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Dissertation
Is the filtered historical simulation method adequate to forecast the expected shortfall ? An assessment based on the risk map
Authors: --- --- ---
Year: 2019 Publisher: Liège Université de Liège (ULiège)

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Abstract

The Global Financial Crisis prompted the Basel Committee on Banking Supervision to call for&#13;new measures to address risks that had not yet been handled. One of these requirements is the&#13;replacement of the Value at Risk by the Expected Shortfall, which will help financial institutions&#13;to capture tail risks and capital adequacy in periods of severe market stress. This change&#13;has the effect of positioning the monitoring of market risk no longer on a certain quantile of the&#13;Profit & Loss distribution but on the anticipation of losses beyond the Value at Risk. In addition&#13;to this change, some theoretical issues have been identified, such as the unavailability of simple&#13;tools to backtest the Expected Shortfall forecasts.&#13;In this thesis, the main objective will be to verify whether the Filtered Historical Simulation&#13;approach (Barone-Adesi et al., 2002) can be used to predict the Expected Shortfall. First, a&#13;GARCH model will be used to estimate the Value at Risk. Based on this estimated Value at&#13;Risk, the Expected shortfall will then be forecasted. Finally, the Risk Map tool (Colletaz et al.,&#13;2013) will determine whether or not to validate the use of this model.


Book
Leptospira infections in Domestic and Wild Animal
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Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Leptospirosis is a worldwide-distributed, re-emerging zoonosis due to the large variety of wild and domestic animal species that can play the role of natural or accidental host. Currently, specific animal species play an important role as reservoirs for particular Leptospira serovars, although recent investigations have highlighted new host–pathogen interactions involved in Leptospira epidemiology. Furthermore, the constant modification of ecosystems and wildlife habitats and the constantly increasing number of animal species moving towards urban or peri-urban areas are increasing the possibility of direct or indirect contact between wildlife and domestic animals; furthermore, the constant modification of animal leptospirosis also causes problems for human health. The studies published in this book have evidenced and confirmed the hidden role of a large variety of animal species, domestic and wild, in leptospirosis epidemiology. They highlighted the necessity for continuous monitoring and large-scale surveillance studies to better understand this neglected and re-emerging zoonosis.


Book
Leptospira infections in Domestic and Wild Animal
Authors: --- ---
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

Leptospirosis is a worldwide-distributed, re-emerging zoonosis due to the large variety of wild and domestic animal species that can play the role of natural or accidental host. Currently, specific animal species play an important role as reservoirs for particular Leptospira serovars, although recent investigations have highlighted new host–pathogen interactions involved in Leptospira epidemiology. Furthermore, the constant modification of ecosystems and wildlife habitats and the constantly increasing number of animal species moving towards urban or peri-urban areas are increasing the possibility of direct or indirect contact between wildlife and domestic animals; furthermore, the constant modification of animal leptospirosis also causes problems for human health. The studies published in this book have evidenced and confirmed the hidden role of a large variety of animal species, domestic and wild, in leptospirosis epidemiology. They highlighted the necessity for continuous monitoring and large-scale surveillance studies to better understand this neglected and re-emerging zoonosis.


Book
Recent Advances in the Assessment of Flood Risk in Urban Areas
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Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

The adverse effects of flood disasters in urban areas have been increasing in severity and extent over the past years. The amount of loss resulting from these events is also increasing exponentially, particularly in highly urbanised urban areas, where the effects of intensive land use and climate change are particularly extreme—all despite that our scientific knowledge, technical competence, and computational capacity to develop highly sophisticated and accurate forecasting and simulation models are higher than ever, as is our capacity to map and analyse flood-related data. In order to tackle this global issue, it is fundamental to keep on promoting and developing fundamental and applied research that allows the better targeting of interventions to improve resilience, reduce vulnerability, and enhance recovery as well as assisting decision-makers in delivering more effective flood risk-reduction policies. This book aims to contribute to this goal by providing a space in which to share and discuss recent studies and state-of- the-art methodologies focused on the assessment and mitigation of flood risk in urban areas. It includes nine high-quality chapters authored by eminent scholars who had the tremendous generosity to join me in this editorial project. The range of topics covered by these nine studies is extraordinarily vast, reflecting the complexity of the current challenges associated with the topic.


