A company’s operating capabilities, performance and risk are determined by its supply chain, the complex set of activities spread across internal functions and external partners that together enable it to deliver its products. Supply chains have traditionally been coordinated with...

We have considered a supplier–retailer system, that operates under an agreed coordinated policy, with an imperfect production process and a possibility of having demand fluctuation. In this paper, a dynamic planning process is proposed to deal with short-term demand fluctuations. To do this, a...

In this paper, we develop modeling tools to forecast Value-at-Risk and volatility with investment horizons of less than one day. We quantify the market risk based on the study at a 30-min time horizon using modified GARCH models. The evaluation of intraday market risk can be useful to market...

It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced...

In this paper, we analyze the accuracy of the copula-GARCH and Dynamic Conditional Correlation (DCC) models for forecasting the value-at-risk (VaR) and expected shortfall (ES) of bivariate portfolios. We then try to answer two questions: First, does the correlation-based DCC model outperform the...

Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns high-impact events in fat tailed domains (under slowness of convergence for the law of large numbers). Nor did it...

The precautionary principle (PP) is fundamentally a claim that acting to avoid and/or mitigate threats of serious harm should be accorded high priority in public policy. Over the last three decades, governments and international bodies have endorsed it in principle, and some of them have...

As a consequence of the floods in Germany in August 2002 the Umweltbundesamt (German Environment Agency) set up a research project on natural hazards and their relevance for the safety of establishments and installations containing hazardous substances, i.e. the prevention of “Natechs”...

The Risk Management Index, RMI, proposed in this paper, brings together a group of indicators that measure risk management performance and effectiveness. These indicators reflect the organizational, development, capacity and institutional actions taken to reduce vulnerability and losses in a...