— Systemic risk in the U.S. financial system has drawn the attention of leaders in government and business alike. The abundance of systemic risk measures and risk models has added to the complex task of understanding, discussing, and acting on the implications of that risk. Tools that assist decision makers to interpret risk measures, and recognize their underlying assumptions may lead to deepe...

This paper shows how to apply the recent liquidity risk model of Çetin, Jarrow and Protter [3] to compute a simple and robust adjustment to standard risk measures (e.g. value-at-risk, coherent, or convex) for liquidity risk.

On December 14, 2001, the Payment Cards Center of the Federal Reserve Bank of Philadelphia held a workshop exploring retail credit risk modeling practices and evolving techniques. The workshop was led by Paul Calem, a senior economist at the Board of Governors, Division of Research and Statistics. Calem is currently involved in the Board's efforts supporting reforms to the international Basel C...

A quite flexible collective risk model for the surplus process of an insurance portfolio is investigated and an explicit expression for the Laplace transform of the discounted penalty function at ruin is derived. This allows to determine explicit formulae for several measures of risk related to the event of ruin. Since the model contains the Cramér-Lundberg model, Sparre Andersen models with ph...

This paper presents a generic, high-level risk assessment of the global operation of ocean-going liquefied natural gas (LNG) carriers. The analysis collects and combines information from several sources such as an initial hazid, a thorough review of historic LNG accidents, review of previous studies, published damage statistics and expert judgement, and develops modular risk models for critical...

Maritime accidents involving ships carrying passengers may pose a high risk with respect to human casualties. For effective risk mitigation, an insight into the process of risk escalation is needed. This requires a proactive approach when it comes to risk modelling for maritime transportation systems. Most of the existing models are based on historical data on maritime accidents, and thus they ...

The result of audit designation is significantly influenced by the audit evidence collected when planning the audit and the degree of detection risk is further depends on the amount of audit evidence. Therefore, when the assessment factors of detection risk are more objective and correct, audit costs and the risk of audit failure can be reduced. Thus, the aim of this paper is to design an audit...

As network speeds and complexities increase, the development of automated systems that enact optimal tactical responses will be required. INFOSEC (information security) alert correlation systems provide a natural home for such capabilities. It can be asked whether the current generation of these systems has the technical capabilities required to enact optimal tactical responses. Specifically, i...

Large insurance losses happen infrequently, but they happen. In this paper we present the standard distribution models used in fire, wind–storm or flood insurance. We also present the classical Cramér-Lundberg model for the total claim amount and some more recent extensions. The classical insurance risk measure is the ruin probability and we give a full account of the ruin event in such models....

The field of Information Systems is about bridging the digital and information divide. Advances in the digital world enable information to be stored and structured in a manner that facilitates effective use of the information for future modelling purposes. Elderly inpatient falls are a common global phenomenon, and an inpatient fall incident can have severe consequences for the patient, caregiv...