Article
Business, Finance
Karoline Bax, Ozge Sahin, Claudia Czado, Sandra Paterlini
Summary: This paper questions whether ESG scores can provide information on a company's riskiness. By analyzing the (tail) dependence structure of companies with different ESG scores using high-dimensional vine copula modeling, it is shown that risk can depend on and be directly associated with a specific ESG rating class. Empirical findings on real-world data reveal positive and non-negligible ESG risks determined by ESG scores, especially during the 2008 crisis.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)
Article
Engineering, Civil
Jing Qian, You Dong
Summary: Performance-based earthquake engineering (PBEE) is an advanced approach for designing and assessing structures under seismic hazards. This paper proposes a hybrid framework that combines vector intensity measures (IM) and surrogate models, along with vine copula to capture complex nonlinear dependence structures. The proposed framework improves confidence in seismic performance assessment and can better capture realistic dependence. Case studies on bridges demonstrate significant improvement in confidence and better capture of complex dependence. The generality and flexibility of the vine copula-based approach highlight the necessity of implementing this framework.
ENGINEERING STRUCTURES
(2022)
Article
Engineering, Industrial
Kyungho Jin, Yujeong Hwang, Gyunyoung Heo
Summary: This paper introduces the site CPMA and the site dependence index (SDI) to describe inter-unit dependencies in nuclear power plants. By utilizing these two metrics, a more accurate assessment of risks for multiple unit nuclear power plants can be achieved.
RELIABILITY ENGINEERING & SYSTEM SAFETY
(2021)
Article
Environmental Studies
Waqas Hanif, Walid Mensi, Xuan Vinh Vo, Ahmed BenSaida, Jose Arreola Hernandez, Sang Hoon Kang
Summary: This study examines the dependence structure and portfolio allocation characteristics of a main industrial portfolio of metals and an agricultural commodities portfolio. The results show that the dependence dynamics of the main metals portfolio are characterized by symmetric features, while the agricultural commodities portfolio exhibits both symmetric and asymmetric features, with symmetric dynamics being dominant. Additionally, the metal commodities portfolio is found to be less risky during the global financial crisis, making it suitable for financial resource allocation.
Article
Geosciences, Multidisciplinary
Rehan Asad, Muhammad Qaiser Saleem, Muhammad Salman Habib, Nadeem Ahmad Mufti, Shaker Mahmood Mayo
Summary: Natural disasters have a negative impact on human lives and infrastructures, hindering economic growth and sustainable development. Earthquakes cause the most destruction, particularly in developing countries with limited resources and reactive disaster management. This study presents a methodology for identifying hotspots and prioritizing pre- and post-disaster management actions, providing quantitative estimates of physical damage, casualties, economic losses, and shelter requirements. The findings can serve as a decision support tool for government agencies, emergency management organizations, NGOs, and aiding countries.
Article
Mathematics, Interdisciplinary Applications
Rosy Oh, Jae Youn Ahn, Woojoo Lee
Summary: This study focuses on developing collective risk models that allow a flexible dependence structure for frequency and severity by relaxing the assumption of independence. The proposed Copula models have computational advantages and provide intuitive interpretations for the dependence structure, as illustrated by analyzing automobile insurance data.
SCANDINAVIAN ACTUARIAL JOURNAL
(2021)
Article
Social Sciences, Interdisciplinary
Kateryna Tkach, Chiara Gigliarano
Summary: This paper proposes a new multidimensional poverty index that takes into account the dependence among indicators and introduces an innovative weighting approach. The study on selected European countries reveals that multidimensional poverty is influenced not only by individual shortfalls, but also by the level of interdependence among well-being indicators.
SOCIAL INDICATORS RESEARCH
(2022)
Article
Operations Research & Management Science
Aviral Kumar Tiwari, Sangram Keshari Jena, Satish Kumar, Erik Hille
Summary: This paper utilizes a dependence-switching copula model to analyze the dependence structure between sectoral equity markets and crude oil prices in India. The results show that the tail dependence is symmetric (asymmetric) in positive (negative) correlation regimes, and the carbon sector is identified as a safe haven investment.
