Search results for: risk based index

Authors: Dany Ng Cheong Vee, Preethee Nunkoo Gonpot, Noor Sookia

Abstract:

In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The Value at Risk, for a set of indices, from six Stock Exchanges of Frontier markets is calculated using the Peaks over Threshold method and the performance of the model index-wise is evaluated using coverage tests and loss functions. Our results show that 'fat-tailedness' alone of the data is not enough to justify the use of EVT as a VaR approach. The structure of the returns dynamics is also a determining factor. This approach works fine in markets which have had extremes occurring in the past thus making the model capable of coping with extremes coming up (Colombo, Tunisia and Zagreb Stock Exchanges). On the other hand, we find that indices with lower past than present volatility fail to adequately deal with future extremes (Mauritius and Kazakhstan). We also conclude that using EVT alone produces quite static VaR figures not reflecting the actual dynamics of the data.

Keywords: extreme value theory, financial crisis 2008, value at risk, frontier markets

Procedia PDF Downloads 261

Authors: Wlodzimierz Ogryczak, Michal Przyluski, Tomasz Sliwinski

Abstract:

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

Procedia PDF Downloads 386

Authors: Mahmut Yildirim

Abstract:

This paper proposed the bidirectional long short-term memory (Bi-LSTM) network-aided deep learning (DL)-based signal detection for Orthogonal frequency division multiplexing with all index modulation (OFDM-AIM), namely Bi-DeepAIM. OFDM-AIM is developed to increase the spectral efficiency of OFDM with index modulation (OFDM-IM), a promising multi-carrier technique for communication systems beyond 5G. In this paper, due to its strong classification ability, Bi-LSTM is considered an alternative to the maximum likelihood (ML) algorithm, which is used for signal detection in the classical OFDM-AIM scheme. The performance of the Bi-DeepAIM is compared with LSTM network-aided DL-based OFDM-AIM (DeepAIM) and classic OFDM-AIM that uses (ML)-based signal detection via BER performance and computational time criteria. Simulation results show that Bi-DeepAIM obtains better bit error rate (BER) performance than DeepAIM and lower computation time in signal detection than ML-AIM.

Keywords: bidirectional long short-term memory, deep learning, maximum likelihood, OFDM with all index modulation, signal detection

Procedia PDF Downloads 40

Authors: Libena Cernohorska, Barbora Sutorova, Petr Teply

Abstract:

There are pending discussions over an impact of global regulatory efforts on banks. In this paper we present a literature review on the profitability-risk-capital relationship in banking. Research papers dealing with this topic can be divided into two groups: the first group focusing on a capital-risk relationship and the second group analyzing a capital-profitability relationship. The first group investigates whether the imposition of stricter capital requirements reduces risk-taking incentives of banks based on a simultaneous equations model. Their model pioneered the idea that the changes in both capital and risk have endogenous and exogenous components. The results obtained by the authors indicate that changes in the capital level are positively related to the changes in asset risk. The second group of the literature concentrating solely on the relationship between the level of held capital and bank profitability is limited. Nevertheless, there are a lot of studies dealing with the banks’ profitability as such, where bank capital is very often included as an explanatory variable. Based on the literature review of dozens of relevant papers in this study, an empirical research on banks’ profitability and risk adjustment decisions under new banking rules Basel III rules can be easily undertaken.

Keywords: bank, Basel III, capital, decision making, profitability, risk, simultaneous equations model

Procedia PDF Downloads 471

Authors: Ali Abdullah Albezaghi

Abstract:

This article aims to introduce a conceptual framework that can facilitate investigations concerning the role of risk management practices in the relationship between construction risks and the construction project's performance. This article is structured based on the extant literature; it reviews theoretical perspectives, highlights the gaps, and illustrates the significance of developing a framework of suggested relationships. Despite growing interest in the role of risks in construction project performance, previous studies have paid little attention to investigating the moderating role of risk management practices on the risk-performance link. This has left researchers and construction project managers with minimal information to explain the conditions under which risk management practices can reduce the impact of project-related risks and improve performance. In this context, this article suggests a viable research model with propositions that assess risk-performance relationships and discusses the potential moderating effects on the domain relationship. This paper adds to the risk management literature by focusing on risk variables that directly impact performance. Further, it also considers the moderating role of risk management practices in such relationships.

Keywords: risk management practices, external risks, internal risks, project risks, project performance

Procedia PDF Downloads 109

Authors: Muhammad Wasif, Asif Ahmed Shaikh, Sarosh Hashmat Lodi, Muhammad Aslam Bhutto, Riazuddin

Abstract:

Risk Management System is quite popular in profit- based organizations, health and safety and project management fields since the last few decades. But due to rapidly changing environment and requirement of ISO 9001:2015 standards, public-sector institution, especially higher education institutes are also performing risk assessment to monitor the performance of the institution and aligning it with the latest benchmark. In this context, NED University of Engineering and Technology performed research and developed a Standard Operating Procedure (SOP) for the risk assessment, its monitoring and control. In this research, risks are broken into the four sources, namely; Internal Academics Risks, External Academics Risks, Internal Non-academic Risks, External Non-academic Risks. Risks are identified by the management at all levels. Severity and likelihood of the risks are assigned based on the previous audit results and the customer complains. Risk Ratings are calculated to orderly arrange the risk according to the Risk Rating, and controls for the risks are designed, which are assigned to the responsible person. At the end of the article, result and analysis on the different sources of risk are discussed in details and the conclusion is drawn. Discussion on few sample risks are presented in this article. Hence it is presented in the research that the Risk Management System can be applied in a Higher Education Institute to effectively control the risks which might affect the scope and Quality Management System of an organization.

