The protection of personal information is an area of growing concern for individuals, organizations, and governments. Threats to information security in the healthcare sector carry additional risk since not only are patients’ identities and financial information at risk, but health data is at risk as well. The exposure of sensitive information can cause financial hardship, mental anguish, and i...

Credit risk is the distribution of financial losses due to unexpected changes in the credit quality of a counterparty in a financial agreement. We review the structural, reduced form and incomplete information approaches to estimating joint default probabilities and prices of credit sensitive securities.

Two methods are frequently used for modeling the choice among uncertain outcomes: stochastic dominance and mean–risk approaches. The former is based on an axiomatic model of risk-averse preferences but does not provide a convenient computational recipe. The latter quantifies the problem in a lucid form of two criteria with possible tradeoff analysis, but cannot model all risk-averse preferences...

Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors. This cannot be addressed through an immediate...

Flood disaster mitigation strategies should be based on a comprehensive assessment of the flood risk combined with a thorough investigation of the uncertainties associated with the risk assessment procedure. Within the “German Research Network of Natural Disasters” (DFNK) the working group “Flood Risk Analysis” investigated the flood process chain from precipitation, runoff generation and conce...

This paper introduces the Risk Visualization as a Service (RVaaS) and presents the motivation, rationale, methodology, Cloud APIs used, operations and examples of using RVaaS. Risks can be calculated within seconds and presented in the form of Visualization to ensure that unexploited areas are ex-posed. RVaaS operates in two phases. The first phase includes the risk modeling in Black Scholes Mo...

We consider the problem of optimizing a portfolio of n assets, whose returns are described by a joint discrete distribution. We formulate the mean–risk model, using as risk functionals the semideviation, deviation from quantile, and spectral risk measures. Using the modern theory of measures of risk, we derive an equivalent representation of the portfolio problem as a zero-sum matrix game, and ...