure that trains arrive on time, transport is done as safely as possible and with the least possible environmental impact. Together with other stakeholders they will ensure that the best possible social utility is created for the money. On 21 March 2013, the government's admissibility decision of subprojects through Varberg to extend the railway from single track to double track. This is one of the biggest challenges in Varberg municipality, where the municipal and state planning must go hand in hand. There are considerable risks associated with infrastructure projects but there are also great opportunities for socio-economic profitability. To identify risks requires a general approach because the individuals do not possess all the information necessary to know where all the various risks are within the activity. The problem with risk assessment is that the knowledge of the risks affecting the tunnel project are scarce and therefore entails difficulty in valuing them. Businesses need to manage risks, and businesses that ignore the risk, consider the risk as their enemy or plan for just one future are more vulnerable. Research issue: How is risk management of project risks and financial risks in the infrastructure project Varberg tunnel during the planning phase? Methodology: This thesis is a qualitative study that uses an inductive approach. The empirical data is collected from three different interviews linked to the Varberg tunnel. Result: The main difference between the stakeholders is the scope of risk management. The Swedish Transport Administration is implementing a much larger risk management than the municipality of Varberg. Risk identification is more similar between the stakeholders, the difference is how they methodically work. Risk assessment is qualitative at the Swedish Transport Administration and quantitative at Varberg municipality. Management of risk is carried out not in any methodical way at Varberg municipality, the only manage interest rate risks while the Transport Administration manages all risks and implement this in a methodical way. Conclusions: Risk management is carried out in different ways depending on the perspective of the stakeholder and the type of risk that is risk managed. Risk management can be either methodological or non-methodical. Our view is that this is due to the stakeholder’s responsibility and the complexity of risk management for the stakeholder. Which perspective stakeholders have, we believe, affect if the stakeholder have a long term or short term perspective. The Swedish Transport Administration will only be done with projecting of the tunnel while the municipality of Varberg has to live with it in generations to come.

In one of the largest and most important industries in Sweden, the construction industry, the success of the projects can be closely related to how uncertainties of outcomes or risk are managed. For a construction project to be successful, different individuals and organizations need to provide their knowledge and experience to fulfill the project scope. Risk is something that, if properly managed, will make the project achieve and perhaps surpass these goals and if not, make the project underperform. There exist frameworks for how risk should be managed and also theories for how past experience influence future decisions. How risk within construction projects are managed is related to the experience of the team members as well as top management’s insight in the risk management process. Through a qualitative approach, based on literature as well as interviews, this master thesis provides an insight into how the key project participants are managing risk. Further, this study examines possible shortcomings with risk management practices and proposes management strategies for these. In this study, consultants working with both developers and contractors have been included to share their view. The results of this study show that current risk management practices deviate from the practice proposed within research and industry related literature. This makes the construction projects to rely heavily on individual’s knowledge and there is a risk that lessons learned will not be spread within the organization or the society. Further, risk and opportunities are often managed within the same framework which does not provide for risk to be managed accordingly and opportunities to be exploited. It is proposed that professionals within the industry have a risk propensity that is rather unchanged by gaining more experience but there exists a shift in how risk is perceived. These findings are closely related to how much insight top management within the organization have. Today, most efforts are concentrated on how the project is performing in relation to the budget and schedule which makes risk management a reactive rather than a proactive measure. / I en av Sveriges största och viktigaste branscher, byggbranschen, kan byggprojektens resultat vara nära relaterat till hur osäkerheter samt risk hanteras. För att ett byggprojekt ska bli framgångsrikt måste alla inblandande parter bidra med sina kunskaper och erfarenheter för att uppfylla projektets mål. Risk är någonting som genom en bra hantering