ANNALS OF OPERATIONS RESEARCH
(2022)
Article
Business, Finance
Xiao-Li Gong, Xiong Xiong
Summary: The study utilizes TS Copula to describe multi-objective portfolio optimization, showing that Skewed-t Copula coupled with tempered stable Levy distribution fits financial market data best. Additionally, the MOPSO and NSGA-II algorithms are effective in solving multi-objective portfolio optimization problems based on TS Copula.
FINANCE RESEARCH LETTERS
(2021)
Article
Economics
Antonio Diaz, Carlos Esparcia, Raquel Lopez
Summary: This paper examines the diversification role of socially responsible investments (SRI) during the COVID-19 pandemic. The study finds that including clean energy equities in portfolios of conventional equities and other safe haven assets can improve risk diversification and financial performance. AR-GARCH models and DCC skew Student copula specifications are applied for empirical analysis.
ECONOMIC ANALYSIS AND POLICY
(2022)
Article
Environmental Studies
Satish Kumar, Aviral Kumar Tiwari, Ibrahim Dolapo Raheem, Erik Hille
Summary: The study found that during a crisis, the collapse of oil and agricultural markets often occurs simultaneously, but not in normal economic conditions. The return chasing effect dominates in most cases, and there is significant risk spillover from oil markets to agricultural markets, especially around financial crises.
Article
Engineering, Civil
Jiayi Wen, Xiaoxuan Li, Yuxiang Zhu
Summary: Traditional seismic evaluations may underestimate the actual risk of high-voltage switchgear equipment. By introducing a novel framework that considers functional failure and utilizing limited samples, the accuracy of evaluations can be improved. The study found that blade deformation capacity is the primary constraint for reliability.
EARTHQUAKE ENGINEERING & STRUCTURAL DYNAMICS
(2023)
Article
Business, Finance
Hemei Li, Zhenya Liu, Shixuan Wang
Summary: This study examines the dependence structure of China's commodity futures market using a regular vine Copula model and enhances risk management through VaR forecasting. The findings suggest that the market is not dominated by a single category and the tail dependence between different categories varies significantly. The proposed method outperforms the standard GARCH-VaR method in VaR backtesting, providing a valuable tool for risk management in commodity futures markets.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2022)
Article
Public, Environmental & Occupational Health
Xiwen Bai, Jasmine Siu Lee Lam
Summary: This article presents a study on risk estimation using the value-at-risk (VaR) method. It proposes a copula-based GARCH model to estimate the joint multivariate distribution, which can capture the VaR more successfully. The results have significant implications for shipowners in decision making and risk management.
Article
Economics
Xiwen Bai, Jasmine Siu Lee Lam
Summary: This paper examines the regionalization and segmentation of the product tanker shipping market, revealing high dependencies between different size ships operating in the same trade routes and varying dependencies in different regions. Most return pairs exhibit significant tail dependence, particularly between adjacent or same trading routes. Extreme risk spillovers are found to be asymmetric in bearish and bullish markets.
TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW
(2021)
Article
Engineering, Civil
Lizhong Zhang, Katsuichiro Goda, Maximilian J. Werner, Solomon Tesfamariam
Summary: The study discusses the impact of megathrust earthquake sequences on city buildings and infrastructure, and introduces a new simulation framework for assessing spatiotemporal seismic hazard and risk of future M9.0 earthquakes. This framework can be used for quasi-real-time aftershock hazard and risk assessments as well as city-wide post-event risk management.
EARTHQUAKE ENGINEERING & STRUCTURAL DYNAMICS
(2021)
Article
Geosciences, Multidisciplinary
Katsuichiro Goda, Viviana Novelli, Raffaele De Risi, Panos Kloukinas, Nicola Giordano, John Macdonald, Innocent Kafodya, Ignasio Ngoma, Elia Voyagaki
Summary: The study conducts regional seismic risk analysis for central-southern Malawi focusing on the Bilila-Mtakataka Fault within the East African Rift System, incorporating local information on population exposure and building vulnerability. Results highlight the importance of incorporating local information on seismic hazard and vulnerability for more effective earthquake risk assessments.
