互换交易在电力价格风险管理中的应用研究

商品互换交易作为新兴的风险管理工具在能源类商品领域正在获得广泛的应用.电力工业市场化改革也必将需要互换这种能对波动性很强的电力及电力相关产品价格进行有效风险管理的交易工具.在引入电力商品互换交易概念的基础上,分析了用互换交易合约进行针对电力价格进行风险管理的方法、特点,以及优点,并结合事例讨论了其在与电力相关的市场化改革中的应用问题.     

When small is not enough: How to save entrepreneurs from themselves

This article goes beyond the traditional celebration of Entrepreneurship to focus on why Entrepreneurship is not enough. First, entrepreneurial companies that have overcome the start-up difficulties, must become “professionalized” in order to consolidate their gains and face a period of stable growth. This, as is well-known, is not easy. But there is another, even harder problem: in becoming “professional”, most companies lose the entrepreneurial spirit that made them successful in the first place. In an ever-changing world, with more and more international competition in the face of Europe's unification in 1992, a company that loses its entrepreneurial sparkle is just waiting for dismissal. This article analyzes the main causes of that “hardening of the arteries” and their proven remedies.     

Cooperation in Repeated Games When the Number of Stages is not Commonly Known

It is shown that an exponentially small departure from the common knowledge assumption on the number T of repetitions of the prisoners' dilemma already enables cooperation. More generally, with such a departure, any feasible individually rational outcome of any one-shot game can be approximated by a subgame perfect equilibrium of a finitely repeated version of that game. The sense in which the departure from common knowledge is small is as follows: (I) With probability one, the players know T with precision ±K. (ii) With probability 1 −ε, the players know T precisely; moreover, this knowledge is mutual of order εT. (iii) The deviation of T from its finite expectation is exponentially small.     

When outsourcing is not an option: International relocation of investment bank research — Or isn't it?

Outsourcing is high on the agenda of firms seeking to cut costs. Based on an enhanced value-chain concept we develop a model that determines the conditions under which outsourcing and offshoring are not expedient. The model allows for an integrated analysis of horizontal and vertical links to actors within and outside the firm. Equity and country research in investment banks and their outsourcing potential are used as case studies. We draw mainly on qualitative evidence from interviews with investment bank analysts, as well as data on locations of research units of foreign investment banks in India. The option of outsourcing certain stages of business processes and offshoring parts of the value chain within firms to low-wage locations depends crucially on how processes are ‘embedded’ in relation to other departments within and to corresponding actors outside the firm. Our analysis shows that there is little, if any, scope for outsourcing but some potential for low-level research activities to be offshored to low-cost regions.     

Using Incident Response Trees as a Tool for Risk Management of Online Financial Services

The article introduces the use of probabilistic risk assessment for modeling the incident response process of online financial services. The main contribution is the creation of incident response trees, using event tree analysis, which provides us with a visual tool and a systematic way to estimate the probability of a successful incident response process against the currently known risk landscape, making it possible to measure the balance between front‐end and back‐end security measures. The model is presented using an illustrative example, and is then applied to the incident response process of a Swedish bank. Access to relevant data is verified and the applicability and usability of the proposed model is verified using one year of historical data. Potential advantages and possible shortcomings are discussed, referring to both the design phase and the operational phase, and future work is presented.     

Aging and Cardiometabolic Risk in European HEMS Pilots: An Assessment of Occupational Old‐Age Limits as a Regulatory Risk Management Strategy

Old‐age limits are imposed in some occupations in an effort to ensure public safety. In aviation, the “Age 60 Rule” limits permissible flight operations conducted by pilots aged 60 and over. Using a retrospective cohort design, we assessed this rule's validity by comparing age‐related change rates of cardiometabolic incapacitation risk markers in European helicopter emergency medical service (HEMS) pilots near age 60 with those in younger pilots. Specifically, individual clinical, laboratory, and electrocardiogram (ECG)‐based risk markers and an overall cardiovascular event risk score were determined from aeromedical examination records of 66 German, Austrian, Polish, and Czech HEMS pilots (average follow‐up 8.52 years). Risk marker change rates were assessed using linear mixed models and generalized additive models. Body mass index increases over time were slower in pilots near age 60 compared to younger pilots, and fasting glucose levels increased only in the latter. Whereas the lipid profile remained unchanged in the latter, it improved in the former. An ECG‐based arrhythmia risk marker increased in younger pilots, which persisted in the older pilots. Six‐month risk of a fatal cardiovascular event (in or out of cockpit) was estimated between 0% and 0.3%. Between 41% and 95% of risk marker variability was due to unexplained time‐stable between‐person differences. To conclude, the cardiometabolic risk marker profile of HEMS pilots appears to improve over time in pilots near age 60, compared to younger pilots. Given large stable interindividual differences, we recommend individualized risk assessment of HEMS pilots near age 60 instead of general grounding.     

On “Black Swans” and “Perfect Storms”: Risk Analysis and Management When Statistics Are Not Enough

Two images, “black swans” and “perfect storms,” have struck the public's imagination and are used—at times indiscriminately—to describe the unthinkable or the extremely unlikely. These metaphors have been used as excuses to wait for an accident to happen before taking risk management measures, both in industry and government. These two images represent two distinct types of uncertainties (epistemic and aleatory). Existing statistics are often insufficient to support risk management because the sample may be too small and the system may have changed. Rationality as defined by the von Neumann axioms leads to a combination of both types of uncertainties into a single probability measure—Bayesian probability—and accounts only for risk aversion. Yet, the decisionmaker may also want to be ambiguity averse. This article presents an engineering risk analysis perspective on the problem, using all available information in support of proactive risk management decisions and considering both types of uncertainty. These measures involve monitoring of signals, precursors, and near‐misses, as well as reinforcement of the system and a thoughtful response strategy. It also involves careful examination of organizational factors such as the incentive system, which shape human performance and affect the risk of errors. In all cases, including rare events, risk quantification does not allow “prediction” of accidents and catastrophes. Instead, it is meant to support effective risk management rather than simply reacting to the latest events and headlines.