This paper presents a dynamic portfolio credit model following the regulatory framework, using macroeconomic and latent risk factors to predict the aggregate loan portfolio loss in a banking system. The latent risk factors have three levels: global across the entire banking system, parent-sectoral for the intermediate loan sectors and sector-specific for the individual loan sectors. The aggrega...

Operational risk is defined as a consequence of critical contingencies most of which are quantitative in nature and many questions regarding economic capital allocation for operational risk continue to be open. Existing quantitative models that compute the value at risk for market and credit risk do not take into account operational risk. They also make various assumptions about ’normality’ and...

In this paper, we propose a two-layer framework of jlow control in high-speed A TM wide area networks. At the upper layer of network level, we classify trafic into two categories, delaysensitive and delay-insensitive. With the advancement of perVC queueing in ATM switch design, we propose peak-rate allocation and therefore no jlow control for delay-sensitive traffic, and hop-by-hop credit-based...

In monetary models in which agents are subject to trading shocks there is typically an ex-post inefficiency in that some agents are holding idle balances while others are cash constrained. This inefficiency creates a role for financial intermediaries, such as banks, who accept nominal deposits and make nominal loans. We show that in general financial intermediation improves the allocation and t...

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi...

The primary function of banks during economic transformation is seen to be provision of an efficient payments mechanism. The lack of banking skills, particularly in credit allocation, is seen as the major problem in achieving stable monetary systems. This is a problem which can be expected to last many years. The solution is to limit banks to very safe assets (initially central bank liabilities...

We adopt a time-varying cointegration test to discriminate among different empirical studies claiming to find a stable Euro Area money demand equation. A time-invariant relation explaining real balances is rejected by data, even when accounting for housing, financial and labour markets. Conversely, an international portfolio allocation approach provides stabilization. In particular, internation...

the money creation by commercial banks, raises the question whether this phenomenon is defensible and vindicable from the perspective of economic values and goals in islam? opponents of bank money creation introduce it as an anti-stability, violator of ethics, unfair, violator of state power in exercising its right to publish money and stimulator of no priority social activities while defenders...

This paper introduces a novel thruster fault diagnosis and accommodation system for open-frame underwater vehicles with abrupt faults. The proposed system consists of two subsystems: a fault diagnosis subsystem and a fault accommodation sub-system. In the fault diagnosis subsystem a ICMAC(Improved Credit Assignment Cerebellar Model Articulation Controllers) neural network is used to realize the...

Over the past decades, the competition for academic resources has gradually intensified, and worsened with the current financial crisis. To optimize the resource allocation, individualized assessment of research results is being actively studied but the current indices, such as the number of papers, the number of citations, the hfactor and its variants have limitations, especially their inabili...