Keywords: higher education, quality management system, risk assessment, risk management

Procedia PDF Downloads 282

Authors: Pui Yong Leo, Normy Maziah Mohd Said

Abstract:

Change of global economy landscape and business environment has led to companies’ decision to go global and enter international markets. As the companies go beyond the comfort zone (i.e. investing in the home country), it is important to ensure a comprehensive risk assessment is carried out. This paper describes a standardized approach for international investment, ensuring identification of risk, risk appetite, risk rating, risk treatment and mitigation plans for respective international investment proposal. The standardized approach is divided into three (3) stages as follows: Stage 1 – Preliminary Risk profiling; with the objective to gauge exposure to countries and high level risk factors as first level assessment. Stage 2 – Risk Parameters; with the objective to define risk appetite for the international investment from the perspective of likelihood and impact. Stage 3 – Detailed Risk Assessments; with the objectives to assess in detail any triggered elements from Stage 1, and project specific risks. The final output will include the mitigation plans for the identified risks for the total investment. Example will be given in this paper to show how comprehensive risk assessment is carried out for an international investment in power energy sector.

Keywords: international investment, mitigation plans, risk appetite, risk assessment

Procedia PDF Downloads 359

Authors: Ji-Yuan Lin, Yu-Ming Liou, Yi-Ting Chen, Chen-Syuan Lin

Abstract:

Soil water index obtained by tank model is now commonly used in soil and sand disaster alarm system in Japan. Comparing with the rainfall trigging index in Taiwan, the tank model is easy to predict the slope water content on large-scale landslide. Therefore, this study aims to estimate the threshold value of large-scale landslide using the soil water index Sixteen typhoons and heavy rainfall events, were selected to establish the, to relationship between landslide event and soil water index. Finally, the proposed threshold values for landslides on country road No.89 are suggested in this study. The study results show that 95% landslide cases occurred in soil water index more than 125mm, and 30% of the more serious slope failure occurred in the soil water index is greater than 250mm. Beside, this study speculates when soil water index more than 250mm and the difference value between second tank and third tank less than -25mm, it leads to large-scale landslide more probably.

Keywords: soil water index, tank model, landslide, threshold values

Procedia PDF Downloads 365

Authors: Mohamed Fairooz Abdul Khir

Abstract:

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

Procedia PDF Downloads 310

Authors: Armenia Nazar, Sally M. J. Anggelya, Rose Dinda

Abstract:

Hypertension prevalence in Indonesian has increased from time to time since 2013, especially in women. This cross-sectional analysis study was made to observe the incidence of hypertension on the reproductive women (20-49 years old) with several risk factors who use contraceptive pills. Data was collected from June - October 2016 in the Andalas Public Health Center, East Padang District, Indonesia. An amount of 167 respondents who were taken using consecutive sampling technique were participate in this study. Data of social demography, contraceptive used, duration of use, hypertension risk factors (age, family history, central obesity, body mass index, physical activity, and stress) were collected and analyzed statistically using Chi-Square analysis. Significant was taken at p < 0.05. Results showed that the woman with contraceptive pill was tent to get hypertension (OR = 3,90 and p < 0,001). In addition, woman with a family history OR of 6,77 (p = 0,09), mild physical activity OR of 3,67 (p = 0,33), moderate physical activity OR of 3,33 (p = 0,16), and stressed OR of 5.11 (p = 0.18). These indicated that the contraceptive pill user is 3.9 times more risk to develop hypertension than non-users, especially one with a family history of hypertension. Other risk factors were not associated with hypertension risk in these sex productive women.

Keywords: hypertension, oral contraceptive, sex productive woman, risk factors

Procedia PDF Downloads 278

Authors: Melese Wondatir

Abstract:

