15,639 research outputs found

    Bank Networks from Text: Interrelations, Centrality and Determinants

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    In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tapping into financial discourse. We present a text-to-network process, which has its basis in co-occurrences of bank names and can be analyzed quantitatively and visualized. To quantify bank importance, we propose an information centrality measure to rank and assess trends of bank centrality in discussion. For qualitative assessment of bank networks, we put forward a visual, interactive interface for better illustrating network structures. We illustrate the text-based approach on European Large and Complex Banking Groups (LCBGs) during the ongoing financial crisis by quantifying bank interrelations and centrality from discussion in 3M news articles, spanning 2007Q1 to 2014Q3.Comment: Quantitative Finance, forthcoming in 201

    Threshold Accepting for Credit Risk Assessment and Validation

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    According to the latest Basel framework of Banking Supervision, financial institutions should internally assign their borrowers into a number of homogeneous groups. Each group is assigned a probability of default which distinguishes it from other groups. This study aims at determining the optimal number and size of groups that allow for statistical ex post validation of the efficiency of the credit risk assignment system. Our credit risk assignment approach is based on Threshold Accepting, a local search optimization technique, which has recently performed reliably in credit risk clustering especially when considering several realistic constraints. Using a relatively large real-world retail credit portfolio, we propose a new technique to validate ex post the precision of the grading system.credit risk assignment, Threshold Accepting, statistical validation

    Development of a research methodology and analysis of the stress state of a parting under the joint and downward mining of coal seams

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    Purpose. The investigation of the stress-strain state (SSS) of a parting under the joint and downward mining of coal seams. Methods. The studies have been carried out on the basis of a computational experiment by means of the finite elements method, mining observations of rock pressure manifestations and their comparative analysis. Findings. A research methodology has been developed of the parting rocks state under the joint and downward mining of coal seams. Originality. The patterns of the stress-strain state change of the parting rocks have been determined in the process of joint mining of two coal seams by the descending order. Practical implications. The conducted researches will make possible to improve stability of mine workings and their repeated use.Мета. Дослідження напружено-деформованого стану міжпластя при сумісному та нисхідному відпрацюванні вугільних пластів. Методика. Дослідження виконані на основі обчислювального експерименту методом скінченних елементів, шахтних спостережень за проявами гірського тиску та їх порівняльного аналізу. Результати. Розроблено методику дослідження стану порід міжпластя при сумісному і нисхідному відпрацюванні вугільних пластів. Наукова новизна. Визначено закономірності зміни напружено-деформованого стану порід міжпластя у процесі спільного відпрацювання двох вугільних пластів у нисхідному порядку. Практична значимість. Проведені дослідження дозволять підвищити стійкість виробок і забезпечити можливість їх повторного використання.Цель. Исследование напряженно-деформированного состояния междупластья при совместной и нисходящей отработке угольных пластов. Методика. Исследования выполнены на основе вычислительного эксперимента методом конечных элементов, шахтных наблюдений за проявлениями горного давления и их сравнительного анализа. Результаты. Разработана методика исследования состояния пород междупластья при совместной и нисходящей отработке угольных пластов. Научная новизна. Определены закономерности изменения напряженно-деформированного состояния пород междупластья в процессе совместной отработки двух угольных пластов в нисходящем порядке. Практическая значимость. Проведенные исследования позволят повысить устойчивость выработок и обеспечить возможность их повторного использования.The authors of the article express particular gratitude to Serhii Voronin, General Director of PJSC “DTEK Pavlohradvuhillia” for the assistance in its preparation

    Rare coding SNP in DZIP1 gene associated with late-onset sporadic Parkinson's disease

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    We present the first application of the hypothesis-rich mathematical theory to genome-wide association data. The Hamza et al. late-onset sporadic Parkinson's disease genome-wide association study dataset was analyzed. We found a rare, coding, non-synonymous SNP variant in the gene DZIP1 that confers increased susceptibility to Parkinson's disease. The association of DZIP1 with Parkinson's disease is consistent with a Parkinson's disease stem-cell ageing theory.Comment: 14 page

    Performance Assessment of Masonry School Buildings to Seismic and Flood Hazards Using Bayesian Networks

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    Performance assessment of schools is an integral part of disaster risk reduction of communities from natural hazards such as earthquakes and floods. In regions of high exposure, these hazards may often act concurrently, whereby yearly flood events weaken masonry school buildings, rendering them more vulnerable to frequent earthquake shaking. This recurring damage, combined with other functional losses, ultimately result in disruption to education delivery, affecting vulnerable schoolchildren. This project examines behaviour of school buildings to seismic and flood loading, and associated disruption to education from a structural and functional perspective. The study is based on a case study of school buildings in Guwahati, India, where the majority of the buildings can be classified into confined masonry (CM) typology. This project presents three stages of analyses to study the performance of these CM school buildings and the system of schools, as summarised in the following. The first stage of the study involves refinement of the World Bank’s Global Library of School Infrastructure taxonomy to widen its scope and to fit the CM school typology. This leads to the identification of index buildings, which are single-story buildings with flexible diaphragms differing mainly in the level of seismic design. In the second stage, a novel numerical modelling platform based on Applied Element Method is used to analyse the index buildings for simplified lateral loads from both the aforementioned hazards. Seismic loading is applied in the form of ground acceleration, while flood loading is applied as hydrostatic pressure. Sequential scenarios are simulated by subjecting the building to varying flood depths followed by lateral ground acceleration, after accounting for the material degradation due to past flooding. Analytical fragility curves are derived for each case of analysis to quantify their physical performance, using a non-linear static procedure (N2 method) and least square error regression. The third stage of the study employs a Bayesian network (BN) based methodology to model the education disruption at the school system level, from exposure of schools to flood and seismic hazards. The methodology integrates the qualitative and quantitative nature of system variables, such as the physical fragility of school buildings (derived in the second stage), accessibility loss, change of use as shelters and socio-economic condition of the users-community. The performance of the education system impacted by the sequential hazards is quantified through the probability of the various states of disruption duration. The BN also explores the effectiveness of non-structural mitigating measures, such as the transfer of students between schools in the system. The framework proves to be a useful tool to assist decision-making, with regard to disaster preparedness and recovery, hence, contributing to the development of resilient education systems

    Application of a multi-level probabilistic framework for the risk-based robustness assessment of a RC frame structure

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    Despite the increased interest and research about structural robustness, one has to notice that no practical framework is available yet to quantify and assess the robustness of structures which takes into account both local structural behavior of the elements under large deformations and the uncertainties of the acting loads and materials. In this contribution advanced calculation methods and risk-based quantification approaches for robustness are combined by a multi-level calculation scheme which is applied for two alternative designs. The developed approach is able to quantify the reliability and structural robustness of planar reinforced concrete frames in an objective way while using a conditional risk-based robustness index and taking into account the developed membrane action. Additionally the assessment and influence of the direct and indirect costs on risk-based robustness quantification are studied
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