Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model

In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.

全面阐释:巴塞尔协议Ⅲ的宏观经济影响和剩余的改革问题

随着巴塞尔协议Ⅲ的工作临近完成,国际监管改革逐渐将重点转移到监测实施和评估改革影响上。本文建立了一个简洁的框架来评估巴塞尔协议Ⅲ核心改革的宏观经济影响,包括对全球系统重要性银行杠杆率溢价的评估。本文以主要银行的历史数据为样本,并考虑到全球系统重要性银行将要提高总损失吸收能力所产生的潜在影响,对银行为满足新的监管要求需筹集的额外资本金规模进行了保守的估算。为了给资本配置及银行商业模式变化对监管改革净收益的影响提供一个高质量的替代性观测变量,本文模拟了银行收敛到"临界"平均风险权重(或"密度比率",Density Ratio)时的影响,这一临界值产生基于风险加权资产和杠杆率的资本要求。虽然监管影响的量化研究尚非确论,但本文结果表明,即使在考虑了银行商业模式调整之后,巴塞尔协议Ⅲ预期仍将产生较大的宏观经济净收益。

Option Strike Price and Managerial Investment Decisions

The manager′s investment decisions is modeled when the manager is risk averse and has stock options as compensation. It is found that the strike price of options is crucial to the investment incentives of managers, and that the correct value, or interval of values, of managerial stock option strike price can bring stockholder and manager interests in agreement.

The Adoption and Maintenance of Executive Stock Option Plan （ESOP）＂ Company Characteristics Evaluation in Indonesia

This paper investigates company characteristics associated with the adoption and maintenance of executive stock option plan （ESOP） proxied with the proportion of stock options. In order to develop and inform public policies of executive stock options, it is important to understand some of the factors that will drive a company＇s decision in order to adopt an ESOP. First, an analysis evaluates what kind of company＇s characteristics is associated with these plans. Second, an analysis examines the company characteristics that predict the adoption of such plans. This paper contributes to that stream of accounting research by identifying several factors to the adoption of ESOP. The study finds that intellectual capital （consisting of human capital efficiency （HCE）, structural capital efficiency （SCE）, and capital employed efficiency （CEE））, risk, and financial constraints （FC） affect the adoption and maintenance of stock option plans, these conditions will be increasingly supported in companies that experience relatively rapid growth. HCE, risk, and FC are significant predictors of the adoption and maintenance of ESOP. The companies who have some difficulties in observing human capital＇s behavior are more likely to adopt executive stock options, and based on our theoretical review, this is a rational course of action. Firms with higher levels of business risks are less likely to shift some of the risks to employees through stock-based compensation, whereas firms with higher variability in total shareholder returns are more likely to adopt executive stock options. Overall, our results suggest that higher monitoring costs prompt firms to adopt and maintain ESOP.

Credit Risk Transfer and the Performance of Commercial Banks --Based on the Panel Data

Based on the panel data, we analyze the US commercial banks＇ CRT. According to the study, we find that the introduction of CRT will increase the level of banks＇ liquid risk. The performance of bank mainly is that its supervision and review of risk will drop, based on the impact of asymmetric information, commercial Banks transfer the bad loans to investors. Through the analysis we can see that after the transfer of credit risk in commercial bank did not increase income and reduce risk. Because commercial Banks can extend more bad loans to expand its lending scale, and bad loans will increase the bank overall risk.

The impact of credit risk transfer on financial stability

The development of credit risk transfer market disperse the credit risk of banks, at the same time, also give a threat to the whole financial system with instability. This paper from the influence factors of financial stability, explores how credit risk affecting the stability of financial system. Research found that the rating risk of credit risk transfer can cause default contagion in the financial markets.

Glutathione-S-transferase (GSTM1,GSTT1) and the risk of gastrointestinal cancer in a Korean population

AIM： To evaluate the association of glutathione S-trans-ferase mu （GSTM1） and glutathione S-transferase theta （GSTT1） null genotypes with the risk of gastric cancer （GC） and colorectal cancer （CRC） in a South Korean population. METHODS： We conducted a population-based, large- scale case-control study including 2213 GCs, 1829 CRCs, and 1699 controls. Null and non-null genotypes of GSTM1 and GSI-F1 were determined using realtime PCR. RESULTS： The null genotypes of GSTM1 and GSTT1 were not significantly associated with elevated risk of gastric （OR = 1.070, 95% CI = 0.935-1.224; OR = 1.101, 95% CI = 0.963-1.259, respectively） or colorectal cancer （OR = 1.065, 95% CI = 0.923-1.228; OR = 1.041, 95% CI = 0.903-1.200, respectively）. The frequency of the combined null GST genotype was not different between the two cancer groups and controls. Moreover, smoking, drinking, and age did not modify the association between these genotypes and the risk of gastric or colorectal cancer. CONCLUSION： GSTM1 and GSCI-1 null genotypes were not associated with increased risk of GC or CRC in Koreans.

