Basel violations, volatility model variants and value at risk: Optimization of performance deviations in banks

Basel penalties originate from VaR violations where a bank may end up either holding more capital or will risk to be reverted to standardized approach. Regulatory capital charge can have a huge impact on banks’ profitability which depends on the estimation of VaR thresholds which is evaluated by the approaches like hypothesis tests, back-testing procedures and Basel Accord regulatory calculations for penalty zones are used. A multi-criteria performance measure has been introduced in this study in order to select the optimal internal model based on performance evaluation techniques which could possibly help in reduction in the VaR violations and thus may leave more capital with banks.

Technogenic Risk Optimization Method for Electrical Installations at a Production Facility

The level of technogenic safety at the production facilities of the Russian Federation is expressed by low values. In this regard, the fire situation is a major hazard: a significant share is represented by the fires that occur at the electrical installations (up to 30 %). Fire risk analysis includes the determination of the probabilities of the occurrence of a fire and its consequences in order to obtain the risk numerical value that determines the fire safety of the object, and its comparison with an acceptable (tolerable) level. The use of a semantic description of risk-forming factors characterizing a hazardous event, their linguistic assessment and the level of significance allows to obtain a range of numerical values for the fire risk of electrical installations. Mathematical modeling is accompanied by the construction of a two-dimensional vector characteristic of the quantitative and qualitative criteria for the integral risk of fire in the electrical installations, which represents a functional dependence on the indicators of the probability of a fire occurrence and the severity of its consequences (material damage). Description of the dynamic model a «human — electrical installation — environment», its life cycle, determines the characteristics of the system considering the fire conditions, and represents five stages: dynamic balance; violation of dynamic balance; destructive action (explosion, fire); restoration of normal functioning; the acquisition of a normal state. Based on this description, the fire risk numerical values at the electrical installation are obtained. When calculating fire risks, it is required to consider the nature of the «human — electrical installation — environment» system, since it is subject to the action of random processes and risk-forming factors that are caused by the presence of electrical installations and the external environment. Improvement of the electrical installations safety system requires using the new technical solutions, and the development of an algorithm for a technogenic safety management system. The main task of fire risk management is to optimize its level. The fire risk is used as a criterion determined by the totality of risk-forming factors of the human-machine system.

Identifikasi Level Pengelolaan Tata Kelola SIPERUMKIM Kota Salatiga berdasarkan COBIT 2019

SIPERUMKIM is the digitization process of public service licensing recommendations for housing implementation. The utilization of information technology governance is used to facilitate monitoring and evaluating the performance of SIPERUMKIM information technology which has been implemented in Housing and Settlement Area in Salatiga city. Information technology governance is a process that can manage investment decisions related to information technology within the company to achieve goals and meet company needs. The use of COBIT 2019 analysis in information technology governance aims to help organizations achieve risk optimization, governance, and information technology management. The results of this study are in the design form of corporate information technology governance and knowing the important process recommendations for the Department of Housing and Settlement of the City of Salatiga. These three important process recommendations are APO12, DSS02, and DSS03.

Improving Oil Supply Security: Using a Risk Optimization Model to China and India

In this paper, a risk optimization model is proposed to minimize the oil supply risk from the perspective of diversification. The results show that there is large room for both China and India to improve the oil supply security. China should reduce oil imports from Saudi Arabia and Russia while increasing oil imports from the United States and Kazakhstan. India should import more oil from America and Russia while substantially reducing imports from Iraq and Saudi Arabia. In terms of the regional analysis, the Middle East plays a crucial role in the oil import strategies. They account for almost half of the total oil imports to China and India. African countries provide an alternative choice to diversify their energy supply risks. Based on forecasts of oil demand, we investigate the optimal oil import strategies for both countries until 2030 and 2040. China’s imports from the United States and Kazakhstan are forecasted to increase by more than ten times by 2030. India should import four times as much oil from the United States as it does now and import 10 times more crude oil from Russia. Africa and North America will play a more important role in India’s oil supply security.

