Abstract: Most empirical studies have analyzed how liquidity risks faced by individual institutions turn into systemic risk. Recent banking crisis has highlighted the importance of grasping and controlling the systemic risk, and the acceptance by Central Banks to ease their monetary policies for saving default or illiquid banks. This last point shows that banks would pay less attention to liquidity risk which, in turn, can become a new important channel of loss. The financial regulation focuses on the most important and “systemic” banks in the global network. However, to quantify the expected loss associated with liquidity risk, it is worth to analyze sensitivity to this channel for the various elements of the global bank network. A small bank is not considered as potentially systemic; however the interaction of small banks all together can become a systemic element. This paper analyzes the impact of medium and small banks interaction on a set of banks which is considered as the core of the network. The proposed method uses the structure of agent-based model in a two-class environment. In first class, the data from actual balance sheets of 22 large and systemic banks (such as BNP Paribas or Barclays) are collected. In second one, to model a network as closely as possible to actual interbank market, 578 fictitious banks smaller than the ones belonging to first class have been split into two groups of small and medium ones. All banks are active on the European interbank network and have deposit and market activity. A simulation of 12 three month periods representing a midterm time interval three years is projected. In each period, there is a set of behavioral descriptions: repayment of matured loans, liquidation of deposits, income from securities, collection of new deposits, new demands of credit, and securities sale. The last two actions are part of refunding process developed in this paper. To strengthen reliability of proposed model, random parameters dynamics are managed with stochastic equations as rates the variations of which are generated by Vasicek model. The Central Bank is considered as the lender of last resort which allows banks to borrow at REPO rate and some ejection conditions of banks from the system are introduced.
Liquidity crunch due to exogenous crisis is simulated in the first class and the loss impact on other bank classes is analyzed though aggregate values representing the aggregate of loans and/or the aggregate of borrowing between classes. It is mainly shown that the three groups of European interbank network do not have the same response, and that intermediate banks are the most sensitive to liquidity risk.
Abstract: The development of wireless communication technologies has changed our living style in global level. After the international success of mobile telephony standards, the location and time independent voice connection has become a default method in daily telecommunications. As for today, highly advanced multimedia messaging plays a key role in value added service handling. Along with evolving data services, the need for more complex applications can be seen, including the mobile usage of broadcast technologies. Here performance of a system design for terrestrial multimedia content is examined with emphasis on mobile reception. This review paper has accommodated the understanding of physical layer role and the flavour of terrestrial channel effects on the terrestrial multimedia transmission using OFDM keeping DVB-H as benchmark standard.
Abstract: Springback is a significant problem in the sheet metal
forming process. When the tools are released after the stage of
forming, the product springs out, because of the action of the internal
stresses. In many cases the deviation of form is too large and the
compensation of the springback is necessary. The precise prediction
of the springback of product is increasingly significant for the design
of the tools and for compensation because of the higher ratio of the
yield stress to the elastic modulus.
The main object in this paper was to study the effect of the
anisotropy on the springback for three directions of rolling: 0°, 45°
and 90°. At the same time, we highlighted the influence of three
different metallic materials: Aluminum, Steel and Galvanized steel.
The original of our purpose consist on tests which are ensured by
adapting a U-type stretching-bending device on a tensile testing
machine, where we studied and quantified the variation of the
springback according to the direction of rolling. We also showed the
role of lubrication in the reduction of the springback.
Moreover, in this work, we have studied important characteristics
in deep drawing process which is a springback. We have presented
defaults that are showed in this process and many parameters
influenced a springback.
Finally, our results works lead us to understand the influence of
grains orientation with different metallic materials on the springback
and drawing some conclusions how to concept deep drawing tools. In
addition, the conducted work represents a fundamental contribution
in the discussion the industry application.
Abstract: The objective of this study is to propose a statistical
modeling method which enables simultaneous term structure
estimation of the risk-free interest rate, hazard and loss given default,
incorporating the characteristics of the bond issuing company such as
credit rating and financial information. A reduced form model is used
for this purpose. Statistical techniques such as spline estimation and
Bayesian information criterion are employed for parameter estimation
and model selection. An empirical analysis is conducted using the
information on the Japanese bond market data. Results of the
empirical analysis confirm the usefulness of the proposed method.
Abstract: Contractor selection in Saudi Arabia is very important due to the large construction boom and the contractor role to get over construction risks. The need for investigating contractor selection is due to the following reasons; large number of defaulted or failed projects (18%), large number of disputes attributed to contractor during the project execution stage (almost twofold), the extension of the General Agreement on Tariffs and Trade (GATT) into construction industry, and finally the few number of researches. The selection strategy is not perfect and considered as the reason behind irresponsible contractors. As a response, this research was conducted to review the contractor selection strategies as an integral part of a long advanced research to develop a good selection model. Many techniques can be used to form a selection strategy; multi criteria for optimizing decision, prequalification to discover contractor-s responsibility, bidding process for competition, third party guarantee to enhance the selection, and fuzzy techniques for ambiguities and incomplete information.