Book
Recent Advances in the Assessment of Flood Risk in Urban Areas
Author:
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

The adverse effects of flood disasters in urban areas have been increasing in severity and extent over the past years. The amount of loss resulting from these events is also increasing exponentially, particularly in highly urbanised urban areas, where the effects of intensive land use and climate change are particularly extreme—all despite that our scientific knowledge, technical competence, and computational capacity to develop highly sophisticated and accurate forecasting and simulation models are higher than ever, as is our capacity to map and analyse flood-related data. In order to tackle this global issue, it is fundamental to keep on promoting and developing fundamental and applied research that allows the better targeting of interventions to improve resilience, reduce vulnerability, and enhance recovery as well as assisting decision-makers in delivering more effective flood risk-reduction policies. This book aims to contribute to this goal by providing a space in which to share and discuss recent studies and state-of- the-art methodologies focused on the assessment and mitigation of flood risk in urban areas. It includes nine high-quality chapters authored by eminent scholars who had the tremendous generosity to join me in this editorial project. The range of topics covered by these nine studies is extraordinarily vast, reflecting the complexity of the current challenges associated with the topic.


Book
Recent Advances in the Assessment of Flood Risk in Urban Areas
Author:
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

The adverse effects of flood disasters in urban areas have been increasing in severity and extent over the past years. The amount of loss resulting from these events is also increasing exponentially, particularly in highly urbanised urban areas, where the effects of intensive land use and climate change are particularly extreme—all despite that our scientific knowledge, technical competence, and computational capacity to develop highly sophisticated and accurate forecasting and simulation models are higher than ever, as is our capacity to map and analyse flood-related data. In order to tackle this global issue, it is fundamental to keep on promoting and developing fundamental and applied research that allows the better targeting of interventions to improve resilience, reduce vulnerability, and enhance recovery as well as assisting decision-makers in delivering more effective flood risk-reduction policies. This book aims to contribute to this goal by providing a space in which to share and discuss recent studies and state-of- the-art methodologies focused on the assessment and mitigation of flood risk in urban areas. It includes nine high-quality chapters authored by eminent scholars who had the tremendous generosity to join me in this editorial project. The range of topics covered by these nine studies is extraordinarily vast, reflecting the complexity of the current challenges associated with the topic.


Book
Advances in Hydrologic Forecasts and Water Resources Management
Authors: ---
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

The impacts of climate change on water resource management, as well as increasingly severe natural disasters over the last decades, have caught global attention. Reliable and accurate hydrological forecasts are essential for efficient water resource management and the mitigation of natural disasters. While the notorious nonlinear hydrological processes make accurate forecasts a very challenging task, it requires advanced techniques to build accurate forecast models and reliable management systems. One of the newest techniques for modeling complex systems is artificial intelligence (AI). AI can replicate the way humans learn and has great capability to efficiently extract crucial information from large amounts of data to solve complex problems. The fourteen research papers published in this Special Issue contribute significantly to the uncertainty assessment of operational hydrologic forecasting under changing environmental conditions and the promotion of water resources management by using the latest advanced techniques, such as AI techniques. The fourteen contributions across four major research areas: (1) machine learning approaches to hydrologic forecasting; (2) uncertainty analysis and assessment on hydrological modeling under changing environments; (3) AI techniques for optimizing multi-objective reservoir operation; (4) adaption strategies of extreme hydrological events for hazard mitigation. The papers published in this issue will not only advance water sciences but also help policymakers to achieve more sustainable and effective water resource management.

Keywords

Research & information: general --- water resources management --- landslide --- dammed lake --- flood risk --- time-varying parameter --- GR4J model --- changing environments --- temporal transferability --- western China --- cascade hydropower reservoirs --- multi-objective optimization --- TOPSIS --- gravitational search algorithm --- opposition learning --- partial mutation --- elastic-ball modification --- Snowmelt Runoff Model --- parameter uncertainty --- data-scarce deglaciating river basin --- climate change impacts --- generalized likelihood uncertainty estimation --- Yangtze River --- cascade reservoirs --- impoundment operation --- GloFAS-Seasonal --- forecast evaluation --- small and medium-scale rivers --- highly urbanized area --- flood control --- whole region perspective --- coupled models --- flood-risk map --- hydrodynamic modelling --- Sequential Gaussian Simulation --- urban stormwater --- probabilistic forecast --- Unscented Kalman Filter --- artificial neural networks --- Three Gorges Reservoir --- Mahalanobis-Taguchi System --- grey entropy method --- signal-to-noise ratio --- degree of balance and approach --- interval number --- multi-objective optimal operation model --- feasible search space --- Pareto-front optimal solution set --- loss–benefit ratio of ecology and power generation --- elasticity coefficient --- empirical mode decomposition --- Hushan reservoir --- data synthesis --- urban hydrological model --- Generalized Likelihood Uncertainty Estimation (GLUE) --- Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) --- uncertainty analysis --- NDVI --- Yarlung Zangbo River --- machine learning model --- random forest --- Internet of Things (IoT) --- regional flood inundation depth --- recurrent nonlinear autoregressive with exogenous inputs (RNARX) --- artificial intelligence --- machine learning --- multi-objective reservoir operation --- hydrologic forecasting --- uncertainty --- risk


