Loan Loss Reserves （LLR）, Expected Loss （EL）, and Value at Risks （VaR）

This paper clarifies the distinctions between loan loss reserves （LLR）, expected loss （EL）, and loan loss provisions （LLP）. The paper also includes information on individual and collective impairment assessment of local commercial banks in Malaysia collected from their annual reports. Most banks have maintained collective assessment （CA） allowance ratio of lower than 1.2% of gross total loans.

Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes

We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional value-at-risk for random immediate reward variables in Markov decision processes, under whose risk measure criteria the risk-optimal policies are characterized by the optimality equations for the discounted or average case. As an application, the inventory models are considered.

Value evaluation of ecological risk of marine chemical spills

The environmental risk of chemical spills near coastal zones threatens abundant marine ecological resources. By appraising the ecological damage value of the environmental risk of marine chemical spills, we can facilitate decision-making for the development of a coastal zone and establishment of economic policy on coastal zone management. In this study, the ecological effect of the environmental risk of a chemical spill in the Haicang chemical industrial park in Xiamen was identified, after which its impact was forecasted and its ecological damage value was assessed. The information generated in this study will be useful in future studies evaluating marine ecological compensation based on environmental risk analysis.

Performance value of high risk factors in colorectal cancer screening in China

AIM:To analyze the performance value of high risk factors in population-based colorectal cancer(CRC) screening in China.METHODS:We compared the performance value of the immunochemical fecal occult blood test(iFOBT) and other high risk factors questionnaire in a population sample of 13 214 community residents who completed both the iFOBT and questionnaire investigation.Patients with either a positive iFOBT and/or questionnaire were regarded as a high risk population and those eligible were asked to undergo colonoscopy.RESULTS:The iFOBT had the highest positive predictive value and negative predictive value in screening for advanced neoplasia.The iFOBT had the highest sensitivity,lowest number of extra false positive results associated with the detection of one extra abnormality for screening advanced neoplasias and adenomas.A history of chronic cholecystitis or cholecystectomy,chronic appendicitis or appendectomy,and chronic diarrhea also had a higher sensitivity than a history of adenomatous polyps in screening for advanced neoplasias and adenomas.The sensitivity of a history of chronic cholecystitis or cholecystectomy was highest among the 10 high risk factors in screening for nonadenomatous polyps.A history of chronic appendicitis or appendectomy,chronic constipation,chronic diarrhea,mucous and bloody stool,CRC in first degree relatives,malignant tumor and a positive iFOBT also had higher sensitivities than a history of adenomas polyps in screening for non-adenomatous polyps.Except for a history of malignant tumor in screening for non-adenomatous polyps,the gain in sensitivity was associated with an increase in extra false positive results associated with the detection of one extra abnormality.CONCLUSION:The iFOBT may be the best marker for screening for advanced neoplasias and adenomas.Some unique high risk factors may play an important role in CRC screening in China.

Risk measurement of international oil and gas projects based on the Value at Risk method

International oil and gas projects feature high capital-intensity, high risks and contract diversity. Therefore, in order to help decision makers make more reasonable decisions under uncertainty, it is necessary to measure the risks of international oil and gas projects. For this purpose, this paper constructs a probabilistic model that is based on the traditional economic evaluation model, and introduces value at risk(VaR) which is a valuable risk measure tool in finance, and applies Va R to measure the risks of royalty contracts, production share contracts and service contracts of an international oil and gas project. Besides, this paper compares the influences of different risk factors on the net present value(NPV) of the project by using the simulation results. The results indicate:(1) risks have great impacts on the project's NPV, therefore, if risks are overlooked, the decision may be wrong.(2) A simulation method is applied to simulate the stochastic distribution of risk factors in the probabilistic model. Therefore, the probability is related to the project's NPV, overcoming the inherent limitation of the traditional economic evaluation method.(3) VaR is a straightforward risk measure tool, and can be applied to evaluate the risks of international oil and gas projects. It is helpful for decision making.

