Study on models for control of interest rate risks

Analyses different interest rate risks, presents a new model for assessment of interest rates and thereby establishes the framework for control of interest

Managing Interest Rate Risk： An Evaluation of Indian Banks

Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, .mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. It is essential that banks have to monitor, maintain, and manage their assets and liabilities portfolios in a systematic manner taking into account the various risks involved in these areas. Balance sheet risk of a bank can be categorized into two major types of significant risks, which are liquidity risk and interest rate risk （IRR）. IRR is the risk to earning of capital arising from movement of interest rates. The need to manage IRR in Indian banks arises from movement of interest rates. The areas not much considered in the earlier research work are to manage IRR which influences critically the overall profitability of banks. The study was taken with an objective of analyzing the determinants of IRR and examining the strategy to manage such exposures testing the banks long run sustainability. The study had chosen 45 banks and collected secondary data for the financial year 2007 to 2012 to do the analysis of IRR management. The findings of the study were to suggest the ways to minimize the IRR and control its effect on the banks profit. The other findings were to test impact of IRR on the sustainability of the bank.

The Strategies for Market Risk Management in International Shipping

International shipping market is a risky market associated with a variety of risks which shipping companies have to cope with. International shipping has been seriously hit by the financial crisis in 2008. Since then, this industry has experienced market downturn for a long period which was considered to be the longest period of depression in the history. This paper mainly focuses on the key market risks in international shipping including cyclical fluctuation risk, cost risk, freight rate volatility risk, and competition risk. It analyses the source of these market risks, and identifies some strategies to cope with these market risks. In the meantime, Maersk and China Ocean Shipping Group （COSCO）, the world leading international shipping companies, are taken as two cases. Their strategies in market risk management are analyzed, which enable the reader to learn from their success and failure. Based on the international experience in market risk management in shipping industry as well as the real practice of Maersk and COSCO, this paper provides useful guidance for shipping companies to reduce market risks, overcome market downturn, and improve competitiveness.

Analysis on Formation Causes of Interest Rate Risks of Commercial Banks in China

Economy globalization inevitably requires financial globalization. The interest rate （IR） is decided by the market, which will bring about IR risks to commercial banks （CBs）. This paper discusses the inevitability of fulfilling market IR in China and what IR risks Chinese CBs have to burden. It also analyzes the formation causes of IR risks from the exterior and the interior aspects.

Organ at Risk Doses during High Dose Rate Intracavitary Brachytherapy for Cervical Cancer: A Dosimetric Study

Background: Treatment of Cervical cancer includes a combination of external beam radiotherapy (EBRT) with intracavitary brachytherapy (ICBT). ICBT helps to boost radiation dose to primary disease. Organs like rectum, bladder, sigmoid and small bowel lie close to the cervix region and these organs receive dose from EBRT as well as ICBT and we want to know the dose to these organ at risk (OAR). Materials & Methods: Dosimetric details of 174 ICBT applications done in 58 patients were retrospectively analysed. All patients received EBRT dose of 50.4 Gy in 28 fractions. All patients had ICBT, three sessions with 7 Gy prescribed to point A. Dosimetric data including dose to right and left point A and dose to OARs were recorded from Oncentra Planning System. Results: Mean dose to point A on right side was 6.89 Gy and left side was 6.91 Gy. Mean D2cc dose to rectum, bladder, sigmoid and small bowel was 3.5 Gy, 5.25 Gy, 4.75 Gy and 4.2 Gy respectively. Mean EQD2 dose combining EBRT and ICBT in point A was 78.7 Gy on right side and 79 Gy on left side. Mean EQD2 doses to D2cc of rectum, bladder, sigmoid and small bowel was 62 Gy, 74.4 Gy, 70.5 Gy and 66.5 Gy respectively. Conclusion: From the results of this dosimetric study it is evident that OARs like rectum, sigmoid, bladder & bowel are receiving only acceptable doses of radiation using point A prescribed CT based ICBT planning. Hence with regards to OAR doses, CT based ICBT planning with dose prescribed to point A is a feasible option.

