REIT and REOC Systematic Risk Sensitivity

Real Estate Investment Trusts (REITs) and Real Estate Operating Companies (REOCs) seem to have different systematic risk levels even though both invest almost exclusively in real estate related assets. We find business risk to be negatively related to systematic risk, as measured by beta, for REITs, while REOCs? betas are positively related to agency costs. The two groups? betas also show differing sensitivity to real estate property type and regional location. REITs? systematic risk is also sensitive to financial leverage and financing form.

A Model of Risk-Sensitive Route-Choice Behavior and the Potential Benefit of Route Guidance

In this paper, we present a simulation-based investigation of the potential benefit of route-guidance information in the context of risk-sensitive travelers. We set up a simple two-route scenario where travelers are repeatedly faced with risky route-choice decisions. The risk averseness of the travelers is implicitly controlled through a generic utility function. We vary both the travelers' sensitivity toward risk and the equipment fraction with route-guidance devices and show that the benefits of guided travelers increase with their sensitivity toward risk

Rejection Sensitivity, Perceived Power, and HIV Risk in the Relationships of Low-Income Urban Women

The psychological processes associated with HIV infection in long-term relationships differ from those operative in casual sexual encounters, and relatively little research has considered the aspects of personality applicable in the ongoing heterosexual relationships in which women are at greatest risk. Sensitivity to rejection has been linked with efforts to prevent rejection at a cost to the self and, therefore, may be relevant to the health risks that many women incur in relationships. We examined the association of rejection sensitivity with women\u27s sexual risk behavior in a sample of women at heightened risk for HIV exposure. Women in long-term heterosexual relationships (N = 159) were recruited for study participation in the hospital emergency room serving a low-income neighborhood in New York City, in 2001-2003. Rejection sensitivity and known HIV risk factors were assessed using verbally administered questionnaires. Rejection sensitivity was associated with lower perceived relationship power and, in turn, more frequent unprotected sex with a partner perceived to be at risk for HIV. These results held when controlling for other HIV risk factors including partner violence, economic dependence, and substance use. Understanding the association of rejection concerns with lower perceived personal power in relationships may be important for HIV prevention

Uncertainty and sensitivity analysis in quantitative pest risk assessments : practical rules for risk assessors

Quantitative models have several advantages compared to qualitative methods for pest risk assessments (PRA). Quantitative models do not require the definition of categorical ratings and can be used to compute numerical probabilities of entry and establishment, and to quantify spread and impact. These models are powerful tools, but they include several sources of uncertainty that need to be taken into account by risk assessors and communicated to decision makers. Uncertainty analysis (UA) and sensitivity analysis (SA) are useful for analyzing uncertainty in models used in PRA, and are becoming more popular. However, these techniques should be applied with caution because several factors may influence their results. In this paper, a brief overview of methods of UA and SA are given. As well, a series of practical rules are defined that can be followed by risk assessors to improve the reliability of UA and SA results. These rules are illustrated in a case study based on the infection model of Magarey et al. (2005) where the results of UA and SA are shown to be highly dependent on the assumptions made on the probability distribution of the model inputs

Network Sensitivity of Systemic Risk

A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion dynamics of financial shocks, and to assess the resilience of specific financial markets - either using real network data, reconstruction techniques or simple toy networks. Here we address the more general problem of how shock propagation dynamics depends on the topological details of the underlying network. To this end we consider different realistic network topologies, all consistent with balance sheets information obtained from real data on financial institutions. In particular, we consider networks of varying density and with different block structures, and diversify as well in the details of the shock propagation dynamics. We confirm that the systemic risk properties of a financial network are extremely sensitive to its network features. Our results can aid in the design of regulatory policies to improve the robustness of financial markets

What does the Federal Reserve's economic value model tell us about interest rate risk at U.S. community banks?

The savings and loan crisis of the 1980s revealed the vulnerability of some depository institutions to changes in interest rates. Since that episode, U.S. bank supervisors have placed more emphasis on monitoring the interest rate risk of commercial banks. Economists at the Board of Governors of the Federal Reserve System developed a duration-based economic value model (EVM) designed to estimate the interest rate sensitivity of banks. The authors test whether measures derived from the Fed’s EVM are correlated with the interest rate sensitivity of U.S. community banks. The answer to this question is important because bank supervisors rely on EVM measures for monitoring and risk-scoping bank-level interest rate sensitivity. The authors find that the Federal Reserve’s EVM is indeed correlated with banks’ interest rate sensitivity and conclude that supervisors can rely on this tool to help assess a bank’s interest rate risk. These results are consistent with prior research that finds the average interest rate risk at banks to be modest, though the potential interaction between interest rate risk and other risk factors is not considered here.Risk management ; Interest rates ; Banks and banking

A Contraction Analysis of the Convergence of Risk-Sensitive Filters

A contraction analysis of risk-sensitive Riccati equations is proposed. When the state-space model is reachable and observable, a block-update implementation of the risk-sensitive filter is used to show that the N-fold composition of the Riccati map is strictly contractive with respect to the Riemannian metric of positive definite matrices, when N is larger than the number of states. The range of values of the risk-sensitivity parameter for which the map remains contractive can be estimated a priori. It is also found that a second condition must be imposed on the risk-sensitivity parameter and on the initial error variance to ensure that the solution of the risk-sensitive Riccati equation remains positive definite at all times. The two conditions obtained can be viewed as extending to the multivariable case an earlier analysis of Whittle for the scalar case.Comment: 22 pages, 6 figure

Special Article: Physical Activity, Physical Fitness, and Cardiovascular Risk Factors in Childhood

In adults, physical activity and exercise training are associated with reduced cardiovascular morbidity and mortality, a reduced likelihood of developing adverse cardiovascular risk factors, and improved insulin sensitivity. In childhood, participation in appropriate physical activity may prevent the development of cardiovascular risk factors in the future and complement treatment of existing cardiovascular risk factors, including hypertension, dyslipidemia, and overweight. Exercise in children can also significantly improve insulin sensitivity independent of weight loss. These e fects are mediated in overweight children by increases in lean body mass relative to fat mass and associated improvements in inflammatory mediators, endothelial function, and the associated adverse hormonal milieu

On the Origin of Risk Sensitivity: the Energy Budget Rule Revisited

The risk-sensitive foraging theory formulated in terms of the (daily) energy budget rule has been influential in behavioural ecology as well as other disciplines. Predicting risk-aversion on positive budgets and risk-proneness on negative budgets, however, the budget rule has recently been challenged both empirically and theoretically. In this paper, we critically review these challenges as well as the original derivation of the budget rule and propose a `gradual' budget rule, which is normatively derived from a gradual nature of risk sensitivity and encompasses the conventional budget rule as a special case. The gradual budget rule shows that the conventional budget rule holds when the expected reserve is close enough to a threshold for overnight survival, selection pressure being significant. The gradual view also reveals that the conventional budget rule does not need to hold when the expected reserve is not close enough to the threshold, selection pressure being insignificant. The proposed gradual budget rule better fits the empirical findings including those that used to challenge the conventional budget rule.Comment: 13 pages, 4 figure