A Review on the Role of Risk Management (RM) and Value Engineering (VE) Tools for Project Successful Delivery

Both in developed and in developing countries, the construction industry is regarded as an economic investment activity without forgetting its significant relationship with national economic development due to its great contributions to the national gross domestic product (GDP) of the country. Concerning construction processes, both risk management (RM) and value engineering (VE) techniques have commonalities from the beginning up to the completion of the project due to enhancing the project value/quality, meeting the project deadline, and reducing overall project cost. VE includes resolving the uncertainty of project objectives and ensuring that the project is delivered in a value for money way. The key point of RM is to solve the uncertainty of the project itself and its results to ensure that the specifications are achieved within the prescribed time, cost, and quality constraints. This review work is comparatively and collectively focused on assessing the role of RM and VE tools for project successful delivery. It studies the points of difference and common features of the two aspects in terms of construction project delivery. So, this study concluded that in construction RM tool cannot be the chief aim of the all parties involved in the project execution because sometimes it produces itself negative results and reduces project management success. Therefore, RM needs a strong combination with VE due to the dependence of the target in identifying and assessing risks by considering the highest performance and lowest cost. The integration of RM and VE combination in a single study would avoid duplication of work and deliver better value for money thereby leading to better project outcomes.

Analysis of Conditional Value-at-Risk for Newsvendor with Holding and Backorder Cost under Market Search

We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.

Research on the Impact of Equity Pledge on Company Value

This article aims to provide a literature review on the impact of equity pledges on corporate value,and to explore in depth the application of equity pledges as a financial tool in corporate governance and capital operation,as well as its multidimensional impact on corporate value.By reviewing and analyzing relevant literature both domestically and internationally,this article first defines the basic concept of equity pledges and then elaborates on the impact mechanism of equity pledges on company value from both positive and negative perspectives.In terms of positive impact,this article explores how equity pledges can promote corporate financing,optimize capital structure,and enhance the control of major shareholders over the company.In terms of negative impacts,the possible control risk,market risk,and potential damage to the interests of small and medium-sized shareholders brought about by equity pledges were analyzed.Furthermore,this article also discusses the differences in the impact of equity pledges on company value in different scenarios and proposes corresponding policy recommendations and research prospects.

基于经验似然方法的Value-at-Risk估计

VaR(Value at Risk)是一种利用统计知识度量金融风险的方法,合理地确定GARCH模型是VaR计算的关键。针对这个问题,利用经验似然方法来估计VaR。模拟分析表明,经验似然方法比已有的方法简洁有效。

Multi scale risk measurement in electricity market:a wavelet based value at risk approach

Value at risk (VaR) is adopted to measure the risk level in the electricity market. To estimate VaR at higher accuracy and reliability, the wavelet variance decomposed approach for value at risk estimates (WVDVaR) is proposed. Empirical studies conduct in five Australian electricity markets, which evaluate the performances of both the proposed approach and the traditional ARMA-GARCH approach using the Kupiec backtesting procedure. Experimental results suggest that the proposed approach measures electricity market risks at higher accuracy and reliability than the bench mark ARMA-GARCH approach, as indicated by the higher p values during the Kupiec backtesting procedure. In addition, the new approach also provides more insight into the risk evolution process over time and helps in adjusting VaR estimates to the time horizons that best suit investor interests. The distribution of risk according to investor preferences is shown by decomposing VaR across different time horizons. This also provides important information for the appropriate aggregation of risk measures based on investor investment preferences.

Empirical Analysis of Value-at-Risk Estimation Methods Using Extreme Value Theory

This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.

Market Risk Evaluation on Single Futures Contract:SV-CVaR Model and Its Application on Cu00 Data

A new stochastic volatility（SV）method to estimate the conditional value at risk（CVaR）is put forward.Firstly,it makes use of SV model to forecast the volatility of return.Secondly,the Markov chain Monte Carlo（MCMC）simulation and Gibbs sampling have been used to estimate the parameters in the SV model.Thirdly,in this model,CVaR calculation is immediate.In this way,the SV-CVaR model overcomes the drawbacks of the generalized autoregressive conditional heteroscedasticity value at risk（GARCH-VaR）model.Empirical study suggests that this model is better than GARCH-VaR model in this field.

Estimation of Dynamic VaR in Chinese Stock Markets Based on Time Scale and Extreme Value Theory

The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.

On the factors of Bitcoin’s value at risk

This study investigates the factors of Bitcoin’s tail risk,quantified by Value at Risk(VaR).Extending the conditional autoregressive VaR model proposed by Engle and Manganelli(2004),I examine 30 potential drivers of Bitcoin’s 5%and 1%VaR.For the 5%VaR,quantity variables,such as Bitcoin trading volume and monetary policy rate,were positively significant,but these effects were attenuated when new samples were added.The 5%VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index.For the 1%VaR,variables related to the macroeconomy play a key role.The consumer sentiment index exerts a strong positive effect on the 1%VaR.I also find that the 1%VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.