Prognostic Factors of Ampulla of Vater Carcinoma after Radical Surgery

OBJECTIVE Ampullary carcinoma is a rare disease with betterprognosis than other periampullary neoplasms. This studyinvestigated the association between clinicopathologic factors andprognosis after radical resection of ampulla of Vater carcinoma.METHODS Clinical data from 105 patients who underwentradical pancreaticoduodenectomy from January 1990 to December2005 were retrospectively analyzed by the Kaplan-Meier method,log-rank test, and the Cox proportional hazard model.RESULTS The in-hospital mortality rate was 8.6%, the lymphnode metastasis rate was 37.1%, and the five-year survival ratewas 42.8%. Pancreatic involvement (P = 0.027), tumor diameter (P= 0.008), T stage (P = 0.003), TNM stage (P < 0.001), and number ofmetastatic lymph nodes (P < 0.001) were associated with prognosiswhen the univariate analysis was used. Multivariate analysisshowed that the number of lymph node metastases (P < 0.001;OR: 1.923; CI: 1.367-2.705) and tumor diameter (P = 0.03; OR: 1.432;CI: 1.035-1.981) were the independent prognostic factors.CONCLUSION The number of metastatic lymph nodes andtumor diameter are important pathologic factors predictingprognosis of ampulla of Vater carcinoma after radical resection,and lymph node dissection during the radical surgery effectivelyimproves the survival rate.

Credit Risk Transfer in SME Loan Guarantee Networks

Joint loan guarantee contracts and mutual guarantee contracts among SMEs form the basis of SME guarantee networks. The expansion of these networks increases the fragility of a financial system as a result of the regional and industrial risk contagion embedded within them. By providing a theoretical framework of a loan guarantee network, a method is proposed for calculating the amount of risk spillover caused by loan guarantees taking the perspective of the entire network. In addition,the route of risk contagion in guarantee networks is analyzed, revealing that when default risk shocks occur, risk contagion travels along the nodes not once but for several rounds and that the risk control of one firm cannot prevent these systemic risks. Therefore, a risk control scheme is designed based on the location and importance of firms in the network. Using data from a real guarantee network,we demonstrate that identifying the node locations of firms' in the guarantee network(including the coritivity and closeness of the firm) can help in understanding risk contagion mechanisms and preventing systemic credit risk before a crisis occurs.

Probabilistic Seismic Risk Assessment in Manizales,Colombia: Quantifying Losses for Insurance Purposes

A fully probabilistic seismic risk assessment was developed in Manizales, Colombia, considering assets of different types. The first type includes elements that are part of the water and sewage network, and the second type includes public and private buildings. This assessment required the development of a probabilistic seismic hazard analysis that accounts for the dynamic soil response,assembling high resolution exposure databases, and the development of damage models for different types of elements. The economic appraisal of the exposed assets was developed together with specialists of the water utilities company of Manizales and the city administration. The risk assessment was performed using several Comprehensive Approach to Probabilistic Risk Assessment modules as well as the R-System, obtaining results in terms of traditional metrics such as loss exceedance curve, average annual loss, and probable maximum loss. For the case of pipelines, repair rates were also estimated. The results for the water and sewage network were used in activities related to the expansion and maintenance strategies, as well as for the exploration of financial retention and transfer alternatives using insurance schemes based on technical,probabilistic, and prospective damage and loss estimations.In the case of the buildings, the results were used in the update of the technical premium values of the existing collective insurance scheme.

Bite me： Blue tails as a ＇risky-decoy＇ defense tactic for lizards

Many lizard species use caudal autotomy to escape entrapment. Conspicuous coloration may increase the likelihood of being attacked, but if that attack can be directed towards the autotomous tail this may ultimately increase the chances of the lizard surviving a predatory attack. We tested the hypothesis that brightly-colored tails function to divert predatory attention away from the head and body using pairs of blue-tailed and all-brown clay model lizards. Predatory bird attacks on the 24 blue-tailed models occurred sooner （P = 0.001） than attacks on the 24 all-brown models, and over 7 days blue-tailed models were attacked more often than all-brown models （P = 0.007）. Blue-tailed models were, however, more frequently attacked on the tail than other parts of the body （P 〈 0.001）, while all-brown models were more frequently attacked on the head and body （P = 0.019） which would be more likely to be fatal for a real lizard. Our results suggest that models with a blue tail were more conspicuous than all-brown models, attracting attacks sooner and more often, but that the attacks were predominantly directed at the tail. It is better for individuals to be attacked unsuccessfully many times, than successfully just once. Having a brightly-colored tail may, therefore, act as a ＇risky decoy＇. Despite increased conspicuousness, a blue tail increases the likelihood that the lizard would be able to effect escape through caudal autotomy rather than being grabbed by the head or body [Current Zoology 60 （3）： 333-337, 2014].