Flooding ranks among the most destructive natural disasters, impacting millions of individuals globally and resulting in substantial economic, social, and environmental repercussions. This study's objective was to create a comprehensive model that assesses the Nile River basin's susceptibility to flood damage and improves existing flood risk management strategies. Authorities responsible for enacting policies and implementing measures may benefit from this research to acquire essential information about the flood, including its scope and susceptible areas. The identification of severe flood damage locations and efficient mitigation techniques were made possible by the use of geospatial data. Slope, elevation, distance from the river, drainage density, topographic witness index, rainfall intensity, distance from road, NDVI, soil type, and land use type were all used throughout the study to determine the vulnerability of flood damage. Ranking elements according to their significance in predicting flood damage risk was done using the Analytic Hierarchy Process (AHP) and geospatial approaches. The analysis finds that the most important parameters determining the region's vulnerability are distance from the river, topographic witness index, rainfall, and elevation, respectively. The consistency ratio (CR) value obtained in this case is 0.000866 (<0.1), which signifies the acceptance of the derived weights. Furthermore, 10.84m2, 83331.14m2, 476987.15m2, 24247.29m2, and 15.83m2 of the region show varying degrees of vulnerability to flooding—very low, low, medium, high, and very high, respectively. Due to their close proximity to the river, the northern-western regions of the Nile River basin—especially those that are close to Sudanese cities like Khartoum—are more vulnerable to flood damage, according to the research findings. Furthermore, the AUC ROC curve demonstrates that the categorized vulnerability map achieves an accuracy rate of 91.0% based on 117 sample points. By putting into practice strategies to address the topographic witness index, rainfall patterns, elevation fluctuations, and distance from the river, vulnerable settlements in the area can be protected, and the impact of future flood occurrences can be greatly reduced. Furthermore, the research findings highlight the urgent requirement for infrastructure development and effective flood management strategies in the northern and western regions of the Nile River basin, particularly in proximity to major towns such as Khartoum. Overall, the study recommends prioritizing high-risk locations and developing a complete flood risk management plan based on the vulnerability map.

Keywords: analytic hierarchy process, Blue Nile Basin, geospatial techniques, flood vulnerability, multi-criteria decision making

Procedia PDF Downloads 47

Authors: Samaneh Abolli, Mahdi Ahmadi Nasab, Kamyar Yaghmaeian, Mahmood Alimohammadi

Abstract:

The quality of drinking water, in addition to the presence of physicochemical parameters, depends on the type and geographical location of water sources. In this study, groundwater quality was investigated by sampling total dissolved solids (TDS), electrical conductivity (EC), total hardness (TH), Cl, Ca²⁺, and Mg²⁺ parameters in 13 sites, and 40 water samples were sent to the laboratory. Electrometric, titration, and spectrophotometer methods were used. In the next step, the water quality index (WQI) was used to investigate the impact and weight of each parameter in the groundwater. The results showed that only the mean of magnesium ion (40.88 mg/l) was lower than the guidelines of World Health Organization (WHO). Interpreting the WQI based on the WHO guidelines showed that the statuses of 21, 11, and 7 samples were very poor, poor, and average quality, respectively, and one sample had excellent quality. Among the studied parameters, the means of EC (2,087.49 mS/cm) and Cl (1,015.87 mg/l) exceeded the global and national limits. Classifying water quality of TH was very hard (87.5%), hard (7.5%), and moderate (5%), respectively. Based on the geographical distribution, the drinking water index in sites 4 and 11 did not have acceptable quality. Chloride ion was identified as the responsible pollutant and the most important ion for raising the index. The outputs of statistical tests and Spearman correlation had significant and direct correlation (p < 0.05, r > 0.7) between TDS, EC, and chloride, EC and chloride, as well as TH, Ca²⁺, and Mg²⁺.

Keywords: water quality index, groundwater, chloride, GIS, Garmsar

Procedia PDF Downloads 81

Authors: Saleh Alzahrani, Halim Boussabaine

Abstract:

Many of Public Private Partnership (PPP) are developed based on a public project is to be awarded to a private party within a one contractual framework. PPP project risks typically include the development and construction of a new asset as well as its operation. Certainly the most severe consequences of risks through the construction period are price and time overruns. These events are among the most generally used situation in value for money analysis risks. The sources of risk change during the time in PPP project. In traditional procurement, the public sector usually has to cover all prices suffering from these risks. At least there is plenty to suggest that price suffering is a norm in some of the projects that are delivered under traditional procurement. This paper will find the impact of exogenous 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)

Procedia PDF Downloads 525

Authors: Christian Skowronski, Andrew Shanholtzer, Brent Yelton, Muayad Almahariq, Daniel J. Krauss

Abstract:

Prostate cancer has the third highest incidence rate and is the second leading cause of cancer death for men in the United States. Of the diagnostic tools available for intermediate-risk prostate cancer, magnetic resonance imaging (MRI) provides superior soft tissue delineation serving as a valuable tool for both diagnosis and treatment planning. Currently, there is minimal data regarding the practical utility of MRI for evaluation of intermediate-risk prostate cancer. As such, the National Comprehensive Cancer Network’s guidelines indicate MRI as optional in intermediate-risk prostate cancer evaluation. This project aims to elucidate whether MRI affects radiation treatment decisions for intermediate-risk prostate cancer. This was a retrospective study evaluating 210 patients with intermediate-risk prostate cancer, treated with definitive radiotherapy at our institution between 2019-2020. NCCN risk stratification criteria were used to define intermediate-risk prostate cancer. Patients were divided into two groups: those with pretreatment prostate MRI, and those without pretreatment prostate MRI. We compared the use of external beam radiotherapy, brachytherapy alone, brachytherapy boost, and androgen depravation therapy between the two groups. Inverse probability of treatment weighting was used to match the two groups for age, comorbidity index, American Urologic Association symptoms index, pretreatment PSA, grade group, and percent core involvement on prostate biopsy. Wilcoxon Rank Sum and Chi-squared tests were used to compare continuous and categorical variables. Of the patients who met the study’s eligibility criteria, 133 had a prostate MRI and 77 did not. Following propensity matching, there were no differences between baseline characteristics between the two groups. There were no statistically significant differences in treatments pursued between the two groups: 42% vs 47% were treated with brachytherapy alone, 40% vs 42% were treated with external beam radiotherapy alone, 18% vs 12% were treated with external beam radiotherapy with a brachytherapy boost, and 24% vs 17% received androgen deprivation therapy in the non-MRI and MRI groups, respectively. This analysis suggests that pretreatment MRI does not significantly impact radiation therapy or androgen deprivation therapy decisions in patients with intermediate-risk prostate cancer. Obtaining a pretreatment prostate MRI should be used judiciously and pursued only to answer a specific question, for which the answer is likely to impact treatment decision. Further follow up is needed to correlate MRI findings with their impacts on specific oncologic outcomes.

