scholarly journals A Globally Consistent Stress Testing Approach

2019 ◽  
Vol 4 (3) ◽  
pp. p153
Author(s):  
Colin Ellis
Keyword(s):  
Stress Testing ◽  
Expected Shortfall ◽  
Data Availability ◽  
Rank Ordering ◽  
Testing Approach ◽  
Bank Solvency ◽  
High Level ◽  
Loan Losses ◽  
Compare And Contrast ◽  
Expected Outcomes

This paper describes an approach for stress testing banks that is consistent across economies and geographies, in contrast to common “macro scenario” driven approaches. The latter would require economic scenarios to be both equally likely (in a probabilistic sense) and equally stressful (in a conditional loss sense) across countries in order to be comparable. The paper proposes a three-pronged approach for stressing bank solvency, which incorporates recalibrating pre-crisis Basel capital assumptions, adapting the BIS “expected shortfall” approach for securities, and using granular data for income haircuts. Loan losses are quantified using a simple “multiples” approach, starting from expected outcomes, which is derived from the pre-crisis Basel technical proposal. The approach is practical, can be more granular or conducted at a high level, depending on data availability, and offers a simple way for regulators, investors or risk assessors to compare and contrast stresses in different banking systems. Of the eight bank defaults recorded globally during 2017, this approach would have given a better “rank ordering” for seven of them, indicating the approach adds value to traditional solvency metrics.

Improved Proofs Of Retrievability And Replication For Data Availability In Cloud Storage

2020 ◽  
Vol 63 (8) ◽  
pp. 1216-1230 ◽  
Author(s):  
Wei Guo ◽  
Sujuan Qin ◽  
Jun Lu ◽  
Fei Gao ◽  
Zhengping Jin ◽  
...  
Keyword(s):  
Service Providers ◽  
Cloud Service ◽  
Data Availability ◽  
Forgery Attack ◽  
Common Strategy ◽  
Comparable Performance ◽  
Replication Scheme ◽  
High Level ◽  
Cloud Users ◽  
Proofs Of Retrievability

Abstract For a high level of data availability and reliability, a common strategy for cloud service providers is to rely on replication, i.e. storing several replicas onto different servers. To provide cloud users with a strong guarantee that all replicas required by them are actually stored, many multi-replica integrity auditing schemes were proposed. However, most existing solutions are not resource economical since users need to create and upload replicas of their files by themselves. A multi-replica solution called Mirror is presented to overcome the problems, but we find that it is vulnerable to storage saving attack, by which a dishonest provider can considerably save storage costs compared to the costs of storing all the replicas honestly—while still can pass any challenge successfully. In addition, we also find that Mirror is easily subject to substitution attack and forgery attack, which pose new security risks for cloud users. To address the problems, we propose some simple yet effective countermeasures and an improved proofs of retrievability and replication scheme, which can resist the aforesaid attacks and maintain the advantages of Mirror, such as economical bandwidth and efficient verification. Experimental results show that our scheme exhibits comparable performance with Mirror while achieving high security.

scholarly journals Validation of default probability models: A stress testing approach

2016 ◽  
Vol 47 ◽  
pp. 70-85 ◽  
Author(s):  
Fábio Yasuhiro Tsukahara ◽  
Herbert Kimura ◽  
Vinicius Amorim Sobreiro ◽  
Juan Carlos Arismendi Zambrano
Keyword(s):  
Stress Testing ◽  
Default Probability ◽  
Probability Models ◽  
Testing Approach

The Use of Contract Adjustments to Lengthen the CEO Horizon in the Presence of Internal and External Monitoring

2013 ◽  
Vol 25 (1) ◽  
pp. 199-229 ◽  
Author(s):  
Shane S. Dikolli ◽  
Susan L. Kulp ◽  
Karen L. Sedatole
Keyword(s):  
Boards Of Directors ◽  
Data Availability ◽  
Shareholder Rights ◽  
Compensation Contracts ◽  
Job Change ◽  
External Monitoring ◽  
Increased Risk ◽  
Short Horizon ◽  
High Level ◽  
A Current

