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Risk Sensitivity (risk + sensitivity)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	50%

Selected Abstracts

Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis

ASIAN ECONOMIC JOURNAL, Issue 3 2004
Chee Wooi Hooy
The present study examines the sensitivity of commercial banks' stock excess returns to their volatility and financial risk factors, measured by interest rates and exchange rates, across the recent Asian financial crisis. In general, we found that there were no significant differences among Malaysian commercial banks in their risk exposure prior to and during the Asian financial crisis. The introduction of selective capital controls, a fixed exchange rate regime and a forced banking consolidation program, however, had increased the risk exposure of both large and small domestic banks. The effects of these risk factors were significantly detected in both large and small banks. [source]

Response of small rodents to manipulations of vegetation height in agro-ecosystems

INTEGRATIVE ZOOLOGY (ELECTRONIC), Issue 1 2008
Jens JACOB
Abstract Some small mammal populations require human interference to conserve rare or threatened species or to minimize adverse effects in plant production. Without a thorough understanding about how small rodents behave in their environment and consideration of how they react to management efforts, management will not be optimal. Social behavior, spatial and temporal activity patterns, predator avoidance and other behavioral responses can affect pest rodent management. Some of these behavioral patterns and their causes have been well studied. However, their impact on pest rodent management, especially for novel management approaches, is not always clear. Habitat manipulation occurs necessarily through land use and intentionally to reduce shelter and food availability and to increase predation pressure on rodents. Rodents often respond to decreased vegetation height with reduced movements and increased risk sensitivity in their feeding behavior. This seems to result mainly from an elevated perceived predation risk. Behavioral responses may lessen the efficacy of the management because the desired effects of predators might be mediated. It remains largely unknown to what extent such responses can compensate at the population level for the expected consequences of habitat manipulation and how population size and crop damage are affected. It is advantageous to understand how target and non-target species react to habitat manipulation to maximize the management effects by appropriate techniques, timing and spatial scale without causing unwanted effects at the system level. [source]

Will Basel II Lead to a Specialization of Unsophisticated Banks on High-Risk Borrowers?,

INTERNATIONAL FINANCE, Issue 1 2005
Bertrand Rime
The stability of the banking sector is an essential precondition for a well-functioning economy. Enhancing this stability was one of the main motivations for the elaboration of the new capital adequacy framework, Basel II. The present paper examines the impact of Basel II on risk allocation in the banking sector and its implications for bank capital adequacy. Basel II introduces a two-layer framework for the calculation of the capital requirement for credit risk: (i) a very risk-sensitive internal ratings-based (IRB) approach that will be used by large sophisticated banks and (ii) a standardized approach, much less risk sensitive, which will be used by smaller, less sophisticated banks. We show that because the two bank types compete in the loan market, Basel II may induce sophisticated banks to specialize on low-risk borrowers and unsophisticated banks to specialize on high-risk borrowers. As a consequence, we may face a trade-off between the capital adequacy of the two types of banks, with an ambiguous net effect on financial stability: the risk sensitivity of the IRB approach improves the capital adequacy of sophisticated banks, but it deteriorates the capital adequacy of unsophisticated banks, as their increased risk taking is not appropriately reflected by the standardized capital requirement. [source]

Risk-sensitive sizing of responsive facilities

NAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 3 2008
Sergio Chayet
Abstract We develop a risk-sensitive strategic facility sizing model that makes use of readily obtainable data and addresses both capacity and responsiveness considerations. We focus on facilities whose original size cannot be adjusted over time and limits the total production equipment they can hold, which is added sequentially during a finite planning horizon. The model is parsimonious by design for compatibility with the nature of available data during early planning stages. We model demand via a univariate random variable with arbitrary forecast profiles for equipment expansion, and assume the supporting equipment additions are continuous and decided ex-post. Under constant absolute risk aversion, operating profits are the closed-form solution to a nontrivial linear program, thus characterizing the sizing decision via a single first-order condition. This solution has several desired features, including the optimal facility size being eventually decreasing in forecast uncertainty and decreasing in risk aversion, as well as being generally robust to demand forecast uncertainty and cost errors. We provide structural results and show that ignoring risk considerations can lead to poor facility sizing decisions that deteriorate with increased forecast uncertainty. Existing models ignore risk considerations and assume the facility size can be adjusted over time, effectively shortening the planning horizon. Our main contribution is in addressing the problem that arises when that assumption is relaxed and, as a result, risk sensitivity and the challenges introduced by longer planning horizons and higher uncertainty must be considered. Finally, we derive accurate spreadsheet-implementable approximations to the optimal solution, which make this model a practical capacity planning tool.© 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008 [source]