Risky Positions Research Articles

Sharing the Value-at-Risk Under Distributional Ambiguity

This paper considers the problem of risk sharing, where a coalition of homogeneous agents, each bearing a random cost, aggregates their costs and shares the value-at-risk of such a risky position. Due to limited distributional information in practice, the joint distribution of agents' random costs is difficult to acquire. The coalition, being aware of the distributional ambiguity, thus evaluates the worst-case value-at-risk within a commonly agreed ambiguity set of the possible joint distributions. Through the lens of cooperative game theory, we show that this coalitional worst-case value-at-risk is subadditive for the popular ambiguity sets in the distributionally robust optimization literature that are based on (i) convex moments or (ii) Wasserstein distance to some reference distributions. In addition, we propose easy-to-compute core allocation schemes to share the worst-case value-at-risk. Our results can be readily extended to sharing the worst-case conditional value-at-risk under distributional ambiguity.

Fusion imaging techniques and contrast-enhanced ultrasound for thermal ablation of hepatocellular carcinoma – A prospective randomized controlled trial

Objectives: This randomized controlled trial (RCT) aims to compare the clinical application values of contrast-enhanced ultrasound (CEUS), computed tomography/magnetic resonance-CEUS (CT/MR-CEUS), and three-dimensional ultrasound-CEUS (3DUS-CEUS) Fusion imaging (FI) techniques in the assistance of thermal ablation for hepatocellular carcinoma (HCC).Methods: A RCT was conducted on 374 patients with 456 HCCs between January 2016 and September 2017. CEUS, CT/MR-CEUS, and 3DUS-CEUS FI techniques were randomly used to assist HCC ablation. All lesions were ablated according to a previously determined plan, and FI groups required a 5-mm ablative margin. The primary endpoints were technical efficacy of thermal ablation and local tumor progression (LTP).Results: According to randomization, 153 (18.8 ± 8.0 cm), 153 (18.3 ± 6.6 cm) and 150 (19.1 ± 6.9 cm) HCCs were assigned to CT/MR-CEUS, 3DUS-CEUS and CEUS groups respectively. Technical efficacy rates (99.3% vs. 100% vs. 100%) were achieved in the three groups, showing no statistical differences (p = 1.000). The median follow-up time was 24 (1–37) months. LTP rates at 1 and 2 years were 3.4%, 12.2% for CT/MR-CEUS FI, 4.8%, 9.0% for 3DUS-CEUS FI, and 8.6%, 19.9% for CEUS, respectively (p = .105). The results of subgroup analysis for LTP were statistically significant when patients with albumin-bilirubin (ALBI) grade 2 and 3 (p = .000), and tumor located at risky positions (p = .042). In addition, the p value in group of multiple tumors was close to .05 (p = .052).Conclusions: All the three techniques are feasible for intraoperative HCC thermal ablation. Compared with CEUS, FI techniques are more suitable in patients with ALBI grade 2 and 3, multiple tumors, and in tumors at risky locations.

Jaminan dalam Pembiayaan Mudharabah (Studi Kasus Perbankan Syariah di Indonesia)

<p><em>Mudharabah transactions are currently included in the main elements of a fairly risky position, because even though this system takes place due to cooperation between sahibul mall and mudharib, the implementation is quite difficult. Moreover, the practice carried out in banking is not exactly the same as the system applied with the classical concept, coupled with the existence of several new provisions such as the implementation of collateral in the mudharabah financing contract.</em><em></em></p><p><em>The purpose of this study is to find out analyzing the application of guarantees in mudharabah financing practiced by banks in Indonesia using the Islamic legal framework. The research method used in this study is descriptive-qualitative analysis. From this study it can be concluded that the application of guarantees in mudharabah financing in Islamic banks is absolutely required. Because the thing that becomes a special consideration is to avoid things that cause harm to one party. In this case an aspect of assymetric information which in this situation will create moral hazard.</em><em></em></p>

Impact of Risk on Use of Trade Credit: Empirical Evidence from Non-financial Firms in Pakistan