INTERNATIONAL JOURNAL OF DISASTER RISK REDUCTION
(2022)
Article
Engineering, Civil
Zhiwang Chang, Flavia De Luca, Katsuichiro Goda
Summary: This study develops new equations for predicting the constant-strength inelastic displacement ratio (C-R) by considering nonlinear single-degree-of-freedom systems subjected to near-fault ground motions. A energy-based parameter, the MEA/MEV ratio, is adopted to characterize the properties of pulse-like records, and its effect on the C-R spectra is investigated. A simplified equation for estimating the C-R spectra is developed, and its accuracy is evaluated.
JOURNAL OF EARTHQUAKE ENGINEERING
(2023)
Article
Engineering, Civil
Joanna M. Holmgren, Maximilian J. Werner, Katsuichiro Goda, Manuela Villani, Vitor Silva, Patrick Chindandali, Victoria Stevens
Summary: This article introduces a newly compiled ground motion database for the southern East African rift system, which includes waveform records of 882 earthquakes from 1994 to 2022. It provides essential data for ground motion studies in the region.
EARTHQUAKE SPECTRA
(2023)
Article
Geosciences, Multidisciplinary
Jeremy M. Rimando, Alexander L. Peace, Katsuichiro Goda, Navid Sirous, Philippe Rosset, Luc Chouinard
Summary: Currently, there is a lack of active fault maps and detailed finite-fault source models for the intraplate western Quebec seismic zone (WQSZ) in eastern Canada, hindering accurate seismic hazard assessments in a rapidly growing population area. This study utilizes Coulomb stress analysis to identify potential zones for future ruptures. The research finds that there is an increased potential for failure in faults proximal to the 1935 MW 6.1 Temiscaming, 1944 MW 5.8 Cornwall-Massena, and 2013 MW 4.7 Ladysmith earthquakes. This work provides a physical basis for seismic hazard assessment input parameters in the WQSZ based on numerical stress modeling results.
CANADIAN JOURNAL OF EARTH SCIENCES
(2023)
Article
Computer Science, Interdisciplinary Applications
Yao Li, Katsuichiro Goda
Summary: A new risk-based tsunami early warning method using Random Forest (RF) and S-net has been developed to predict the impact of tsunamis on coastal areas. The method utilizes simulated tsunami wave time series at S-net sensors and considers a wide range of possible tsunami waves. Compared to conventional methods, the RF model improves the prediction accuracy of tsunami loss significantly, reducing the mean square error by 90%. It is also less reliant on earthquake information, making it useful for early warning of tsunamis from various sources.
COMPUTERS & GEOSCIENCES
(2023)
Article
Engineering, Civil
Katsuichiro Goda, Keith Orchiston, Jovana Borozan, Mark Novakovic, Emrah Yenier
Summary: Probabilistic tsunami hazard and risk analyses are important decision support tools for reducing tsunami risks in coastal communities. A stochastic source modeling approach helps consider uncertainties in earthquake rupture processes, but accurate evaluations of inland tsunami inundation and building damage are computationally expensive. To overcome this, low-resolution tsunami simulations are used for probabilistic tsunami hazard analysis, and smaller sets of stochastic rupture models are identified for specific probabilities. These models are used to estimate tsunami building loss through high-resolution tsunami inundation simulations, reducing computational costs for probabilistic tsunami risk analysis. A case study in Tofino, British Columbia, investigates the correlation between modeled tsunami wave amplitudes and building loss, demonstrating the effectiveness of the proposed solution in estimating tsunami risk using a limited number of high-resolution simulations.
EARTHQUAKE SPECTRA
(2023)
Article
Engineering, Civil
Biniam Tekle Teweldebrhan, Katsuichiro Goda, Raffaele De Risi, Solomon Tesfamariam
Summary: This article presents a bi-variate probabilistic seismic fragility assessment of the cross-laminated timber coupled wall (CLT-CW) system. Different design parameters were evaluated, and probabilistic seismic fragility curves were developed to compare the effect of different limit state function combinations. The study contributes to assessing seismic risk and developing seismic-resilient structures.
