Search results for: risk groups

Authors: Abderrazek Ben Maatoug, Ibrahim Fatnassi, Wassim Ben Ayed

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In this paper we investigate the issue of market risk quantification for Middle East and North Africa (MENA) Islamic market equity. We use Value-at-Risk (VaR) as a measure of potential risk in Islamic stock market, for long and short position, based on Riskmetrics model and the conditional parametric ARCH class model volatility with normal, student and skewed student distribution. The sample consist of daily data for the 2006-2014 of 11 Islamic stock markets indices. We conduct Kupiec and Engle and Manganelli tests to evaluate the performance for each model. The main finding of our empirical results show that (i) the superior performance of VaR models based on the Student and skewed Student distribution, for the significance level of α=1% , for all Islamic stock market indices, and for both long and short trading positions (ii) Risk Metrics model, and VaR model based on conditional volatility with normal distribution provides the best accurate VaR estimations for both long and short trading positions for a significance level of α=5%.

Keywords: value-at-risk, risk management, islamic finance, GARCH models

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Authors: Seung Hun Lee, Sang Yeoup Lee

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Objectives: To investigate associations between degrees of obesity using correlations between obesity indices and cardiometabolic risk factors. Methods: BMI, waist circumference (WC), fasting insulin, fasting glucose, lipids, and visceral adipose tissue (VAT) area using computed tomographic images were measured in 113 obese female without cardiovascular disease (CVD). Correlations between obesity indices and cardiometabolic risk factors were analyzed in obese subgroups defined using sequential obesity indices. Results: Mean BMI and WC were 29.6 kg/m2 and 92.8 cm. BMI showed significant correlations with all five cardiometabolic risk factors until the BMI cut-off point reached 27 kg/m2, but when it exceeded 30 kg/m2, correlations no longer existed. WC was significantly correlated with all five cardiometabolic risk factors up to a value of 85 cm, but when WC exceeded 90 cm, correlations no longer existed. Conclusions: Our data suggest that moderate weight-loss goals may not be enough to ameliorate cardiometabolic markers in severely obese patients. Therefore, individualized weight-loss goals should be recommended to such patients to improve health benefits.

Keywords: correlation, cardiovascular disease, risk factors, obesity

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Authors: Shervin Alaei, Reza Moradi

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Trading in financial markets is subject to risks due to their high volatilities. Here, using an LSTM neural network, and by doing some risk-based feature engineering tasks, we developed a method that can accurately predict trends of the Tehran stock exchange market index from a few days ago. Our test results have shown that the proposed method with an average prediction accuracy of more than 94% is superior to the other common machine learning algorithms. To the best of our knowledge, this is the first work incorporating deep learning and risk factors to accurately predict market trends.

Keywords: deep learning, LSTM, trend prediction, risk management, artificial neural networks

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Authors: Inkyong Yi

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Acute kidney injury (AKI) in trauma patients is known to be associated with multiple factors, especially shock and consequent inadequate renal perfusion, yet its clinical presentation is little known in severe trauma patients. Our aim was to investigate the clinical presentation of acute kidney injury and its outcome in severe trauma patients at a level I trauma center. A total of 93 consecutive adult trauma patients with an injury severity score (ISS) of more than 15 were analyzed retrospectively from our Level I trauma center data base. Patients with direct renal injury were excluded. Patients were dichotomized into two groups, according to the presence of AKI. Various clinical parameters were compared between two groups, with Student’s T test and Mann-Whitney’s U test. The AKI group was further dichotomized into patients who recovered within seven days, and those who required more than 7days for recovery or those who did not recover at all. Various clinical parameters associated with outcome were further analyzed. Patients with AKI (n=33, 35%) presented with significantly higher age (61.4±17.3 vs. 45.4±17.3, p < 0.0001), incidence of comorbidities (hypertension; 51.5% vs. 13.3%, OR 6.906 95%CI 2.515-18.967, diabetes; 27.3% vs. 6.7%, OR 5.250, 95%CI 1.472-18.722), odds of head and neck trauma (69.7% vs. 41.7%, OR 3.220, 95%CI 1.306-7.942) and presence of shock during emergency room care (66.7% vs 21.7% OR 7.231, 95%CI, 2.798-18.687). Among AKI patients, patients who recovered within 1 week showed lower peak lactate (4.7mmol/L, 95%CI 2.9-6.5 vs 7.3mmol/L, 95%CI 5.0-9.6, p < 0.0287), lesser units of transfusion during first 24 hours (pRBC; 20.4unit, 95%CI 12.5-28.3 vs. 58.9unit, 95%CI 39.4-78.5, p=0.0003, FFP; 16.6unit, 95%CI 6.8-26.4 vs. 56.1unit, 95%CI 26.9-85.2, p=0.0027). In severe trauma patients, patients with AKI showed different clinical presentations and worse outcomes. Initial presence of shock and higher DIC profiles may be important risk factors for AKI in severe trauma patients. In patients with AKI, peak lactate level and amounts of transfusion are related to recovery.