 The study investigates the behavior of non-financial firms towards the use of trade credit where they have borrowing constraints in a developing economy. In spite of tremendous change in how businesses raise financing, many businesses still use trade credit as an alternative source of financing. The study is helpful in decision making for business schemes to occupy the risk factor in profit generation through the use of trade credit. Due to lack of funding’s for the businesses there is increase in risk the borrower become unable to run the business and therefore want to get finance or goods from any external source that fulfills the objective of the business as the suppliers. Banks require the collateral against the loan offered, as the risky customer has unable to provide any security to be pledged, trade credit serves the best means of short term loan for the customer. The buyer already in risky position tries to find out the short term means that are convenient and less time consuming for the businesses. Panel data has been used for working. The data on which the working is applied consisted of fifteen years i.e: from 2001-2015. The methodology used in the working is the Generalized Method of Moments (GMM). GMM is helpful for the problem raised because of the correlation amount the independent variables and the error term known as endogeneity problem as well as the heterogeneity of firms. J-statistics indicates that the instruments applied in the model are significant.

Fatigue and fracture analysis on EAST divertor monoblock heat sink in H-mode operation

Currently the most advanced and mature plasma facing unit (PFU) technology is the ITER W/Cu PFU, which is monoblock composed of tungsten, copper and CuCrZr as plasma facing material, interlayer and heat sink, respectively. Fatigue failure in heat sink structural including fracture under H-mode (High confinement mode)operating condition greatly influence the lifetime of divertor target. In this study, to simplify calculation for complex heat load input, the heat load time evolution with ELMs(Edge localized modes) was defined as an equivalent heat flux for steady-state analysis. To investigate the fatigue damage behavior of CuCrZr tube in EAST divertor monoblock, the thermal-stress analysis was performed firstly with regards to EAST operating and cooling condition. The stress and strain distribution on heat sink tube indicates that the risky position is on the upper inner surface of tube. Combined with the strain-life relationship, the fatigue life and creep-fatigue damage of CuCrZr tube was assessed. The fatigue analysis shows that the cumulative fatigue and creep damage on tube meet the requirement under operating condition now available and it is great influenced by steady heat load. The tube also risks cracking and fracture under long pulse operation in future fusion device. The stress intensity factor and J-integral were applied to investigate crack fracture in risky position on heat sink tube that the pre-crack shows no risk of fast fracture but potential for creep at higher operating temperature.

Marginalised voices in the inclusive recruitment discourse: a dilemma of inclusion/exclusion in the (Swedish) police

Recruitment for diversity is part of a range of proactive strategies for overcoming occupational stereotyping in a number of professions, as well as addressing a history of discrimination against women and minority groups. One such campaign launched by the Swedish police involves ‘inclusive recruitment’. By analysing the discourse of inclusive recruitment and its subject positions in police student talk, this article shows how borders between people who are assigned different social categories are constructed, challenged and reinforced. Positive intentions in agendas towards diversity are problematised when minorities are ascribed as admitted on quotation, which places them in a ubordinate and ‘risky position’ within an occupation and on less legitimate premises. A dilemma emerges between a call to represent minority groups and the risk of categorising them as ‘others’. In particular, voices of resistance from ethnic minority police women show how practices of exclusion could jeopardise efforts to achieve inclusion.

Optimal growth entails risky localization in population dynamics

Essential to each other, growth and exploration are jointly observed in alive and inanimate entities, such as animals, cells or goods. But how the environment's structural and temporal properties weights in this balance remains elusive. We analyze a model of stochastic growth with time correlations and diffusive dynamics that sheds light on the way populations grow and spread over general networks. This model suggests natural explanations of empirical facts in econo-physics or ecology, such as the risk-return trade-off and the Zipf law. We conclude that optimal growth leads to a localized population distribution, but such risky position can be mitigated through the space geometry. These results have broad applicability and are subsequently illustrated over an empirical study of financial data.

Risk Measures Based on Benchmark Loss Distributions

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that is required to align the loss distribution of a risky position to the target BLD. By design, one has full flexibility in the choice of the BLD profile and, therefore, in the range of relevant quantiles. Special attention is given to piecewise constant functions and to tail distributions of benchmark random losses, in which case the acceptability condition imposed by the BLD boils down to first-order stochastic dominance. We provide a comprehensive study of the main finance theoretical and statistical properties of LVaR with a focus on their comparison with VaR and ES. Merits and drawbacks are discussed and applications to capital adequacy, portfolio risk management and catastrophic risk are presented.

