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.

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.

Readmission rate and early complications in patients undergoing total knee arthroplasty:A retrospective study

BACKGROUND Total knee arthroplasty(TKA)can improve pain,quality of life,and functional outcomes.Although uncommon,postoperative complications are extremely consequential and thus must be carefully tracked and communicated to patients to assist their decision-making before surgery.Identification of the risk factors for complications and readmissions after TKA,taking into account common causes,temporal trends,and risk variables that can be changed or left unmodified,will benefit this process.AIM To assess readmission rates,early complications and their causes after TKA at 30 days and 90 days post-surgery.METHODS This was a prospective and retrospective study of 633 patients who underwent TKA at our hospital between January 1,2017,and February 28,2022.Of the 633 patients,28 were not contactable,leaving 609 who met the inclusion criteria.Both inpatient and outpatient hospital records were retrieved,and observations were noted in the data collection forms.RESULTS Following TKA,the 30-day and 90-day readmission rates were determined to be 1.1%(n=7)and 1.8%(n=11),respectively.The unplanned visit rate at 30 days following TKA was 2.6%(n=16)and at 90 days was 4.6%(n=28).At 90 days,the unplanned readmission rate was 1.4%(n=9).Reasons for readmissions included medical(27.2%,n=3)and surgical(72.7%,n=8).Unplanned readmissions and visits within 90 days of follow-up did not substantially differ by age group(P=0.922),body mass index(BMI)(P=0.633),unilateral vs bilateral TKA(P=0.696),or patient comorbidity status(30-day P=0.171 and 90-day P=0.813).Reoperation rates after TKA were 0.66%(n=4)at 30 days and 1.15%(n=8)at 90 days.The average length of stay was 6.53 days.CONCLUSION In this study,there was a low readmission rate following TKA.There was no significant correlation between readmission rate and patient factors such as age,BMI,and co-morbidity status.

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.

Exchange Rate Risk, Political Environment and Chinese Outward FDI in Emerging Economies： A Panel Data Analysis

This study attempts to investigate the effect of financial and political risk on Chinese outward FDI activities in 56 emerging economies for a period from 2003 to 2013. Exchange rate is taken as a main indicator of financial risks and political risks are evaluated using ICRG （International Country Risk Guide） index. Generalized method of moments with panel data of Chinese outward FDI （foreign direct investment） in new emerging economies is used to find how Chinese finns intend to invest abroad with respect to exchange rate level, volatility, and expectation. The major findings show that RMB appreciation proved to have a positive effect on Chinese outward FDI in emerging economies. But Chinese OFDI （outward foreign direct investment） seems not to respond to exchange rate volatility. The expectation of RMB＇s appreciation has positive effect on Chinese OFDI in emerging economies. Results also show that more political risk leads to more Chinese OFDI in emerging economies.

Risk factors for recurrence of common bile duct stones after surgical treatment and effect of ursodeoxycholic acid intervention

BACKGROUND Endoscopic retrograde cholangiopancreatography(ERCP)is an accurate diagnostic method for choledocholithiasis and treatment option for stone removal.Additionally,ursodeoxycholic acid(UDCA)can dissolve cholesterol stones and prevent their development and reappearance by lowering the cholesterol concen-tration in bile.Despite these treatment options,there are still patients who experience stone recurrence.The clinical data of 100 patients with choledochal stones who were hospitalized at the Yixing People’s Hospital and underwent ERCP for successful stone extraction between June 2020 and December 2022 were retrospectively collected.According to the post-ERCP treatment plan,100 patients were classified into UDCA(n=47)and control(n=53)groups.We aimed to assess the clinical efficacy and rate of relapse in the two patient populations.We then collected information(basic demographic data,clinical characteristics,and serum biochemical indicators)and determined the factors contributing to relapse using logistic regression analysis.Our secondary goal was to determine the effects of UDCA on liver function after ERCP.Compared to the control group,the UDCA group demonstrated a higher clinical effectiveness rate of 92.45%vs 78.72%(P<0.05).No significant differences were observed in liver function indices,including total bilirubin,direct bilirubin,gamma-glutamyl transpeptidase,alanine aminotransferase,alkaline phosphatase,and aspartate aminotransferase,between the two groups before treatment.After treatment,all liver function indices were significantly reduced.Comparing the control vs UDCA groups,the UDCA group exhibited significantly lower levels of all indices(55.39±6.53 vs 77.31±8.52,32.10±4.62 vs 45.39±5.69,142.32±14.21 vs 189.63±16.87,112.52±14.25 vs 149.36±15.36,122.61±16.00 vs 171.33±22.09,96.98±10.44 vs 121.35±11.57,respectively,all P<0.05).The stone recurrence rate was lower in the UDCA group(13.21%)in contrast with the control group(44.68%).Periampullary diverticula(OR:6.00,95%CI:1.69-21.30),maximum stone diameter(OR:1.69,95%CI:1.01-2.85),stone quantity>3(OR:4.23,95%CI:1.17-15.26),and positive bile culture(OR:7.61,95%CI:2.07-27.91)were independent factors that influenced the relapse of common bile duct stones after ERCP(P<0.05).Furthermore,postoperative UDCA was identified as a preventive factor(OR:0.07;95%CI:0.08-0.09).CONCLUSION The intervention effect of UDCA after ERCP for common bile duct stones is adequate,providing new research directions and references for the prevention and treatment of stone recurrence.