On the Distribution of Duration of First Negative Surplus for a Discrete Time Risk Model with Random Interest Rate

In this paper, we examine further annuity-due risk model presented by Cai （Probability in the Engineering and Informational Sciences, 16（2002）, 309-324）. We consider the computation for the distribution of duration of first negative surplus and the algorithm is shown for calculating probability that ruin occurs and the duration of first negative surplus takes any nonnegative integers values. Numerical illustration for the main result is given.

Flood risk control of dams and dykes in middle reach of Huaihe River

Three stochastic mathematical models for calculation of the reservoir flood regulation process, river course flood release, and flood risk rate under flood control were established based on the theory of stochastic differential equations and features of flood control systems in the middle reach of the Huaihe River from Xixian to the Bengbu floodgate, comprehensively considering uncertain factors of hydrology, hydraulics, and engineering control. They were used to calculate the flood risk rate with flood regulation of five key reservoirs, including the Meishan, Xianghongdian, Nianyushan, Mozitan, and Foziling reservoirs in the middle reach of the Huaihe River under different flood frequencies, the flood risk rate with river course flood release under design and check floods for the trunk of the Huaihe River in conjunction with relevant flood storage areas, and the flood risk rate with operation of the Linhuaigang Project under design and check floods. The calculated results show that （l） the five reservoirs can withstand design floods, but the Xianghongdian and Foziling reservoirs will suffer overtopping accidents under check floods; （2） considering the service of flood storage areas under the design flood conditions of the Huaihe River, the mean flood risk rate with flood regulation of dykes and dams from Xixian to the Bengbu floodgate is about 0.2, and the trunk of the Huaihe River can generally withstand design floods; and （3） under a check flood with the flood return period of 1 000 years, the risk rate of overtopping accidents of the Linhuaigang Project is not larger than 0.15, indicating that it has a high flood regulation capacity. Through regulation and application of the flood control system of the Linhuigang Project, the Huaihe River Basin can withstand large floods, and the safety of the protected area can be ensured.

Operation safety risk analysis method of hydropower project considering time-dependent effect

In order to consider the time-dependent characteristic of risk factors of hydropower project,the method of stochastic process simulating structure resistance and load effect is adopted.On the basis of analyzing the structure characteristics and mode of operation,the operation safety risk rate assessment model of hydropower project is established on the comprehensive application of the improved analytic hierarchy process,the time-dependent reliability theory and the risk rate threshold.A scheme to demonstrate the time-dependent risk rate assessment method for an example of the earth-rock dam is particularly implemented by the proposed approach.The example shows that operation safety risk rate is closely related to both the service period and design standard;considering the effect of time-dependent,the risk rate increases with time and the intersection of them reflects the technical service life of structures.It could provide scientific basis for the operation safety and risk decision of the hydropower project by predicting the trend of risk rate via this model.

Evaluating rockfalls at a historical settlement in the Ihlara Valley(Cappadocia, Turkey) using kinematic, numerical, 2D trajectory, and risk rating methods

Rockfalls are one of the most dangerous natural events in hilly terrains, and they substantially threaten residential areas and transport corridors in these environments. This study is aimed to analyze the risk of rockfall from a slope to nearby houses in a historical settlement with past rockfall histories. It contains numerous applications to study rockfall danger from different points of view(e.g., kinematics,numerical stability analysis, risk assessment, 2D trajectory). The rockfall kinematics revealed the statistics for different structurally controlled failure modes among the surveyed slope discontinuities,especially wedge type and block toppling were the most significant ones. Finite element analysis showed that the slope was stable under the natural condition with a safety factor of 2.19. The rockfall risk rating system calculated a medium risk for the houses downstream. Based on the field measurements, a possible rockfall profile was determined and located as an input in the 2D rockfall trajectory program. The rigid-body impact model runs utilized various shapes and sizes of blocks to simulate the rockfall events realistically. According to the 2D trajectory model results, there was no rockfall danger for the investigated downslope houses. The study showed the importance of using different analysis techniques to solve rockfall risk in protected areas based on scientific and rational approaches.

