New Results for additive and multiplicative risk apportionment

We provide new characterizations of the preference for additive and multiplicative risk apportionment when risk ordering relies on stochastic dominance. We then point out a simple property of risk apportionment with additive risks: Quite generally, an observed preference for additive risk apportionment in a specific risk environment is preserved when the decision-maker is confronted to other risk situations, so long as the total order of stochastic dominance relationships among risk couples remains the same. The main objective of this paper is to check whether this simple property also holds for multiplicative risks environments. We explain why this is not the case in general, and then provide a set of conditions under which this property holds. We also show that it holds – and even more strongly – in the case of CRRA utility functions due to a particular feature of this family of utility functions.     

Another look at risk apportionment

This paper presents a general result on the random selection of an element from an ordered sequence of risks and uses this result to derive additive and cross risk apportionment. Preferences favoring an improvement of the sampling distribution in univariate or bivariate first-order stochastic dominance are those exhibiting additive or cross risk apportionment. The univariate additive and multiplicative risk apportionment concepts are then related to the notion of bivariate cross risk apportionment by viewing the single-attribute utility function of an aggregate position (sum or product of attributes) as a 2-attribute utility function. The results derived in the present paper allow one to further explore the connections between the different concepts of risk apportionment proposed so far in the literature.     

Comparative Ross risk aversion in the presence of mean dependent risks

This paper studies comparative risk aversion between risk averse agents in the presence of a background risk. Our contribution differs from most of the literature in two respects. First, background risk does not need to be additive or multiplicative. Second, the two risks are not necessarily mean independent, and may be conditional expectation increasing or decreasing. We show that our order of cross Ross risk aversion is equivalent to the order of partial risk premium, while our index of decreasing cross Ross risk aversion is equivalent to decreasing partial risk premium. These results generalize the comparative risk aversion model developed by Ross for mean independent risks. Our theoretical results are related to utility functions having the n-switch independence property.     

Decreasing downside risk aversion and background risk

In this paper, we show that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow–Pratt and Ross senses are respectively necessary and sufficient for a zero-mean background risk to raise the aversion to other independent risks.     

基于收益共享和风险规避的品牌专营供应链协调研究

以一个两阶段的品牌专营供应链系统为背景,针对供应链上决策激励不一致和风险规避效应导致供应链低效的问题,研究了在实践中广泛应用的收益共享契约对品牌专营供应链协调性的影响。证明了收益共享契约可克服双重边际效应和风险规避效应,使供应链得到协调,并给出了契约参数的设计方案,同时指出了销售商风险规避偏好对供应链决策的影响。     

A preference foundation for constant loss aversion

Following prospect theory and in particular the concept of loss aversion, introduced by Kahneman and Tversky (1979), we consider decision making under risk in which the decision maker’s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker’s basic utility more than a comparable gain increases this utility. An elegant and simple way to model this phenomenon was proposed by Shalev (2002): the utility of an outcome below the reference outcome is obtained from the basic utility by subtracting a multiple of the loss in basic utility: this multiple, the loss aversion coefficient, is constant across different reference outcomes. We provide a preference foundation for this loss aversion model.     

Nexus between drivers of COVID-19 and country risks

COVID-19 has disrupted all spheres of life, including country risk regarding the exposure of economies to multi-dimensional risk drivers. However, it remains unexplored how COVID-19 has impacted different drivers of country risk in a probabilistic network setting. This paper uses two datasets on country-level COVID-19 and country risks to explore dependencies among associated drivers using a Bayesian Belief Network model. The drivers of COVID-19 risk, considered in this paper, are hazard and exposure, vulnerability and lack of coping capacity, whereas country risk drivers are economic, financing, political, business environment and commercial risks. The results show that business environment risk is significantly influenced by COVID-19 risk, whereas commercial risk (demand disruptions) is the least important factor driving COVID-19 and country risks. Further, country risk is mainly influenced by financing, political and economic risks. The contribution of this study is to explore the impact of various drivers associated with the country-level COVID-19 and country risks in a unified probabilistic network setting, which can help policy-makers prioritize drivers for managing the two risks.     

