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Optimal interest rate derivatives portfolio with controlled sensitivities 具有可控灵敏度的最优利率衍生品组合
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034675
K. Kiriakopoulos, G. Kaimakamis, C. Botsaris
{"title":"Optimal interest rate derivatives portfolio with controlled sensitivities","authors":"K. Kiriakopoulos, G. Kaimakamis, C. Botsaris","doi":"10.1504/IJDSRM.2010.034675","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034675","url":null,"abstract":"In the interest rate market, the use of derivatives is necessary and can significantly influence the balance sheet of a bank. Moreover, in the light of the recent crisis, it became obvious the need for portfolios with specific and known risk characteristics. This paper proposes a method for constructing optimal portfolios of derivatives with specific risk/return characteristics in the interest rate market. The portfolios can include any interest rate derivative security such as bonds, swaps, caps, floors, swaoptions, CMS, etc. The optimal portfolios will have their risk sensitivities (delta, gamma, theta, etc.) within prespecified bands. In this way, the trade-off between risk and return will be controlled through the life of the portfolio avoiding unwanted risks. The method proposed is structural and dynamic so that it can fit to trading level, risk management level and senior management level. Moreover, the method can include VAR and CVAR techniques which are currently used in risk management.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"241 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115753332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Risk, price, and reimbursement 风险、价格和报销
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034673
K. Hausken
{"title":"Risk, price, and reimbursement","authors":"K. Hausken","doi":"10.1504/IJDSRM.2010.034673","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034673","url":null,"abstract":"The article offers five hypotheses for the inverse relationship between risk and price in terms of first and second derivatives, establishing ranges of convexity, linearity, concavity. Negative price means reimbursement. Examples of risks are malfunction of a product or service, finite loss, severe injury, death, due to a variety of causes. For products with a probability of malfunction (risk) the relationship is empirically shown to be convex in a risk versus price diagram when paying for the product, and concave when enjoying reimbursement. This also holds for ticket prices for travel with a probability of death (risk), with transition from convexity to concavity for very low risk levels. The convexity result for probability of death stands in contrast to Viscusi and Zeckhauser's (2003) finding of a linear relationship. The value of life is estimated to be $1.02 × 109 by comparing subjects' willingness to pay for risky travel, and is estimated to be $2.08 × 109 based on subjects' requiring reimbursement $108 to accept travel with death probability 4.8%. These values of life are larger than those usually reported in the literature. A possible reason may be that young students may be reluctant to place a value on life, and thus request an uncommonly large monetary amount to accept a small probability of death.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116860830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risk quantification using qualitative tools 使用定性工具进行风险量化
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034674
B. Maybee
{"title":"Risk quantification using qualitative tools","authors":"B. Maybee","doi":"10.1504/IJDSRM.2010.034674","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034674","url":null,"abstract":"Measuring risk and including it within the evaluation of mining projects has the potential to facilitate better decision-making practices. By quantifying the risks associated with a particular mining scenario, these uncertain components can influence the project's value. Unfortunately, many of the risk factors that influence a mining project are qualitative in nature, and do not easily lend themselves to numerical evaluation. This paper looks at some of the misapplications of quantitative risk analysis tools in the highly uncertain mining industry. It begins with a review of the progression of valuation techniques that have been used in the mining industry, followed by a look at some of the issues with performing a risk-based evaluation. Using a case study, qualitative risk analysis tools are used to show how these quantitative issues can be alleviated, closing with a brief discussion about possible future research directions.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129343018","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Public dialogue and strategic planning using methods based on complexity and archetypes 使用基于复杂性和原型的方法进行公共对话和战略规划
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034676
Stefanos Michiotis
{"title":"Public dialogue and strategic planning using methods based on complexity and archetypes","authors":"Stefanos Michiotis","doi":"10.1504/IJDSRM.2010.034676","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034676","url":null,"abstract":"State-of-the-art methodologies derived from and based on complexity and archetypes provide a new perspective to public dialogue and strategic planning in local and regional government, mostly within a rapidly changing context or/and while dealing with highly complex problems. By using them, decision makers, social stakeholders, policy planners, consultants and general public are enabled to capture the collective patterns and reveal the different facets and the hidden issues of local complexity. Moreover, local leaders are enabled to make sense of the factors that sustain or impede a participatory culture and thus set and energise the proper attractors towards the desirable state of developmental initiatives. The challenges and outcomes of such methodologies, as well as their strong and weak points, are discussed within the frame of a relevant project in Greece.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130169765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of human work decisions in an aluminium smelter 某铝厂人工作业决策分析
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034671
M. Taylor, A. Mulder, M. Hautus, John J. J. Chen, M. Stam
{"title":"Analysis of human work decisions in an aluminium smelter","authors":"M. Taylor, A. Mulder, M. Hautus, John J. J. Chen, M. Stam","doi":"10.1504/IJDSRM.2010.034671","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034671","url":null,"abstract":"Automation is often considered a dominant influence in the process of making most products. However a number of investigators have concluded that decisions of staff are actually a key influence on quality and safety of production plants. In this study, decisions of staff during repetitive, manual or semi-automated operations in a production plant have been observed over years to understand the decisions and their impact on efficiency and quality. A range of operations were observed in an aluminium smelter including replacement of anodes. Many key decisions lay embedded behind the operating procedures themselves and these 'implicit' decisions and relationships to design of the operating system are examined with respect to the removal of carbon dust from the cell electrolyte. A hypothesis about graduated scales of sensory information compared to sensory information presented in a binary way is developed. The importance of feedback during and after the task is also noted.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132537180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