Keywords: acute kidney injury, lactate, transfusion, trauma

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Authors: Pubudu K. Hitigala Kaluarachchilage, Champike Attanayake, Sasith Rajasooriya, Chris P. Tsokos

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Operating system (OS) security is a key component of computer security. Assessing and improving OSs strength to resist against vulnerabilities and attacks is a mandatory requirement given the rate of new vulnerabilities discovered and attacks occurring. Frequency and the number of different kinds of vulnerabilities found in an OS can be considered an index of its information security level. In the present study five mostly used OSs, Microsoft Windows (windows 7, windows 8 and windows 10), Apple’s Mac and Linux are assessed for their discovered vulnerabilities and the risk associated with each. Each discovered and reported vulnerability has an exploitability score assigned in CVSS score of the national vulnerability database. In this study the risk from vulnerabilities in each of the five Operating Systems is compared. Risk Indexes used are developed based on the Markov model to evaluate the risk of each vulnerability. Statistical methodology and underlying mathematical approach is described. Initially, parametric procedures are conducted and measured. There were, however, violations of some statistical assumptions observed. Therefore the need for non-parametric approaches was recognized. 6838 vulnerabilities recorded were considered in the analysis. According to the risk associated with all the vulnerabilities considered, it was found that there is a statistically significant difference among average risk levels for some operating systems, indicating that according to our method some operating systems have been more risk vulnerable than others given the assumptions and limitations. Relevant test results revealing a statistically significant difference in the Risk levels of different OSs are presented.

Keywords: cybersecurity, Markov chain, non-parametric analysis, vulnerability, operating system

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Authors: Kitti Leangkrua

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This paper presents a risk-based maintenance strategy of a power transformer in order to optimize operating and maintenance costs. The methodology involves the study and preparation of a database for the collection the technical data and test data of a power transformer. An evaluation of the overall condition of each transformer is performed by a program developed as a result of the measured results; in addition, the calculation of the main equipment separation to the overall condition of the transformer (% HI) and the criteria for evaluating the importance (% ImI) of each location where the transformer is installed. The condition assessment is performed by analysis test data such as electrical test, insulating oil test and visual inspection. The condition of the power transformer will be classified from very poor to very good condition. The importance is evaluated from load criticality, importance of load and failure consequence. The risk matrix is developed for evaluating the risk of each power transformer. The high risk power transformer will be focused firstly. The computerized program is developed for practical use, and the maintenance strategy of a power transformer can be effectively managed.

Keywords: asset management, risk-based maintenance, power transformer, health index

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Authors: Marc S. Paolella, Pawel Polak

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The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and non-ellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio optimization with active risk monitoring. The former selects optimal portfolio weights. The latter, independently, initiates market exit in case of excessive risks. The strategy agrees with the stylized fact of stock market major sell-offs during the initial stage of market downturns. The advantages of the new framework are illustrated with an extensive empirical study. It leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk fear portfolio strategy outperforms various competing types of optimal portfolios, even in the presence of conservative transaction costs and frequent rebalancing. The risk monitoring of the optimal portfolio can serve as an early warning system against large market risks. In particular, the new strategy avoids all the losses during the 2008 financial crisis, and it profits from the subsequent market recovery.

Keywords: comfort, financial crises, portfolio optimization, risk monitoring

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Authors: Wlodzimierz Ogryczak, Michal Przyluski, Tomasz Sliwinski

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In problems of portfolio selection, the reward-risk ratio criterion is optimized to search for a risky portfolio with the maximum increase of the mean return in proportion to the risk measure increase when compared to the risk-free investments. In the classical model, following Markowitz, the risk is measured by the variance thus representing the Sharpe ratio optimization and leading to the quadratic optimization problems. Several Linear Programming (LP) computable risk measures have been introduced and applied in portfolio optimization. In particular, the Mean Absolute Deviation (MAD) measure has been widely recognized. The reward-risk ratio optimization with the MAD measure can be transformed into the LP formulation with the number of constraints proportional to the number of scenarios and the number of variables proportional to the total of the number of scenarios and the number of instruments. This may lead to the LP models with huge number of variables and constraints in the case of real-life financial decisions based on several thousands scenarios, thus decreasing their computational efficiency and making them hardly solvable by general LP tools. We show that the computational efficiency can be then dramatically improved by an alternative model based on the inverse risk-reward ratio minimization and by taking advantages of the LP duality. In the introduced LP model the number of structural constraints is proportional to the number of instruments thus not affecting seriously the simplex method efficiency by the number of scenarios and therefore guaranteeing easy solvability. Moreover, we show that under natural restriction on the target value the MAD risk-reward ratio optimization is consistent with the second order stochastic dominance rules.