苏丹工程承包风险分析

苏丹作为中国在非洲最大的合作伙伴,大量的中国企业在苏丹进行投资和工程承包活动。2011年7月南苏丹正式从苏丹分离。本文主要分析了在这一特定的时期下,在苏丹进行工程承包的中国企业所面临的各种风险(如战争风险、资金风险、税务风险、汇率风险、保函风险等)和规避风险的具体方法。     

Calibrating the wealth effects of decoupled payments: Does decreasing absolute risk aversion matter?

Arrow’s hypotheses regarding the relationship between wealth and risk aversion measures have formed the basis for a large body of empirical research and theory. For example, many have suggested that decoupled farm subsidy payments may increase production as they decrease farmers’ risk aversion. This paper develops a new calibration technique designed to measure the minimum change in concavity of a utility of wealth function necessary to describe a particular change in production behavior for some discrete change in wealth. I conclude that measurable changes in production levels should not be produced by changing levels of risk aversion except when wealth changes are a substantial portion of wealth. This tool draws into question the usefulness of Arrow’s hypotheses in many current applications.     

Feasible sets,comparative risk aversion,and comparative uncertainty aversion in bargaining

We study feasible sets of the bargaining problem under two different assumptions: the players are subjective expected utility maximizers or the players are Choquet expected utility maximizers. For the latter case, we consider the effects on bargaining solutions when players become more risk averse and when they become more uncertainty averse.     

Corporate Strategies for Managing Climate Risks

This paper focuses on organizations and their management of climate risks. Climate risks stem from continued changes in climate means and the increase in frequency and intensity of extreme weather events. We ask whether companies also apply the usual process of corporate risk management to climate risks. In seeking to answer this question, we review several literature streams in order to set out an initial theoretical reflection. Based on this we conducted an exploratory case study with 11 electric utilities. Our results illustrate that these companies perceive climatic changes as a material issue for their business. However, management has restricted knowledge about such climatic changes and thus cannot precisely determine the potential negative impacts on business activities. As a consequence, the companies have implemented a climate risk management that does not differ from the usual process of managing other business risks. Our results further illustrate that there is some variation in how individual firms manage climate risks: While risk identification and risk assessment are equally important for all electric utilities, there are differences in how management determines the direction of the individual response to climate risks. Copyright © 2012 John Wiley & Sons, Ltd and ERP Environment.     

浅谈建筑施工企业财务风险及规避方法

2014年铁路总投资超8000亿,逼近历史最高点,7月5日一则"铁路建设密集铺开,一天新建4条"的新闻不禁让人对施工企业建设项目承揽额高速拓展时存在的财务风险发起深思。企业是以盈利为目的的,业务量增加看似必然会增加利润,但由于自身管理水平有限、市场价格波动、财税政策改变等诸多因素,使得财务风险客观存在且不可预测。这就使得建筑施工企业在经营管理的全过程中必须合理估计和衡量财务风险,同时采用科学的成本控制措施减少损失,实现预期的经济评估效益。     

When Ross meets Bell: The linex utility function

At first glance, there would appear to be no relationship between Bell’s (1988) concept of one-switch utility functions and that of a stronger measure of risk aversion due to Ross (1981). We show however that specific assumptions about the behavior of the stronger measure of risk aversion also give rise to the linex utility function which belongs to the class of one-switch utility functions. In particular, this utility class is the only one that satisfies a stronger version of Kimball’s (1993) standard risk aversion over all levels of wealth. We apply our results to consider n$n$th-degree deteriorations in background risk and their effect on risk taking behavior.     

Forecasting stock market volatility: Can the risk aversion measure exert an important role?