ABSTRACT We investigate whether boards of directors adjust compensation contracts to lengthen a CEO's decision horizon, and if the use of such contract adjustments depends on the levels of external (i.e., shareholder-based) and internal (i.e., board-based) CEO monitoring. Based on insights from the career-concerns literature, we identify short-horizon CEOs as those nearing retirement, at a firm with a current earnings decline or loss, and/or with an impending job change. We find that firms with a CEO identified as having a short-horizon place greater contract weight on forward-looking information. This horizon-lengthening contract adjustment is less pronounced when there is greater external monitoring (i.e., as proxied by a high level of shareholder rights), consistent with the intuition that increased shareholder rights mitigate CEO entrenchment, leading to less myopic decision making, independent of a contract adjustment. However, we also find that the horizon-lengthening contract adjustment is more pronounced when there is greater internal monitoring (i.e., as proxied by characteristics of the board), consistent with the intuition that increased employment risk from more intense internal monitoring itself creates a demand for increased incentive weights as a means of compensating the CEO for the increased risk. Data Availability: Data used for this study are derived from publicly available databases and proxy statements. JEL Classifications: M52; M41; J33.

Visible-light Photoresponse of Nitrogen-doped TiO2: Excited State Studies Using Time-dependent Density Functional Theory and Equation-of-Motion Coupled Cluster Methods

2010 ◽  
Vol 1263 ◽  
Author(s):  
Niranjan Govind ◽  
Roger Rousseau ◽  
Amity Andersen ◽  
Karol Kowalski
Keyword(s):  
Excited State ◽  
Density Functional ◽  
Equation Of Motion ◽  
Coupled Cluster ◽  
Functional Theory ◽  
Experimental Findings ◽  
High Level ◽  
Cluster Methods ◽  
Compare And Contrast

AbstractTo shed light on the nature of the electronic states at play in N-doped TiO2 nanoparticles, we have performed detailed ground and excited state calculations on pure and N-doped TiO2 rutile using an embedding model. We have validated our model by comparing ground-state embedded results with those obtained from periodic DFT calculations. Our results are consistent with periodic calculations. Using this embedding model we have performed B3LYP based TDDFT calculations of the excited state spectrum. We have also studied the lowest excitations using high-level equation-of-motion coupled cluster (EOMCC) approaches involving all single and inter-band double excitations. We compare and contrast the nature of the excitations in detail for the pure and doped systems using these calculations. Our calculations indicate a lowering of the bandgap and confirm the role of the N3- states on the UV/Vis spectrum of N-doped TiO2 rutile supported by experimental findings.

scholarly journals A High-Level Petri Net Framework for Genetic Regulatory Networks

2007 ◽  
Vol 4 (3) ◽  
pp. 1-14 ◽  
Author(s):  
Richard Banks ◽  
L. Jason Steggles
Keyword(s):  
Regulatory Networks ◽  
Formal Analysis ◽  
Boolean Model ◽  
Genetic Regulatory Networks ◽  
Cellular Systems ◽  
Logic Minimization ◽  
Formal Framework ◽  
The Individual ◽  
High Level ◽  
Compare And Contrast

Summary To understand the function of genetic regulatory networks in the development of cellular systems, we must not only realise the individual network entities, but also the manner by which they interact. Multi-valued networks are a promising qualitative approach for modelling such genetic regulatory networks, however, at present they have limited formal analysis techniques and tools. We present a flexible formal framework for modelling and analysing multi-valued genetic regulatory networks using high-level Petri nets and logic minimization techniques. We demonstrate our approach with a detailed case study in which part of the genetic regulatory network responsible for the carbon starvation stress response in Escherichia coli is modelled and analysed. We then compare and contrast this multivalued model to a corresponding Boolean model and consider their formal relationship.

Cyclical default and recovery in stress testing loan losses

2013 ◽  
Vol 9 (1) ◽  
pp. 139-149 ◽  
Author(s):  
Esa Jokivuolle ◽  
Matti Virén
Keyword(s):  
Stress Testing ◽  
Loan Losses

Materiality Guidance of the Major Public Accounting Firms

2014 ◽  
Vol 34 (2) ◽  
pp. 3-26 ◽  
Author(s):  
Aasmund Eilifsen ◽  
William F. Messier
Keyword(s):  
Data Availability ◽  
Future Research ◽  
Public Accounting ◽  
Accounting Firms ◽  
Public Accounting Firms ◽  
Qualitative Factors ◽  
Research And Education ◽  
High Level ◽  
Implementation Of Standards