Risk Analysis and Assessment of Overtopping Concerning Sea Dikes in the Case of Storm Surge

Risk analysis and assessment relating coastal structures has been one of the hot topics in the area of coastal protection recently. In this paper, from three aspects of joint return period of multiple loads, dike failure rate and dike continuous risk prevention respectively, three new risk analysis methods concerning overtopping of sea dikes are developed. It is worth noting that the factors of storm surge which leads to overtopping are also considered in the three methods. In order to verify and estimate the effectiveness and reliability of the newly developed methods, quantified mutual information is adopted. By means of case testing, it can be found that different prior variables might be selected dividedly, according to the requirement of special engineering application or the dominance of loads. Based on the selection of prior variables, the correlating risk analysis method can be successfully applied to practical engineering.

Risk factors associated with missed colorectal flat adenoma: A multicenter retrospective tandem colonoscopy study

AIM: To determine the miss rate for colorectal flat adenomas during colonoscopy and the risk factors.

Incidence and mortality rate of esophageal cancer has decreased during past 40 years in Hebei Province,China

Background： Hebei province is located in North of China with of approximately 6% of whole national population. It is known as a high-risk area for esophageal cancer in China and worldwide. The aim of our study was to estimate the esophageal cancer burden and trend in Hebei Province. Methods： Eight cancer registries in Hebei Province submitted cancer registry data to the Hebei Provincial Cancer Registry Center. All data were qualified and compiled for cancer statistics in 2011. The pooled data were stratified by gender and age group （0, 1-4, 5-9, 10-14...80＋）. Incidence and mortality rates were age-standardized to World Segi＇s population standard and expressed per 100,000 persons. In addition, proportions and cumulative incidence/mortality rates for esophageal cancer were calculated. Esophageal cancer mortality data during the periods 1973-1975, 1990-1992, and 2004-2005 were extracted from the national death surveys. Mortality and incidence rate data from Cixian and Shexian were obtained from population-based cancer registries in each county. Results： The estimated number of newly diagnosed esophageal cancer cases and deaths in 2011 in Hebei Province was 24,318 and 18,226, respectively. The crude incidence rate of esophageal cancer was 33.37/100,000 （males, 42.18/100,000 and females, 24.31/100,000）. The age-standardized rate by world standard population （ASRW） was 28.09/100,000, ranking third among all cancers. The esophageal cancer mortality rate was 25.01/100,000 （males, 31.40/100,000 and females, 18.45/100,000）, ranking third in deaths among all cancers. The mortality rates of esophageal cancer displayed a significant decreasing trend in Hebei Province from 1973-1975 （ASRW =48.69/100,000） to 2004-2005 （ASRW =28.02/100,000）, with a decreased rate of 42.45%. In Cixian, the incidence of esophageal cancer decreased from 250.76/100,000 to 106.74/100,000 in males and from 153.86/100,000 to 75.41/100,000 in females, with annual percentage changes （APC） of 2.13 and 2.16, while the mortality rates declined with an APC of 2.46 for males and 3.10 for females from 1988 to 2011. In Shexian, the incidence rate decreased from 116.90/100,000 to 74.12/100,000 in males and from 46.98/100,000 to 40.64/100,000 in females, while the mortality rates declined, with an APC of 4.89 in males from 2003 to 2011. Conclusions： Although the incidence and mortality rates of esophageal cancer remain high, an obvious decreasing trend has been observed in Hebei Province, as well as in high-risk regions, such as Cixian and Shexian, over the past 40 years.

Kidney and cardiovascular risk in primary hypertension

In patients with primary hypertension,therapeutic strategies should be based on global cardiovascular risk profile rather than on the severity of blood pressure alone.Accurate assessment of concomitant risk factors and especially of the presence and extent of subclinical organ damage is of paramount importance in definingindividual risk.Given the high prevalence of hypertension in the population at large,however,extensive diagnostic evaluation is often impractical or unfeasible in clinical practice.Low cost,easy to use markers of risk are needed to improve the clinical management of patients with hypertension.Early renal abnormalities such as a slight reduction in glomerular filtration rate and/or the presence of microalbuminuria are well known and powerful predictors of cardio-renal morbidity and mortality and provide a useful,low cost tools to optimize cardiovascular risk assessment.A greater use of these tests should therefore be implemented in clinical practice in order to optimize the management of hypertensive patients.

