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Christos Iliadis, Panagiota Galiatsatou, Vassilis Glenis, Panagiotis Prinos and Chris Kilsby
The expansion of urban areas and the increasing frequency and magnitude of intense rainfall events are anticipated to contribute to the widespread escalation of urban flood risk across the globe. To effectively mitigate future flood risks, it is crucial ...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Pieter-Henk Boer,Elias Munapo,Martin Chanza,Issaah A. Mhlanga
AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to...
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Owen Jakata,Delson Chikobvu
AbstractOrientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.Research purpose: The main...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Lila Collet, Lindsay Beevers and Christel Prudhomme
Floods are the most common and widely distributed natural risk, causing over £1 billion of damage per year in the UK as a result of recent events. Climatic projections predict an increase in flood risk; it becomes urgent to assess climate change impact o...
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Fazlul Karim, Masud Hasan, Steve Marvanek
Pág. 1 - 17
Understanding the nature of frequent floods is important for characterising channel morphology, riparian and aquatic habitat, and informing river restoration efforts. This paper presents results from an analysis on frequency estimates of low magnitude fl...
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Knowledge Chinhamu, Chun-Kai Huang, Chun-Sung Huang, Delson Chikobvu
Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is a tool used to reflect on probabilities associated with extreme, and thus rare, events. EVT is useful in modeling the impact of crashes or situations of e...
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John Muteba Mwamba, Donovan Beytell
This paper uses closing prices of the BRICS (Brazil, Russia, India, China, and South Africa) financial markets to implement a risk model that generates point estimates of both Value at Risk (VaR); and Expected Shortfall (ES). The risk model is thereafter...
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