Keywords: portfolio optimization, reward-risk ratio, mean absolute deviation, linear programming

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Authors: Ljiljana Seric, Vladimir Divic, Marin Bugaric

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This paper presents methodology for spatial analysis of GIS data that is used for assessing the microlocation risk index from potential damages of high winds. The analysis is performed on freely available GIS data comprising information about wind load, terrain cover and topography of the area. The methodology utilizes the legislation of Eurocode norms for determination of wind load of buildings and constructions. The core of the methodology is adoption of the wind load parameters related to location on geographical spatial grid. Presented work is a part of the Wind Risk Project, supported by the European Commission under the Civil Protection Financial Instrument of the European Union (ECHO). The partners involved in Wind Risk project performed Wind Risk assessment and proposed action plan for three European countries – Slovenia, Croatia and Germany. The proposed method is implemented in GRASS GIS open source GIS software and demonstrated for Case study area of wider area of Split, Croatia. Obtained Wind Risk Index is visualized and correlated with critical infrastructures like buildings, roads and power lines. The results show good correlation between high Wind Risk Index with recent incidents related to wind.

Keywords: Eurocode norms, GIS, spatial analysis, wind distribution, wind risk

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Authors: Pegah Farshadmanesh, Jamshid Mohammadi, Mehdi Modares

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In nearly all earthquakes of the past century that resulted in moderate to significant damage, the occurrence of postearthquake fire ignition (PEFI) has imposed a serious hazard and caused severe damage, especially in urban areas. In order to reduce the loss of life and property caused by post-earthquake fires, there is a crucial need for predictive models to estimate the PEFI risk. The parameters affecting PEFI risk can be categorized as: 1) factors influencing fire ignition in normal (non-earthquake) condition, including floor area, building category, ignitability, type of appliance, and prevention devices, and 2) earthquake related factors contributing to the PEFI risk, including building vulnerability and earthquake characteristics such as intensity, peak ground acceleration, and peak ground velocity. State-of-the-art statistical PEFI risk models are solely based on limited available earthquake data, and therefore they cannot predict the PEFI risk for areas with insufficient earthquake records since such records are needed in estimating the PEFI model parameters. In this paper, the correlation between normal condition ignition risk, peak ground acceleration, and PEFI risk is examined in an effort to offer a means for predicting post-earthquake ignition events. An illustrative example is presented to demonstrate how such correlation can be employed in a seismic area to predict PEFI hazard.

Keywords: fire risk, post-earthquake fire ignition (PEFI), risk management, seismicity

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Authors: Sunita Patel

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Cardiovascular diseases are the leading cause of morbidity as well as mortality in India. Objective of this study is to examine CVDs prevalence and identify their behavioral and cultural risk factors with the help of SAGE-2007 data conducted on 6th states in India. Findings reveal that 18.3% of people diagnosed with CVDs in India. Higher disease occurs in an increasing rate between ages of 30-39 having OR 2.45 (CI: 1.66-3.63) and 70+ age OR 7.45 (CI: 4.82-11.49) times higher compare to 18-29 age group respectively. Wealth quintile higher CVD occurs as 3rd in 60% (CI: 1.16-2.21) and in richest 5th quintile 58% (CI: 1.13-2.21) contrast to lowest quintile. Relative risk depicted that 22.4% in moderate and 44% in vigorous activity have less chance of diseases compare to who performed no work and those who consumed alcohol. Results reveal that policy prospect should be recommended and that it would be beneficial for awareness of people and their future.

Keywords: behavioral risk, cultural risk, cardio-vascular diseases, wealth quintile

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Authors: George Mariano Soriano

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In this study, a Rapid Earthquake Risk Ranking Criteria was formulated by integrating various existing maps and databases by the Department of Public Works and Highways (DPWH) and Philippine Institute of Volcanology and Seismology (PHIVOLCS). Utilizing Geographic Information System (GIS) software, the above-mentioned maps and databases were used in extracting seismic hazard parameters and bridge vulnerability characteristics in order to rank the seismic damage risk rating of bridges in the National Capital Region.

Keywords: bridge, earthquake, GIS, hazard, risk, vulnerability

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Authors: Mustafa M. Donma, Orkide Donma