Development of Jacket Platform Tsunami Risk Rating System in Waters Offshore North Borneo

This work details the simulation of tsunami waves generated by seaquakes in the Manila Trench and their effect on fixed oil and gas jacket platforms in waters offshore North Borneo. For this study, a four-leg living quarter jacket platform located in a water depth of 63 m is modelled in SACS v5.3. Malaysia has traditionally been perceived to be safe from the hazards of earthquakes and tsunamis. Local design practices tend to neglect tsunami waves and include no such provisions. In 2004, a 9.3Mw seaquake occurred off the northwest coast of Aceh, which generated tsunami waves that caused destruction in Malaysia totalling US$ 25 million and 68 deaths. This event prompted an awareness of the need to study the reliability of fixed offshore platforms scattered throughout Malaysian waters. In this paper, we present a review of research on the seismicity of the Manila Trench, which is perceived to be high risk for Southeast Asia. From the tsunami numerical model TUNA-M2, we extract computer-simulated tsunami waves at prescribed grid points in the vicinity of the platforms in the region. Using wave heights as input, we simulate the tsunami using SACS v5.3 structural analysis software of offshore platforms, which is widely accepted by the industry. We employ the nonlinear solitary wave theory in our tsunami loading calculations for the platforms, and formulate a platform-specific risk quantification system. We then perform an intensive structural sensitivity analysis and derive a corresponding platform-specific risk rating model.

Heart Rate Distribution and Cause-specific Death in General Population of South China

Objectives To analyses heart rate （HR） distribution of healthy adults in the south China community and evaluate relative risk of HR to total cause of death and cardiac cerebral vascular death. Methods Analytical data come from the baseline survey and follow-up visits in the PRC-USA Collaborative Study of Cardiovascular Epidemiology in urban and rural samples of Guangzhou. The baseline survey was initiated in 1983 and 1984, and rescanned in 1987 and 1988. Since 1991 Follow-up visits for endpoint events were carried once every two years. Average follow-up year was 16.2 from baseline to 2000. People excluded from cardiac cerebral vascular disease, diabetes and other various chronic diseases were regarded as ＂healthy adults＂. Heart rates of these subjects were measured on resting electrocardiogram. Endpoint evens include： total cause of death, first attack of coronary disease and cerebral vascular events. SAS software was used for analysis. Cox Proportional Hazards model was used to evaluate the impact of HR on total death and cardiac cerebral vascular disease. Results A total of 4570 men and women aged 35-55 years from urban and rural Guangzhou were investigated. 3493 healthy subjects were enrolled in the analysis, including 1694 men and 1799 women. Mean oftheHRis （67.9 ±10.6） beats/min （bpm） in the whole population, （66.3±10.7）bpm in men and （69.3± 10.4） in women. The 52 percentile of the HR was 51 in men and 54 in women. The 952 percentile of the HR was 85 in men and 88 in women. Single correlation analysis showed there was negative relationship between age and HR, but it was only statistical significant in female. Analysis with Cox Proportional Hazards model show that HR 〈 50 bpm tops the risk of total causes of death （1.725）and HR 50-59 bpm decreased the risk of total causes of death （0.843）. Relative risk of cardiac cerebral vascular events exceeds 1 when HR 〈 50 and 〉90 bpm （1.486 and 7.008 respectively）. It was less than 1 in other groups but there was no significant difference between each group. Conclusions Traditional normal range of HR in adult should be adjusted. In certain extent lower HR is advantageous to decrease cardiac cerebral vascular events, total causes of death and has better prognosis.

