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Authors: Siu, Tak Kuen
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184592
Description: Convex risk measures for European contingent claims are studied in a non-Markovian jump-diffusion modeling framework using functional Itô's calculus. Two representations for a convex risk measure are ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1061330
Description: We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a national ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1047296
Description: This paper responds to the recent call in Safety Science for greater academic attention to voluntary corporate disclosure of occupational health and safety information. The study extends prior literat ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1190439
Description: Using the popular Schwartz 97 two-factor approach, we study future contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool Market in Norway since 2006. This approach ... More
Reviewed: Reviewed
Date: 2015
Subject Keyword: Risk management | Operational risk
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/1203611
Description: This book covers key mathematical and statistical aspects of the quantitative modeling of heavy tailed loss processes in operational risk (OpRisk) and insurance settings. OpRisk has been through signi ... More
Date: 2015
Subject Keyword: Operational risk | Risk management
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/1249294
Description: Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a sy ... More
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/358141
Description: This study addresses managerial perceptions of risks and opportunities related to carbon pricing and emission management, and the factors that affect the extent to which carbon-related risks and oppor ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137485
Description: In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the cap ... More
Reviewed: Reviewed
Authors: Ranjan, Ram
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/333592
Description: In this paper, a mathematical model of optimal management of prolonged and consecutive drought events is developed to evaluate circumstances under which the adoption of a water-efficient technology ma ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/358751
Description: Purpose: The purpose of this paper is to mitigate vulnerabilities in web applications, security detection and prevention are the most important mechanisms for security. However, most existing research ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/185078
Description: Purpose: This paper aims to examine the interaction between risk, learning and ownership decisions in international R&D joint ventures. Design/methodology/approach: The study focuses on international ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143460
Description: Risk management in a Virtual Enterprise (VE) is an important issue due to its agility and diversity of its members and its distributed characteristics. In this paper, we develop a risk management mode ... More
Reviewed: Reviewed
Authors: Kurniawan, Rudi
Date: 2011
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/194203
Description: Purpose: In this paper we analyse the public debt sustainability of Indonesia from a risk management approach as initially proposed by Garcia and Rigobon (2004). This approach incorporates the effects ... More
Date: 2011
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/1193176
Description: The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, ... More
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137776
Description: The t copula is often used in risk management as it allows for modeling the tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often c ... More
Reviewed: Reviewed