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A well-defined insulin resistance (IR) is one of the requirements for the good understanding and evaluation of metabolic syndrome (MetS). However, underlying causes for the development of IR are not clear. Endothelial dysfunction also participates in the pathogenesis of this disease. IR indices are being determined in various obesity groups and also in diagnosing MetS. Components of MetS have been well established and used in adult studies. However, there are some ambiguities particularly in the field of pediatrics. The aims of this study were to compare the performance of fasting blood glucose (FBG), one of MetS components, with some other IR indices and check whether FBG may be replaced by some other parameter or ratio for a better evaluation of pediatric MetS. Five-hundred and forty-nine children were involved in the study. Five groups were constituted. Groups 109, 40, 100, 166, 110, 24 children were included in normal-body mass index (N-BMI), overweight (OW), obese (OB), morbid obese (MO), MetS with two components (MetS2) and MetS with three components (MetS3) groups, respectively. Age and sex-adjusted BMI percentiles tabulated by World Health Organization were used for the classification of obesity groups. MetS components were determined. Aside from one of the MetS components-FBG, eight measures of IR [homeostatic model assessment of IR (HOMA-IR), homeostatic model assessment of beta cell function (HOMA-%β), alanine transaminase-to-aspartate transaminase ratio (ALT/AST), alanine transaminase (ALT), insulin (INS), insulin-to-FBG ratio (INS/FBG), the product of fasting triglyceride and glucose (TyG) index, McAuley index] were evaluated. Statistical analyses were performed. A p value less than 0.05 was accepted as the statistically significance degree. Mean values for BMI of the groups were 15.7 kg/m², 21.0 kg/m², 24.7 kg/m², 27.1 kg/m², 28.7 kg/m², 30.4 kg/m² for N-BMI, OW, OB, MO, MetS2, MetS3, respectively. Differences between the groups were significant (p < 0.001). The only exception was MetS2-MetS3 couple, in spite of an increase detected in MetS3 group. Waist-to-hip circumference ratios significantly differed only for N-BMI vs, OB, MO, MetS2; OW vs MO; OB vs MO, MetS2 couples. ALT and ALT/AST did not differ significantly among MO-MetS2-MetS3. HOMA-%β differed only between MO and MetS2. INS/FBG, McAuley index and TyG were not significant between MetS2 and MetS3. HOMA-IR and FBG were not significant between MO and MetS2. INS was the only parameter, which showed statistically significant differences between MO-MetS2, MO-MetS3, and MetS2-MetS3. In conclusion, these findings have suggested that FBG presently considered as one of the five MetS components, may be replaced by INS during the evaluation of pediatric morbid obesity and MetS.

Keywords: children, insulin resistance indices, metabolic syndrome, obesity

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Authors: Mohamed Fairooz Abdul Khir

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The linkage between liability for risk and legitimacy of reward is a governing principle that must be fully observed in financial transactions. It is the cornerstone of any Islamic business or financial deal. The absence of risk taking principle may give rise to numerous prohibited elements such as ribā, gharar and gambling that violate the objectives of financial transactions. However, fiqhī domains from which it emanates have not been clearly spelled out by the scholars. In addition, the concept of risk taking in relation to contemporary risks associated with financial contracts, such as credit risk, liquidity risk, reputational risk and market risk, needs further scrutiny as regard their Sharīʿah bases. Hence, this study is imperatively significant to prove that absence of risk taking concept in Islamic financial instruments give rise to prohibited elements particularly ribā. This study is primarily intended to clarify the concept of risk in Islamic financial transactions from the fiqhī perspective and evaluate analytically the selected issues involving risk taking based on the established concept of risk taking from fiqhī viewpoint. The selected issues are amongst others charging cost of fund on defaulting customers, holding the lessee liable for total loss of leased asset under ijārah thumma al-bayʿ and capital guarantee under mushārakah based instruments. This is a library research in which data has been collected from various materials such as classical fiqh books, regulators’ policy guidelines and journal articles. This study employed deductive and inductive methods to analyze the data critically in search for conclusive findings. It suggests that business risks have to be evaluated based on their subjects namely (i) property (māl) and (ii) work (ʿamal) to ensure that Islamic financial instruments structured based on certain Sharīʿah principles are not diverted from the risk taking concept embedded in them. Analysis of the above selected cases substantiates that when risk taking principle is breached, the prohibited elements such as ribā, gharar and maysir do arise and that they impede the realization of the maqāṣid al-Sharīʿah intended from Islamic financial contracts.

Keywords: Islamic finance, ownership risk, ribā, risk taking

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Authors: Yuan Tian, Benhe Gao

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This paper aims to investigate a two stage supply chain of one leading supplier and one following retailer that experiences two factors perturbation out of supplier's production cost, retailer's marginal cost and retail price in stochastic demand environment. Granted that risk neutral condition has long been discussed, little attention has been given to disruptions under the premise of risk neutral supplier and risk aversion retailer. We establish the optimal order quantity and revealed the profit distribution coefficient in risk-neutral static model, make adjustment under disruption scenario, and then select utility function method for risk aversion model. Using buy-back contract policy, the improvement of parameters can achieve channel coordination where Pareto optimal is realized.

Keywords: supply chain coordination, disruption management, buy-back contract, lose aversion

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Authors: Ezri Coda, Kris Justine Miparanum, Relvin Jay Sale

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The study dealt on suicide risk level of college students in UM Tagum College. The primary goal of the study was to assess the level of suicide risk among students at the UM Tagum College in terms of perceived burdensomeness, low belongingness/social alienation and acquired ability to enact lethal self-injury utilizing quantitative non- experimental study with 380 students in UM Tagum College as respondents of the study. Mean was the statistical tools used for the data treatment. Moreover, the study aims to determine the mean of the level of the suicide risk assessment in terms of program, type of student, age, year level, civil status and gender, and lastly, to design an intervention program for those identified students with high suicide risk. Results showed a low level of suicide risk in terms of perceived burdensomeness, low belongingness/social alienation and acquired ability to enact lethal self-injury.

