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2001 Mars Odyssey Project Report

Economy – Quantitative Finance – Risk Management
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A "Toy" Model for Operational Risk Quantification using Credibility Theory

Economy – Quantitative Finance – Risk Management
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A Bayesian Networks Approach to Operational Risk

Economy – Quantitative Finance – Risk Management
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A Coupled Markov Chain approach to risk analysis of credit default swap index products

Economy – Quantitative Finance – Risk Management
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A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances

Economy – Quantitative Finance – Risk Management
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A Dynamical Approach to Operational Risk Measurement

Economy – Quantitative Finance – Risk Management
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A Dynamical Model for Forecasting Operational Losses

Economy – Quantitative Finance – Risk Management
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A Generalized Fourier Transform Approach to Risk Measures

Economy – Quantitative Finance – Risk Management
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A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

Economy – Quantitative Finance – Risk Management
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A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk

Economy – Quantitative Finance – Risk Management
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A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS

Economy – Quantitative Finance – Risk Management
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A multivariate extension of Value-at-Risk and Conditional-Tail-Expectation

Economy – Quantitative Finance – Risk Management
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A new approach for scenario generation in Risk management

Economy – Quantitative Finance – Risk Management
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A Random Matrix Approach to Credit Risk

Economy – Quantitative Finance – Risk Management
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A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds

Economy – Quantitative Finance – Risk Management
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A Stochastic Processes Toolkit for Risk Management

Economy – Quantitative Finance – Risk Management
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A three dimensional stochastic Model for Claim Reserving

Economy – Quantitative Finance – Risk Management
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A Utility Based Approach to Energy Hedging

Economy – Quantitative Finance – Risk Management
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About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model

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Accounting for risk of non linear portfolios: a novel Fourier approach

Economy – Quantitative Finance – Risk Management
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