Keywords: magnetic resonance imaging, prostate cancer, definitive radiotherapy, gleason score 7

Procedia PDF Downloads 66

Authors: Mustafa M. Donma, Orkide Donma

Abstract:

A growing list of cancers might be influenced by obesity. Obesity is associated with an increased risk for the occurrence and development of some cancers. Inflammation can lead to cancer. It is one of the characteristic features of cancer and plays a critical role in cancer development. C-reactive protein (CRP) is under evaluation related to the new and simple prognostic factors in patients with metastatic renal cell cancer. Obesity can predict and promote systemic inflammation in healthy adults. BMI is correlated with hs-CRP. In this study, SII index and CRP values were evaluated in children with normal BMI and those within the range of different obesity grades to detect the tendency towards cancer in pediatric obesity. A total of one hundred and ninety-four children; thirty-five children with normal BMI, twenty overweight (OW), forty-seven obese (OB) and ninety-two morbid obese (MO) participated in the study. Age- and sex-matched groups were constituted using BMI-for age percentiles. Informed consent was obtained. Ethical Committee approval was taken. Weight, height, waist circumference (C), hip C, head C and neck C of the children were measured. The complete blood count test was performed. C-reactive protein analysis was performed. Statistical analyses were performed using SPSS. The degree for statistical significance was p≤0.05. SII index values were progressively increasing starting from normal weight (NW) to MO children. There is a statistically significant difference between NW and OB as well as MO children. No significant difference was observed between NW and OW children, however, a correlation was observed between NW and OW children. MO constitutes the only group, which exhibited a statistically significant correlation between SII index and CRP. Obesity-related bladder, kidney, cervical, liver, colorectal, endometrial cancers are still being investigated. Obesity, characterized as a chronic low-grade inflammation, is a crucial risk factor for colon cancer. Elevated childhood BMI values may be indicative of processes leading to cancer, initiated early in life. Prevention of childhood adiposity may decrease the cancer incidence in adults. To authors’ best knowledge, this study is the first to introduce SII index values during obesity of varying degrees of severity. It is suggested that this index seems to affect all stages of obesity with an increasing tendency and may point out the concomitant status of obesity and cancer starting from very early periods of life.

Keywords: children, C-reactive protein, systemic immune-inflammation index, obesity

Procedia PDF Downloads 152

Authors: Sadie Khorramnia, Asha Bonney, Kate Galloway, Andrew Kyoong

Abstract:

Sleep plays a pivotal role in the registration and consolidation of memory. Multiple observational studies have demonstrated that self-reported sleep duration and sleep quality are associated with cognitive performance. Montreal Cognitive Assessment questionnaire is a screening tool to assess mild cognitive (MCI) impairment with a 90% diagnostic sensitivity. In our current study, we used MOCA to identify MCI in patients who underwent sleep study in our sleep department. We then looked at the clinical risk factors and sleep-related parameters in subjects found to have mild cognitive impairment but without a diagnosis of sleep-disordered breathing. Clinical risk factors, including physician, diagnosed hypertension, diabetes, and depression and sleep-related parameters, measured during sleep study, including percentage time of each sleep stage, total sleep time, awakenings, sleep efficiency, apnoea hypopnoea index, and oxygen saturation, were evaluated. A total of 90 subjects who underwent sleep study between March 2019 and October 2019 were included. Currently, there is no pharmacotherapy available for MCI; therefore, identifying the risk factors and attempting to reverse or mitigate their effect is pivotal in slowing down the rate of cognitive deterioration. Further characterization of sleep parameters in this group of patients could open up opportunities for potentially beneficial interventions.

