Could the Trigger to the Subprime Crisis Have Been Predicted? A Mortgage Risk Modeling Approach

2010 ◽  
Author(s):  
Jose Molina Utrilla ◽  
Nick Constantinou
Keyword(s):  
Subprime Crisis ◽  
Risk Modeling ◽  
Modeling Approach ◽  
Mortgage Risk

Reliability loss–oriented product assembling quality risk modeling approach based on reliability–quality–reliability chain

2020 ◽  
Vol 234 (10) ◽  
pp. 1355-1366 ◽  
Author(s):  
Yihai He ◽  
Anqi Zhang ◽  
Fengdi Liu ◽  
Xiao Han ◽  
Di Zhou
Keyword(s):  
System Reliability ◽  
Process Variations ◽  
Risk Modeling ◽  
Risk Priority Number ◽  
Product Reliability ◽  
Modeling Approach ◽  
Quality Risk ◽  
Work First ◽  
Fusion Framework ◽  
Operational Data

Assembling variations caused by assembling system reliability degradation are the root causes of poor-assembled product reliability, and the reliability loss is the barometer of assembling quality risks. However, few studies have integrated reliability loss with assembling quality risk analysis. Therefore, a modeling approach of assembling quality risk regarding product reliability loss is expounded in this work. First, the assembling quality risk is divided into systematic, exterior, and interior risks, and a formation mechanism of assembling quality risk is presented. Second, the fusion framework of big operational data in assembling is described, an assembling reliability–quality–reliability chain is established, and the parameters of the chain constitute assembling system reliability ( R), assembling process quality ( Q), and assembled product reliability ( R). Third, on the basis of the reliability–quality–reliability chain, the risk priority number is adopted to quantify the assembling quality risk, which is extended by quantifying the undetectable rate of the assembling system, the occurrence possibility of process variations, and the product reliability loss. Finally, an assembling quality risk of a circuit maintenance cover of a car is conducted to validate the effectiveness and advancement of the presented approach. The result shows that the proposed method can systematically quantify the assembling quality risk.

Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach

2011 ◽  
Vol 33 (5) ◽  
pp. 903-911 ◽  
Author(s):  
Kaijian He ◽  
Kin Keung Lai ◽  
Jerome Yen
Keyword(s):  
At Risk ◽  
Crude Oil ◽  
Value At Risk ◽  
Risk Estimation ◽  
Oil Price ◽  
Risk Modeling ◽  
Crude Oil Price ◽  
Modeling Approach

scholarly journals Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 2033
Author(s):  
Zhehao Huang ◽  
Zhenghui Li ◽  
Zhenzhen Wang
Keyword(s):  
Credit Risk ◽  
Default Risk ◽  
Credit Rating ◽  
Joint Effect ◽  
Corporate Bond ◽  
Subprime Crisis ◽  
Risk Modeling ◽  
Bond Price ◽  
Closed Form Solutions ◽  
Financial Index

Credit risk modeling by debt pricing has been a popular theme in both academia and practice since the subprime crisis. In this paper, we devote our study to the indifferent price of a corporate bond with credit risk involving both default risk and credit rating migration risk in an incomplete market. The firm’s stock and a financial index on the market as tradable assets are introduced to hedge the credit risk, and the bond price is determined by the indifference of investors’ utilities with and without holding the bond. The models are established under the structural framework and result in Hamilton–Jacobi–Bellman (HJB) systems regarding utilities subject to default boundary and multiple migration boundaries. According to dynamic programming theory, closed-form solutions for pricing formulas are derived by implementing an inverted iteration program to overcome the joint effect of default and multiple credit rating migration. Therefore, with the derived explicit pricing formulas for the corporate bond, the models can be easily applied in practice, and investors can generate their strategies of hedging the credit risk by easily analyzing the impacts of the parameters on the bond price.

scholarly journals A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Xiaoqian Zhu ◽  
Jianping Li ◽  
Jianming Chen ◽  
Yingqi YangHuo ◽  
Lijun Gao ◽  
...  
Keyword(s):  
Operational Risk ◽  
Risk Modeling ◽  
Parametric Approach ◽  
Risk Capital ◽  
Loss Distribution ◽  
Modeling Approach ◽  
Loss Distribution Approach ◽  
Operational Risk Modeling ◽  
Chinese Banking ◽  
Distribution Assumption

It is generally accepted that the choice of severity distribution in loss distribution approach has a significant effect on the operational risk capital estimation. However, the usually used parametric approaches with predefined distribution assumption might be not able to fit the severity distribution accurately. The objective of this paper is to propose a nonparametric operational risk modeling approach based on Cornish-Fisher expansion. In this approach, the samples of severity are generated by Cornish-Fisher expansion and then used in the Monte Carlo simulation to sketch the annual operational loss distribution. In the experiment, the proposed approach is employed to calculate the operational risk capital charge for the overall Chinese banking. The experiment dataset is the most comprehensive operational risk dataset in China as far as we know. The results show that the proposed approach is able to use the information of high order moments and might be more effective and stable than the usually used parametric approach.

scholarly journals Development of a risk modeling approach to enhance the effectiveness of epidemic preparedness, response, and financing strategies in African countries

2020 ◽  
Vol 101 ◽  
pp. 212-213
Author(s):  
N. Madhav ◽  
H. Kyobe Bosa ◽  
R.K. Degraft Agyarko ◽  
N. Stephenson ◽  
K. Miller ◽  
...  
Keyword(s):  
Risk Modeling ◽  
African Countries ◽  
Modeling Approach
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