How many parathyroid glands can be identified during thyroidectomy?

SummaryBackgroundThe purpose of this study is to provide guidance for medical experts regarding malpractice claims on permanent hypoparathyroidism by analyzing the number of parathyroid glands (PGs) identified during thyroidectomy and the clinical outcome.MethodsParathyroid findings were documented in a standardized protocol for 357 patients undergoing thyroidectomy and treated by a single specialized surgeon. The resected thyroid was routinely dissected for accidentally removed PGs with consecutive autotransplantation and the pathological report also described unintentionally resected PGs. Follow-up was performed for 6 months.ResultsThe mean number of identified PGs was 2.28. No PGs were found in 20 (5.6%), one in 56 (15.7%), two in 126 (35.3%), three in 114 (31.9%), and four in 41 (11.5%) cases. One patient (0.28%) had manifest permanent hypoparathyroidism, while ten patients (2.8%) had latent permanent hypoparathyroidism (hypocalcemia and normoparathyroidism). The risk factors identified for postoperative hypoparathyroidism were an increasing number of visualized PGs, autotransplantation, central neck dissection, and PGs in the histopathological work-up. For permanent hypoparathyroidism, PGs in the histology examination and neck dissection were significant, but the number of identified PGs was not.ConclusionEven an experienced surgeon is not always able to find all four PGs during thyroidectomy and occasionally identifies none. Rather than focusing on identifying a minimum number of PGs, it is more important not to miss them in risky positions. A documented awareness of PGs, i. e., knowledge of variable parathyroid positions and their saving, is a prerequisite for surgical quality and to protect surgeons from claims.

Opinion on the new financial products issued by financial institutions - structured products

Abstract Structured products are financial instruments issued by a financial institution where the amount claimed by the investor from the issuer depends on the variation of the price of the underlying instrument based on which the certificate is issued, namely: individual shares, share costs, stock indexes, currencies, commodities or combinations of these according to the prospectus. These products appeared with the development and diversification of financial services during the recent years, as well as due to the emergence of liquidity suppliers of international importance. The liquidity providers have developed on their own platforms a new range of derivatives which are different from the classical derivatives. These new derivatives, similar to contracts for difference (CFDs), have given to other institutions the possibility of transferring their risk more easily, regardless of the nature or type of the underlying asset. Thus, the financial institutions issuing structured financial products have found in liquidity providers the possibility of developing the CFDs required for their risk transfer operations. The issuers of structured products do not accept new risky positions when they issue certificates because they neutralize them through suitable risk transfer operations. The issuing financial institutions structure certificates from a variety of financial assets and/or commodities in order to adjust them to the various risk profiles of investors both in terms of expected return and in terms of the response to risk. Thus, products are issued that quickly respond to the trends of the financial or commodity markets. Investors in structured financial products benefit from the economic effect of a derivative but are exposed to financial risks that are more complex and more difficult to understand and at the same time depend on the reliability and stability of the contractual relationships between various financial institutions.

Forecasting Conditional Variance of S&P100 Returns Using Feedforward and Recurrent Neural Networks

It is shown that time series about financial market variables are highly nonlinearly dependent on time. Fluctuations or volatility of returns on assets is one of them. Portfolio managers, option traders and market makers are all interested in volatility forecasting in order to get higher profits and less risky positions. The nonlinear dependence on time is very complex and parametric approaches, and linear models fail. Therefore as nonparametric tools artificial neural networks (ANNs) are candidates to deal with the volatility and/or return forecasting problems. On the other hand, based on the fact that volatility is time varying and that periods of high volatility tend to cluster, the most popular models in modeling volatility are GARCH type models because they can account excess kurtosis and asymmetric effects of financial time series. A standard GARCH(1,1) model usually indicates high persistence in the conditional variance, which may originate from structural changes. Hence it is natural that artificial neural networks (ANN) will be constructed to capture the nonlinear relationship between past return innovations and conditional variance which may be missed by linear regression models. First a usual feedforward, back propagation network is used. The structure of the return data makes FFANN difficult to converge. To overcome this difficulty a neural network with appropriate recurrent connections in the context of nonlinear ARMA models are used. These are the Jordan neural networks (JNN). Then Elman recurrent networks (ENN) and a mixture of the two (EJNN) are also used. The data set consists of returns of the S&P100 index daily closing prices obtained from the S&P100 website. The results indicate that the selected JNN(1,1,1) model has superior performances compared to the standard GARCH(1,1) model. The contribution of this paper can be seen in determining the appropriate NN that is comparable to the standard GARCH(1,1) model and its application in forecasting conditional variance of stock returns. Moreover, from the econometric perspective, NN models are used as a semi-parametric method that combines flexibility of nonparametric methods and the interpretability of parameters of parametric methods.