Keywords: suicide risk, perceived burdensomeness, low belongingness/social alienation, acquired ability to enact lethal self-injury, UM Tagum College, Philippines

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Authors: Mohamed Chabi

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The project of helping students at risk started at the Math department in the new foundation program at Qatar University in the fall 2012 semester. The purpose was to find ways to help students who were struggling with their math courses Elementary algebra or Precalculus course due to many factors. Department had formed the Committee “students at Risk” at the start of 12-13 to assist struggling students in our math courses to get their studies on track. A mechanism was developed to support students who are at risk using a developed E-Monitoring system. E-Monitoring system was developed to manage automatically all transactions relevant to the students’ attendance, Students ‘‘warning Students’’ grading, etc. E-Monitoring System produce various statistics such as, Overall course statistics, Performance, Students at Risk… to help department to develop a higher quality of education in the Foundation Program at Math department. The mechanism was studies and evaluated. Whatever the cause, the sooner we identify students who are not performing well academically, the sooner we can provide, or direct them to the resources that are available to them. In this paper, we outline the mechanism and its effect on students’ performance. The collected data from various exams shows that students had benefited from the mechanism.

Keywords: students at risk, e-monitoring system, warning students, performance

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Authors: Puttharapong Sakulwaropas, Uraiwan Jaroengeratikun

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Casualty insurance business, the optimal premium pricing and adequate cost for an insurance company are important in risk management. Normally, the insurance pure premium can be determined by multiplying the claim frequency with the claim cost. The aim of this research was to study in the application of generalized linear models to select the risk factor for model of claim frequency and claim cost for estimating a pure premium. In this study, the data set was the claim of comprehensive motor insurance, which was provided by one of the insurance company in Thailand. The results of this study found that the risk factors significantly related to pure premium at the 0.05 level consisted of no claim bonus (NCB) and used of the car (Car code).

Keywords: generalized linear models, risk factor, pure premium, regression model

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Authors: Aparna Lal, Ashwin Swaminathan, Teisa Holani

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Background: Clostridium difficile infections (CDIs) have been on the rise globally. In Australia, rates of CDI in all States and Territories have increased significantly since mid-2011. Identifying risk factors for CDI in the community can help inform targeted interventions to reduce infection. Methods: We examine the role of neighbourhood socio-economic status, demography, testing practices and the number of residential aged care facilities on spatial patterns in CDI incidence in the Australian Capital Territory. Data on all tests conducted for CDI were obtained from ACT Pathology by postcode for the period 1st January 2004 through 31 December 2014. Distribution of age groups and the neighbourhood Index of Relative Socio-economic Advantage Disadvantage (IRSAD) were obtained from the Australian Bureau of Statistics 2011 National Census data. A Bayesian spatial conditional autoregressive model was fitted at the postcode level to quantify the relationship between CDI and socio-demographic factors. To identify CDI hotspots, exceedance probabilities were set at a threshold of twice the estimated relative risk. Results: CDI showed a positive spatial association with the number of tests (RR=1.01, 95% CI 1.00, 1.02) and the resident population over 65 years (RR=1.00, 95% CI 1.00, 1.01). The standardized index of relative socio-economic advantage disadvantage (IRSAD) was significantly negatively associated with CDI (RR=0.74, 95% CI 0.56, 0.94). We identified three postcodes with high probability (0.8-1.0) of excess risk. Conclusions: Here, we demonstrate geographic variations in CDI in the ACT with a positive association of CDI with socioeconomic disadvantage and identify areas with a high probability of elevated risk compared with surrounding communities. These findings highlight community-based risk factors for CDI.

Keywords: spatial, socio-demographic, infection, Clostridium difficile

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Authors: Oyuntsetseg Sandag, Lkhagvadorj Khosbayar, Naidansuren Tsendeekhuu, Densenbal Dansran, Bandi Solongo

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Introduction: Obstructive sleep apnea (OSA) is a common disorder affecting at least 2% to 4% of the adult population. It is estimated that nearly 80% of men and 93% of women with moderate to severe sleep apnea are undiagnosed. A number of screening questionnaires and clinical screening models have been developed to help identify patients with OSA, also it’s indeed to clinical practice. Purpose of study: Determine dependence of obstructive sleep apnea between for severe risk and risk factor. Material and Methods: A cross-sectional study included 114 patients presenting from theCentral state 3th hospital and Central state 1th hospital. Patients who had obstructive sleep apnea (OSA)selected in this study. Standard StopBang questionnaire was obtained from all patients.According to the patients’ response to the StopBang questionnaire was divided into low risk, intermediate risk, and high risk.Descriptive statistics were presented mean ± standard deviation (SD). Each questionnaire was compared on the likelihood ratio for a positive result, the likelihood ratio for a negative test result of regression. Statistical analyses were performed utilizing SPSS 16. Results: 114 patients were obtained (mean age 48 ± 16, male 57)that divided to low risk 54 (47.4%), intermediate risk 33 (28.9%), high risk 27 (23.7%). Result of risk factor showed significantly increasing that mean age (38 ± 13vs. 54 ± 14 vs. 59 ± 10, p<0.05), blood pressure (115 ± 18vs. 133 ± 19vs. 142 ± 21, p<0.05), BMI(24 IQR 22; 26 vs. 24 IQR 22; 29 vs. 28 IQR 25; 34, p<0.001), neck circumference (35 ± 3.4 vs. 38 ± 4.7 vs. 41 ± 4.4, p<0.05)were increased. Results from multiple logistic regressions showed that age is significantly independently factor for OSA (odds ratio 1.07, 95% CI 1.02-1.23, p<0.01). Predictive value of age was significantly higher factor for OSA (AUC=0.833, 95% CI 0.758-0.909, p<0.001). Our study showing that risk of OSA is beginning 47 years old (sensitivity 78.3%, specifity74.1%). Conclusions: According to most of all patients’ response had intermediate risk and high risk. Also, age, blood pressure, neck circumference and BMI were increased such as risk factor was increased for OSA. Especially age is independently factor and highest significance for OSA. Patients’ age one year is increased likelihood risk factor 1.1 times is increased.

