Estimating time-varying risk premia in UK long-term government bonds

Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and facilitates the testing of various cross-sectional restrictions. The estimated time-varying premia are found to be substantially different to those estimated using models that assume constant risk premia. © 2004 Taylor and Francis Ltd.

Be rich or don’t be sick: Estimating Vietnamese patients’ risk of falling into destitution

This paper represents the first research attempt to estimate the probabilities for Vietnamese patients to fall into destitution facing financial burdens occurring during their curative stay in hospital. The study models the risk against such factors as level of insurance coverage, location of patient, costliness of treatment, among others. The results show that very high probabilities of destitution, approximately 70%, apply to a large group of patients, who are nonresident, poor and ineligible for significant insurance coverage. There is also a probability of 58% that low-income patients who are seriously ill and face higher health care costs would quit their treatment. These facts will put Vietnamese government’s ambitious plan of increasing both universal coverage (UC) to 100% of expenditure and rate of UC beneficiaries to 100% at a serious test. The study also raises issues of asymmetric information and alternative financing options for the poor, who are most exposed to risk of destitution, following market-based health care reforms.

On the Lp-Norm Regression Models for Estimating Value-at-Risk

Analysis of risk measures associated with price series data movements and its predictions are of strategic importance in the financial markets as well as to policy makers in particular for short- and longterm planning for setting up economic growth targets. For example, oilprice risk-management focuses primarily on when and how an organization can best prevent the costly exposure to price risk. Value-at-Risk (VaR) is the commonly practised instrument to measure risk and is evaluated by analysing the negative/positive tail of the probability distributions of the returns (profit or loss). In modelling applications, least-squares estimation (LSE)-based linear regression models are often employed for modeling and analyzing correlated data. These linear models are optimal and perform relatively well under conditions such as errors following normal or approximately normal distributions, being free of large size outliers and satisfying the Gauss-Markov assumptions. However, often in practical situations, the LSE-based linear regression models fail to provide optimal results, for instance, in non-Gaussian situations especially when the errors follow distributions with fat tails and error terms possess a finite variance. This is the situation in case of risk analysis which involves analyzing tail distributions. Thus, applications of the LSE-based regression models may be questioned for appropriateness and may have limited applicability. We have carried out the risk analysis of Iranian crude oil price data based on the Lp-norm regression models and have noted that the LSE-based models do not always perform the best. We discuss results from the L1, L2 and L∞-norm based linear regression models. ACM Computing Classification System (1998): B.1.2, F.1.3, F.2.3, G.3, J.2.

Risk in Private Finance Initiative Projects::A Public Sector Perspective

The management of public sector risk is increasingly seen as a priority area of UK government policy. This has been highlighted recently by the Prime Minister Gordon Brown who stated that “the issue of public risk is one of the most challenging areas of policy-making for any government” (Strategic Risk, 2008). In response to these challenges, the UK Prime Minister has appointed a new body - the Risk and Regulation Advisory Council (RRAC) which is tasked with improving the way risk to the public is understood and managed. One area of particular concern with regard to the governance of public sector risks involves projects procured via the Private Finance Initiative (PFI). These projects involve long-term contracts, complex multi-party interactions and thus create various risks to public sector clients. Today, most PFI actors acknowledge the potentially adverse effects of these risks and make an effort to prevent or mitigate undesirable results. As a consequence, issues of risk allocation, risk transfer and risk management have become central to the PFI procurement process. This paper provides an overview of the risk categories and risk types which are relevant to the public sector in PFI projects. It analyses risk as a feature of uncertain future project-related events and examines potential pitfalls which can be associated with PFI risk management on the basis of a case study of a high-profile PFI hospital in Scotland. The paper concludes that, despite the trend towards diminished risk profiles during the operational phase, the public sector continues to be exposed to significant risks when engaging in PFI-based procurement.

Production risk, pesticide use and GM crop technology in South Africa

Technology involving genetic modification of crops has the potential to make a contribution to rural poverty reduction in many developing countries. Thus far, pesticide-producing Bacillus thuringensis (Bt) varieties of cotton have been the main GM crops under cultivation in developing nations. Several studies have evaluated the farm-level performance of Bt varieties in comparison to conventional ones by estimating production technology, and have mostly found Bt technology to be very successful in raising output and/or reducing pesticide input. However, the production risk properties of this technology have not been studied, although they are likely to be important to risk-averse smallholders. This study investigates the output risk aspects of Bt technology by estimating two 'flexible risk' production function models allowing technology to independently affect the mean and higher moments of output. The first is the popular Just-Pope model and the second is a more general 'damage control' flexible risk model. The models are applied to cross-sectional data on South African smallholders, some of whom used Bt varieties. The results show no evidence that a 'risk-reduction' claim can be made for Bt technology. Indeed, there is some evidence to support the notion that the technology increases output risk, implying that simple (expected) profit computations used in past evaluations may overstate true benefits.

