On gamma estimation via matrix kriging

In financial engineering, sensitivities of derivative prices (also known as the Greeks) are important quantities in risk management, and stochastic gradient estimation methods are used to estimate them given the market parameters. In practice, the surface (function) of the Greeks with respect to the underlying parameters is much more desired, because it can be used in real‐time risk management. In this paper, we consider derivatives with multiple underlying assets, and propose three stochastic kriging‐based methods, the element‐by‐element, the importance mapping, and the Cholesky decomposition, to fit the surface of the gamma matrix that can fulfill the time constraint and the precision requirement in real‐time risk management. Numerical experiments are provided to illustrate the effectiveness of the proposed methods.     

烟草生产储存火灾危险性及防火对策研究

通过分析烟草生产、储存中的火灾危险性和当前烟草生产、储存时采用的防火措施,对卷烟联合生产工房内储存物料的安全间距、厂房和仓库外搭建雨篷、消防车道和烟草仓库消防设施设计等问题进行了探讨。     

领导干部经济责任审计风险成因及其防范

当前,领导干部经济责任审计风险的成因主要有外部原因和内部原因两个方面。防范经济责任审计风险,必须创造良好的审计环境,加强审计工作管理,努力提高审计人员的综合素质。     

在线并列生产装置固有火灾危险度评估

石油化工生产工艺装置复杂 ,工艺控制参数苛刻 ,处理的物料大都具有易燃易爆等特殊的危险性。针对石化生产装置的共同特点 ,通过三套在线并列存在的炼油生产装置 ,从物料特性、工艺装置、工艺控制参数、操作控制等方面综合分析其火灾危险因素 ,并采用美国道化学公司火灾、爆炸危险指数评价法评估装置间的固有火灾危险 ,为消防安全设施的配置以及灭火预案的制定提供依据。     

Risk,War, and the Dangers of Soldier Identity

The profession of arms is distinct from other professions for many reasons. One reason which is not so obvious is that, unlike members of other professions, soldiers may go their entire careers preparing for a day that never arrives. All things considered, we should think this to be a very good thing. For soldiers, however, this can feel somewhat odd, since there is a natural desire to want to feel useful and to see one’s role and purpose find realization. Accordingly, the common soldier is forced to adopt a rather paradoxical mindset, one of longing for peace, and therefore for uselessness, while at the same time longing to be useful, which would entail that there be a war. This latter desire to be useful and to vindicate one’s identity as a soldier can sometimes take on an unhealthy life of its own. The pull of wanting too strongly to live up to a warrior identity, I argue, can sometimes skew a soldier’s ability to assess risk rationally. This article will therefore investigate how a soldier’s concept of self influences his or her overall capacity to evaluate risk in war and when such influence might become morally problematic.     

Can security vetting be extended to include the detection of financial misconduct?

An analysis of the security vetting files of 19 employees within a South African national department who had been found guilty of financial misconduct in the last five years uncovered that the existing security vetting processes did not detect the financial misconduct of which these employees have been found guilty. This research sets out to establish whether security vetting can be extended to include the detection of financial misconduct within the department and, if so, how. Moreover, if security vetting can indeed be so extended, can it possibly enhance the management of fraud risk across all South African public sector departments? Qualitative interviews were conducted with 27 employees who are key to fraud risk management and security vetting within the researched department. During the interviews, the following five themes emerged: (1) the reasons why employees commit financial misconduct; (2) why it is not detected by the security vetting process; (3) the potential alignment of the security vetting process to facilitate the detection of financial misconduct; (4) the following through on security vetting findings; and (5) sharing these findings with the internal audit and risk management functions within state departments. These themes were probed and are reported on, establishing firstly that security vetting can indeed be extended to include the detection of financial misconduct within the researched department, and secondly that it can enhance the management of fraud risk across all South African public sector departments, given the specific mandate of the State Security Agency (SSA) and the national security vetting strategy.     

Terrorism research: should we focus on the opponent or on our own people?

In terrorism research, three different sources of information and data exist: the terrorists and their environment; the incidents; and the population. This article discusses the strengths and weaknesses of research that is concerned with, or relies on, any of the mentioned sources. An in-depth understanding of the methodological issues that come with these sources is important to correctly interpret results from scientific studies. It is highlighted how the different scientific approaches add to a holistic view of terrorism as a phenomenon. Furthermore, the double-edged sword of information in the field of terrorism is discussed. From these deliberations, guidance concerning the future work of both scholars and decision-makers can be deducted.     

边境安全风险分析系统的构建研究

提出了信息化背景下边境安全风险情报分析的基本概念及其内涵,论述了信息化背景下边境安全风险分析系统的架构和面向边境安全风险分析的信息组织方式。     

Return policy: Hassle‐free or your money‐back guarantee?

This article compares the profitability of two pervasively adopted return policies—money‐back guarantee and hassle‐free policies. In our model, a seller sells to consumers with heterogeneous valuations and hassle costs. Products are subject to quality risk, and product misfit can only be observed post‐purchase. While the hassle‐free policy is cost advantageous from the seller's viewpoint, a money‐back guarantee allows the seller to fine‐tune the consumer hassle on returning the product. Thus, when the two return policies lead to the same consumer behaviors, the hassle‐free policy dominates. Conversely, a money‐back guarantee can be more profitable even if on average, high‐valuation consumers experience a lower hassle cost than the low‐valuation ones. The optimal hassle cost can be higher when product quality gets improved; thus, it is not necessarily a perfect proxy or signal of the seller's quality. We further allow the seller to adopt a mixture of these policies, and identify the concrete operating regimes within which these return policies are optimal among more flexible policies. © 2014 Wiley Periodicals, Inc. Naval Research Logistics 61: 403–417, 2014     

On the Determinants of Terrorism Risk Concern in Europe

We investigate whether differences in terrorism risk are mirrored on terrorism risk perception across European countries for the period 2003–2007. We find that the average propensity for terrorism risk concern is affected by actual risk levels. Country and individual heterogeneity contribute substantially to the variation of observed risk perception. Singles and individuals with white collar jobs are less likely to mention terrorism as one of the most pressing issues their country faces, while political positioning towards the right makes it more likely to be concerned about terrorism. As far as competing risks are concerned, we find that the likelihood terrorism is mentioned, decreases with spending on pensions as a percentage of GDP being higher. Finally, based on the Bayesian framework, we also examined the formation of terrorism risk perceptions, and decompose the observed country-level time series of terrorism activity into a long- and a short-run component. We concluded that the observed risk perception variation is only explained by the long-term trend of terrorism activity countries face.