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1.
The chemical process industry gathers critical infrastructures since chemical plants represent for the society both an instrument to generate activity and benefits (production of goods, employment, services …), and an instrument that can harm people and the environment. This paper describes the risk assessment approach need in France for licensing hazardous installations, in particular those covered by the Seveso II Directive and the implication for land-use planning. The first part explains why the French risk assessment procedure is based on the quantitative evaluation of major accident scenarios with explicit criteria, and only on qualitative analysis of the risk reducing measures without explicit criteria. The second part shows some on-going evolutions in the risk assessment process in particular for the analysis of the safety barriers. In the third part, the authors share some thoughts on the risk decision-making process. 相似文献
2.
Yan Sun 《Journal of Risk Research》2013,16(6):805-820
The strong similarities between intertemporal and risky choice raised the possibility that risk and time delay were psychologically interchangeable in the way they influence preference. Consistent with the single‐process view, several previous studies have indicated that introducing uncertainty to intertemporal choice could decrease the degree of discounting future rewards just as adding time delay to it. However, the opposite effect has been observed in other cases. The present study examined the role of risk in intertemporal choice using the choice titration procedure. The results of two experiments indicated that risk and time delay had opposite effects on the preference in intertemporal choices. That is, the external uncertainty increased the degree of discounting future, whereas the opposite is true for time delays. Thus, our results were unfriendly to the single‐process theory. In addition, the present study demonstrated the presence of an immediacy effect as well as a magnitude effect in intertemporal choice regardless of whether or not the reward is certain. 相似文献
3.
Vincent K Chong Imran Syarifuddin 《Advances in accounting, incorporating advances in international accounting》2010,26(2):185-194
This study examines the effects that obedience pressure and the personality trait of authoritarianism have on managers' project evaluation decisions. A laboratory experiment was conducted to test the various hypotheses formulated in this study. The results suggest that project managers have a higher inclination to escalate their commitment to a failing project in the presence of obedience pressure. The results further reveal that project managers' tendency to escalate is most prominent in a private information situation and in an obedience pressure condition. In addition, the results suggest that low authoritarian project managers exhibited a greater tendency to continue a failing project regardless of the extent of obedience pressure under private information conditions. Furthermore, high authoritarian project managers exhibited a greater tendency to continue a failing project only when obedience pressure was present under private information conditions. 相似文献
4.
Alexandru V. Asimit 《Scandinavian actuarial journal》2013,2013(2):93-104
This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables (rv's). Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is constant and the claim amounts are heavy tail distributed rv's. Furthermore, we derive asymptotic finite time ruin probabilities, as well as asymptotic approximations for some common risk measures associated with the discounted aggregate claims. A simulation study is performed in order to validate the results obtained in the free interest risk model. 相似文献
5.
Oliver X. Li 《Quantitative Finance》2013,13(5):873-888
This article presents a pure exchange economy that extends Rubinstein [Bell J. Econ. Manage. Sci., 1976, 7, 407–425] to show how the jump-diffusion option pricing model of Black and Scholes [J. Political Econ., 1973, 81, 637–654] and Merton [J. Financ. Econ., 1976, 4, 125–144] evolves in gamma jumping economies. From empirical analysis and theoretical study, both the aggregate consumption and the stock price are unknown in determining jumping times. By using the pricing kernel, we determine both the aggregate consumption jump time and the stock price jump time from the equilibrium interest rate and CCAPM (Consumption Capital Asset Pricing Model). Our general jump-diffusion option pricing model gives an explicit formula for how the jump process and the jump times alter the pricing. This innovation with predictable jump times enhances our analysis of the expected stock return in equilibrium and of hedging jump risks for jump-diffusion economies. 相似文献
6.
Environmental risks pose a serious problem to individual and societal decision‐making, and the public debate is often characterized by a conflict between morally‐principled and technically oriented points of view. Drawing on previous work of Böhm and Pfister (), we propose a model on how environmental risks are cognitively represented and how risks are evaluated. The model suggests two evaluative pathways, evaluations of consequences and evaluation of moral considerations, each leading to a distinct set of emotions and action tendencies. Either one of these pathways may become dominant depending on the evaluative focus of the person, which, in turn, depends on the causal structure of the risk. An experimental study yields confirming evidence for this model. Furthermore, the influence of time perspective, that is, the delay of negative consequences caused by an environmental risk, is investigated. Contrary to the common assumption, only weak evidence for temporal discounting effects is found. It is concluded that environmental risks, due to their strong moral component, are partly immune to time perspective. 相似文献
7.
《Finance Research Letters》2014,11(2):131-139
This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk. Dependence structures among firms and between external shocks affecting firms together are considered. The presence of correlations among firm leverage ratios and the interrelation between default probabilities and recovery rates produces clusters of defaults with low recovery rates. This has a major impact on standard risk measures such as Value-at-Risk and conditional tail expectation. Consequently, an appropriate measurement of the contagion has a tremendous effect on the capital requirement of many financial institutions. 相似文献
8.
