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

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.

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.

财务函数RATE与IRR的运用比较

投资报酬率是财务管理中进行投资决策的重要指标,在手工条件下计算投资报酬率十分繁琐,Excel的财务函数RATE和IRR为投资报酬率的计算提供了便利途径。两种财务函数的功能与运用既有相似之处又有区别,若运用不当会导致错误的发生,所以比较两者运用的异同之处十分必要。

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.

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.

Modeling,Simulation,and Risk Analysis of Battery Energy Storage Systems in New Energy Grid Integration Scenarios

Energy storage batteries can smooth the volatility of renewable energy sources.The operating conditions during power grid integration of renewable energy can affect the performance and failure risk of battery energy storage system(BESS).However,the current modeling of grid-connected BESS is overly simplistic,typically only considering state of charge(SOC)and power constraints.Detailed lithium(Li)-ion battery cell models are computationally intensive and impractical for real-time applications and may not be suitable for power grid operating conditions.Additionally,there is a lack of real-time batteries risk assessment frameworks.To address these issues,in this study,we establish a thermal-electric-performance(TEP)coupling model based on a multitime scale BESS model,incorporating the electrical and thermal characteristics of Li-ion batteries along with their performance degradation to achieve detailed simulation of grid-connected BESS.Additionally,considering the operating characteristics of energy storage batteries and electrical and thermal abuse factors,we developed a battery pack operational riskmodel,which takes into account SOCand charge-discharge rate(Cr),using amodified failure rate to represent the BESS risk.By integrating detailed simulation of energy storage with predictive failure risk analysis,we obtained a detailed model for BESS risk analysis.This model offers a multi-time scale integrated simulation that spans month-level energy storage simulation times,day-level performance degradation,minutescale failure rate,and second-level BESS characteristics.It offers a critical tool for the study of BESS.Finally,the performance and risk of energy storage batteries under three scenarios—microgrid energy storage,wind power smoothing,and power grid failure response—are simulated,achieving a real-time state-dependent operational risk analysis of the BESS.

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.

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.

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.

Analysis of the Incidence and Risk Factors of Postoperative Infection in Patients with Class I Incisions Based on Literature Research

Objective To investigate the risk factors and variations in postoperative infection rates among different Class I surgical incisions,and to identify potential evaluation indicators that can impact the preoperative use of antimicrobial prophylaxis in Class I incisions.Methods Literature review was employed to establish inclusion and exclusion criteria,resulting in the initial examination of 4098 articles.Then,3149 articles were screened out,and after thorough reading of full texts,55 articles were studied carefully.Results and Conclusion Findings revealed that the incidence rate of surgical site infection(SSI)in Class I incisions ranged from 0.52%to 2.34%,with main risk factors including operation duration,underlying diseases,preoperative infections,antibiotic usage,length of hospital stay,and intraoperative bleeding.Risks of SSI varied significantly across different types of Class I incision surgeries.The key influencing factors in neurosurgery included emergency procedures,(nationalnosocomial-infection-surveillance)NNIS score,age,and postoperative drainage tubes.In orthopedics,surgery type was closely associated with infection risk.In addition,emergency surgeries,special surgery types,and low serum albumin levels were considered as risk factors for the increase of postoperative infections,but age showed little correlation.Although prophylactic use of antibiotics in thyroid,breast,and inguinal hernia surgeries was not recommended,research suggested that they should be considered based on varying surgical levels.Patient’s preoperative condition had to be thoroughly assessed to prevent postoperative infections.In clinical practice,combining the high-risk factors of postoperative infection in different Class I incisions,we should consider the evaluation indicators of preventive use of antibiotics before different surgeries,and decide the rational use of antibacterial drugs for Class I incisions.

Impact of geopolitical risk,GDP,inflation,interest rate,and trade openness on foreign direct investment:Evidence from five Southeast Asian countries

Historically,geopolitical risk(GPR)has posed significant challenges to international economic,social,and political frameworks.This study investigated how internal GPR in the selected five Southeast Asian countries(Indonesia,South Korea,Malaysia,the Philippines,and Thailand)influences foreign direct investment(FDI)during 1996-2019.The stationarity of the data was assessed using the Augmented Dickey-Fuller(ADF)unit root test,which shows that the data became stationary after the first difference.The Kao,Pedroni,and Westerlund cointegration tests were employed to examine long-term cointegration among the selected variables(FDI,GPR index(GPRI),gross domestic product(GDP),inflation,interest rate,and trade openness(TOP)).The results indicated that these variables have a long-term cointegration.Consequently,regression analysis using the Pooled Ordinary Least Squares(OLS)regression,fixed effect,random effect,Arellano-Bond dynamic panel-data estimation,and system generalized moment method(GMM)revealed that GPRI and TOP negatively impacted FDI in the selected five Southeast Asian countries.At the same time,GDP,inflation,and interest rate positively influenced FDI in these countries.Because FDI is crucial to shaping a country’s macroeconomic structure,this study recommends that governments and central banks of the selected five Southeast Asian countries should implement policies and strategies to encourage foreign investments.

计算内部收益率(IRR)的改进方法

通常内部收益率(IRR)的算法是通过线性插值法计算,虽简单易懂,但误差较大.这里作者提出了一种非线性方程的迭代解法,此法在不大量增加计算量的同时,可极大的提高IRR值的计算精度.

IRR模型及其对我国非志愿移民安置的现实意义

IRR模型是一种新的移民安置与重建理论模型。它以风险、贫困和重建这三个概念为核心建立了概念框架和理论体系 ,扩大了传统项目风险分析方法的视野 ,拓展了传统的成本—效益分析理论的内涵和强化了移民公众参与贫困风险分析的作用。

农业节水灌溉REITs项目IRR测算研究

通过农业节水灌溉特许经营项目REITs案例研究发现,基础设施特许经营项目存在价值漏损时,可采用修正的B-S期权模型进行估值,可分配现金流用于分红的比例越高,投资收益越高,但项目的看涨期权价值越低。在项目高溢价转让的情况下,银行贷款比例越高、偿还时间越短,投资内部收益率(IRR)及投资收益可能越低;收益波动越大,看涨期权价值越大,但IRR可能会下降。采用B-S期权定价模型丰富了现有经营权类公募REITs资产估值方法,具有推广应用价值。对公募REITs产品在不同贷款比例、还款期限以及分红条件下确定合理投资收益,具有实践指导作用。