An improved grey relational analysis as a decision-making method for manufacturing situations 一种改进的灰色关联分析作为制造工况的决策方法
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034668
R. Rao, D. Singh
{"title":"An improved grey relational analysis as a decision-making method for manufacturing situations","authors":"R. Rao, D. Singh","doi":"10.1504/IJDSRM.2010.034668","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034668","url":null,"abstract":"Decision-makers in the manufacturing sector frequently face the problem of assessing a wide range of alternative options, and selecting one based on a set of conflicting attributes. There is a need for simple, systematic, and logical methods or mathematical tools to guide decision-makers in considering a number of selection attributes and their interrelations and in making good decisions. This paper uses a new multi-attribute decision-making (MADM) method, grey relational analysis (GRA), for solving the deterministic decision-making problems of the manufacturing environment. The method is improved in the present work by integrating with analytic hierarchy process (AHP) and the fuzzy logic. Three examples are presented to illustrate the potential of improved GRA and the results are compared with the results obtained by using other decision-making methods. The comparisons show that the improved GRA is comparatively more logical for solving MADM problems of the manufacturing environment.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131026687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Cost and cycle time reduction in the service industry: a field study of insurance claims operation 降低服务行业的成本和周期时间:保险理赔操作的实地研究
International Journal of Decision Sciences, Risk and Management Pub Date : 2010-08-16 DOI: 10.1504/IJDSRM.2010.034669
Uday M. Apte, G. G. Hegde
{"title":"Cost and cycle time reduction in the service industry: a field study of insurance claims operation","authors":"Uday M. Apte, G. G. Hegde","doi":"10.1504/IJDSRM.2010.034669","DOIUrl":"https://doi.org/10.1504/IJDSRM.2010.034669","url":null,"abstract":"The issues of cycle time management and cost reduction in the service industry are the concerns of the empirical study presented in this paper. In specific, we study the claims handling process which is one of the most essential and critical functions of an insurance company. The objective of our study is to gain an understanding of the impact of various operational decisions, such as assignment of claims to claims analysts, choice of claims handling method and involvement of an attorney on the cycle time and cost performance of claims operation. The field study presented in this paper was conducted at a major insurance company where we collected and analysed a large dataset on claims characteristics, cost, cycle time and operational decisions of claims handling process. The paper identifies the important claim characteristics that drive the cost and cycle time performance in settling a claim and concludes with a discussion on the managerial implications of the field study.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131449848","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risk limits, conflict, and equilibrium selection in games with multiple equilibria 多均衡博弈中的风险限制、冲突和均衡选择
International Journal of Decision Sciences, Risk and Management Pub Date : 2009-07-21 DOI: 10.1504/IJDSRM.2009.027246
K. Hausken
{"title":"Risk limits, conflict, and equilibrium selection in games with multiple equilibria","authors":"K. Hausken","doi":"10.1504/IJDSRM.2009.027246","DOIUrl":"https://doi.org/10.1504/IJDSRM.2009.027246","url":null,"abstract":"A risk limit conflict measure is developed as the product of the two players' maximum probabilities of being recalcitrant when pursuing a preferred equilibrium. Although the justification for it is different, the measure is equivalent to Axelrod's (1970) measure, which is the ratio of infeasible joint demand and joint demand above the threat point which he illustrated graphically. Axelrod did not justify his measure beyond informal verbal descriptions. The article furthermore offers an equilibrium selection in favour of the player with the largest risk limit. The equilibrium selection is different from Harsanyi and Selten's (1988, p.90) equilibrium selection, which assigns equal weight to four payoff differences, which the article argues is not realistic. The equilibrium selection is also compared with Hausken (2007).","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"176 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127108132","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Using birth-and-death theory for container terminal strategic investment decisions 运用生死论进行集装箱码头战略投资决策
International Journal of Decision Sciences, Risk and Management Pub Date : 2009-07-21 DOI: 10.1504/IJDSRM.2009.027248
I. Lagoudis, A. Platis
{"title":"Using birth-and-death theory for container terminal strategic investment decisions","authors":"I. Lagoudis, A. Platis","doi":"10.1504/IJDSRM.2009.027248","DOIUrl":"https://doi.org/10.1504/IJDSRM.2009.027248","url":null,"abstract":"The present study uses birth-and-death modelling in order to examine the improvement of container terminal operations in two stages of the container transportation process. The first stage is the loading/unloading process and the second is the stacking of containers in the container yard. The data has been provided by a central container terminal station located in the Eastern Mediterranean encapsulating information on infrastructure, arrivals of vessels and service times for a period of three years. A number of scenarios are estimated based on changes in the number available servers (s) and the rate of service level (μ). Results show that both the increase in the number of servers (berth/slots) and the improvement in the rate of the service levels to users contribute decisively to the optimisation of container terminal operations benefiting not only the terminal but its users as well. However, the ability of Markov theory to estimate with the use of probabilities the economic consequences that strategic investment decisions could have on terminal efficiency is also of significance.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131732907","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Recovery time of a complex system in risk and crisis management operations 风险和危机管理操作中复杂系统的恢复时间
International Journal of Decision Sciences, Risk and Management Pub Date : 2009-07-20 DOI: 10.1504/IJDSRM.2009.027249
P. Artikis, Constantinos T. Artikis
{"title":"Recovery time of a complex system in risk and crisis management operations","authors":"P. Artikis, Constantinos T. Artikis","doi":"10.1504/IJDSRM.2009.027249","DOIUrl":"https://doi.org/10.1504/IJDSRM.2009.027249","url":null,"abstract":"It is generally recognised that a random sum of discrete random variables and a maximum of a random number of non-negative random variables are very powerful analytical concepts for formulating effective stochastic models with significant applications in many practical disciplines. The paper combines these concepts in order to formulate a stochastic model. Properties and applications in risk and crisis management operations of the formulated stochastic model are also established.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133568439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
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