The development of new technologies has had important effects on offline distribution channels and, specially, on the psychological effect and risk perceptions that the existence of the online channel may have on the sales agents. Sales agents are fearful that Internet-based competitors will cannibalize their roles in the organization, and might make them outdated and feel insecure about their jobs. This paper estimates the impact of sales agents’ perceptions of service cannibalization on role ambiguity, risk job uncertainty, employee commitment, and employee productivity, considering development of Internet channel, and multi-channel distribution. Data were collected from 497 sales agents who worked at travel agencies located in Spain. Once the model was specified and identified, its parameters were estimated, and authors used various statistics and indices to evaluate overall adaptation of the model. A structural equation modeling was used to examine the posited relationships. This research reinforces the importance of capturing sales agents’s perceptions, especially concerning job insecurity and other outcomes. Specifically, results suggest sales agents’ perceptions of service cannibalization have an effect on role ambiguity and risk and job uncertainty. This study considers the importance of analyzing perceptions of sales agents by travel agency managers to reduce negative consequences on employees, particularly important in view of multi-channel marketing, when a new marketing channel coexists with a traditional sales force. 相似文献
9.
10.
Lasse Mertins James H. Long 《Advances in accounting, incorporating advances in international accounting》2012
The outcome effect occurs when an evaluation is influenced by knowledge of the outcome, even when it is unclear that the outcome provides additional information about the evaluatee's performance. This phenomenon has received considerable attention in the accounting and psychology literatures, which rely on cognitive or motivational factors to account for the outcome effect. However, prior research has not considered the impact of information presentation order or the evaluation time horizon. We evaluate prior research in accounting and conclude that information presentation order could have significantly impacted the outcome effect observed in these studies. We then report the results of an experiment that provides evidence that information presentation order plays a significant role in the existence and magnitude of the outcome effect. In addition, we find that the length of the evaluation time horizon is positively related to the magnitude of the outcome effect when conditions favor a recency effect. 相似文献
11.
基于KMV模型对我国上市保险公司的信用风险度量 总被引:8,自引:0,他引:8
目前,我国对保险公司的监管主要是静态监管,不能完全满足未来经济发展对保险业监管提出的挑战。为此,本文在介绍了KMV模型后,利用KMV模型对我国已上市的保险公司的风险进行了度量,旨在探讨在未来时机成熟时保险监管中引入KMV模型,利用KMV模型良好的风险预测能力,加强和改善保险监管的可能性。 相似文献
12.
国家风险对我国出口贸易效应的实证分析 总被引:1,自引:0,他引:1
2008年金融危机导致全球贸易环境恶化,国家风险加大,我国出口贸易规模下降。本文运用回归模型,分析了金融危机前后中国的国别出口规模与其对应进口国的国家风险之间的相关性以及出口市场结构对相关性的影响。论文提出在国家风险评级相对下调的发达市场,中国要缓解出口的下滑,以及在收入水平较低的新兴市场,中国要扩大对其出口规模,及时识别、防范并化解国家风险具有重要意义。论文从出口信用保险的角度为我国化解国家风险、发展对外贸易提出了相关政策性建议。 相似文献
13.
文章运用中国金融市场和原银行信贷登记系统数据及人民银行组织的信用评级等数据资源,在金融工程理论和技术方法创新的基础上,借鉴国际信用风险模型中违约模式代表——KMV模型原理,实证建立由判别函数和违约强度共同构成的中国金融市场违约预警模型;借鉴国际信用风险模型中盯市模式代表——CreditMetrics模型原理,使用蒙特卡罗模拟方法实证建立中国金融市场信用组合计量模型;探索这两类模型在中国信贷市场、外汇市场、货币市场和债券市场风险管理实务中的应用;并在此基础上提出了政策性建议。 相似文献
14.
K. Giannopoulos 《European Journal of Finance》2013,19(2):129-164
In this study an alternative approach for assessing securities' risk is applied. Various authors have argued that security returns are not homoskedastic but exhibit variation over time. They have observed that large changes tend be followed by more large changes in either direction, and so volatility must be predictably high after large changes. This phenomenon of securities' volatility, referred to as clustering, has important implications for security pricing and risk management. Among the most popular techniques currently used to capture the clustering effect and to forecast future volatilityare those belonging to the family of Autoregressive Conditional Heteroskedastic (ARCH) models. The main aim of this paper is to investigate whether such volatility modelling can be used to capture the time variation not only in the total risk of a security return but also its systematic and unsystematic components. Using weekly local stock market data, the time varying beta with the World Index has been estimated via a bivariate GARCH-M model. The GARCH-M parameterization used here is a dynamic specification of the SIM. The hypothesis that this dynamic specification holds cannot be rejected for 11 out of 13 local portfolios. The results provide evidence that both the systematic and the non-systematic counterparts are also changing over time. However, in some markets those risk changes may take place with some delay. This suggests that some of the low correlation coefficients computed for certain stock market returns may not be due to differences in business cycles among those countries, but may be caused by the non-synchronous response to world market developments. This finding should have important implications in many investment decisions such as portfolio selection, market timing and risk hedging. 相似文献
15.
