This paper attempts to identify the importance of sentiment words in financial reports on financial risk. By using a financespecific sentiment lexicon, we apply regression and ranking techniques to analyze the relations between sentiment words and financial risk. The experimental results show that, based on the bag-of-words model, models trained on sentiment words only result in comparable perf...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...

Only few studies exist concerning the recovery rate of bank loans. The recovery rate is defined as the payback quota of a defaulted borrower. Prediction models of recovery rates are gaining in importance because of the Basel II-reform and the impact for the credit risk management, the calculation of interest rates and the results of credit risk models. Factors that influence the recovery rate c...

Once a fairly esoteric subject, risk analysis and measurement has become a critical function for both portfolio managers and traders. Yet, there are many practical challenges in accurately measuring and analyzing risk. These range from the construction of accurate and up-to-date risk models to subtle issues in the interpretation of the results of these models. This article provides a detailed o...

The seismic risk potential for Malawi is high because traditional adobe and earthen structures are seismically vulnerable and large earthquakes of Mw7.0 or greater may occur in the Malawi Rift. To assess seismic risk of the Malawian communities quantitatively, data and models for exposure, hazard, and vulnerability modules that are suitable for Malawi are integrated. The developed risk model is...

This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main investment strategies and the risk models employed. We address the problems in Hedge Fund modelling, survey current Hedge Funds available on the market and t...

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system. In this paper we present an integrated model, based on a reduced pricing approach, for market and cre...

In the maritime domain, risk is evaluated within the framework of the Formal Safety Assessment (FSA), introduced by the International Maritime Organization in 2002. Although the FSA has become an internationally recognized and recommended method, the definition, which is adopted there, to describe the risk, seems to be too narrow to reflect the actual content of the FSA. Therefore this article ...

A dynamic software risk assessment model is presented. Analogies between dynamic financial analysis and software risk assessment models are established and based on these analogies it suggested that dynamic risk model for software projects is the way to move forward for the risk assessment of software project. It is shown how software risk assessment change during different phases of a software...