Search Results - RISK MODELLING

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    Investment Modelling Using Value at Risk Bayesian Mixture Modelling Approach and Backtesting to Assess Stock Risk by Brina Miftahurrohmah, Catur Wulandari, Yogantara Setya Dharmawan

    “…Therefore, a value at risk (VaR) analysis is needed. One approach to calculate VaR is by using the Bayesian mixture model, which has been proven to be able to overcome heavy-tailed cases. …”
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    The Realized Hierarchical Archimedean Copula in Risk Modelling by Ostap Okhrin, Anastasija Tetereva

    Published in Econometrics (2017-06-01)
    “…Extensive simulation studies show the validity of the estimator based on this realized correlation matrix, and its performance, in comparison to the benchmark models. The application of the estimator to one-day-ahead Value at Risk (VaR) prediction using high-frequency data exhibits good forecasting properties for a multivariate portfolio.…”
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    Modelling ecological risks of antiretroviral drugs in the environment by Phephile Ngwenya, Ndeke Musee

    Published in Environmental Chemistry and Ecotoxicology (2023-01-01)
    “…Results of this study are the first to quantify risks of ARVs in the environment using a modelling approach. …”
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    Uncertainty Modelling in Metamodels for Fire Risk Analysis by Florian Berchtold, Lukas Arnold, Christian Knaust, Sebastian Thöns

    Published in Safety (2021-06-01)
    “…In risk-related research of fire safety engineering, metamodels are often applied to approximate the results of complex fire and evacuation simulations. …”
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    Business Process Risk Modelling in Theory and Practice by Miroslav Špaček

    Published in Kvalita Inovácia Prosperita (2021-03-01)
    “…The solution proposed comes in handy to risk analysts or process managers. Research Limitation/Implication: The library of process models which were included into stochastic simulation includes selected processes as investments, service providing or economic value-added engineering. …”
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    Modelling the genetic risk in age-related macular degeneration. by Felix Grassmann, Lars G Fritsche, Claudia N Keilhauer, Iris M Heid, Bernhard H F Weber

    Published in PLoS ONE (2012-01-01)
    “…Here, we developed a genetic risk score (GRS) for AMD based on 13 risk variants from eight gene loci. …”
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