Production risk, pesticide use and GM crop technology in South Africa

Technology involving genetic modification of crops has the potential to make a contribution to rural poverty reduction in many developing countries. Thus far, pesticide-producing Bacillus thuringensis (Bt) varieties of cotton have been the main GM crops under cultivation in developing nations. Several studies have evaluated the farm-level performance of Bt varieties in comparison to conventional ones by estimating production technology, and have mostly found Bt technology to be very successful in raising output and/or reducing pesticide input. However, the production risk properties of this technology have not been studied, although they are likely to be important to risk-averse smallholders. This study investigates the output risk aspects of Bt technology by estimating two 'flexible risk' production function models allowing technology to independently affect the mean and higher moments of output. The first is the popular Just-Pope model and the second is a more general 'damage control' flexible risk model. The models are applied to cross-sectional data on South African smallholders, some of whom used Bt varieties. The results show no evidence that a 'risk-reduction' claim can be made for Bt technology. Indeed, there is some evidence to support the notion that the technology increases output risk, implying that simple (expected) profit computations used in past evaluations may overstate true benefits.

Neural correlates of evaluating hazards of high risk.

In personal and in society related context, people often evaluate the risk of environmental and technological hazards. Previous research addressing neuroscience of risk evaluation assessed particularly the direct personal risk of presented stimuli, which may have comprised for instance aspects of fear. Further, risk evaluation primarily was compared to tasks of other cognitive domains serving as control conditions, thus revealing general risk related brain activity, but not such specifically associated with estimating a higher level of risk. We here investigated the neural basis on which lay-persons individually evaluated the risk of different potential hazards for the society. Twenty healthy subjects underwent functional magnetic resonance imaging while evaluating the risk of fifty more or less risky conditions presented as written terms. Brain activations during the individual estimations of 'high' against 'low' risk, and of negative versus neutral and positive emotional valences were analyzed. Estimating hazards to be of high risk was associated with activation in medial thalamus, anterior insula, caudate nucleus, cingulate cortex and further prefrontal and temporo-occipital areas. These areas were not involved according to an analysis of the emotion ratings. In conclusion, we emphasize a contribution of the mentioned brain areas involved to signal high risk, here not primarily associated with the emotional valence of the risk items. These areas have earlier been reported to be associated with, beside emotional, viscerosensitive and implicit processing. This leads to assumptions of an intuitive contribution, or a "gut-feeling", not necessarily dependent of the subjective emotional valence, when estimating a high risk of environmental hazards.

Relationship between franking credits and the market risk premium

In a dividend imputation tax system, equity investors have three potential sources of return: dividends, capital gains and franking (tax) credits. However, the standard procedures for estimating the market risk premium (MRP) for use in the capital asset pricing model, ignore the value of franking credits. Officer (1994) notes that if franking credits do affect the corporate cost of capital, their value must be added to the standard estimates of MRP. In the present paper, we explicitly derive the relationship between the value of franking credits (gamma) and the MRP. We show that the standard parameter estimates that have been adopted in practice (especially by Australian regulators) violate this deterministic mathematical relationship. We also show how information on dividend yields and effective tax rates bounds the values that can be reasonably used for gamma and the MRP. We make recommendations for how estimates of the MRP should be adjusted to reflect the value of franking credits in an internally consistent manner.

Risk of African swine fever introduction into the European Union through transport-associated routes: returning trucks and waste from international ships and planes

BACKGROUND The uncontrolled presence of African swine fever (ASF) in Russian Federation (RF) poses a serious risk to the whole European Union (EU) pig industry. Although trade of pigs and their products is banned since the official notification in June 2007, the potential introduction of ASF virus (ASFV) may occur by other routes, which are very frequent in ASF, and more difficult to control, such as contaminated waste or infected vehicles. This study was intended to estimate the risk of ASFV introduction into the EU through three types of transport routes: returning trucks, waste from international ships and waste from international planes, which will be referred here as transport-associated routes (TAR). Since no detailed and official information was available for these routes, a semi-quantitative model based on the weighted combination of risk factors was developed to estimate the risk of ASFV introduction by TAR. Relative weights for combination of different risk factors as well as validation of the model results were obtained by an expert opinion elicitation. RESULTS Model results indicate that the relative risk for ASFV introduction through TAR in most of the EU countries (16) is low, although some countries, specifically Poland and Lithuania, concentrate high levels of risk, the returning trucks route being the analyzed TAR that currently poses the highest risk for ASFV introduction into the EU. The spatial distribution of the risk of ASFV introduction varies importantly between the analyzed introduction routes. Results also highlight the need to increase the awareness and precautions for ASF prevention, particularly ensuring truck disinfection, to minimize the potential risk of entrance into the EU. CONCLUSIONS This study presents the first assessment of ASF introduction into the EU through TAR. The innovative model developed here could be used in data scarce situations for estimating the relative risk associated to each EU country. This simple methodology provides a rapid and easy to interpret results on risk that may be used for a target and cost-effective allocation of resources to prevent disease introduction.