antingen kan överträffa dessa mål eller istället göra att projektet misslyckas att nå dessa. Det finns ramverk för hur risker ska hanteras samt teorier för hur tidigare erfarenheter påverkar framtida beslut. Hur risker inom byggprojekt hanteras är relaterat till projektgruppernas erfarenhet samt företagsledningens insyn i riskhanteringsprocessen. Genom en kvalitativ studie baserad på såväl litteratur som intervjuer ger denna masteruppsats en inblick i hur de viktigaste projektdeltagarna hanterar risk. Vidare undersöker denna uppsats även vilka risker själva riskhanteringsprocessen har samt föreslår åtgärder för dessa. I denna studie har konsulter med erfarenheter av att arbeta med både beställare och byggentreprenörer inkluderats för att få en så bred syn som möjligt på hanteringen från de olika parterna. Resultatet av denna studie visar att den nuvarande riskhanteringsprocessen inom flera av organisationerna avviker från den modell som förespråkas av forskning och branschorganisationer. Detta gör att organisationerna ofta förlitar sig på individernas kunskap och att lärdomar sprids dåligt inom organisationen och samhället. Vidare så hanteras risker och möjligheter ofta på samma sätt vilket innebär att risker inte hanteras rätt och möjligheter utnyttjas inte. Dessutom verkar yrkesverksamma inom branschen ha en riskbenägenhet som är relativt oförändrad av erfarenhet men deras uppfattning av risk förskjuts. Resultaten är nära relaterade till hur stor insyn och delaktighet organisationernas ledning har i själva riskhanteringsprocessen. Idag handlar det mycket om att ledningen har en reaktiv inställning till risker, efter att dessa fallit ut, istället för att ta till proaktiva åtgärder.

Infrastructure projects, based on the Build-Operate-Transfer, (BOT), method, have been of interest to governments of developed and developing countries for some time, resulting in their worldwide use. Using the BOT method enables governments to reallocate risks and rewards to the private sector for larger infrastructure projects throughout the projects' operating life. In order to implement a BOT infrastructure project successfully, one of the essential requirements is to carry out a thorough analysis of risks relating to the project including the social, economic, environmental, political, legal, and the financial aspects. Due to the fact that the type of risk study required for large-scale projects is so sophisticated, and therefore expensive and time consuming, the government, due to lack of expertise and time, often obtains a project viability study from the private sector. This can cause problems in that the private sector may incur financial losses or even bankruptcy, unless the host government guarantees compensation to the losers of the bid. Because all parties have different targets which they wish to achieve from the project, a may conflict arise and cause lengthy negotiations, sometimes lasting for years which often result in the death of the project. The greatest opportunity for a successful outcome for a BOT project is obtained when the extensive efforts and costs involved in the risk study process are shared by all parties. The responsibility of the decision maker is to identify, understand and analyze the many risk factors both, qualitative, (linguistic in nature) and quantitative, that will affect funding, procurement, developing, construction and operation, before proceeding with the build stage of the project. Firstly, it is necessary to evaluate the quantitative Risk Factors subjectively, and list them in order of importance. Secondly, conduct an evaluation of the qualitative factors and since the consideration of qualitative factors is subjective, the decision maker will often limit the number of factors being evaluated possibly resulting in inconsistent results. This study proposes a decision framework, which would be useful in determining the influence of the qualitative Risk Factors on the project management of BOT infrastructure projects. A methodology is provided to enable the identification of interrelationships between the Risk Factors and their influence on the project. Using Analytical Hierarchy Process (AHP) techniques, which model the relationships between the Risk Factors, a validation of this approach will be sought using a decomposed evaluation method and also information obtained from three existing case studies, (the Channel Tunnel, Sulaibiya Wastewater Treatment and Reclamation Plant and Marsa Allam Airport). The results of the decomposed approach were compared to experts' holistic evaluations for the same case studies mentioned above. The findings indicate that the decomposed approach showed a strong correlation to the holistic approach. An evaluation of the risks for the Sulaibiya Wastewater Treatment and Reclamation Plant study is provided and suggestions made to highlight risks attached to such a project before it is actually undertaken. Using the decomposed approach enables the decision maker to see the contribution of each risk compared to all of the risks in the total project and will help to determine and subsequently minimize or preventing any risk factors and so considerably improving the risk management of the project.