Keywords: obstructive sleep apnea, Stop-Bang, BMI (Body Mass Index), blood pressure

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Authors: Shakila Singh

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This research was conducted at a selected South African university campus with women students who drink alcohol. The purpose of the study was to examine their perspectives on the role of alcohol in their lives, their understandings about women’s vulnerability to alcohol-related sexual risk and their strategies against these. The study draws on feminist principles and practices to challenge gendered inequalities that legitimate and facilitate violence against women. Recognising the danger of focusing on risk management in ways that place the burden of responsibility entirely on young women to prevent their violation, this article focuses on women students’ agency in managing risk while taking up opportunities for self-discovery. Participation was voluntary, and a student-researcher administered an open-ended questionnaire to 55 participants. The findings suggest that young women position alcohol- use as a common activity at university, and that it gives them much pleasure. They recognise that it is riskier for women and articulate valuable strategies to manage the risk to their sexual safety when drinking. These include drinking within supportive networks, avoiding financial dependence, and managing their alcohol intake. This article argues that alcohol at university is an integral part of expressions of gender and sexuality and that risk-taking is a normal part of university students’ lives. Consequently, arguments about equality need to consider risk-taking as part of young people’s lives and promote ways of managing alcohol-related risks, rather than imagining that alcohol can be avoided entirely.

Keywords: alcohol-related sexual risk, drinking at university, managing risk, women students

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Authors: Natalia Kalinowska

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The adoption of the General Data Protection Regulation, (GDPR) finished the four-year work of the European Commission in this area in the European Union. Considering far-reaching changes, which will be applied by GDPR, the European legislator envisaged two-year transitional period. Member states and companies have to prepare for a new regulation until 25 of May 2018. The idea, which becomes a new look at an attitude to data protection in the European Union is risk-based approach. So far, as a result of implementation of Directive 95/46/WE, in many European countries (including Poland) there have been adopted very particular regulations, specifying technical and organisational security measures e.g. Polish implementing rules indicate even how long password should be. According to the new approach from May 2018, controllers and processors will be obliged to apply security measures adequate to level of risk associated with specific data processing. The risk in GDPR should be interpreted as the likelihood of a breach of the rights and freedoms of the data subject. According to Recital 76, the likelihood and severity of the risk to the rights and freedoms of the data subject should be determined by reference to the nature, scope, context and purposes of the processing. GDPR does not indicate security measures which should be applied – in recitals there are only examples such as anonymization or encryption. It depends on a controller’s decision what type of security measures controller considered as sufficient and he will be responsible if these measures are not sufficient or if his identification of risk level is incorrect. Data protection regulation indicates few levels of risk. Recital 76 indicates risk and high risk, but some lawyers think, that there is one more category – low risk/now risk. Low risk/now risk data processing is a situation when it is unlikely to result in a risk to the rights and freedoms of natural persons. GDPR mentions types of data processing when a controller does not have to evaluate level of risk because it has been classified as „high risk” processing e.g. processing on a large scale of special categories of data, processing with using new technologies. The methodology will include analysis of legal regulations e.g. GDPR, the Polish Act on the Protection of personal data. Moreover: ICO Guidelines and articles concerning risk based approach in GDPR. The main conclusion is that an appropriate risk assessment is a key to keeping data safe and avoiding financial penalties. On the one hand, this approach seems to be more equitable, not only for controllers or processors but also for data subjects, but on the other hand, it increases controllers’ uncertainties in the assessment which could have a direct impact on incorrect data protection and potential responsibility for infringement of regulation.