EARTHQUAKE SPECTRA
(2023)
Article
Engineering, Civil
Zhiwang Chang, Haoran Wu, Katsuichiro Goda
Summary: Proper parameterization of near-fault ground motions is crucial in earthquake engineering. This study proposes a progressive iterative approach for the automated parameterization of velocity pulses in near-fault motions. The approach matches a pulse model to the smoothed motion and derives the parameterized pulse by best fitting in both the time and spectral domains. The method avoids convergence to local minimums and achieves a good match between the extracted pulse and the original motion.
EARTHQUAKE ENGINEERING & STRUCTURAL DYNAMICS
(2023)
Article
Geosciences, Multidisciplinary
Katsuichiro Goda
Summary: Modeling the occurrence of large subduction earthquakes involves significant uncertainty due to the lack of geological data and inaccurate dating techniques. This study proposes a statistical approach based on the Gaussian mixture model, which outperforms previous methods by capturing both long gaps and short-term clustering. The developed model is suitable for probabilistic seismic and tsunami hazard analysis and can calculate the long-term probability of future events.
GEOSCIENCE LETTERS
(2023)
Article
Engineering, Civil
Payam Momeni, Katsuichiro Goda, Mohammad Mokhtari, Mohammad Heidarzadeh
Summary: In this paper, the impact of possible rupture of splay faults on tsunami hazards in the eastern Makran Subduction Zone (MSZ) is studied. The study uses a framework that considers uncertainties related to rupture location, rupture geometry, seismic moment split ratio, earthquake slip asperity location, and earthquake slip heterogeneity. The results show a significant amplification of tsunami heights due to the presence of splay faults.
COASTAL ENGINEERING JOURNAL
(2023)
Article
Geochemistry & Geophysics
Katsuichiro Goda, Karina Martinez Alcala
Summary: Stochastic source modelling is a valuable method for assessing future tsunami hazards in the Haida Gwaii region on Canada's Pacific coast. This method accounts for uncertainties in fault geometry and slip heterogeneity, allowing for a wide range of possible tsunami scenarios. By generating multiple stochastic tsunami models, the study provides insights into the variability of tsunami heights and highlights the need for accurate bathymetry and elevation data to improve simulations. The models developed in this study can be used for future probabilistic tsunami hazard analysis and risk management decisions in the region.
PURE AND APPLIED GEOPHYSICS
(2023)
Article
Engineering, Civil
Katsuichiro Goda
Summary: This study presents new stochastic source models for analyzing the Cascadia subduction earthquakes in the Pacific Northwest, which can lead to massive tsunamis. By generating stochastic source models and performing tsunami simulations, the regional characteristics of tsunamis and the influence of source models and earthquake slip distribution on tsunami hazards are revealed.
COASTAL ENGINEERING JOURNAL
(2022)
Article
Geosciences, Multidisciplinary
Yao Li, Katsuichiro Goda
Summary: This study presents robust algorithms for tsunami early warning using synthetic tsunami wave data and multiple linear regression. The calibration of the models using S-net data improves the accuracy of the tsunami warning system. The study provides optimal configuration of OBS stations and waiting time for issuing tsunami warnings.
Review
Environmental Sciences
Nobuhito Mori, Kenji Satake, Daniel Cox, Katsuichiro Goda, Patricio A. Catalan, Tung-Cheng Ho, Fumihiko Imamura, Tori Tomiczek, Patrick Lynett, Takuya Miyashita, Abdul Muhari, Vasily Titov, Rick Wilson
Summary: This review assesses the advancements in tsunami observation and monitoring, with a focus on rapid early warning and long-term hazard assessment. Real-time tsunami wave height data provided by ocean-bottom pressure gauges, combined with numerical and analogue modelling, have enabled accurate tsunami forecasts within minutes of an earthquake. This allows local communities to evacuate promptly and saves lives.
NATURE REVIEWS EARTH & ENVIRONMENT
(2022)