Weather derivatives enable energy companies to protect themselves against weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. They can be used to forecast the density of the payoff from a weather derivative. The mean of the density is the fair price of the derivative, and the distribution about the mea...

1 Hedging is an important topic for both financial practice and theory. The rational of hedging and the optimal hedging ratio is examined by many papers, but the choice of hedging instrument is much less investigated, or restricted to options and futures. In this paper we analyze different hedging strategies from the aspect of Hungarian exporters with a long euro position. We evaluate each stra...

This article examines the efficiency of five risk measures in the framework of portfolio optimization for the stocks of four China’s stock markets and investigates which risk measure has the best performance in making asset allocation decisions. The data used are the historical monthly stock returns from 1998 to 2002. Although the downside risk measures are thought to be consistent with investo...

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...

This paper develops a new test to evaluate Value at Risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a challenging problem, and popular VaR forecast relies on unrealistic assumptions. Hence, assessing the performance of VaR is of great importance. We propose the geometric-VaR test which utilizes the duration bet...

Risk assessment requires both risk analysis and risk evaluation ie, comparing the results of risk analysis with risk criteria to determine acceptability. The Safework Australia Hazardous Manual Tasks Code of Practice, Appendix F, provides a list of “Further risk assessment methods“ including methods developed during a research project which evaluated a participative ergonomics program. This com...

Value at risk is an important measure of extent to which a given portfolio is subject to different kinds of risk present in financial markets. Considerable amount of research was dedicated during recent years to development of acceptable methods for evaluation of this risk measure. In this paper we go beyond estimation of value at risk and address the following questions. Suppose that a boundar...

The fair valuation of complex financial products for credit risk transfer (CRT) can provide a good basis for sustained growth of these markets and their recovery after the current financial crisis. Therefore, the risks of these structured credit securities (such as Collateralized Debt Obligations (CDO) and Credit Default Swap-Index tranches) have to be known as well as the investor’s current ri...

After the global financial crisis of 2008, the need for risk management arose because it was necessary to minimize the losses in construction management (CM) firms. This was caused by a decreased amount of orders in the Korean CM market, which intensified order competition between companies. However, research results revealed that risks were not being systematically managed owing to the absence...

The paper investigates to what extent the convergence of banks over risk-adjusted capital standards set by the new Basel Capital Accord may affect the way in which they screen innovative firms. It also gives an overview of the existing forms of credit support to R&D activities. The study is built upon a survey conducted in January and February 2006 on 12 main Italian banking groups. The survey ...