Keywords: general data protection regulation, personal data protection, privacy protection, risk based approach

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Authors: Niya Chen, Jennifer Chan

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In the financial market, risk management helps to minimize potential loss and maximize profit. There are two ways to assess risks; the first way is to calculate the risk directly based on the volatility. The most common risk measurements are Value at Risk (VaR), sharp ratio, and beta. Alternatively, we could look at the quantile of the return to assess the risk. Popular return models such as GARCH and stochastic volatility (SV) focus on modeling the mean of the return distribution via capturing the volatility dynamics; however, the quantile/expectile method will give us an idea of the distribution with the extreme return value. It will allow us to forecast VaR using return which is direct information. The advantage of using these non-parametric methods is that it is not bounded by the distribution assumptions from the parametric method. But the difference between them is that expectile uses a second-order loss function while quantile regression uses a first-order loss function. We consider several quantile functions, different volatility measures, and estimates from some volatility models. To estimate the expectile of the model, we use Realized Conditional Autoregressive Expectile (CARE) model with the bayesian method to achieve this. We would like to see if our proposed models outperform existing models in cryptocurrency, and we will test it by using Bitcoin mainly as well as Ethereum.

Keywords: expectile, CARE Model, CARR Model, quantile, cryptocurrency, Value at Risk

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Authors: Seyedmohammad Mousavian, Hanlu Fan, Quingliang Tang

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Climate change is emerging as a severe threat to our society, so businesses are expected to take actions to mitigate carbon emissions. However, the actions to be taken depend on managers’ perceptions of climate change risks. Yet, there is scant research on this issue, and understanding of the determinants of corporate perceptions of climate change is extremely limited. The purpose of this study is to close this gap by examining the relationship between perceptions of climate risk and firm-level and country-level factors. In this study, climate change risk captures physical, regulatory, and other risks, and we use data from European companies that participated in CDP from 2010 to 2017. This study reveals those perceptions of climate change risk are significantly positively associated with the environmental, social, and governance score, firm size, and membership in a carbon-intensive sector. In addition, we find that managers in firms operating in a geographic area that is sensitive to the consequences of global warming are more likely to perceive and formally recognize carbon-related risks in their CDP reports.

Keywords: carbon actions, CDP, climate change risk, risk perception

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Authors: S. U. Kunya, S. A. Mohammad

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Construction projects in Nigeria are characterized with risks emanating from delays and accompanying cost-overruns. The aim of the study was to identify and assess factors constraining the utilization of risk management strategies in the execution of public construction project in North-East Nigeria. Data was collected with the aid of a well-structured questionnaire administered to three identified projects in the North-east. Data collected were analysed using the severity index. Findings revealed political involvement, selection of inexperienced contractors and lack of coordinated public sector strategy as the most severe factors constraining the utilization of risk management strategies. The study recommended that: formulation of laws to prevent negative political meddling in construction projects; selection of experienced, risk-informed contractors; and comprehensive risk assessment and planning on all public construction projects.

Keywords: factors, Nigeria, north-east, public projects, risk management, strategies, utilization

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Authors: Saleh Alzahrani, Halim Boussabaine

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The majority of Public Private Partnership (PPP) are developed based on the rationale that the design, construction, operation, and financing of a public project is to be awarded to a private party within a single contractual framework. PPP project risks normally include the development and construction of a new asset as well as its operation for decades. Undoubtedly the most serious consequences of risks during the construction period are price and time overruns. These events are amongst the most broadly used scenarios in value for money analysis risks. The sources of risk change over the life cycle of a PPP project. In traditional procurement, the public sector normally has to cover all price distress from these risks. At least there is plenty evidence to suggest that price distress is a norm in some of the projects that are delivered under traditional procurement. This paper will find the impact of construction risk factors into actual construction price into PPP projects. The paper will present a brief literature review on PPP risk pricing strategies, and then using system dynamics (SD) to analyses of the risks associated with the estimated project price. Based on the finding from these analyses a risk pricing association model is presented and discussed. The paper concludes with thoughts for future research.

Keywords: Public Private Partnership (PPP), Risk, Risk Pricing, System Dynamics (SD), construction price

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Authors: Ahmed A. M. Shoaib, Heba A. Esaily, Mahmoud M. Emara, Eman A. E. Badr, Amany S. Khalifa, Mayada M. M., Abdel-Raizk

Abstract:

Background: DM is associated with metabolic bone diseases, osteoporosis, low-impact fractures and falls in geriatrics. Fetuin-A, which is a serum protein produced by the liver and promotes bone mineralization, is an independent risk factor for type 2 diabetes. Aim: Evaluation of fetuin-A level and bone mineral density in postmenopausal Egyptian female patients with type 2 diabetes mellitus and their correlation with each other & with other metabolic parameters. Patients and methods: Seventy postmenopausal female patients with type II diabetes and thirty postmenopausal female as control were included in this study. Measurement of Fetuin-A together with metabolic parameters and DXA in wrist, hip and spine, ALP, CBC, FBS, PP2H and HBA1c was done in all participants. Results: - Fetuin-A level was found to be highly significant (p< 0.001) between diabetic and nondiabetic groups and negatively correlated with BMD in spine. No difference in BMD was found between patients and control groups while significant negative correlation was found between FBS and hip BMD (<0.05) and between 2hpp and HBA1c with spine BMD in the diabetic group (<0.05). Osteoporosis represented 12.9% in spine area and 7.2% in hip and wrist areas in diabetic patients, while osteopenia were found in 58.5%, 57.1%, and 37.1% in diabetic patients in spine, wrist, and hip respectively. Conclusion: - type II diabetes cannot be considered as a risk factor for osteoporosis; while glycemic parameters (FBS, 2hpp & HBA1c) and serum Fetuin-A levels were correlated with BMD in diabetics. Good glycemic control can be protective against osteoporosis in diabetic elderly.