Primary Joint Arthroplasty Surgery: Is the Risk of Major Bleeding Higher in Elderly Patients? A Retrospective Cohort Study

Increased risk of bleeding after major orthopedic surgery (MOS) has been widely documented in general population. However, this complication has not been studied in elderly patients. The purpose of this study is to determine whether the risk of major bleeding after MOS is higher in elderly patients, compared with those operated at a younger age. Methods: This retrospective cohort study included total hip and total knee arthroplasty patients operated during 5 consecutive years. The main outcome was the occurrence of major bleeding. Patients with other causes of bleeding were excluded. Relative risks (RRs) and confidence intervals (CIs) were calculated, anda multivariate analysis was performed. Results: A total of 1048 patients were included, 56% of patients were hip arthroplasties. At the time of surgery, 553 (53%) patients were older than 70 years. Patients aged >70 years showed an increased risk of major bleeding (RR: 2.42 [95% CI: 1.54-3.81]). For hip arthroplasty, the RR of bleeding was 2.61 (95%CI: 1.50-4.53) and 2.25 (95% CI: 1.03-4.94) for knee arthroplasty. After multivariate analysis, age was found to be independently associated with higher risk of major bleeding. Conclusion: According to European Medicines Agency criteria, patients aged 70 years are at a higher risk of major bleeding after MOS, result of a higher frequency of blood transfusions in this group of patients. Standardized protocols for blood transfusion in these patients are still required.

Educating to secure the national interest

In this paper I examine how one political actor–former Prime Minister Kevin Rudd–proposes to use education for the purpose of securing national productivity and foreign policy. I work with Foucault’s suggestion that the apparatus of security is the essential technical instrument of governmentality and that the production of milieu, made up of human, spatial, temporal and cultural objects, and the government of risk are key strategies in the bio-politicisation of security. The discourse analysis also draws on Bacchi to problematise statements that (a) represent both the nation and regional neighbours as governable milieu within the ambit of a whole of government approach, and (b) locate literacy and education as both risk and solution in a security apparatus. My examination of the emergence of literacy and education as security technologies, takes account of the discursive effects of Rudd’s representation of the spaces and scale of national, geopolitical and global policy problems. I argue that in these examples of policy texts, education is used as a discursive tool to secure education workers and youth as subjects of economic interest and sovereign rule.

Serial Changes in Markers Measuring Coagulation, Fibrinolysis, and Vasoactivity in Patients with Ischemic Stroke

Ischemic stroke (IS) is a heterogeneous disease in which outcome is influenced by many factors. The hemostatic system is activated in association with cerebral ischemia, and thus, markers measuring coagulation, fibrinolysis, and vasoactivity could be useful tools in clinical practice. We investigated whether repeated measurements of these markers reveal patterns that might help in evaluating IS patients, including the early diagnosis of stroke subtypes, in estimating prognosis and risk of recurrence, and in selecting a treatment for secondary prevention of stroke. Vasoconstrictor peptide endothelin-1 (ET-1), homocysteine (Hcy), indicators of thrombin formation and activation (prothrombin fragment 1+2/F1+2, thrombin-antithrombin complex/TAT), indicators of plasmin formation and fibrinolysis (tissue plasminogen activator/t-PA, plasminogen activator inhibitor-1/PAI-1, and D-dimer), and natural anticoagulants (antithrombin/AT, protein C/PC, and protein S/PS) were measured in 102 consecutive mild to moderate IS patients on four occasions: on admission and at 1 week, 1 month, and 3 months after stroke, and once in controls. All patients underwent neurological examination and blood sampling in the same session. Furthermore, 42 IS patients with heterozygous factor V Leiden mutation (FVLm) were selected from 740 IS patients without an obvious etiology, and evaluated in detail for specific clinical, laboratory, and radiological features. Measurements of ET-1 and Hcy levels did not disclose information that could aid in the diagnostic evaluation of IS patients. F1+2 level at 3 months after IS had a positive correlation with recurrence of thromboembolic events, and thus, may be used as a predictive marker of subsequent cerebral events. The D-dimer and AT levels on admission and 1 week after IS were strongly associated with stroke severity, outcome, and disability. The specific analysis of IS patients with FVLm more often revealed a positive family history of thrombosis, a higher prevalence of peripheral vascular disease, and multiple infarctions in brain images, most of which were `silent infarcts´. Results of this study support the view that IS patients with sustained activation of both the fibrinolytic and the coagulation systems and increased thrombin generation may have an unfavorable prognosis. The level of activation may reflect the ongoing thrombotic process and the extent of thrombosis. Changes in these markers could be useful in predicting prognosis of IS patients. A clear need exists for a randomized prospective study to determine whether a subgroup of IS patients with markers indicating activation of fibrinolytic and coagulation systems might benefit from more aggressive secondary prevention of IS.