JAK2 unmutated erythrocytosis: current diagnostic approach and therapeutic views

JAK2 unmutated or non-polycythemia vera (PV) erythrocytosis encompasses both hereditary and acquired conditions. A systematic diagnostic approach begins with documentation of historical hematocrit (Hct)/hemoglobin (Hgb) measurements and classification of the process as life-long/unknown duration or acquired. Further investigation in both categories is facilitated by determination of serum erythropoietin level (EPO). Workup for hereditary/congenital erythrocytosis requires documentation of family history and laboratory screening for high-oxygen affinity hemoglobin variants, 2, 3 biphosphoglycerate deficiency, and germline mutations that are known to alter cellular oxygen sensing (e.g., PHD2, HIF2A, VHL) or EPO signaling (e.g., EPOR mutations); the latter is uniquely associated with subnormal EPO. Acquired erythrocytosis is often elicited by central or peripheral hypoxia resulting from cardiopulmonary disease/high-altitude dwelling or renal artery stenosis, respectively; EPO in the former instance is often normal (compensated by negative feed-back). Other conditions associated with acquired erythrocytosis include EPO-producing tumors and the use of drugs that promote erythropoiesis (e.g., testosterone, erythropoiesis stimulating agents). “Idiopathic erythrocytosis” loosely refers to an otherwise not explained situation. Historically, management of non-PV erythrocytosis has been conflicted by unfounded concerns regarding thrombosis risk, stemming from limited phenotypic characterization, save for Chuvash polycythemia, well-known for its thrombotic tendency. In general, cytoreductive therapy should be avoided and phlebotomy is seldom warranted where frequency is determined by symptom control rather than Hct threshold. Although not supported by hard evidence, cardiovascular risk optimization and low-dose aspirin use are often advised. Application of modern genetic tests and development of controlled therapeutic intervention trials are needed to advance current clinical practice.

Manajemen Risiko Divisi Sistem Informasi Perguruan Tinggi Dengan Framework COBIT 5

In order to achieve the company goals, in Universitas Kristen Maranatha, Information system becomes the main tool and Information Technology infrastructure become the backbone in running the company business model, along with the increasing of portfolio application, number of Information Technology services and the amount of human resources. Universitas Kristen Maranatha requires an international standard instrument to measure several domains, both Manage and Operation domains, holistically. By implementing frameworks such as COBIT 5 or COBIT 5 for IT RISK, ISO 31000: 2018, the company is able to measure planning effectiveness, strategic policies implementation, IT service management measured by Service Level Agreement, monitoring and evaluation. In this research, there are 7 domains implemented as follows: EDM01-Ensure Governance Framework Setting and Maintenance, EDM03- Ensure Risk Optimization, AP002- Manage Strategy, APO09- Manage Service Agreements, AP012-Manage Risk, BAI01-Manage Programmes and Projects, BAI05- Manage Organizational Change Enablement.

Adoption of COBIT 5 Framework in Risk Management for Startup Company

The research method used is qualitative, where data collection is done by interviewing informants related to risk findings and identification of the root of the problem using fishbone analysis with category 6M (Man, Money, Machine, Material, Method, Measurement). The results of the identification of the root causes are included in the risk quadrant with the risk probability categories (high, medium, low) and risk impact categories (high, medium, low). After getting the data needed, the stages of creating a risk management model that is mapping the results of identifying the root causes with the COBIT 5 framework. The results of interviews related to the risks experienced by small and medium enterprises obtained as many as 19 risks and the results of fishbone analysis (identification of the root causes) obtained as many as 48 root causes, but this study took a quadrant I-VI with a total of 24 root causes. This research produces a risk management model in the form of COBIT 5 process that is in line with the root of the problem that occurs in small and medium-sized enterprises, namely EDM03 (Ensure Risk Optimization), APO12 (Manage Risks), BAI02 (Manage Requirements Definition), DSS05 (Manage Security Service) , MEA02 (Monitor, Evaluate and Assess the System of Internal Control).