Abstract: The purpose of this paper is to investigate the
influence of a number of variables on the conditional mean and
conditional variance of credit spread changes. The empirical analysis
in this paper is conducted within the context of bivariate GARCH-in-
Mean models, using the so-called BEKK parameterization. We show
that credit spread changes are determined by interest-rate and equityreturn
variables, which is in line with theory as provided by the
structural models of default. We also identify the credit spread
change volatility as an important determinant of credit spread
changes, and provide evidence on the transmission of volatility
between the variables under study.
Abstract: Robotic system is an important area in artificial intelligence that aims at developing the performance techniques of the robot and making it more efficient and more effective in choosing its correct behavior. In this paper the distributed learning classifier system is used for designing a simulated control system for robot to perform complex behaviors. A set of enhanced approaches that support default hierarchies formation is suggested and compared with each other in order to make the simulated robot more effective in mapping the input to the correct output behavior.
Abstract: To comply with the international human right
legislation concerning the freedom of movement, transport systems
are required to be made accessible in order that all citizens, regardless
of their physical condition, have equal possibilities to use them. In
Hungary, apparently there is a considerable default in the
improvement of accessible public transport. This study is aiming to
overview the current Hungarian situation and to reveal the reasons of
the deficiency. The result shows that in spite of the relatively
favourable juridical background linked to the accessibility needs and
to the rights of persons with disabilities there is a strong delay in
putting all in practice in the field of public transport. Its main reason
is the lack of financial resource and referring to this the lack of
creating mandatory regulations. In addition to this the proprietary
rights related to public transport are also variable, which also limits
the improvement possibilities. Consequently, first of all an accurate
and detailed regulatory procedure is expected to change the present
unfavourable situation and to create the conditions of the fast
realization, which is already behind time.
Abstract: Using maximal consistent blocks of tolerance relation
on the universe in incomplete decision table, the concepts of join block
and meet block are introduced and studied. Including tolerance class,
other blocks such as tolerant kernel and compatible kernel of an object
are also discussed at the same time. Upper and lower approximations
based on those blocks are also defined. Default definite decision rules
acquired from incomplete decision table are proposed in the paper. An
incremental algorithm to update default definite decision rules is
suggested for effective mining tasks from incomplete decision table
into which data is appended. Through an example, we demonstrate
how default definite decision rules based on maximal consistent
blocks, join blocks and meet blocks are acquired and how optimization
is done in support of discernibility matrix and discernibility function
in the incomplete decision table.
Abstract: Nagaland, the 16th state of India in order of
statehood, is situated between 25° 6' and 27° 4' latitude north and
between 93º 20' E and 95º 15' E longitude of equator in the North
Eastern part of the India. Endowed with varied topography, soil and
agro climatic conditions it is known for its potentiality to grow all
most all kinds of horticultural crops. Pineapple being grown since
long organically by default is one of the most promising crops of the
state with emphasis being laid for commercialization by the
government of Nagaland. In light of commercialization, globalization
and scope of setting small-scale industries, a research study was
undertaken to examine the socio-economic and personal
characteristics, entrepreneurial characteristics and attitude of the
pineapple growers towards improved package of practices of
pineapple cultivation. The study was conducted in Medziphema
block of Dimapur district of the Nagaland state of India following ex
post facto research design. Ninety pineapple growers were selected
from four different villages of Medziphema block based on
proportionate random selection procedure. Findings of the study
revealed that majority of the respondents had medium level of
entrepreneurial characteristics in terms of knowledge level, risk
orientation, self confidence, management orientation, farm decision
making ability and leadership ability and most of them had
favourable attitude towards improved package of practices of
pineapple cultivation. The variables age, education, farm size, risk
orientation, management orientation and sources of information
utilized were found important to influence the attitude of the
respondents. The study revealed that favourable attitude and
entrepreneurial characteristics of the pineapple cultivators might be
harnessed for increased production of pineapple in the state thereby
bringing socio economic upliftment of the marginal and small-scale
farmers.
Abstract: This paper focuses on sovereign credit risk meaning a
hot topic related to the current Eurozone crisis. In the light of the
recent financial crisis, market perception of the creditworthiness of
individual sovereigns has changed significantly. Before the outbreak
of the financial crisis, market participants did not differentiate
between credit risk born by individual states despite different levels
of public indebtedness. In the proceeding of the financial crisis, the
market participants became aware of the worsening fiscal situation in
the European countries and started to discriminate among
government issuers. Concerns about the increasing sovereign risk
were reflected in surging sovereign risk premium. The main of this
paper is to shed light on the characteristics of the sovereign risk with
the special attention paid to the mutual relation between credit spread
and the CDS premium as the main measures of the sovereign risk
premium.
Abstract: One of the most used assumptions in logic programming
and deductive databases is the so-called Closed World Assumption
(CWA), according to which the atoms that cannot be inferred
from the programs are considered to be false (i.e. a pessimistic
assumption). One of the most successful semantics of conventional
logic programs based on the CWA is the well-founded semantics.
However, the CWA is not applicable in all circumstances when
information is handled. That is, the well-founded semantics, if
conventionally defined, would behave inadequately in different cases.