Ruin probabilities with random rates of interest

A model was proposed for addressing investment risk of the flee reserve in the form of credit or currency risk. This risk was expressed by a constant amount K （ e. g., securitization） upon an interest-increasing event and a random variable Z representing the recovery rate of a bond or a devaluation factor. The model equation is an integro-differential equation with deviating arguments. The analytical solutions were obtained for the probability of survival as Z is a discrete random variable and as Z is a continuous random variable respectively.

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.

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.

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.

Exchange Rate Risk of China's Foreign Exchange Reserve Assets--An Empirical Study Based on GARCH-VaR Model

As the core economic variable in the process of the integration of world economy,the change of the exchange rate has an important impact on the import and export,foreign exchange reserves,interest rates,capital flows and other macro and microeconomic factors.This paper first analyzes the status quo of RMB exchange rate risk and the advanced experience of exchange rate management of other countries.Then,the empirical method is used to analyze the characteristics of RMB exchange rate fluctuation based on the day-frequency data of USD/RMB,GBP/RMB,EUR/RMB and JPY/RMB from December 2011 to December 2016.This paper also respectively uses the GARCH,TARCH,EGARCH and PARCH model to fit four representative foreign currencies against RMB,and selects the optimal model to calculate VaR value.Finally,validity of the data is verified through the Chi-square distribution test.The empirical results show that the four sequences are non-normal and first-order monotonic sequences.Besides,there is a significantly high-order ARCH effect,and the GARCH family model has a better fitting effect.JPY/RMB is with lower exchange rate risk,while the fluctuation of EUR/RMB is significantly greater than other currencies.According to the international situation of financial market,the status quo of RMB exchange rate and the conclusion of empirical research,this paper puts forward that the marketization and internationalization of RMB exchange rate should be based on improving the financial system and environment.It is also suggested that the government should properly intervene in the foreign exchange market and make good use of the risk measurement model and commercial banks should further develop the financial derivatives to hedge the foreign exchange risk.

Risk factors and strategy for surgical incision infection in department of abdominal surgery

Objective To study the risk factors of surgical wound infection among the patients in department of abodominal surgery. Methods The factors on surgical wound infection were investigated by retrospective study. The diagnosis standard was based on Diagnosis Standard of Hospital Infection published by Ministry of Health.

Factors related to lymph node metastasis and surgical strategy used to treat early gastric carcinoma

AIM:The prognosis of early gastric carcinoma (EGC) is generally excellent after surgery. The presence or absence of lymph node metastasis in EGC is an important prognostic factor. The survival and recurrence rates of node-negative EGC are much better than those of node-positive EGC. This study examined the factors related to lymph node metastasis in EGC to determine the appropriate treatment for EGC.METHODS: We investigated 748 patients with EGC who underwent surgery between January 1985 and December 1999 at the Division of Gastroenterologic Surgery, Department of Surgery, Chonnam National University Hospital. Several clinicopathologic factors were investigated to analyze their relationship to lymph node metastasis: age, sex, tumor location, tumor size, gross type, histologic type, depth of invasion, extent of lymph node dissection, type of operation,and DNA ploidy.RESULTS:Lymph node metastases were found in 75 patients (10.0%). Univariate analysis showed that male sex, tumor size larger than 2.0cm, submucosal invasion of tumor, histologic differentiation, and DNA ploidy pattern were risk factors for regional lymph node metastasis in EGC patients. However, a multivariate analysis showed that three risk factors were associated with lymph node metastasis:large tumor size, undifferentiated histologic type and submucosal invasion. No statistical relationship was found for age, sex, tumor location, gross type, or DNA ploidy in multivariate analysis. The 5-year survival rate was 94.2% for those without lymph node metastasis and 87.3% for those with lymph node metastasis, and the difference was significant (P<0.05).CONCLUSION: In patients with EGC, the survival rate of patients with positive lymph nodes is significantly worse than that of patients with no lymph node metastasis. Therefore,a standard D2 lymphadenectomy should be performed in patients at high risk of lymph node metastasis: large tumor size, undifferentiated histologic type and submucosal invasion.