Keywords: apnoea hypopnea index, mild cognitive impairment, sleep architecture, sleep study

Procedia PDF Downloads 127

Authors: Mathewos Temesgen, Lemi Geleta

Abstract:

Lake Koka is one of the Ethiopian Central Rift Valleys lakes, where the absorbance of domestic, agricultural, and industrial waste from the nearby industrial and agro-industrial activities is very common. The aim of this research was to assess the heavy metal bioaccumulation in edible parts of common carp (Cyprinus carpio) in Lake Koka and the health risks associated with the dietary intake of the fish. Three sampling sites were selected randomly for primary data collection. Physicochemical parameters (pH, Total Dissolved Solids, Dissolved Oxygen and Electrical Conductivity) were measured in-situ. Four heavy metals (Cd, Cr, Pb, and Zn) in water and bio-accumulation in the edible parts of the fish were analyzed with flame atomic absorption spectrometry. The mean values of TDS, EC, DO and pH of the lake water were 458.1 mg/L, 905.7 µ s/cm, 7.36 mg/L, and 7.9, respectively. The mean concentrations of Zn, Cr, and Cd in the edible part of fish were also 0.18 mg/kg, ND-0.24 mg/kg, and ND-0.03 mg/kg, respectively. Pb was, however, not identified. The amount of Cr in the examined fish muscle was above the level set by FAO, and the accumulation of the metals showed marked differences between sampling sites (p<0.05). The concentrations of Cd, Pb and were below the maximum permissible limit. The results also indicated that Cr has a high transfer factor value and Zn has the lowest. The carcinogenic hazard ratio values were below the threshold value (<1) for the edible parts of fish. The estimated weekly intake of heavy metals from fish muscles ranked as Cr>Zn>Cd, but the values were lower than the Reference Dose limit for metals. The carcinogenic risk values indicated a low health risk due to the intake of individual metals from fish. Furthermore, the hazard index of the edible part of fish was less than unity. Generally, the water quality is not a risk for the survival and reproduction of fish, and the heavy metal contents in the edible parts of fish exhibited low carcinogenic risk through the food chain.

Keywords: bio-accumulation, cyprinus carpio, hazard index, heavy metals, Lake Koka

Procedia PDF Downloads 90

Authors: Xu Wang

Abstract:

This research builds linear regressions of U.S. macroeconomic condition and volatility measures in the investment grade and high yield Credit Default Swap index spreads using monthly data from March 2009 to July 2016, to study the relationship between different dimensions of macroeconomy and overall credit risk quality. The most significant contribution of this research is systematically examining individual and joint effects of macroeconomic condition and volatility on CDX spreads by including macroeconomic time series that captures different dimensions of the U.S. economy. The industrial production index growth, non-farm payroll growth, consumer price index growth, 3-month treasury rate and consumer sentiment are introduced to capture the condition of real economic activity, employment, inflation, monetary policy and risk aversion respectively. The conditional variance of the macroeconomic series is constructed using ARMA-GARCH model and is used to measure macroeconomic volatility. The linear regression model is conducted to capture relationships between monthly average CDX spreads and macroeconomic variables. The Newey–West estimator is used to control for autocorrelation and heteroskedasticity in error terms. Furthermore, the sensitivity factor analysis and standardized coefficients analysis are conducted to compare the sensitivity of CDX spreads to different macroeconomic variables and to compare relative effects of macroeconomic condition versus macroeconomic uncertainty respectively. This research shows that macroeconomic condition can have a negative effect on CDX spread while macroeconomic volatility has a positive effect on determining CDX spread. Macroeconomic condition and volatility variables can jointly explain more than 70% of the whole variation of the CDX spread. In addition, sensitivity factor analysis shows that the CDX spread is the most sensitive to Consumer Sentiment index. Finally, the standardized coefficients analysis shows that both macroeconomic condition and volatility variables are important in determining CDX spread but macroeconomic condition category of variables have more relative importance in determining CDX spread than macroeconomic volatility category of variables. This research shows that the CDX spread can reflect the individual and joint effects of macroeconomic condition and volatility, which suggests that individual investors or government should carefully regard CDX spread as a measure of overall credit risk because the CDX spread is influenced by macroeconomy. In addition, the significance of macroeconomic condition and volatility variables, such as Non-farm Payroll growth rate and Industrial Production Index growth volatility suggests that the government, should pay more attention to the overall credit quality in the market when macroecnomy is low or volatile.

Keywords: autoregressive moving average model, credit spread puzzle, credit default swap spread, generalized autoregressive conditional heteroskedasticity model, macroeconomic conditions, macroeconomic uncertainty

Procedia PDF Downloads 147

Authors: Nur Atiqah Adam, Mor Jack Ng, Bernard Chern, Kok Hian Tan

Abstract:

