Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model

We study the Bessel processes withtime-varying dimension and their applications to the extended Cox-Ingersoll-Rossmodel with time-varying parameters. It is known that the classical CIR model is amodified Bessel process with deterministic time and scale change. We show thatthis relation can be generalized for the extended CIR model with time-varyingparameters, if we consider Bessel process with time-varying dimension. Thisenables us to evaluate the arbitrage free prices of discounted bonds and theircontingent claims applying the basic properties of Bessel processes. Furthermorewe study a special class of extended CIR models which not only enables us to fitevery arbitrage free initial term structure, but also to give the extended CIRcall option pricing formula.     

Communication and knowledge as motivators: understanding Singaporean women’s perceived risks of breast cancer and intentions to engage in preventive measures

As breast cancer is the most prevalent cancer among women in Singapore, encouraging them to engage in preventive measures becomes increasingly important. This study aims to take a closer look at the influence of attention to media, interpersonal communication, news elaboration, and knowledge on women’s (aged between 30 and 70) perceived risks of breast cancer and their intentions to engage in preventive measures in Singapore. Attention to media, frequency of interpersonal communication, fatalistic belief, and knowledge structure density were found to be associated with risk perception of breast cancer among Singaporean women. Findings also showed that frequency of interpersonal communication, risk perception, elaboration, and factual knowledge were positively associated with women’s intentions to take up preventive measures such as breast self-examination, clinical breast examination, and mammography. Implications for theory and practice were discussed.     

Credit Events and the Valuation of Credit Derivatives of Basket Type

Thispaper provides a simple model for valuing a credit derivativewhose payoff depends on the identity (or identities) of the first(or first two) to occur of a given list of credit events, suchas defaults. The joint survival probability of occurrence timesof credit events is formulated in terms of stochastic intensityprocesses under the assumption of conditional independence. Basedon the joint survival probability, we can easily obtain the pricingformulas of such credit derivatives under the risk-neutral valuationframework. When the default intensity processes follow the extendedVasicek model, closed-form solutions of the pricing formulasare given.     

Valuation of a Credit Swap of the Basket Type

This article provides a simple model to value a credit swap ofthe basket type. Unlike the previous literature, we considerthe joint survival probability of occurrence times of creditevents in terms of stochastic intensity processes under the assumptionof conditional independence. Based on the joint survival probability,such a credit swap can be valued under the risk-neutral valuationframework. Assuming that the default intensity processes followthe extended Vasicek model with a correlation structure, an analyticexpression of the valuation formula is derived. Some numericalexample is given to demonstrate the usefulness of our model.     

自媒体在食品行业危机管理中的传播策略

自媒体作为一种新型媒体,打破了传统媒体的垄断局面,更多公众可以参与事件的监控与言论的发表。食品是人类的安身之本,然而仅2013年上半年就爆发多件食品危机事件,引发消费者对食品行业的信任危机。自媒体的应用是一把双刃剑,本文研究了自媒体的特征和传播机制,分析了食品行业危机的特点,然后结合施拉姆的传播过程提出了自媒体的传播策略,认为在自媒体时代,食品行业的危机管理应从传播主体、传播信息内容、信息反馈、传播媒体以及传播的原则五方面加强管理。     

Challenges and opportunities for pre-crisis emergency risk communication: lessons learned from the earthquake community

Abstract

Prior to the 2009?L’Aquila event, earthquake forecasting and early warning research focused specifically on earthquakes as the crisis events. Although this is still true, the manslaughter convictions of six earthquake scientists and one public official for failed risk communication in 2009 served as a catalyst for expanding these goals to also intentionally examine the challenges of communicating earthquake risk with non-scientific during the pre-crisis stage of the earthquake lifecycle. The Crisis Emergency Risk Communication (CERC) Model developed by the US Centers for Disease Control and Prevention (CDC) provides specific guidelines for doing so. Thus, based on a thematic analysis of interviews with 21 earthquake scientists, this study identifies what those responsible for communicating regularly about earthquake risk see as major communication challenges and the extent to which the CERC model recommendations are useful for addressing them. Results suggest that earthquake risk science communicators are most effective when they translate scientific and technical information simply, respond to competing messages, capitalize on relevant popular culture references, employ risk communication campaigns during ‘quiet periods’, and acknowledge uncertainty. These findings have implications not only for earthquake science risk communicators, but also for expanding the pre-crisis stage best practices proposed in the Crisis Emergency Risk Communication (CERC) model. Essentially, this study reveals that soliciting and responding to feedback in the pre-crisis stage could help spokespersons clarify or correct any messages that are perceived by audiences as unclear or are simply not accurate. Doing so may improve risk communication effectiveness not only during the pre-crisis stage but also throughout the earthquake crisis lifecycle.     

An analysis of real-estate risk using the present value model

The current study uses a present value model that allows for a time-varying expected discount rate in conjunction with a VAR process to decompose real-estate risk. The study finds that the variance ofunexpected returns accounts for most of the total risk with cash-flow risk accounting for twice as much of the unexplained real-estate risk although discount rate risk is also an important factor. This dominance of cash-flow risk is found to result in a weaker mean reversion process for real estate relative to stocks. Another finding is that real estate investors tend to become apprehensive about the future when news on future cash flow is good, and thus they demand higher expected future returns.     

Media risk communication – what was said by whom and how was it interpreted

The purpose of this paper is to provide some insight into the level and type of media coverage that food risks received and consider the translation of press releases into media articles. Past scientific messages dealing with two food risks (Salmonella and Genetically Modified (GM) potatoes) were collected from various Irish media sources over a defined period. In addition, press releases and helpline data were collected. All data pieces were subsequently coded. Based on the audit it is clear that island of Ireland journalists are generally balanced with regard to their reporting on Salmonella. In most cases where press releases could be linked to the newspaper articles, the press release was represented fairly accurately. This brings into clear focus the need by those issuing press releases to be very clear on the meaning of their message. Journalists are using the press releases as the basis for articles therefore vague terms and overemphasis on a particular finding can result in what may appear as a sensational article. In the case of GMs more sensational hooks were used to draw attention to the articles. Thus communicators need to be aware of the characteristics of the risk they are communicating about when designing and delivering a risk message.