Clustering of Cardiovascular Risk Factors and Diabetes： A Prospective Cohort Study on the Inner Mongolian Population in China

Objective To evaluate the effect of clustering of cardiovascular risk factors（CVRFs） on type 2 diabetes mellitus（T2 DM） incidence and identify some high predictive clusters in the Inner Mongolian population in China. Methods A total of 1,884 Mongolian individuals aged 20 years or above were followed up from 2002 to 2013 and included in the final analysis. We categorized the participants into two subgroups according to the study outcome event. A Cox proportional hazards model was used to evaluate the effect of clustering of CVRFs on the incidence of T2 DM. Areas under the curve were used to compare the effect of every cluster on T2 DM and identify those having higher predictive value. Results We found 203 persons with T2 DM. Subjects with incident T2 DM tended to be older, had a higher prevalence of drinking, had higher systolic and diastolic pressures; total cholesterol, triglyceride, low-density lipoprotein cholesterol, and C-reactive protein levels; waist circumference; body mass index; and heart rate and lower HDL-C level than did those without T2 DM. The multivariable adjusted hazard ratio（95% confidence interval） of T2 DM was calculated based on comparisons with subjects with 0 CVRFs; in participants with 2 and ≥ 3 factors, the adjusted hazard ratios were 2.257（1.448, 3.518） and 3.316（2.119, 5.188）, respectively. Conclusion The clustering of CVRFs increased the risk of T2 DM. On the basis of fast heart rate, the cluster of abdominal obesity and other CVRFs had higher predictive value for T2 DM than the other three CVRF clusters.

Predicting Bank Interests When Monetary Rates Are Close to Zero

Monetary policies, either actual or perceived, cause changes in monetary interest rates. These changes impact the economy through financial institutions, which react to changes in the monetary rates with changes in their administered rates, on both deposits and lendings. The dynamics of administered bank interest rates in response to changes in money market rates is essential to examine the impact of monetary policies on the economy. Chong et al. (2006) proposed an error correction model to study such impact, using data previous to the recent financial crisis. In this paper we examine the validity of the model in the recent time period, characterized by very low monetary rates. The current state of close-to-zero monetary rates is of particular relevance, as it has never been studied before. Our main contribution is a novel, more parsimonious, model and a predictive performance assessment methodology, which allows comparing it with the error correction model.

Study on Forecasting Method of Forest Fire Risk Grade in Putian City, China

From January 1, 2014, the basic stations of meteorological observation countries have changed from small evaporation observations to large-scale evaporation observations. National general weather stations have canceled observations on evaporation, but small evaporation is very important for forest fire risk prediction. In order to make the prediction of forest fire risk level objectively, weather data in Putian City, China and the multi-linear regression analysis method is used to calculate the daily evaporation amount in the more advanced SPSS16.0 software (English version), and the data of the last 5 years of each site are selected and fitted. Results showed that we accurately calculated the evaporation of the next day to make up for the lack of data due to the adjustment of the evaporation observation project. According to the forest fire risk weather index corresponding to many meteorological factors such as evaporation, temperature, humidity, sunshine and wind speed, the forest fire risk meteorological grade standard was designed to make a more accurate forest fire risk grade forecast.

@Risk软件在工程项目不确定性分析和风险分析中的运用

基于某新建铜冶炼项目的初步财务模型,运用@Risk软件对其财务内部收益率和净现值的分布情况进行模拟,分析不确定性因素和风险因素对项目经济效益的影响程度,为投资者决策提供参考依据。模拟结果显示,原料供应的风险是影响项目效益的首要因素,其次是铜加工费TC。因此,要实现项目的经济效益,首先应确保原料来源,其他风险因素对财务内部收益率和净现值的影响排序不一致,但比较敏感的风险种类基本相同,决策者可以根据自己期望的目标采取合理的风险应对策略。

Prediction and Diversion Mechanisms for Crowd Management Based on Risk Rating

Studies of past accidents have revealed that various elements such as failure to identify hazards, crowd behaviors out of controlling, deficiency of the egress signage system, inconsistency between process behavior and process plan, and environmental constraints, etc. affected crowd evacuation. Above all, the human factor is the key issue in safety and disaster management, although it is bound to other factors inextricably. This paper explores crowd behaviors that may influence an urgent situation, and discusses the technique applied to the crowd prediction. Based on risk rating relative to crowd density, risk plans for different levels are proposed to dispose the potential threats. Also practical crowd management measures at different risk levels are illustrated in a case of a metro station in China. Finally, the strategies for crowd security management are advised that all stakeholders are amenable to form risk consciousness and implement safety procedures consistent with risk plans professionally and scientifically.