Introduction: Gestational diabetes (GDM) is a common pregnancy complication with short and long-term health consequences for both mother and fetus. Factors such as family history of diabetes mellitus, maternal obesity, maternal age, ethnicity and parity have been reported to influence the risk of GDM. In a multi-racial country like Singapore, it is worthwhile to study the GDM prevalences of different ethnicities. We aim to investigate the influence of ethnicity on the racial prevalences of GDM in Singapore. This is important as it may help us to improve guidelines on GDM healthcare services according to significant risk factors unique to Singapore. Materials and Methods: Obstetric cohort data of 926 singleton deliveries in KK Women’s and Children’s Hospital (KKH) from 2011 to 2013 was obtained. Only patients aged 18 and above and without complicated pregnancies or chronic illnesses were targeted. Factors such as ethnicity, maternal age, parity and maternal body mass index (BMI) at booking visit were studied. A multivariable logistic regression model, adjusted for confounders, was used to determine which of these factors are significantly associated with an increased risk of GDM. Results: The overall GDM prevalence rate based on WHO 1999 criteria & at risk screening (race alone not a risk factor) was 8.86%. GDM rates were higher among women above 35 years old (15.96%), obese (15.15%) and multiparous women (10.12%). Indians had a higher GDM rate (13.0 %) compared to the Chinese (9.57%) and Malays (5.20%). However, using multiple logistic regression model, variables that are significantly related to GDM rates were maternal age (p < 0.001) and maternal BMI at booking visit (p = 0.006). Conclusion: Maternal age (p < 0.001) and maternal booking BMI (p = 0.006) are the strongest risk factors for GDM. Ethnicity per se does not seem to have a significant influence on the prevalence of GDM in Singapore (p = 0.064). Hence we should tailor guidelines on GDM healthcare services according to maternal age and booking BMI rather than ethnicity.

Keywords: ethnicity, gestational diabetes, healthcare, pregnancy

Procedia PDF Downloads 210

Authors: DoHyeung Kim, DaeHee Seo, ByungDoo Kim, ByungGil Lee

Abstract:

As many recent researches being implemented in aviation and maritime aspects, strong doubts have been raised concerning the reliability of the estimation of collision risk. It is shown that using position and velocity of objects can lead to imprecise results. In this paper, therefore, a new approach to the estimation of collision risks using pose and shape of objects is proposed. Simulation results are presented validating the accuracy of the new criterion to adapt to collision risk algorithm based on fuzzy logic.

Keywords: collision risk, pose, shape, fuzzy logic

Procedia PDF Downloads 501

Authors: Darrol Stanley, Levan Efremidze, Jannie Rossouw

Abstract:

We investigate the predictability of the USD/ZAR (South African Rand) exchange rate with sample entropy analytics for the period of 2004-2015. We calculate sample entropy based on the daily data of the exchange rate and conduct empirical implementation of several market timing rules based on these entropy signals. The dynamic investment portfolio based on entropy signals produces better risk adjusted performance than a buy and hold strategy. The returns are estimated on the portfolio values in U.S. dollars. These results are preliminary and do not yet account for reasonable transactions costs, although these are very small in currency markets.

Keywords: currency trading, entropy, market timing, risk factor model

Procedia PDF Downloads 249

Authors: Natalia Kalinowska

Abstract:

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

Procedia PDF Downloads 231

Authors: Amani Waheed, Adel Mishriky, Rasha Farouk, Essam Abdallah, Sarah Hussein

Abstract:

Background: Occupational stress plays a crucial role in professional drivers' health. They are exposed to high workloads, low physical activity, high demand and low decisions as well as poor lifestyle factors including poor diet, sedentary work, and smoking. Dyslipidemia is a well-established modifiable cardiovascular risk factor. Occupational stress and other forms of chronic stress have been associated with raised levels of atherogenic lipids. Although stress management has some evidence in improving lipid profile, the association between occupational stress and dyslipidemia is not clear. Objectives: To assess the relational between occupational stress and lipid profile among professional drivers. Methodology: A cross-sectional study conducted at a large company in Ismailia City, Egypt, where, 131 professional drivers divided into 44 car drivers, 43 bus drivers, and 44 truck drivers were eligible after applying exclusion criteria. Occupational stress index (OSI), non-occupational risk factors of dyslipidemia were assessed using interview structured questionnaire. Blood pressure, body mass index (BMI) and lipid profile were measured. Results: The mean of total OSI score was 79.98 ± 6.14. The total OSI score is highest among truck drivers (82.16 ± 4.62), then bus drivers (80.26 ± 6.02) and lowest among car drivers (77.55 ± 6.79) with statistically significant. Eighty percent had Dyslipidemia. The duration of driving hours per day, exposure to passive smoking and increased BMI were the risk factors. No statistical significance between Total OSI score and dyslipidemia. Using, logistic regression analysis, occupational stress, duration of driving hours per day, and BMI were positive significant predictors for dyslipidemia. Conclusion: Professional drivers are exposed to occupational stress. A high proportion of drivers have dyslipidemia. Total OSI score doesn't have statistically significant relation with dyslipidemia.

Keywords: body mass index, dyslipidaemia, occupational stress, professional drivers

Procedia PDF Downloads 135

Authors: Frank Hespeler, Giuseppe Loiacono

Abstract:

We propose measures for systemic risk generated through intra-sectorial interdependencies in the hedge fund sector. These measures are based on variations in the average cross-effects of funds showing significant interdependency between their individual returns and the moments of the sector’s return distribution. The proposed measures display a high ability to identify periods of financial distress, are robust to modifications in the underlying econometric model and are consistent with intuitive interpretation of the results.

