The purpose of this paper is to investigate the use of Principal Component Analysis in finding the efficient subset of underlying assets for hedging European basket options. This asset selection technique can be used together with other hedging strategies to enhance the hedging performance. Meanwhile, it become practical and essential when some of the underlying assets are illiquid or even not ...

Risk can be defined as the possibility of loss or injury coupled to the probability of such loss or injury (Singh 2000), and the main components of risk analysis are risk assessment, risk management and risk communication (Thrusfield 2001). Quantitative risk assessment is defined as a mathematical model containing inputs and outputs which are expressed numerically (Murray 2004). The work in the...

This paper starts with description of the widely used risk assessment tool Failure Modes & Effects Analysis. The paper then later examines some of the alternative methods for risk assessment and their advantages. In this work, we also point out the advantages of using Six Sigma in Risk Assessment and propose a novel technique which would overcome the restrictions of existing Risk Management tools.

The discrete-time risk model with correlated classes of business is examined. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjustment coefficient is also studied. Numerical examples are presented. © 2000 Elsevier Science B.V. All rights reserved. MSC: IM11; IM12; IM13; IM30

We develop a method for pricing counterparty risk by using good deal bounds. The method imposes a new restriction in the arbitrage free model by setting upper bounds on the Sharpe ratios of the assets. The potential prices which are eliminated represent unreasonably good deals. The constraint on the Sharpe ratio translates into a constraint on the stochastic discount factor. Thus, one can obtai...

Fuzzy risk analysis, as a powerful tool to address uncertain information, can provide an appropriate method for risk analysis. However, the previous fuzzy risk analysis methods still have some weaknesses. To overcome the weaknesses of existing fuzzy risk analysis methods, a novel method for ranking generalized fuzzy numbers is proposed for addressing fuzzy risk analysis problems. In the propose...

risk analysis is an important technique to estimate impacts on the environment for adopting effective measures to avoid risks. this field study was conducted to investigate the risk of brick kiln (bk) smoke on the shoots of acacia arabica. different phenotypic parameters including morphology and growth of shoots and epidermal imprints of the leaves were studied in the vicinity of a brick kiln s...

failure mode and effects analysis (fmea) is a method based on teamwork to identify potential failures and problems in a system, design, process and service in order to remove them. the important part of this method is determining the risk priorities of failure modes using the risk priority number (rpn). however, this traditional rpn method has several shortcomings. therefore, in this paper we p...

in this paper, linear data envelopment analysis models are used to estimate markowitz efficient frontier. conventional dea models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...