Effects of acute kidney injury on acute pancreatitis patients’ survival rate in intensive care unit: A retrospective study

BACKGROUND Acute kidney injury(AKI)is one of the most common acute pancreatitis(AP)-associated complications that has a significant effect on AP,but the factors affecting the AP patients’survival rate remains unclear.AIM To assess the influences of AKI on the survival rate in AP patients.METHODS A total of 139 AP patients were included in this retrospective study.Patients were divided into AKI group(n=72)and non-AKI group(n=67)according to the occurrence of AKI.Data were collected from medical records of hospitalized patients.Then,these data were compared between the two groups and further analysis was performed.RESULTS AKI is more likely to occur in male AP patients(P=0.009).AP patients in AKI group exhibited a significantly higher acute physiologic assessment and chronic health evaluation II score,higher Sequential Organ Failure Assessment score,lower Glasgow Coma Scale score,and higher demand for mechanical ventilation,infusion of vasopressors,and renal replacement therapy than AP patients in non-AKI group(P<0.01,P<0.01,P=0.01,P=0.001,P<0.01,P<0.01,respectively).Significant differences were noted in dose of norepinephrine and adrenaline,duration of mechanical ventilation,maximum and mean values of intra-peritoneal pressure(IPP),maximum and mean values of procalcitonin,maximum and mean serum levels of creatinine,minimum platelet count,and length of hospitalization.Among AP patients with AKI,the survival rate of surgical intensive care unit and in-hospital were only 23%and 21%of the corresponding rates in AP patients without AKI,respectively.The factors that influenced the AP patients’survival rate included body mass index(BMI),mean values of IPP,minimum platelet count,and hospital day,of which mean values of IPP showed the greatest impact.CONCLUSION AP patients with AKI had a lower survival rate and worse relevant clinical outcomes than AP patients without AKI,which necessitates further attention to AP patients with AKI in surgical intensive care unit.

Estimation of Critical Rate of Temperature Rise for Thermal Explosion of First Order Autocatalytic Decomposition Reaction Systems by Using Non-isothermal DSC

A method of estimating the critical rate of temperature rise for the thermal explosion of first order autocatalytic decomposition reaction systems by using non-isothermal DSC is presented. The information was obtained on the increasing rate of temperature for the first order autocatalytic decomposition of nitrocellulose containing 13.86% nitrogen converting into the thermal explosion.

On pricing of corporate securities in the case of jump-diffusion

Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issue. To make the problem clearly, we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes（1973）, Briys and de Varenne（1997）, i.e, the default barrier is KD （t, T） and the recovery rate is （1 -w）, where D （t, T） is the price of zero coupon default free bond and w is a constant （0 〈 w 〈 1）. By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probability. Further, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt 〈 KD （t, T） and at the same time, the bondholder will receive （1 - w） vt/k By introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probability. Numerical results are presented to show the impact of different parameters to credit spread of bond.

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.

Survival rate among tuberculosis patients identified in south of Iran,2005-2016

Objective:To determine the survival rate of tuberculosis (TB) patients and to identify the important factors associated with the survival of these patients in southern Iran.Methods:The present retrospective cohort study extracted and reviewed available medical records of 134 TB patients undergoing TB treatment centre,during 2005 to 2016.The Survival rate of patients for the outcome of the interval from diagnosis until death was plotted using life table and Kaplan-Meier survival curve.Cox proportional hazard regression model was used to examine the simultaneous effect of variables on survival rate.The significance level was considered to be 0.05.Results:In this study,64.2% of the participants were male,73.1% had pulmonary TB and 5.22% had HIV.The survival rate of one,five and thirteen years after diagnosis were 93%.78% and 69%,respectively.The risk of death in patients with extrapulmonary TB (95% CI=1.96-15.83,P=0.001) was 5.58 times higher than in patients with pulmonary TB.The risk of death in smokers with TB (95% CI=1.74-2.46,P<0.001) was 2.07 times higher than in nonsmoker patients,and also the risk of death increased to 1.1 0 times more for a one-year increase in patient age (95% CI=1.06-1.14,P<0.001).Conclusions:The risk of death in patients with extrapulmonary TB and TB smokers was higher than other patients.Therefore,timely diagnosis and proper treatment of patients with extrapulmonary TB as well as the development and integration of smoking cessation programs are underlined and emphasized in the formulation and implementation of the National Tuberculosis Control Program.

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.