Glass Cliff or Glass Prison: Think Evil-Think Men in Organizational Leadership

ABSTRACTRecent research suggests that women fail in leadership because men in one way or another target them and put them in unusual, difficult, and risky positions where chances for failure are high. The purpose of this article is to examine this argument based on its literature. The study also collects data from two waves of interviews with 62 women holding leadership positions in public and private sector organizations. The study finds that, while gender is the main theme in the glass cliff argument, the impact of other factors––such as jealousy, departmental politics, and self-interests––on women is inadequately examined. The study concludes that, because injustice in the workplace is oversimplified and reduced to a single factor (gender), the literature creates a glass prison that both confines women and reiterates stereotypical assumptions about women’s capabilities. The blaming and demonization of men therefore tends to have an alternative that has been neglected. Future research on women leadership should depart from the trap of genders, and engage in a wider examination of organizational, cultural, economic, political, psychological, and social factors. These factors shape not only the roles of women in leadership, but the entire the workplace.

Characteristics of mutual funds with extreme performance

We focus on mutual fund characteristics associated with periods of extreme performance. We find that funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds, they hold fewer stocks, invest more in top ten holdings, and have a higher portfolio beta. Also both hot-hand and icy-hand funds have significantly higher asset turnover than benchmark funds. Icy-hand funds tend to be more extreme with riskier positions and asset turnover than hot-hand funds. At the same time, icy-hand (hot-hand) funds tend to have larger (smaller) management teams, and are less (more) likely to be managed by one person. Finally, we do not observe many funds changing their management teams either before or after extreme performance. That is, we find no evidence that the beginning of an extreme performance period is associated with changes in management or that it induces changes in management.

Corporate governance structure and capital adequacy: implications to bank risk taking

PurposeThe purpose of this paper is to show the importance of policy discussions on the role of governance in limiting excessive risk-taking at times of turmoil.Design/methodology/approachCorporate governance measures are regressed on measures of risk taking using a sample of US bank holding companies (BHCs) during 2002-2014.FindingsResults show that BHCs with more concentrated shareholders, more managerial ownership, smaller boards, and less outside directors undertake less risky investments with respect to total assets, loans, and off-balance-sheet items. Capital adequacy effect is overpowering pushing for more risky positions. Finally, banks with good governance push for less risky positions, even with larger capital ratios, during the financial crisis period relative to the precrisis boom.Practical implicationsThis paper extends research on the association between bank ownership structure and risk taking. It adds to prior research by examining a key feature of banks, namely, their bank-specific capital adequacy. The relevance of this study stems from recent initiatives undertaken by the Basel Committee, the Group of Thirty (G30), and bank regulators to address deficient corporate governance structures that led to bank breakdowns.Originality/valueOne of the innovations of this paper is the use of risk-weighted measures to proxy for risk taking in banks, using risk weights used by bank regulators to adjust for operational risk, credit risk, and market risk.

Duplex positioning method for increasing the fatigue life of threaded connections under eccentric loading

A new method, duplex positioning method DPM, to increase the fatigue lifetime of the threaded connection under eccentric loading is presented. When DPM is applied, the most damaged stud regions periodically are removed from risky positions by a change of the stud’s and nut’s mutual position in the axial direction alongside with a change of the stud’s position in respect to bending plane. The mathematical model for DPM enables us to predict its efficiency. To simulate the fatigue strength of the stud the following was used: Patterson’s and Kenny’s thread deflection factors, solutions for the distributions of the axial load and bending moment along the threads, Neuber’s method for the stress concentration factors in multiplier notches, Heywood’s formulas for the stress due to the thread flank loading and for the combined stresses, as well as the results of the photoelastic analysis of the araldite models under eccentric loading.