Keywords: hedge funds, systemic risk, vector autoregressive model, risk monitoring

Procedia PDF Downloads 300

Authors: V. M. B. K. T. Malwanage, S. Samita

Abstract:

Core stability is one of the major determinants that contribute to preventing injuries, enhance performance, and improve quality of life of the human. Endurance of the four major muscle groups of the central ‘core’ of the human body is identified as the most reliable determinant of core stability amongst the other numerous causes which contribute to readily make one’s core stability. This study aimed to develop a ‘Core Stability Index’ to confer a single value for an individual’s core stability based on the four endurance test scores. Since it is possible that at least some of the test scores are not independent, possibility of constructing a single index using the multivariate method exploratory factor analysis was investigated in the study. The study sample was consisted of 400 healthy young individuals with the mean age of 23.74 ± 1.51 years and mean BMI (Body Mass Index) of 21.1 ± 4.18. The correlation analysis revealed highly significant (P < 0.0001) correlations between test scores and thus construction an index using these highly inter related test scores using the technique factor analysis was justified. The mean values of all test scores were significantly different between males and females (P < 0.0001), and therefore two separate core stability indices were constructed for the two gender groups. Moreover, having eigen values 3.103 and 2.305 for males and females respectively, indicated one factor exists for all four test scores and thus a single factor based index was constructed. The 95% reference intervals constructed using the index scores were -1.64 to 2.00 and -1.56 to 2.29 for males and females respectively. These intervals can effectively be used to diagnose those who need improvement in core stability. The practitioners should find that with a single value measure, they could be more consistent among themselves.

Keywords: construction of indices, endurance test scores, muscle endurance, quality of life

Procedia PDF Downloads 140

Authors: Minjeong Kim, Seungchul Lee, Iman Janghorban Esfahani, Jeong Tai Kim, ChangKyoo Yoo

Abstract:

A trajectory of set-point of ventilation control systems plays an important role for efficient ventilation inside subway stations since it affects the level of indoor air pollutants and ventilation energy consumption. To maintain indoor air quality (IAQ) at a comfortable range with lower ventilation energy consumption, the optimal trajectory of the ventilation control system needs to be determined. The concentration of air pollutants inside the station shows a diurnal variation in accordance with the variations in the number of passengers and subway frequency. To consider the diurnal variation of IAQ, an iterative dynamic programming (IDP) that searches for a piecewise control policy by separating whole duration into several stages is used. When outdoor air is contaminated by pollutants, it enters the subway station through the ventilation system, which results in the deteriorated IAQ and adverse effects on passenger health. In this study, to consider the influence of outdoor air quality (OAQ), a new performance index of the IDP with the passenger health risk and OAQ is proposed. This study was carried out for an underground subway station at Seoul Metro, Korea. The optimal set-points of the ventilation control system are determined every 3 hours, then, the ventilation controller adjusts the ventilation fan speed according to the optimal set-point changes. Compared to manual ventilation system which is operated irrespective of the OAQ, the IDP-based ventilation control system saves 3.7% of the energy consumption. Compared to the fixed set-point controller which is operated irrespective of the IAQ diurnal variation, the IDP-based controller shows better performance with a 2% decrease in energy consumption, maintaining the comfortable IAQ range inside the station.

Keywords: indoor air quality, iterative dynamic algorithm, outdoor air information, ventilation control system

Procedia PDF Downloads 485

Authors: Fatemeh Rezaei, Mohammad H. Yarmohammadian, Masoud Ferdosi, Abbas Haghshnas

Abstract:

Background: Failure Modes and Effect Analysis is now having known as the main methods of risk assessment and the accreditation requirements for many organizations. The Risk Priority Number (RPN) approach is generally preferred, especially for its easiness of use. Indeed it does not require statistical data, but it is based on subjective evaluations given by the experts about the Occurrence (O i), the Severity (Si) and the Detectability (D i) of each cause of failure. Methods: This study is a quantitative – qualitative research. In terms of qualitative dimension, method of focus groups with inductive approach is used. To evaluate the results of the qualitative study, quantitative assessment was conducted to calculate RPN score. Results; We have studied patient’s journey process in surgery ward and the most important phase of the process determined Transport of the patient from the holding area to the operating room. Failures of the phase with the highest priority determined by defining inclusion criteria included severity (clinical effect, claim consequence, waste of time and financial loss), occurrence (time- unit occurrence and degree of exposure to risk) and preventability (degree of preventability and defensive barriers) and quantifying risks priority criteria in the context of RPN index. Ability of improved RPN reassess by root cause (RCA) analysis showed some variations. Conclusions: Finally, It could be concluded that understandable criteria should have been developed according to personnel specialized language and communication field. Therefore, participation of both technical and clinical groups is necessary to modify and apply these models.