Book
Advances in Hydrologic Forecasts and Water Resources Management
Authors: ---
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

The impacts of climate change on water resource management, as well as increasingly severe natural disasters over the last decades, have caught global attention. Reliable and accurate hydrological forecasts are essential for efficient water resource management and the mitigation of natural disasters. While the notorious nonlinear hydrological processes make accurate forecasts a very challenging task, it requires advanced techniques to build accurate forecast models and reliable management systems. One of the newest techniques for modeling complex systems is artificial intelligence (AI). AI can replicate the way humans learn and has great capability to efficiently extract crucial information from large amounts of data to solve complex problems. The fourteen research papers published in this Special Issue contribute significantly to the uncertainty assessment of operational hydrologic forecasting under changing environmental conditions and the promotion of water resources management by using the latest advanced techniques, such as AI techniques. The fourteen contributions across four major research areas: (1) machine learning approaches to hydrologic forecasting; (2) uncertainty analysis and assessment on hydrological modeling under changing environments; (3) AI techniques for optimizing multi-objective reservoir operation; (4) adaption strategies of extreme hydrological events for hazard mitigation. The papers published in this issue will not only advance water sciences but also help policymakers to achieve more sustainable and effective water resource management.

Keywords

water resources management --- landslide --- dammed lake --- flood risk --- time-varying parameter --- GR4J model --- changing environments --- temporal transferability --- western China --- cascade hydropower reservoirs --- multi-objective optimization --- TOPSIS --- gravitational search algorithm --- opposition learning --- partial mutation --- elastic-ball modification --- Snowmelt Runoff Model --- parameter uncertainty --- data-scarce deglaciating river basin --- climate change impacts --- generalized likelihood uncertainty estimation --- Yangtze River --- cascade reservoirs --- impoundment operation --- GloFAS-Seasonal --- forecast evaluation --- small and medium-scale rivers --- highly urbanized area --- flood control --- whole region perspective --- coupled models --- flood-risk map --- hydrodynamic modelling --- Sequential Gaussian Simulation --- urban stormwater --- probabilistic forecast --- Unscented Kalman Filter --- artificial neural networks --- Three Gorges Reservoir --- Mahalanobis-Taguchi System --- grey entropy method --- signal-to-noise ratio --- degree of balance and approach --- interval number --- multi-objective optimal operation model --- feasible search space --- Pareto-front optimal solution set --- loss–benefit ratio of ecology and power generation --- elasticity coefficient --- empirical mode decomposition --- Hushan reservoir --- data synthesis --- urban hydrological model --- Generalized Likelihood Uncertainty Estimation (GLUE) --- Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) --- uncertainty analysis --- NDVI --- Yarlung Zangbo River --- machine learning model --- random forest --- Internet of Things (IoT) --- regional flood inundation depth --- recurrent nonlinear autoregressive with exogenous inputs (RNARX) --- artificial intelligence --- machine learning --- multi-objective reservoir operation --- hydrologic forecasting --- uncertainty --- risk


Book
Flood Risk Assessments : Applications and Uncertainties
Authors: ---
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Abstract

In recent years, a considerable volume of technical literature has been published on flood hazard analysis, and more recently, on flood vulnerability and resilience. Nevertheless, there is still a shortage of scientific studies and practical experience of real flood risk assessment (both social and economic), including hazard, exposure and vulnerability analyses and their integration. As there are so few references available, applications of flood risk assessment to the design of preventive measures and early warning systems, landscape and urban planning, civil protection, insurance systems, and risk-based information and education, cannot reach their full potential development. This is because the research products available, such as hazard data and maps, do not serve to ensure the efficient prioritization of mitigation measures or communities at risk. Meanwhile, flooding is the natural disaster that causes the greatest loss on a global scale, and due to climate change, this situation is expected to continue. The research manuscripts involved in this book try to offer flood risk managers new tools, data and maps to improve risk mitigation, both preventive and corrective. A wide variety of topics have been covered, including: flood risk data sources; techniques and methodologies for flood risk analysis; flood risk mapping; or flood risk analysis calibrations.

