The Present, Future and Imperfect of Financial Risk Management

Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk control. We argue that consideration of the model risk arising from crude aggregation rules and inadequate data could lead to a new class of reduced form Bayesian risk assessment models. Logically, these models should be set within a common factor framework that allows proper risk aggregation methods to be developed. We explain how such a framework could also provide the essential links between risk control, risk assessments and the optimal allocation of resources.Financial risk assessment; risk control, RAROC, economic capital; regulatory capital; optimal allocation of resources

CO2 geological storage safety assessment: methodological developments

International audienceCarbon dioxide capture and geological storage is seen as a promising technology to mitigate greenhouse gas atmospheric emissions. Its wide-scale implementation necessitates demonstrating its safety for humans and the environment. We have developed a generic approach to provide references for safety assessment of CO2 storage. It is composed of a series of simple tools for identifying risk scenarios, modelling risk events and exposure. It incorporates a rigorous management of uncertainty, distinguishing between variability and knowledge incompleteness. We applied this approach on a case study in the Paris Basin. This demonstrates how it delivers conditions mixing qualitative and quantitative elements for guaranteeing safety. This approach is flexible; it can be used for various sites and with various amounts of data. It can be carried out in a time-efficient manner at various stages of a project. In particular, it provides an operator or an authority with safety indicators in an early phase or for reviewing a risk assessment. Though not a complete risk assessment workflow, it thus partly compensates for the current lack of commonly acknowledged assessment methods or safety standards for CO2 geological storage

Dynamic Allocation and Pricing in Incomplete Markets: A Survey

This paper surveys the recent development of empirical and theoretical researches on incomplete markets, pointing out the following aspects. First, the theoretical study in this field is motivated by empirical findings of both asset pricing anomalies and heterogeneous behavior among economic agents. Second, incomplete insurance combined with either borrowing constraints or transaction costs offers predictions consistent with empirical findings. In addition, the failure of insuring persistent or permanent shocks alone yields empirically reasonable predictions. Third, recent theoretical research has made attempts to endogenize incomplete insurance from first principles. Fourth, incomplete markets may make aggregate shocks distributed disproportionately among agents, thereby having a significant impact on dynamic allocation and pricing. Finally the theoretical research into incomplete markets triggers a reassessment of welfare implications as to business cycles, economic growth, and financial integration.

Alternative sweetener from curculigo fruits

This study gives an overview on the advantages of Curculigo Latifolia as an alternative sweetener and a health product. The purpose of this research is to provide another option to the people who suffer from diabetes. In this research, Curculigo Latifolia was chosen, due to its unique properties and widely known species in Malaysia. In order to obtain the sweet protein from the fruit, it must go through a couple of procedures. First we harvested the fruits from the Curculigo trees that grow wildly in the garden. Next, the Curculigo fruits were dried in the oven at 50 0C for 3 days. Finally, the dried fruits were blended in order to get a fine powder. Curculin is a sweet protein with a taste-modifying activity of converting sourness to sweetness. The curculin content from the sample shown are directly proportional to the mass of the Curculigo fine powder. While the FTIR result shows that the sample spectrum at peak 1634 cm–1 contains secondary amines. At peak 3307 cm–1 contains alkynes

Health inequalities in the older population: the role of personal capital, social resources and socio-economic circumstances.

Older people now constitute the majority of those with health problems in developed countries so an understanding of health variations in later life is increasingly important. In this paper, we use data from three rounds of the Health Survey for England, a large nationally representative sample, to analyse variations in the health of adults aged 65-84 by indicators of attributes acquired in childhood and young adulthood, termed personal capital; and by current social resources and current socio-economic circumstances, while controlling for smoking behaviour and age. We used six indicators of health status in the analysis, four based on self-reports and two based on nurse collected data, which we hypothesised would identify different dimensions of health. Results showed that socio-economic indicators, particularly receipt of income support (a marker of poverty) were most consistently associated with raised odds of poor health outcomes. Associations between marital status and health were in some cases not in the expected direction. This may reflect bias arising from exclusion of the institutional population (although among those under 85 the proportion in institutions is very low) but merits further investigation, especially as the marital status composition of the older population is changing. Analysis of deviance showed that social resources (marital status and social support) had the greatest effect on the indicator of psychological health (GHQ) and also contributed significantly to variation in self-rated health, but among women not to variation in taking three or more medicines and among men not to self-reported long-standing illnesses. Smoking, in contrast, was much more strongly associated with these indicators than with self-rated health. These results are consistent with the view that self-rated health may provide a holistic indicator of health in the sense of well-being, whereas measures such as taking prescribed medications may be more indicative of specific morbidities. The results emphasise again the need to consider both socio-economic and socio-psychological influences on later life health