In this paper, we predict realized volatility of stock return by utilizing time-varying risk aversion based on a simple linear autoregressive model. Our in-sample results suggest that time-varying risk aversion have significant impact for stock return volatility. In terms of out-of-sample forecasting performance, the empirical results indicate that the incorporation of time-varying risk aversion in the benchmark model can yield more accurate stock return volatility forecasts. Notably, the out-of-sample forecasting results confirm that our conclusions are robust when we apply alternative lag orders and alternative prediction evaluation periods. Finally, we study links between the prediction ability of time-varying risk aversion and the volatility of other stock indices and two kinds of crude oil, and find that the new predictor can effectively strengthen forecasting performance in most case. In view of the importance of volatility risk in the asset pricing process, our research is of great significance for financial asset participants.     

大型企业税务风险管理问题研究

随着企业规模的不断扩大,其发展的风险重点逐渐从微观层面转移到宏观层面。就税务风险而言,大型企业的税务风险大多来源于公司治理的缺陷、管理层的纳税态度与观念、内部控制机制的健全程度等宏观层面,这与一般企业的税务风险主要表现为做假账、账面差错等是明显不同的。从这一角度讲,大型企业的税务风险管理应突出税务行为的"合规性",建立税务风险的识别评估和预警机制,及时控制风险,并适时地将其融入到企业的风险管理和内部控制体系之中。本文以此为基础,对大型企业的税务风险管理问题进行了系统研究,首先对税务风险的种类进行了划分,然后分析了风险的成因,最后给出了防范和管理税务风险应注意的要点。     

工程项目风险辨识与评价方法研究

工程项目建设过程存在着很大的不确定性,如何准确地识别工程项目中的各种风险是工程项目建设中的关键问题。文章在分析了项目工程风险的基础上,提出了工程项目风险辨识的一般方法。比较详细列举了风险评价涉及的所有方法,并通过实例对几种常用的方法进行了重点分析。     

施工合同风险管理

一个项目从立项到运行会存在很多风险,而且各种风险相互关联。施工企业的风险主要来源于建设项目的合同订立阶段,因此,合同风险成为施工企业风险控制的首要内容。文章对合同风险的种类进行分析,并提出有效控制合同风险的策略。     

新竞争形势下企业风险管理的再思考

当前市场竞争激烈和生存环境复杂多变,企业的经营活动存在各种风险。企业必须重视和加强对风险的管理控制,降低风险给企业带来的损失,这对于提升企业生存能力、增强企业核心竞争力具有不可替代的作用。     

Practices and strategies for sustainability-related risk management in multi-tier supply chains

This study investigates how sustainability-related risks are managed in multi-tier supply chains. It focuses on the strategies and practices that companies use to manage sustainability-related risks and how these differ between supply chains and supply chain tiers. We use a multiple-case study with 25 companies forming 5 multi-tier supply chains. As a result of this study, we present a conceptual framework for sustainability-related risk management practices in multi-tier supply chains and apply it empirically by defining sustainability-related risk management profiles for the case supply chains. We show that in multi-tier supply chains, companies need direct and indirect collaboration and direct and indirect monitoring practices for managing sustainability-related risks emanating from not only their first-tier suppliers but also lower-tier suppliers. Our framework helps purchasing and supply chain managers understand the dimensions of sustainability-related risk management in a multi-tier setting and develop strategies and practices for mitigating and managing those risks. We also empirically show the challenge of extending sustainability-related risk management practices beyond first-tier suppliers due to the different practices in different supply chain tiers.     

基于三角模糊数的服务创新风险分析

在企业或社会中发挥着越来越重要的作用,学者越来越关注对服务的研究,力图通过技术等手段对原有服务进行改造或创新,从而实现效益,但是关于服务创新中风险的研究甚少。因此本文首先利用环境分析法,分析出在服务创新过程中的风险因素,使用基于三角模糊数的模糊层次分析法,对这些风险因素进行评价。最后用一个实例证明这种风险方法,可以更好的进行风险管理,提高服务创新的成功率。