A Value-at-Risk Based Approach for PMU Placement in Distribution Systems

With the application of phasor measurement units(PMU)in the distribution system,it is expected that the performance of the distribution system state estimation can be improved obviously with the PMU measurements into consideration.How to appropriately place the PMUs in the distribution is therefore become an important issue due to the economical consideration.According to the concept of efficient frontier,a value-at-risk based approach is proposed to make optimal placement of PMU taking account of the uncertainty of measure errors,statistical characteristics of the pseudo measurements,and reliability of the measurement instrument.The reasonability and feasibility of the proposed model is illustrated with 12-node system and IEEE-33 node system.Simulation results indicated that uncertainties of measurement error and instrument fault result in more PMU to be installed,and measurement uncertainty is the main affect factor unless the fault rate of PMU is quite high.

The Reference Value for Biomonitoring in Chemicals Risk Area in Thailand

The workers’biological standard value(WBSV)is generally used to assess chemicals health risks in community.It may cause the deviate biomonitoring.Therefore,this study was aimed to set the pilot reference value for exposed people to chemicals.The study was divided into three phases:the two phases for field-study method and one phase for stakeholder’s adoption.Phase I was proceeded in one industrial zone in Thailand during the years 2012-2014 to collect blood and urine samples of 402 working-age people in community accompanied with in-depth interview.The 4 heavy metals(arsenic,cadmium,lead,mercury)in blood and urine were analyzed by atomic absorption spectroscopy(AAS)analysis and inductively coupled plasma mass spectrometry(ICP-MS).The metabolites of 4 volatile organic compounds(VOCs,benzene,toluene,styrene,xylenes)in urine were analyzed by high performance liquid chromatography(HPLC)analysis.The 8 chemicals concentrations of the volunteers’average chemicals concentration(VACC)were calculated.Phase II was proceeded during the years 2015-2016 to compare risk group identification between usage of VACC and usage of WBSV.The results were presented in mean value,standard deviation,percentage,and significant.The results showed approximately 90 percent of VACCs were lower than WBSV.The exceptional result was volunteers’average urinary arsenic concentration.It was clearly higher than WBSV.The comparative results showed the adjusted amount of risk people by VACC was higher than the adjusted amount risk people by WBSV.Phase III was proceeded in the year 2017 for stakeholder’s adoption.This study indicated that general people’s average chemicals concentration should be used as the reference value for biomonitoring and active health surveillance.

Extreme Values Approach in Food Risk Modeling

In this paper we estimate the incubation period of a possible pathology following exposure to dioxins during a poor diet. The tools developed for this purpose include the probabilistic extremal model and the stochastic behavior of the distribution tails of the contamination. We propose a cumulative distribution function for a random variable that follows both a Gaussian distribution and a GPD. A global optimization method is also explored for the efficient estimation of parameters of GPD.

Franchise Value Change Information of State-owned Commercial Bank and Securities Investment Risk

The investment strategy choice of state-owned commercial bank is related to its franchise value change information. This paper analyzes the franchise value change information of state-owned commercial bank. The franchise value change information shows that the franchise value of state-owned Commercial Bank is descending. Along with the descending of the franchise value, state-owned commercial bank strengthens its high risk investment motive when it chooses its investment strategy. State-owned commercial bank tends to run the high risk of investing securities because its investment variety is very sparse. Based on the theoretical principle of how to control securities investment risk, this paper proposes some countermeasures and suggestions that state-owned commercial bank strengthen the control of its securities investment risk in order to perfect its investment strategy.

Three Methods to Calculate the Financial Risk Measurement: Value- At-Risk and Expected Shortfall

This paper analyzes the relationship between the risk factor of each stock and the portfolio’s risk based on a small portfolio with four U.S.stocks,and the reason why these risk factors can be regarded as a market invariant.Then,it evaluates the properties of the convex and coherent risk indicators of the capital requirement index composed of VaR and ES,and use three methods(the historical estimation method,boudoukh’s mixed method and Monte Carlo method)to estimate the risk measurement indicators VaR and ES respectively based on the assumption of multivariate normal distribution’risk factors and multivariate student t-copula distribution’s one,finally it figures out that these three calculation results are very close.

The Value Choice for Legal Regulation of Financial Risks in Shadow Banking

It is of vital importance for shadow banking supervision to have correct targets for the curtailment of financial risks.In fact,the process of selecting legal regulation targets for shadow banking financial risks is equivalent to a process of achieving specific goals or objectives by means of legal regulation.The establishment of a regulatory system for shadow banking should consider the objective and practical needs of the sector,prioritize security as the desired value,and reasonably establish a value system for risk control.