Exchange options for catastrophe risk management

In this paper, we investigate the pricing issue and catastrophe risk management of exchange options. Exchange options allow the holder to exchange its stocks for another at maturity and can be seen as an extended version of catastrophe equity put options with another traded asset price as strike prices. Since option holders have to issue new shares to exercise the option, we illustrate the differences between option prices calculated using pre-exercise and post-exercise share prices. The effects of default risk on option prices and risk management are also considered. Finally, risk management analysis shows that exchange options can effectively hedge catastrophe risk.     

Structural break in different stock index markets in China

This paper first presents a two-stage change point estimation approach in the framework of online analysis to detect the Chinese stock market abrupt variations during the period from 4 January 2005 to 10 December 2021. As a check, the pruned exact linear time (PELT) algorithm method is applied to detect structural changes in the framework of offline analysis in terms of all data. We select four representative indices in Chinese markets to find some important time-stamp tags. The results show that all indices can detect some common events, while the small-cap and small-mid-cap indices can identify local risks such as China’s market freezing. Besides, we find some events such as the global financial crisis and China’s market freezing can incur the inverse anomaly with higher volatility in lower reward.     

The economics of drought: A review of impacts and costs

Although a growing body of literature studies drought impacts, papers providing a comprehensive review of drought's social and economic impacts are scarce. This paper fills this gap by exploring the consequences of drought on societies based on research findings in Australia—a large country used to experiencing severe droughts. To do this, we propose a framework to categorise drought impacts in three dimensions: individuals/households (including health), productive sectors and system (including economic and ecosystem) impacts. The framework then guides a systematic literature review and discussion of studies looking at diverse drought impacts and their related costs. By analysing and discussing the findings from this literature, we emphasise different policy considerations, empirical challenges and research needs to support robust analysis and estimates of the true cost of droughts. We conclude by proposing an expanded framework to identify drought impacts and a discussion of the implications of the review for policy development.     

Climate,weather and child health in Burkina Faso

It is now clear that anthropogenic climate change is having a negative impact on human health. In this paper, we provide the first comprehensive assessment of the impact of climatic stressors on child health in Burkina Faso. We undertake a rigorous empirical analysis of the impact of climate and weather shocks on mortality, stunting (height-for-age Z-score) and wasting (weight-for-age Z-score), using Demographic and Health Surveys, combined with high-resolution meteorological data, controlling for household and individual covariates. We find robust evidence that both lifetime and short-term exposure to high temperatures and droughts have a negative impact on child health, as do increased temperature anomalies during crop seasons, suggesting a link between climate and health through domestic food production. Income and household wealth, access to electricity, sanitation and a health facility for childbirth negate some adverse impacts of climate change. Combining our econometric estimates with updated CMIP6 scenarios, we compute policy-relevant projections of future child health. Our results show that future warming is projected to significantly increase child mortality, and share of underweight and stunted children, in all but the Paris Agreement scenario. Given the links between health, a key element of human capital, and economic growth, our findings and projections provide yet more evidence of the importance of a rapid reduction in global emissions combined with adaptation funding, if lower-income countries are to achieve poverty reduction and increasing prosperity.     

Mega‐events and host‐region impacts: determining the true worth of the 1999 Rugby World Cup

An increasing interest in the impact of sporting mega‐events on host regions has sparked discussion on the most appropriate approaches in determining both benefits and costs. The paper defines the nature of the impact on Wales of the 1999 Rugby World Cup (RWC99), both economic and social, and qualitatively assesses the extent and nature of the impact of RWC99 in a number of areas. It concludes that there were considerable benefits for the region, although many areas of potential benefit were not maximised. This was due in large part to the structure of the bidding process and organisational inadequacies, which in turn led to relatively low spectator spend and mixed press coverage. Copyright © 2001 John Wiley & Sons, Ltd.     

Initiating events and independent protection layers

Layer of protection analysis (LOPA) is a semiquantitative tool for analyzing and assessing process risk. The tool has grown greatly in popularity and usefulness since the publication of the first CCPS/AIChE guidebook on the subject, Layer of Protection Analysis, Simplified Process Risk Assessment (LOPA). This article is a summary of a new CCPS guideline book that includes the following:

• Initiating events (IEs).
• Independent protection layers (IPLs).
• Criteria for identifying the value of each prospective IE and prospective IPL.
• Example IE and IPL data.

This book is a necessary reference for those applying the LOPA methodology. © 2009 American Institute of Chemical Engineers Process Saf Prog, 2009