scholarly journals Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model

2020 ◽  
Vol 2020 (015) ◽  
Author(s):  
◽  
Matthew P. Seay ◽  
Cindy M. Vojtech ◽  
◽  
Keyword(s):  
Stress Test ◽  
Test Model ◽  
Top Down ◽  
Flare Model ◽  
Forward Looking

Assessing the financial condition and accounts receivable risk among US farmer cooperatives

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Gerald Mashange ◽  
Brian C. Briggeman
Keyword(s):  
Stress Test ◽  
Test Model ◽  
Test Results ◽  
Content Type ◽  
Accounts Receivable ◽  
Financial Condition ◽  
Farmer Cooperatives ◽  
Retained Earnings ◽  
Bad Debt ◽  
Over Time

PurposeThe purpose of this paper is to examine the financial condition and ability of farmer cooperatives to withstand significant increases in bad debt expense.Design/methodology/approachA unique data set of farmer cooperative financial statements that spans from 1996 to 2019 is used to examine the changes in profitability, solvency, liquidity and accounts receivable risk. Also, a deterministic stress test model is designed to shock bad debt expense and the resulting write-off of accounts receivable for farmer cooperatives. The stress test provides insights to the resiliency of farmer cooperatives.FindingsResults find that farmer cooperatives are in a strong financial position, which has improved over time. The majority of farmer cooperatives are able to absorb a substantial increase in bad debt expense because of their sizable, retained earnings position. However, cooperatives that have significant profitability challenges do experience much larger losses, especially mixed farmer cooperatives (roughly equally amounts of grain and farm supply sales) and large cooperatives with more than $500 million in sales.Practical implicationsThe stress test results suggest farmer cooperative managers and boards of directors could re-examine their credit policies and consider extending additional credit. Also, cooperatives should consider monitoring and identifying an optimal accounts receivable to retained earnings ratio, which is similar to how banks examine their tier 1 capital ratios.Originality/valueThe value of this study is having data that allows for the examination of the financial condition of farmer cooperatives over time. Also, having current data means the accounts receivable stress test results are more relevant and timelier. This is important because these accounts receivable are primarily tied to crop input supplies, and farmer cooperatives are a significant market participant in the crop input supply market.

scholarly journals Disentangling the bond–CDS nexus: A stress test model of the CDS market

2015 ◽  
Vol 49 ◽  
pp. 32-45 ◽  
Author(s):  
Guillaume Vuillemey ◽  
Tuomas A. Peltonen
Keyword(s):  
Stress Test ◽  
Test Model

scholarly journals Increase in Beta Power Reflects Attentional Top-Down Modulation After Psychosocial Stress Induction

2021 ◽  
Vol 15 ◽  
Author(s):  
Ismael Palacios-García ◽  
Jaime Silva ◽  
Mario Villena-González ◽  
Germán Campos-Arteaga ◽  
Claudio Artigas-Vergara ◽  
...  
Keyword(s):  
Heart Rate ◽  
Psychosocial Stress ◽  
Stress Test ◽  
Trier Social Stress Test ◽  
Compensatory Mechanism ◽  
Alpha Power ◽  
Top Down ◽  
Brain Rhythms ◽  
Attentional Resources ◽  
Beta Power

Selective attention depends on goal-directed and stimulus-driven modulatory factors, each relayed by different brain rhythms. Under certain circumstances, stress-related states can change the balance between goal-directed and stimulus-driven factors. However, the neuronal mechanisms underlying these changes remain unclear. In this study, we explored how psychosocial stress can modulate brain rhythms during an attentional task and a task-free period. We recorded the EEG and ECG activity of 42 healthy participants subjected to either the Trier Social Stress Test (TSST), a controlled procedure to induce stress, or a comparable control protocol (same physical and cognitive effort but without the stress component), flanked by an attentional task, a 90 s of task-free period and a state of anxiety questionnaire. We observed that psychosocial stress induced an increase in heart rate (HR), self-reported anxiety, and alpha power synchronization. Also, psychosocial stress evoked a relative beta power increase during correct trials of the attentional task, which correlates positively with anxiety and heart rate increase, and inversely with attentional accuracy. These results suggest that psychosocial stress affects performance by redirecting attentional resources toward internal threat-related thoughts. An increment of endogenous top-down modulation reflected an increased beta-band activity that may serve as a compensatory mechanism to redirect attentional resources toward the ongoing task. The data obtained here may contribute to designing new ways of clinical management of the human stress response in the future and could help to minimize the damaging effects of persistent stressful experiences.

scholarly journals Spatial thinking from a different view: Disentangling top-down and bottom-up processes using eye tracking

2020 ◽  
Vol 2 (1) ◽  
pp. 138-212
Author(s):  
Benedict C. O. F. Fehringer
Keyword(s):  
Eye Tracking ◽  
Cognitive Processing ◽  
Difficulty Level ◽  
Spatial Thinking ◽  
Short Version ◽  
Test Model ◽  
Top Down ◽  
Bottom Up ◽  
Gaze Fixation ◽  
Processing Steps