Evaluation of Corporate Sustainability

As a consequence of an increasing demand in sustainable development for business organizations, the evaluation of corporate sustainability has become a topic intensively focused by academic researchers and business practitioners. Several techniques in the context of multiple criteria decision analysis (MCDA) have been suggested to facilitate the evaluation and the analysis of sustainability performance. However, due to the complexity of evaluation, such as a compilation of quantitative and qualitative measures, interrelationships among various sustainability criteria, the assessor’s hesitation in scoring, or incomplete information, simple techniques may not be able to generate reliable results which can reflect the overall sustainability performance of a company. This paper proposes a series of mathematical formulations based upon the evidential reasoning (ER) approach which can be used to aggregate results from qualitative judgments with quantitative measurements under various types of complex and uncertain situations. The evaluation of corporate sustainability through the ER model is demonstrated using actual data generated from three sugar manufacturing companies in Thailand. The proposed model facilitates managers in analysing the performance and identifying improvement plans and goals. It also simplifies decision making related to sustainable development initiatives. The model can be generalized to a wider area of performance assessment, as well as to any cases of multiple criteria analysis

Food Safety and Social Capital: A Double Side Connection

The globalisation of the agri-food system and the growing variety of food products and technologies have made it increasingly difficult for nation-states to regulate food safety and quality practices, giving rise to a shift from public to private governance, essentially in the form of private standards and TPC. The paper suggests that the current shift from public to private intervention calls for a different approach to the analysis of food safety policy, on both descriptive and normative ground. Two different concepts of social capital, one of trust and the other of power, are used in order to assess the welfare effects of the newest trends in food safety policy. Through the lens of social capital it is clear that private standards and TPC are not merely an impartial technical tool able to foster food markets efficiency and safety. Rather they are the means by which powerful actors in the chain discipline people and things in order to accomplish their own objectives

A novel qualitative prospective methodology to assess human error during accident sequences

Numerous theoretical models and techniques to assess human error were developed since the 60's. Most of these models were developed for the nuclear, military, and aviation sectors. These methods have the following weaknesses that limit their use in industry: the lack of analysis of underlying causal cognitive mechanisms, need of retrospective data for implementation, strong dependence on expert judgment, focus on a particular type of error, and/or analysis of operator behaviour and decision-making without considering the role of the system in such decisions. The purpose of the present research is to develop a qualitative prospective methodology that does not depend exclusively on retrospective information, that does not require expert judgment for implementation and that allows predicting potential sequences of accidents before they occur. It has been proposed for new (or existent) small and medium- scale facilities, whose processes are simple. To the best of our knowledge, a methodology that meets these requirements has not been reported in literature thus far. The methodology proposed in this study was applied to the methanol storage area of a biodiesel facility. It could predict potential sequences of accidents, through the analysis of information provided by different system devices and the study of the possible deviations of operators in decision-making. It also enabled the identification of the shortcomings in the human-machine interface and proposed an optimization of the current configuration.Fil: Calvo Olivares, Romina Daniela. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Cuyo. Facultad de Ingenieria. Instituto de Capacitación Especial y Desarrollo de Ingeniería Asistida por Computadora; ArgentinaFil: Rivera, Selva Soledad. Universidad Nacional de Cuyo. Facultad de Ingenieria. Instituto de Capacitación Especial y Desarrollo de Ingeniería Asistida por Computadora; ArgentinaFil: Núñez Mc Leod, Jorge Eduardo. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Cuyo. Facultad de Ingenieria. Instituto de Capacitación Especial y Desarrollo de Ingeniería Asistida por Computadora; Argentin