Managing social media uncertainty to support the decision making process during Emergencies

Recent emergencies have shown the positive impact of using social media and social networks for communicating and exchanging information. Citizens and authorities can make safer decisions during emergencies based on the real-time information available on social media. Decision-making starts with information gathering and social media provides the opportunity to inform multiple citizens at once. However, message and source uncertainty can place emergency stakeholders in a risky position, as it is not always possible to know if messages are accurate, rumours or even malicious. Current approaches for social media information verification focuses on technical resources like analytical packages. Little research has been developed to provide citizens and field workers with tools to evaluate social media information. This paper presents research in progress for developing a verification framework – for all emergency stakeholders – to support their decision-making process by managing social media uncertainty during emergencies.

The 21st Conference of the Parties Climate Summit in Paris: A Slippery Slope

AbstractThe curious amalgam of the lack of a legal binding mechanism, existence of non‐substantive pledges, absence of generous attitude, deep divisions between developed and developing countries, undermining human rights, and less emphasis on farmers' issues brings the Paris Summit to a very risky position on climate change policy. The Paris accord may turn out to be a diplomatic triumph but a scientific failure. Copyright © 2016 John Wiley & Sons, Ltd.

Effect of Tax Avoidance Activities on Firm-Specific Risk

Does firm-specific risk increase as firms become more tax aggressive? Risky tax positions entail high probability that they will not be sustained upon examination, disallowing firms to claim benefits under these tax strategies and making it difficult for investors to predict firm’s future profitability. In this study, I find that idiosyncratic volatility, proxy for firm-specific risk, is negatively associated with effective tax rates. These results are robust to alternative variable definitions and model specifications. Results from two-stage least square regression and evidence from a natural experiment setting (implementation of FASB Interpretation No. 48) establish a direct and causal effect of tax aggressiveness on idiosyncratic volatility. The effect of risky tax strategies on idiosyncratic volatility lasts for long periods (up to seven years). Managerial risk aversion plays an important role in determining whether a firm will invest in risky tax strategies. Additional analyses show that the relation between firm-specific risk and tax aggressiveness is weaker when CEO ownership is high, and stronger when CEOs are compensated with options or when institutional ownership is high. The positive relation between tax aggressiveness and firm-specific risk is more pronounced for financially constrained firms, younger firms, firms that do not pay dividends, and technology firms.

Optimal Consumption and Sale Strategies for a Risk Averse Agent

In this article we consider an optimal consumption/optimal portfolio problem in which an agent with constant relative risk aversion seeks to maximize expected discounted utility of consumption over the infinite horizon, in a model comprising a risk-free asset and a risky asset in which the risky asset can only be sold and not bought. The problem is an extension of the Merton problem and a special case of the transaction costs model of Constantinides--Magill and Davis--Norman. Via various transforms we are able to make considerable progress towards an analytical solution. The solution can be expressed via a first crossing problem for an initial-value, first order ODE. The fact that we have a relatively explicit solution means we are able to consider the comparative statics of the problem. There are some surprising conclusions, such as consumption rates are not monotone increasing in the return of the asset, nor are the certainty equivalent values of the risky positions monotone in the risk aversion.

New Employment Experiences and Trajectories between Salary-earning and Entrepreneurs

Traditionally, as well as in pop culture, entrepreneurship is conceived of as opposed to salary-earning, and decision from being a salaried employee to entrepreneur as a great leap. However, entrepreneurship studies and new employment forms blur this border between two worlds and the plunging from one world to the other. A study is conducted on employees working at this frontier: French umbrella professionals (salaries portes), inquiring qualitatively about their conception of entrepreneurship, their experience of crossing and of their new condition, as well as their aspirations, fears and values. No leap in activity was found, but there was the feeling of having shifted to another mental universe. The respondents had all the feeling of being entrepreneurs without creating new products, markets or business ventures. They enjoy their full engagement in their work and experience a different relation to time. Considering themselves as entrepreneurs grants them with a desirable social status, but underscores their risky position and an increased portion of their life to be devoted to work. This study aims at providing guidance for public policies fostering employment through entrepreneurship and for workers considering such a working hybrid status. It also puts into perspective the classical contours of entrepreneurship and salaried positions and call for closer examination of the new forms of employment.