Analyses different interest rate risks, presents a new model for assessment of interest rates and thereby establishes the framework for control of interest
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 change...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.展开更多
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,...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.展开更多
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...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.展开更多
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, ...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.展开更多
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 duratio...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.展开更多
为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregres...为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregressive conditional heteroskedasticity)模型对碳价和利率2个风险因子的边缘分布进行拟合,在此基础上,分别采用历史模拟法、蒙特卡罗模拟法、正态模拟法和极值分布法,计算未考虑碳价与利率相依性的碳市场单一风险VaR(Value at risk)。为全面评估碳市场风险,进一步地构建Copula-VaR模型,测度考虑碳价与利率相依性的碳市场集成风险。通过研究发现:碳市场集成风险具有区域异质性,风险由大到小排序为:北京、天津、全国、广东、湖北、深圳。此外,将集成风险与碳市场单一风险VaR进行对比分析,发现忽视碳价格与利率的相依性将导致风险高估。展开更多
文摘Analyses different interest rate risks, presents a new model for assessment of interest rates and thereby establishes the framework for control of interest
文摘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.
文摘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.
文摘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.
文摘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.
基金The NNSF (10671072) of China"Shu Guang" project (04SG27) of Shanghai Municipal Education CommissionShanghai Education Development Foundation
文摘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.
文摘为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregressive conditional heteroskedasticity)模型对碳价和利率2个风险因子的边缘分布进行拟合,在此基础上,分别采用历史模拟法、蒙特卡罗模拟法、正态模拟法和极值分布法,计算未考虑碳价与利率相依性的碳市场单一风险VaR(Value at risk)。为全面评估碳市场风险,进一步地构建Copula-VaR模型,测度考虑碳价与利率相依性的碳市场集成风险。通过研究发现:碳市场集成风险具有区域异质性,风险由大到小排序为:北京、天津、全国、广东、湖北、深圳。此外,将集成风险与碳市场单一风险VaR进行对比分析,发现忽视碳价格与利率的相依性将导致风险高估。
