Scenarios, sustainability, and critical infrastructure risk mitigation in water planning

This paper examines the state of water supply planning facing unprecedented challenges for ensuring reliable, resilient, safe, and affordable water supplies in Texas and throughout the US. Analysis of water planning methods and practices reveals a robustly sophisticated quantitative modeling capability. Its focus is on both near-term and long-term capital investment requirements and managing operating costs. Water planning focuses on drought mitigation and flood risk management as predominant concerns. But climate change is impacting whole watersheds as well as water systems subject to sea level rise incursions that disrupt wastewater systems. Significant cross-impacts between energy and water add new risks to both energy and water infrastructure, with uncertainties still difficult to robustly quantify. Energy-water nexus issues reflect deeper planning challenges concerning critical infrastructures. Critical infrastructure planning tends to be sectoral-specific even though interdependencies and cross impacts can create broadly impactful cascade effects. Future-state water planning should be done in the context of critical infrastructure planning. Both will benefit from integrating qualitative scenario planning into established quantitative planning models. Doing so expands the complexity that can be captured in planning while providing narratives and using decision-making and public communications tools

Análise de riscos de projetos: Combinando métodos multicritério / Project risk analysis: Combining multicriteria methods

Este artigo é uma versão de um trabalho publicado originalmente no simpósio brasileiro de pesquisa operacional (SBPO). O objetivo deste artigo é apresentar uma aplicação multicritério em uma questão central na análise de riscos: a priorização. Para isso, utilizou-se como metodologia a modelagem e simulação da aplicação combinada de 2 ferramentas multicritério nos dados de um projeto real. As ferramentas multicritério utilizadas foram: Elimination Et Choix Traduisant la Réalité (ELECTRE-Tri) para a classificação; e, Analytic Hierarchy Process (AHP) para a priorização. Nesse estudo, o resultado da aplicação das ferramentas multicritério foi comparado com o resultado real do projeto obtido pela aplicação da metodologia Project Management Institute (PMI). Como conclusão, observa-se que a abordagem multicritério teve um resultado similar ao PMI. Assim, sugere-se que a priorização de riscos do projeto, que é concebida sob uma lógica qualitativa pelo PMI, possa ser aparamentada de métodos multicritérios que apóiem a tomada de decisão. Nesse sentido, o artigo traz, como principal contribuição, uma proposta de modelo para a priorização de riscos de projetos

Water planning in an age of change

This review paper examines a variety of methodologies that underpin current water planning in the United States – spanning the city, state, and Federal scales – and identifies ways in which changing realities and greater interdependencies between various different critical infrastructures are driving the need for new water planning approaches and processes. Specifically, new sources of uncertainty and their implications are examined, and challenges relating to water supply, allocation, decision making, safety and security, and the information and processes of planning are delineated. In this context, the usefulness of adding scenario planning to current water planning processes is assessed, and ways in which it can be implemented effectively are described. Opportunities for One Water planning to be augmented by critical infrastructure planning and enhanced risk mitigation are also discussed. Recommendations are articulated that are relevant to states, cities, and utility agencies, in order to ensure that they are more resiliently prepared for a substantially more uncertain planning environment in the future, with particular attention to critical infrastructure for water and for other services and the interrelationships between them

A comparison of Value at Risk methods in portfolios with linear and non-linear financial instruments

2016 dissertation for MSc. Finance and Risk. Selected by academic staff as a good example of a masters level dissertation.This paper intends to critically evaluate and compare the most used Value at Risk (VaR) methods, whilst also presenting the strengths and weaknesses of each model. The analysis is based on a stock (linear) portfolio and an option (non-linear) portfolio. The methodologies applied are the delta-normal, delta gamma, historical simulation and Monte Carlo simulation, computed to one and five days time horizon with 95% and 99% of confidence level. The results demonstrate that Monte Carlo simulation provided the most accurate risk measure and consistent results for both portfolios which reinforce the flexibility of the model to estimate VaR. Although the Delta Gamma also showed an accurate VaR for the option portfolio, it is complex and demands a high level of calculation which can become complicated and costly. The historical simulation for both portfolios were overestimated because of the fact that the historical simulation is strongly based on historical data. Additionally, the delta normal was shown to be a weak model as it does not properly present accuracy even for the linear portfolio. This is because this model is heavily based on normal distributions, and in practice fat tails are more frequent than predicted by the model. The benefit of portfolio diversification in the VaR measure was also proved in this paper. It presented a substantial improvement in the VaR measure when considering in the calculations the correlation between instruments. Once more, the Monte Carlo simulation presented a higher efficiency in VaR measures with the diversified portfolio. Finally, to deal with the problem of extreme values in the sample, this work suggests an approach to improve the VaR measures, the Extreme Value Theory (EVT)