SUMMARY This paper examines the materiality guidance for eight of the largest U.S. public accounting firms. Knowledge of how materiality guidance is integrated into a firm's methodology is important for accounting and auditing researchers as well as for practitioners, regulators, and educators. Our results show a high level of consistency across the firms in terms of the quantitative benchmarks (e.g., income before taxes, total assets or revenues, and total equity) used to determine overall materiality, the related percentages applied to those benchmarks, the percentages applied to overall materiality for determining tolerable misstatement, and what constitutes a clearly trivial misstatement. We also find that the firms' guidance for evaluating detected misstatements, including qualitative factors and firm guidance for group audits, is consistent across firms. However, there are differences in how the firms consider the possibility of undetected misstatements when evaluating detected misstatements. The results of this study provide important insights into implementation of standards and valuable information for future research and education. Data Availability: The data used are proprietary to the firms and are not available for distribution.

scholarly journals Review of archetype development strategies for energy assessment at urban scale

2021 ◽  
Vol 855 (1) ◽  
pp. 012021
Author(s):  
G M Colleto ◽  
V Gomes
Keyword(s):  
Energy Use ◽  
Policy Design ◽  
Methodological Approach ◽  
Level Of Detail ◽  
Data Availability ◽  
Depth Information ◽  
Built Environments ◽  
Energy Assessment ◽  
Operational Energy ◽  
High Level

Abstract Understanding the built environment’s impacts is essential to support strategic planning and policy design for sustainable development now, and in the future. Modelling individual buildings and infrastructure at high level of detail is resource intensive. Thus, urban scale analyses demand simplifications that balance level of detail and scope broadness. For combining simplified modelling and extended scope, classification by archetypes emerge as a promising methodological approach to extend assessment scope beyond energy use simulation. Archetypes that include life cycle assessment (LCA) parameters can support circularity challenges diagnosis, mapping and predictions, strategies to close material and energy loops and their monitoring within urban built environments. We hypothesized that, upon limited complementation, operational and pre/post construction (embodied) datasets coupled with building grouping techniques satisfactorily represent the built stock to support cradle to grave LCA of built environments. Studies on the use of archetypes for this purpose are scarce, so this article reports findings of a Systematic Literature Review (SLR) on archetypes-based approaches for energy assessment that could inspire application in LCA studies at urban scale. The SLR highlighted a lack of methodological consensus, and that data availability seems to be the major limitation for archetype creation in most studies, which rarely present in-depth information on their development. The few investigations providing consistent methodological procedures actually detail the initial classification process. Transposing the archetype strategy from energy assessment to LCA at urban scale faces practical limitations. Several databases support operational energy studies, but the same does not apply to LCA. Urban building energy models typically overlook infrastructure. Also, statistical results depend directly on data input quality and data availability may compromise the quality of variable selection.

Spent Fuel Storage in the Post-Yucca Mountain Paradigm

2012 ◽  
Author(s):  
Earl Easton ◽  
Christopher Bajwa ◽  
Zhian Li ◽  
Matthew Gordon
Keyword(s):  
Spent Nuclear Fuel ◽  
Data Availability ◽  
Spent Fuel ◽  
Geologic Repository ◽  
Safety Standards ◽  
Dose Rates ◽  
Fuel Storage ◽  
High Burnup ◽  
High Level ◽  
Time Frames

The current uncertainty surrounding the licensing and eventual opening of a long term geologic repository for the nation’s civilian and defense spent nuclear fuel (SNF) and high level radioactive waste (HLW) has shifted the window for the length of time spent fuel could be stored to periods of time significantly longer than the current licensing period of 40 years for dry storage. An alternative approach may be needed to the licensing of high-burnup fuel for storage and transportation based on the assumption that spent fuel cladding may not always remain intact. The approach would permit spent fuel to be retrieved on a canister basis and could lessen the need for repackaging of spent fuel. This approach is being presented as a possible engineering solution to address the uncertainties and lack of data availability for cladding properties for high burnup fuel and extended storage time frames. The proposed approach does not involve relaxing current safety standards for criticality safety, containment, or permissible external dose rates.

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