Keywords: fetuin-A, BMD, postmenopausal, DM type II

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Authors: Montserrat Guillen, Stephania Mosquera-Lopez, Jorge Uribe

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An empirical study of market risk transmission between electricity prices in the Nord Pool interconnected market is done. Crucially, it is differentiated between risk propagation in the two tails of the price variation distribution. Thus, the downside risk from upside risk spillovers is distinguished. The results found document an asymmetric nature of risk and risk propagation in the two tails of the electricity price log variations. Risk spillovers following price increments in the market are transmitted to a larger extent than those after price reductions. Also, asymmetries related to both, the size of the transaction area and related to whether a given area behaves as a net-exporter or net-importer of electricity, are documented. For instance, on the one hand, the bigger the area of the transaction, the smaller the size of the volatility shocks that it receives. On the other hand, exporters of electricity, alongside countries with a significant dependence on renewable sources, tend to be net-transmitters of volatility to the rest of the system. Additionally, insights on the predictive power of positive and negative semivariances for future market volatility are provided. It is shown that depending on the forecasting horizon, downside and upside shocks to the market are featured by a distinctive persistence, and that upside volatility impacts more on net-importers of electricity, while the opposite holds for net-exporters.

Keywords: electricity prices, realized volatility, semivariances, volatility spillovers

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Authors: Zidane Abderrezzaq

Abstract:

In contrast to recent successful developments in macro monetary policies, the modelling, measurement and management of systemic financial stability has remained problematical. Indeed, the focus of most effort has been on improving individual, rather than systemic, bank risk management; the Basel II objective has been to bring regulatory bank capital into line with the (sophisticated) banks’ assessment of their own economic capital. Even at the individual bank level there are concerns over appropriate diversification allowances, differing objectives of banks and regulators, the need for a buffer over regulatory minima, and the distinction between expected and unexpected losses (EL and UL). At the systemic level the quite complex and prescriptive content of Basel II raises dangers of ‘endogenous risk’ and procyclicality. Simulations suggest that this latter could be a serious problem. In an extension to the main analysis we study how liquidity effects interact with banking structure to produce a greater chance of systemic breakdown. We finally consider how the risk of contagion might depend on the degree of asymmetry (tiering) inherent in the structure of the banking system. A number of our results have important implications for public policy, which this paper also draws out.

Keywords: systemic stability, financial regulation, credit risk, systemic risk

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Authors: Wassamon Kun-Amornpong

Abstract:

When a financial crisis occurs, there will be a law and regulatory reform in order to manage the turmoil and prevent a future crisis. One of the most important regulatory efforts to help cope with systemic risk and a financial crisis is the third version of the Basel Accord. Basel III has introduced some measures and tools (e.g., systemic risk buffer, countercyclical buffer, capital conservation buffer and liquidity risk) in order to mitigate systemic risk. Nevertheless, the effectiveness of these measures in Basel III in adequately addressing the problem of contagious runs that can quickly spread throughout the financial system is questionable. This paper seeks to contribute to the knowledge regarding the role of the Basel Accords in mitigating systemic risk. The research question is to what extent the Basel Accords can help control systemic risk in the financial markets? The paper tackles this question by analysing the concept of systemic risk. It will then examine the weaknesses of the Basel Accords before and after the Global financial crisis in 2008. Finally, it will suggest some possible solutions in order to improve the Basel Accord. The rationale of the study is the fact that academic works on systemic risk and financial crises are largely studied from economic or financial perspective. There is comparatively little research from the legal and regulatory perspective. The finding of the paper is that there are some problems in all of the three pillars of the Basel Accords. With regards to Pillar I, the risk model is excessively complex while the benefits of its complexity are doubtful. Concerning Pillar II, the effectiveness of the risk-based supervision in preventing systemic risk still depends largely upon its design and implementation. Factors such as organizational culture of the regulator and the political context within which the risk-based supervision operates might be a barrier against the success of Pillar II. Meanwhile, Pillar III could not provide adequate market discipline as market participants do not always act in a rational way. In addition, the too-big-to-fail perception reduced the incentives of the market participants to monitor risks. There has been some development in resolution measure (e.g. TLAC and MREL) which might potentially help strengthen the incentive of the market participants to monitor risks. However, those measures have some weaknesses. The paper argues that if the weaknesses in the three pillars are resolved, it can be expected that the Basel Accord could contribute to the mitigation of systemic risk in a more significant way in the future.

Keywords: Basel accords, financial regulation, risk-based supervision, systemic risk

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