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A set of mathematical models describing known risks of projects being implemented, which is used as a basis for risk classification in the design of DSS; in the implementation of risk management by DSS, it is proposed to use a package of formalized models of risk situations and information sources; the purposes, objectives and stages of designing the DSS for risk management of the projects being implemented.
With the economic development and people's living standards improve; natural gas has become an important source of urban life and industrial energy. However, influenced by the factors of failure, failure of natural gas pipelines leakage accidents have occurred, causing serious casualties and property losses. Therefore, the risk assessment, maintenance and management of natural gas pipeline, ensure...
Earlier work describes computational models of critical infrastructure that allow an analyst to estimate the security of a system in terms of the impact of loss per stakeholder resulting from security breakdowns. Here, we consider how to identify, monitor and estimate risk impact and probability for different smart grid stakeholders. Our constructive method leverages currently available standards...
The paper gives an overview of current conceptual framework for the credit risk assessment dedicated to banks. The framework utilises the Merton model to estimate the default probabilities of companies that are supposed to be the main borrowers causing a formation of a greater credit risk in banks. By doing this, banks are able to reaffirm the ability of their borrowers in meeting loans commitments...
With the development of financial liberty and integration, Chinese commercial bank will be confronted with severe circumstance in the course of financial revolution, which will bring about the commercial bank's more and more credit risk. It is very necessary to research and grasp completely and systematically the characteristic, manifest and reason, and construct the early warning system of the commercial...
In Shared-Savings EMC projects, EMCo bears almost all the risks, including those of external environment, energy-saving technology, marketing, organization and management, and customer. Therefore, Risk prevention and risk management is especially important for EMCo. This article analyzes the features of Shared-Savings EMC's risks, apply subjective grading method to make a qualitative analysis, and...
Risk assessment is the core as well as the most difficult and time-consuming part in real estate project investment and decision-making. In this paper, on the basis of project investment risk assessment methods widely used at home and abroad currently, combined with modern fuzzy mathematical theory and methodology, a network model appropriate for the investment risk assessment of the overall process...
In this paper, we consider an extension to the dual model under a barrier strategy, in which the innovation sizes depend on the innovation time via the FGM copula. We derive a renewal equation for the expected total discounted dividends until ruin. Some differential equations and closed form expressions are given for exponential innovation sizes. Finally, a numerical example is given.
Based on the resource angle of view, this paper expands the classical model of the entrepreneurial orientation and the entrepreneurial performance, empirically examines the relationship among the resource integration competence, the entrepreneurial orientation and the entrepreneurial performance, and draws the corresponding conclusion: (1) the resource integration competence is being related positively...
This paper considers the ruin probability of a kind of dual risk model with a threshold. We assume that the expenses with a constant rate c ,and the aggregate positive gains is a compound process. Besides, the gain size depends on the inter-arrival time. The integro-differential equations satisfied by the ruin probability are derived. The adjustment coefficient and Lundberg's inequality can be gotten...
In 2008, the world has experienced a financial crisis. There are many mathematical models for measuring the risk, but now, we know at the very least, they didn't disclosure risks. The efficient market hypothesis postulates that markets tend towards equilibrium. But the efficient market hypothesis is unrealistic. There is systemic risk in the market in addition to the risks most market participants...
A new index system of commercial bank liquidity stress testing is set up after cluster analysis of R type. And then the index weight is determined by entropy method. Commercial bank liquidity risk is rated. Taking 14 listed banks for example, rating liquidity risk. The innovative feature of this paper: Firstly, observable indices replace unobservable ones, it is feasible for banks to ensure liquidity...
Design on motivation mechanism for agents is an important problem in management science. The incentive model under asymmetric information condition is discussed through contract theory. The research finds that the effect of incentive is closely related to the agent's working ability, the degree of risk averse, uncertainty of the work and endeavor cost. It can be found that the yardstick competition...
In recent years, the multi-dimensional risk model is a hot topic, and it is more realistic with the Markovian environment, which can be explained as the economic condition. In this paper, we propose the two-dimensional compound binomial model in a Markovian environment. And we obtain the explicit recursive formulae for three types of finite-time survival or ruin probabilities which are of fundamental...
In this paper, using the worst-case conditional value-at-risk of hedging portfolio as optimal function, the hedging ratio is obtained. The distribution type of hedging return is not considered in this method. Then the problem which the subjective determination hedging return distribution causes hedging failure is solved. Considering tail loss of hedging portfolio and colligating the hedger's expectation...
During the process of the credit sales, the enterprises always use cash discounts to give the buyer a certain concession according to the length of payment periods, in order to encourage the buyer to make a payment as early as possible and reduce the risk of credit sales. However, in the course of the credit sales, it is obvious that the buyer's credit rating is the major factor in managing the credit...
By means of extension method, a new qualitative and quantitative evaluation technique is established to evaluate synthetic benefit evaluation of enterprises. The model obtains the index weight using incidence function and computes the incidence degree and adopts the optimal degree evaluation approach. A demonstration is applied to illustrate and validate advantages of the method. The result indicates...
Enhancing competitiveness of modern service industry is great important to promote economic and social development. So it is necessary to evaluate the competitiveness of city modern service industry. After introducing catastrophe theory, we elaborate the evaluation approach based on the catastrophe theory and make use it to evaluate competitiveness of modern service industry. At last, we do an empirical...
In this paper, we investigate the dynamic optimal portfolio selection. In a Black-Scholes setting, a conditional capital at risk constraint is imposed continuously over time. Making use of conditional information, the risk of trading portfolio is reevaluated dynamically to influence the investment decision. We apply the dynamic programming technique and optimal theory to obtain the optimal constrained...
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