Keywords: failure mode, effects analysis, risk priority number(RPN), health system, risk assessment

Procedia PDF Downloads 296

Authors: Shoukat Ali, Amjad Hussain, Latif-ur-Rehman, Sehrish Inam

Abstract:

Radiotherapy plays an important role in the management of cancer patients. Approximately 50% of the cancer patients receive radiotherapy at one point or another during the course of treatment. The entire radiotherapy treatment of curative intent is divided into different phases, depending on the histology of the tumor. The established protocols are useful in deciding the total dose, fraction size, and numbers of phases. The objective of this study was to evaluate the dosimetric differences between the conventional treatment protocols and the three-dimensional conformal simultaneously integrated boost (SIB) plans for three different tumors sites (i.e. bladder, breast, and brain). A total of 30 patients with brain, breast and bladder cancers were selected in this retrospective study. All the patients were CT simulated initially. The primary physician contoured PTV1 and PTV2 in the axial slices. The conventional doses prescribed for brain and breast is 60Gy/30 fractions, and 64.8Gy/36 fractions for bladder treatment. For the SIB plans biological effective doses (BED) were calculated for 25 fractions. The two conventional (Phase I and Phase II) and a single SIB plan for each patient were generated on Eclipse™ treatment planning system. Treatment plans were compared and analyzed for coverage index, conformity index, homogeneity index, dose gradient and organs at risk doses.In both plans 95% of PTV volume received a minimum of 95% of the prescribe dose. Dose deviation in the optic chiasm was found to be less than 0.5%. There is no significant difference in lung V20 and heart V30 in the breast plans. In the rectum plans V75%, V50% and V25% were found to be less than 1.2% different. Deviation in the tumor coverage, conformity and homogeneity indices were found to be less than 1%. SIB plans with three dimensional conformal radiotherapy technique reduce the overall treatment time without compromising the target coverage and without increasing dose to the organs at risk. The higher dose per fraction may increase the late effects to some extent. Further studies are required to evaluate the late effects with the intention of standardizing the SIB technique for practical implementation.

Keywords: coverage index, conformity index, dose gradient, homogeneity index, simultaneously integrated boost

Procedia PDF Downloads 457

Authors: Meng-Huan Wu, Wei-Er Wang, Tsu-Nai Wang, Wei-Jian Hsu, Vincent Chin-Hung Chen

Abstract:

Objective: Studies have reported a strong link between asthma and bipolar disorder. We conducted a 17-year community-based large cohort study to examine the relationship between asthma, early smoking initiation, and bipolar disorder during adolescence and early adulthood. Methods: A total of 162,766 participants aged 11–16 years were categorized into asthma and non-asthma groups at baseline and compared within the observation period. Covariates during late childhood or adolescence included parental education, cigarette smoking by family members of participants, and participant’s gender, age, alcohol consumption, smoking, and exercise habits. Data for urbanicity, prednisone use, allergic comorbidity, and Charlson comorbidity index were acquired from the National Health Insurance Research Database. The Cox proportional-hazards model was used to evaluate the association between asthma and bipolar disorder. Results: Our findings revealed that asthma increased the risk of bipolar disorder after adjustment for key confounders in the Cox proportional hazard regression model (adjusted HR: 1.31, 95% CI: 1.12-1.53). Hospitalizations or visits to the emergency department for asthma exhibited a dose–response effect on bipolar disorder (adjusted HR: 1.59, 95% CI: 1.22-2.06). Patients with asthma with onset before 20 years of age who smoked during late childhood or adolescence had the greatest risk for bipolar disorder (adjusted HR: 3.10, 95% CI: 1.29-7.44). Conclusions: Patients newly diagnosed with asthma had a 1.3 times higher risk of developing bipolar disorder. Smoking during late childhood or adolescence increases the risk of developing bipolar disorder in patients with asthma.

Keywords: adolescence, asthma, smoking, bipolar disorder, early adulthood

Procedia PDF Downloads 316

Authors: Wencong Lu, Abdul Latif, Raza Ullah, Subhan Ullah

Abstract:

Agricultural production is subject to risk and the attitudes of producers toward risk, in turn, may be affected by certain socioeconomic characteristics of producers. Although, it is important to assess the risk attitude of farmers and their perception towards different calamitous risk sources for better understanding of their risk management adoption decisions, to the best of our knowledge no studies have been carried out to analyze the risk attitude and risk perceptions in the context of tobacco production in Pakistan. Therefore the study in hand is conducted with an attempt to overcome the gap in existing literature by analyzing different catastrophic risk sources faced by tobacco growers, their attitude towards risk and the effect of socioeconomic and demographic characteristics, farmers’ participation in contract farming and off-farm diversification on their risk attitude and risk perception. Around 78% of Pakistan’s entire tobacco crop and nearly all of the country’s Flue-Cured Virginia (FCV) tobacco is produced in Khyber Pakhtunkhwa (KPK) province alone. The yield/hectare of tobacco produced in KPK province is 14% higher than the global average and 22 % higher than national average. Khyber Pakhtunkhwa province was selected as main study area as nearly all of the country’s Flue-Cured Virginia (FCV) tobacco is produced in Khyber Pakhtunkhwa (KPK) province alone. Six districts were purposely selected based on their contribution in overall production for the last five years which accounts for more than 94.84% of the tobacco production in KPK province. Specific objectives taken into considerations for this study are the risk attitude of the farmers for growing FCV tobacco crop, farmers’ risk perception for different risk sources related to tobacco production (as far as the incidence and severity of each risk source is concerned) and the effect of socioeconomic characteristics, contract farming participation and off-farm diversification (income) on the risk attitude and risk perception of FCV tobacco growers.

Keywords: risk attitude, risk perception, contract farming, off-farm diversification, probit model

Procedia PDF Downloads 342