AbstractThe goal of the present study was to investigate the potential of gaze fixation patterns to reflect cognitive processing steps during test performance. Gaze movements, however, can reflect top-down and bottom-up processes. Top-down processes are the cognitive processing steps that are necessary to solve a certain test item. In contrast, bottom-up processes may be provoked by varying visual features that are not related to the item solution. To disentangle top-down and bottom-up processes in the context of spatial thinking, a new test (R-Cube-Vis Test) was developed and validated explicitly for the usage of eye tracking in three studies as long and short version. The R-Cube-Vis Test measures visualization and is conform to the linear logistic test model with six difficulty levels. All items of one level demand the same transformation steps to solve an item. The R-Cube-Vis Test was then utilized to investigate different gaze-fixation-based indicators to identify top-down and bottom-up processes. Some of the indicators were also able to predict the correctness of the answer of a single item. Gaze-related measures have a high potential to reveal cognitive processing steps during solving an item of a given difficulty level, if top-down and bottom-up processes can be segregated.

scholarly journals Systemic stress test model for shared portfolio networks

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Irena Vodenska ◽  
Nima Dehmamy ◽  
Alexander P. Becker ◽  
Sergey V. Buldyrev ◽  
Shlomo Havlin
Keyword(s):  
Systemic Risk ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Stress Test ◽  
Bipartite Network ◽  
Test Model ◽  
Stress Tests ◽  
The Stability ◽  
Greek Banks ◽  
Systemic Stress

AbstractWe propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial system. We apply the model to the European sovereign debt crisis and observe that the results closely match real-world events (e.g., the high risk of Greek sovereign bonds and the distress of Greek banks). Our model could become complementary to existing stress tests, incorporating the contribution of interconnectivity of the banks to systemic risk in time-dependent networks. Additionally, we propose an institutional systemic importance ranking, BankRank, for the financial institutions analyzed in this study to assess the contribution of individual banks to the overall systemic risk.

scholarly journals Macro Stress Test Model Risiko Kredit: Studi Empiris Perbankan Konvensional dan Syariah di Indonesia

2019 ◽  
Vol 9 (2) ◽  
pp. 113-130
Author(s):  
Indra Indra
Keyword(s):  
Stress Test ◽  
Test Model

Tulisan ini berfokus pada pengembangan model yang mampu melakukan pengujian tekanan makro (macro stress test) terhadap risiko kredit perbankan konvensional dan perbankan syariah di Indonesia dengan menggunakan beberapa analisis sekenario. Tujuannya adalah untuk menginvestigasi sekaligus mengkomparasi daya tahan sistem keuangan kedua sistem perbankan tersebut dari berbagai guncangan makro. Variabel risiko kredit yang digunakan adalah NPL untuk perbankan konvensional dan NPF untuk perbankan syariah. Variabel makro eksogenus yang digunakan adalah Produk Domestik Bruto, Kurs, Indeks Harga Konsumen, dan Tingkat Suku Bunga. Spesifikasi model yang digunakan adalah ARDL , yang diestimasi untuk setiap tipe kredit perbankan yang diklasifikasikan ke dalam 9 (sembilan) sektor dan total seluruh sektor. Studi ini menemukan bahwa, penurunan PDB, depresiasi kurs, kenaikan IHK (inflasi) dan tingkat suku bunga (BI Rate) berkontribusi dalam mendorong kenaikan level NPL maupun NPF. IHK (inflasi) merupakan sumber kerentanan terbesar bagi risiko kredit pada kedua kelompok bank, diikuti oleh  PDB, Kurs, dan tingkat suku bunga. Fakta ini mengindikasikan bahwa kerentanan sistem keuangan pada kedua kelompok bank tidak hanya bergantung pada kinerja internal pada setiap bank, namun juga dinamika makro eksternal. Hasil ini mengkonfirmasi bahwa meski bank syariah dan bank konvensional menggunakan sistem operasi yang berbeda, namun keduanya tidak terlepas dari dinamika makroekonomi yang terjadi.

scholarly journals Optimal Rules bagi Instrumen Kebijakan Moneter di Indonesia: Pengujian Empiris Model Guender

2008 ◽  
Vol 9 (1) ◽  
pp. 93-115
Author(s):  
Zenathan Adnin ◽  
Eugenia Mardanugraha
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Inflation Targeting ◽  
Phillips Curve ◽  
Policy Instrument ◽  
Test Model ◽  
Output Stability ◽  
The Interest Rate ◽  
Forward Looking

This study aims to test model developed by Guender (2002) in determining optimal rules for monetary policy instrument in Indonesia. The test is conducted by estimating parameters of IS equation and Forward Looking Phillips Curve. The result expected is rules for determining the optimal interest rate which is influenced by the gap between actual and targeted inflation. The result shows that in the era of inflation targeting the interest rate setting policy as monetary policy instrument has focus on output stability rather than inflation stability. Finally, the study concludes that the interest rate targeting as BI rate has not being optimal.

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