VaR模型及其在寿险公司风险管理中的应用 总被引:2,自引:0,他引:2
随着保险产品的创新、竞争的加剧及金融市场的发展,我国寿险公司面临的风险将更为复杂和多样,如何对这些风险进行有效管理是寿险公司面临的重要难题,而VaR模型作为当前国际金融风险管理和金融监管的主流方法,含有丰富的风险管理思想,故对VaR模型进行研究并探讨其在我国寿险公司风险管理中的应用具有一定的现实意义。本文分析了寿险公司应用VaR模型时需注意的问题,并指出我国寿险公司建立基于VaR的风险管理体系需在公司治理结构、风险管理组织架构、风险管理技术、风险数据库等方面加以完善。 相似文献
16.
There do not exist acceptable risk criteria of any industrial activity in Russia. The authors analysed worldwide criteria of acceptable risk, industrial accident frequencies in Russia, and the real state that the technological equipment is in. Risk-reduction measures would require a significant amount of material input in Russia. In the present condition of the Russian economy this is practically impossible. For that reason, the establishment of risk levels of 10?6 or less (fatalities per year) for the population living near major hazards plants (that would correspond to international practice) cannot be arranged for all industrial activities at present. Therefore, the following structure of zoning can be offered for individual risks. For existing potentially dangerous objects: (1) a risk level larger than 10?4 deaths per year is a zone of inadmissible risk; (2) a risk level between 10?4 and 10?5 deaths per year is a zone of rigid risk control; (3) a risk level below 10?5 deaths per year is a zone of acceptable risk. For new plants: the risk levels should be reduced one order of magnitude for each zone. Taking into account the results of the analysis of emergencies in Russia, the criteria of societal risk are also presented. 相似文献
17.
Øivind Solberg 《Journal of Risk Research》2013,16(9):1201-1215
In this article we discuss the concept of risk in an ontological perspective. Risk per se is not a self-explaining concept that ‘exists’ by its own virtue. Our discussion is therefore based on existing methodologies and epistemological claims concerning risk. With these claims as our point of departure, we examine risk in relation to the concept of time, state of affairs (the state of the world) and events and discuss relations and constitutional issues for the risk concept. Drawing on a relation between time and state of affairs, we argue that risk is rooted in the transition from the future to the present. Risk is being constituted by the transition from a myriad of future possibilities into one present reality (one actual contingent world). This implies that risk is not ontologically something of the future, but rather something of the present. However, we argue that risk does not exist in any ontological sense. What actually exist are possible (future) states of affairs and these may or may not be interpreted to hold risk. An implication of this is that all risk claims are subjective. 相似文献
18.
ABSTRACT Multi-country risk management of longevity risk provides new opportunities to hedge mortality and interest rate risks in guaranteed lifetime income streams. This requires consideration of both interest rate and mortality risks in multiple countries. For this purpose, we develop value-based longevity indexes for multiple cohorts in two different countries that take into account the major sources of risks impacting life insurance portfolios, mortality and interest rates. To construct the indexes we propose a cohort-based affine model for multi-country mortality and use an arbitrage-free multi-country Nelson–Siegel model for the dynamics of interest rates. Index-based longevity hedging strategies have the advantages of efficiency, liquidity and lower cost but introduce basis risk. Graphical risk metrics are a way to effectively capture the relationship between an insurer's portfolio and hedging strategies. We illustrate the effectiveness of using a value-based index for longevity risk management between two countries using graphical basis risk metrics. To show the impact of both interest rate and mortality risk we use Australia and the UK as domestic and foreign countries, and, to show the impact of mortality only, we use the male populations of the Netherlands and France with common interest rates and basis risk arising only from differences in mortality risks. 相似文献
19.
The combination of rising home prices, declining interest rates, and near-frictionless refinancing opportunities can create unintentional synchronization of homeowner leverage, leading to a “ratchet” effect on leverage because homes are indivisible and owner-occupants cannot raise equity to reduce leverage when home prices fall. Our simulation of the U.S. housing market yields potential losses of $1.7 trillion from June 2006 to December 2008 with cash-out refinancing vs. only $330 billion in the absence of cash-out refinancing. The refinancing ratchet effect is a new type of systemic risk in the financial system and does not rely on any dysfunctional behaviors. 相似文献
20.
We exploit staggered state-level shocks to third-party auditor legal liability in the U.S. to test whether auditor litigation risk affects client companies' access to private debt markets. We find that an exogenous increase in auditor litigation risk leads to an increase in both clients' likelihood of receiving bank loans and the average amount of the bank loans that clients receive. In support of our proposed mechanism that auditor litigation risk leads to improvements in clients' audit and financial reporting quality, we find that these same shocks lead to a reduction in accruals, an increase in going-concern opinions, a decrease in restatements, and an improvement in accruals' ability to predict future cash flows. We also find that increased auditor litigation risk leads to an increase in the contractibility of clients’ accounting numbers, as proxied by the use of debt covenants, and a decrease in the cost of borrowing. 相似文献