The solution we adopt in this paper is to extend the well-founded
semantics in order for it to be based also on other assumptions. The
basis of (default) negative information in the well-founded semantics
is given by the so-called unfounded sets. We extend this concept
by considering optimistic, pessimistic, skeptical and paraconsistent
assumptions, used to complete missing information from a program.
Our semantics, called extended well-founded semantics, expresses
also imperfect information considered to be missing/incomplete,
uncertain and/or inconsistent, by using bilattices as multivalued
logics. We provide a method of computing the extended well-founded
semantics and show that Kripke-Kleene semantics is captured by
considering a skeptical assumption. We show also that the complexity
of the computation of our semantics is polynomial time.
Abstract: A method has been developed for preparing load
models for power flow and stability. The load modeling
(LOADMOD) computer software transforms data on load class mix,
composition, and characteristics into the from required for
commonly–used power flow and transient stability simulation
programs. Typical default data have been developed for load
composition and characteristics. This paper defines LOADMOD
software and describes the dynamic and static load modeling
techniques used in this software and results of initial testing for
BAKHTAR power system.
Abstract: Collateralized Debt Obligations are not as widely used
nowadays as they were before 2007 Subprime crisis. Nonetheless
there remains an enthralling challenge to optimize cash flows
associated with synthetic CDOs. A Gaussian-based model is used
here in which default correlation and unconditional probabilities of
default are highlighted. Then numerous simulations are performed
based on this model for different scenarios in order to evaluate the
associated cash flows given a specific number of defaults at different
periods of time. Cash flows are not solely calculated on a single
bought or sold tranche but rather on a combination of bought and
sold tranches. With some assumptions, the simplex algorithm gives
a way to find the maximum cash flow according to correlation of
defaults and maturities. The used Gaussian model is not realistic in
crisis situations. Besides present system does not handle buying or
selling a portion of a tranche but only the whole tranche. However the
work provides the investor with relevant elements on how to know
what and when to buy and sell.
Abstract: Many studies have been conducted for derivation of
attenuation relationships worldwide, however few relationships have
been developed to use for the seismic region of Iranian plateau and
only few of these studies have been conducted for derivation of
attenuation relationships for parameters such as uniform duration.
Uniform duration is the total time during which the acceleration is
larger than a given threshold value (default is 5% of PGA). In this
study, the database was same as that used previously by Ghodrati
Amiri et al. (2007) with same correction methods for earthquake
records in Iran. However in this study, records from earthquakes with
MS< 4.0 were excluded from this database, each record has
individually filtered afterward, and therefore the dataset has been
expanded. These new set of attenuation relationships for Iran are
derived based on tectonic conditions with soil classification into rock
and soil. Earthquake parameters were chosen to be
hypocentral distance and magnitude in order to make it easier to use
the relationships for seismic hazard analysis. Tehran is the capital
city of Iran wit ha large number of important structures. In this study,
a probabilistic approach has been utilized for seismic hazard
assessment of this city. The resulting uniform duration against return
period diagrams are suggested to be used in any projects in the area.
Abstract: Short Message Service (SMS) has grown in
popularity over the years and it has become a common way of
communication, it is a service provided through General System
for Mobile Communications (GSM) that allows users to send text
messages to others.
SMS is usually used to transport unclassified information, but
with the rise of mobile commerce it has become a popular tool for
transmitting sensitive information between the business and its
clients. By default SMS does not guarantee confidentiality and
integrity to the message content.
In the mobile communication systems, security (encryption)
offered by the network operator only applies on the wireless link.
Data delivered through the mobile core network may not be
protected. Existing end-to-end security mechanisms are provided
at application level and typically based on public key
cryptosystem.
The main concern in a public-key setting is the authenticity of
the public key; this issue can be resolved by identity-based (IDbased)
cryptography where the public key of a user can be derived
from public information that uniquely identifies the user.
This paper presents an encryption mechanism based on the IDbased
scheme using Elliptic curves to provide end-to-end security
for SMS. This mechanism has been implemented over the standard
SMS network architecture and the encryption overhead has been
estimated and compared with RSA scheme. This study indicates
that the ID-based mechanism has advantages over the RSA
mechanism in key distribution and scalability of increasing
security level for mobile service.
Abstract: This conference paper discusses a risk allocation problem for subprime investing banks involving investment in subprime structured mortgage products (SMPs) and Treasuries. In order to solve this problem, we develop a L'evy process-based model of jump diffusion-type for investment choice in subprime SMPs and Treasuries. This model incorporates subprime SMP losses for which credit default insurance in the form of credit default swaps (CDSs) can be purchased. In essence, we solve a mean swap-at-risk (SaR) optimization problem for investment which determines optimal allocation between SMPs and Treasuries subject to credit risk protection via CDSs. In this regard, SaR is indicative of how much protection investors must purchase from swap protection sellers in order to cover possible losses from SMP default. Here, SaR is defined in terms of value-at-risk (VaR). Finally, we provide an analysis of the aforementioned optimization problem and its connections with the subprime mortgage crisis (SMC).