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Benchmarking of hydroelectric stochastic risk management models using financial indicators

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Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018

IT Investment and its impacts

Shameem Hasan

This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many ...

EPFL2018

IRGC Resource Guide on Resilience (Volume 2)

Marie-Valentine Renée Agnès Florin

Volume 2 of the IRGC Resource Guide on Resilience provides an in-depth and pragmatic evaluation of concepts and methods for resilience-based approaches in contrast to risk-based approaches, as proposed and practised in different domains of science and prac ...

International Risk Governance Center (IRGC)2018

Tiered Approach to Resilience Assessment

Marie-Valentine Renée Agnès Florin, Aleksandar Jovanovic

Regulatory agencies have long adopted a three-tier framework for risk assessment. We build on this structure to propose a tiered approach for resilience assessment that can be integrated into the existing regulatory processes. Comprehensive approaches to a ...

2018

La prudence reste de mise en montagne, en forêt et sur les berges

Interview of Prof. Lyesse Laloui at the RTS on the risks during the period of flood reduction. During the period of flood reduction, the level of water reduces more quickly than the pore water pressures in the ground of banks, which makes the risk of insta ...

2018

EaRL: Toolbox for Earthquake Risk and Loss Assessment of Building Assets

Dimitrios Lignos, Ahmed Mohamed Ahmed Elkady, Seong-Hoon Hwang

Infrastructure (asset) risk management is essential for a resilient environment. Several industries are concerned to improve their building asset preparedness subject to seismic hazard. To this end, the development of software tools that quantify and asses ...

2018

Resilience management during large-scale epidemic outbreaks

Emanuele Massaro

Assessing and managing the impact of large-scale epidemics considering only the individual risk and severity of the disease is exceedingly difficult and could be extremely expensive. Economic consequences, infrastructure and service disruption, as well as ...

2018

The role of uncertainty in dam failure frequency estimates: a conceptual case study

Anton Schleiss, José Pedro Gamito de Saldanha Calado Matos

The return period of combinations of events that are relevant to dam risk analysis is very high. It falls in a range of hundreds to millions of years, but remains hard to quantify with precision. Deterministic approaches to dam safety assessment typically ...

CRC Press/Balkema2018

Comparative, collaborative, and integrative risk governance for emerging technologies

Marie-Valentine Renée Agnès Florin

Various emerging technologies challenge existing governance processes to identify, assess, and manage risk. Though the existing risk-based paradigm has been essential for assessment of many chemical, biological, radiological, and nuclear technologies, a co ...

2018