Keywords

flood risk assessments --- vulnerability of networks --- emergency management --- geographic information systems --- open source --- flood risk --- LOESS model --- risk map calibration --- 112 emergency service --- central Spain --- PRICAM project --- spatial autocorrelation --- Poisson regression --- eigenvector spatial filtering method --- flood risk evaluation --- Ebro River --- flood mapping --- flood risk areas --- RADAR SAR --- Sentinel-1 --- RGB composition --- calibrated thresholding --- pluvial floods --- flood risk assessment --- climate change --- damages --- vehicles --- properties --- pedestrians --- floods --- fatalities --- circumstances of loss of life --- historical analysis --- levee failures --- database --- flood defences --- levee breach --- cultural heritage --- meso-scale --- flood hazard --- flood vulnerability --- Castile and León --- Spain --- lahar --- Pico de Orizaba --- paleostage indicators --- tree-ring analysis --- RAMMS program --- flood torrential dynamics --- geomorphological threshold --- land-use changes --- ski resort --- hydrological response --- Pyrenees --- glacial lake outburst flood (GLOF) --- debris flow --- Bhote Koshi --- landslides --- Gorkha earthquake --- hazard assessment --- vulnerability indicators --- vulnerability cartography --- AHP --- local analysis --- open public data sources --- economic damage --- building first floor --- magnitude–damage models --- Navaluenga --- flood forecasting --- snow cover control --- flood management --- Tagus Basin --- climate model projections --- Reinosa --- climate change prioritization --- flood risk analysis --- flood damage uncertainty


Book
Flood Risk Assessments : Applications and Uncertainties
Authors: ---
Year: 2020 Publisher: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute

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Export citation

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Abstract

In recent years, a considerable volume of technical literature has been published on flood hazard analysis, and more recently, on flood vulnerability and resilience. Nevertheless, there is still a shortage of scientific studies and practical experience of real flood risk assessment (both social and economic), including hazard, exposure and vulnerability analyses and their integration. As there are so few references available, applications of flood risk assessment to the design of preventive measures and early warning systems, landscape and urban planning, civil protection, insurance systems, and risk-based information and education, cannot reach their full potential development. This is because the research products available, such as hazard data and maps, do not serve to ensure the efficient prioritization of mitigation measures or communities at risk. Meanwhile, flooding is the natural disaster that causes the greatest loss on a global scale, and due to climate change, this situation is expected to continue. The research manuscripts involved in this book try to offer flood risk managers new tools, data and maps to improve risk mitigation, both preventive and corrective. A wide variety of topics have been covered, including: flood risk data sources; techniques and methodologies for flood risk analysis; flood risk mapping; or flood risk analysis calibrations.

Keywords

Research & information: general --- flood risk assessments --- vulnerability of networks --- emergency management --- geographic information systems --- open source --- flood risk --- LOESS model --- risk map calibration --- 112 emergency service --- central Spain --- PRICAM project --- spatial autocorrelation --- Poisson regression --- eigenvector spatial filtering method --- flood risk evaluation --- Ebro River --- flood mapping --- flood risk areas --- RADAR SAR --- Sentinel-1 --- RGB composition --- calibrated thresholding --- pluvial floods --- flood risk assessment --- climate change --- damages --- vehicles --- properties --- pedestrians --- floods --- fatalities --- circumstances of loss of life --- historical analysis --- levee failures --- database --- flood defences --- levee breach --- cultural heritage --- meso-scale --- flood hazard --- flood vulnerability --- Castile and León --- Spain --- lahar --- Pico de Orizaba --- paleostage indicators --- tree-ring analysis --- RAMMS program --- flood torrential dynamics --- geomorphological threshold --- land-use changes --- ski resort --- hydrological response --- Pyrenees --- glacial lake outburst flood (GLOF) --- debris flow --- Bhote Koshi --- landslides --- Gorkha earthquake --- hazard assessment --- vulnerability indicators --- vulnerability cartography --- AHP --- local analysis --- open public data sources --- economic damage --- building first floor --- magnitude–damage models --- Navaluenga --- flood forecasting --- snow cover control --- flood management --- Tagus Basin --- climate model projections --- Reinosa --- climate change prioritization --- flood risk analysis --- flood damage uncertainty

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