A Stochastic Belief Change Framework with an Observation Stream and Defaults as Expired Observations

Abstract. A framework for an agent to change its probabilistic beliefs after a stream of noisy observations is received is proposed. Observations which are no longer relevant, become default assumptions until overridden by newer, more prevalent observations. A distinction is made between background and foreground beliefs. Agent actions and environment events are distinguishable and form part of the agent model. It is left up to the agent designer to provide an environment model; a submodel of the agent model. An example of an environment model is provided in the paper, and an example scenario is based on it. Given the particular form of the agent model, several 'patterns of cognition' can be identified. An argument is made for four particular patterns

Essays on Finance and Risk

Tato dizertace obsahuje tři kapitoly, ve kterých jsou empiricky zkoumány klasické otázky bankovní rizika a finanční ekonomie. V první kapitole zkoumám jestli bankovní likvidita, kapitál a riziko jsou společně určeny v bankovním sektoru eurozóny. Ve druhé kapitole, spolu s Adamom Geršlem, Petrem Jakubíkem, Stevnem Ongena a José- Luis Peydró, zkoumáme roli měnových podmínek pro bankovní rizika v sektoru v ČR. Používame komplexní úvěrověho registru České národní banky. Třetí kapitola se vztahuje na mod- eloveho rizika a analyzuje výkonnost vybraného modelu vynosove krivky při oceňování úrokové swapy na polském trhu. Cox-Ingersoll-Ross navrhuje ze volatilita souvisi z ve- likosti úrokových sazeb. Ex-post Nelson-Siegel model ukazuje, že prurez výnosove křivky je velmi informativni pro budoucnost.Dorota Kowalczyk: Essays on Finance and Risk Abstract This dissertation consists of three chapters that empirically investigate questions of increasing relevance in the banking risk and financial economics literature. The first chapter studies bank risk in the context of its joint determination with bank liquidity and capital in the Eurozone. The second chapter examines the banks' appetite for risk using the comprehensive credit register of the Czech National Bank. Finally, the last chapter refers to model risk and analyzes the ability of the selected term structure models to value the interest rate swaps in the Polish market. The first chapter analyzes the coordination of bank risk, liquidity and capital in the presence of securitization. Its outcome contributes to the debate on the effectiveness of the banking regulations. My findings with regard to the simultaneity of capital and risk decisions are consistent with previous empirical studies. Incorporation of bank liquidity permits me to establish the presence of the coordination of risk and liquidity decisions. At the same time, I find no evidence of the direct joint determination of capital and liquidity. Finally, the first chapter partially confirms the theoretical implications of Repullo (2005). The second chapter, coauthored with Adam Geršl, Petr...CERGEFaculty of Social SciencesFakulta sociálních vě

Coordinating Resource Use in Open Distributed Systems

In an open distributed system, computational resources are peer-owned, and distributed over time and space. The system is open to interactions with its environment, and the resources can dynamically join or leave the system, or can be discovered at runtime. This dynamicity leads to opportunities to carry out computations without statically owned resources, harnessing the collective compute power of the resources connected by the Internet. However, realizing this potential requires efficient and scalable resource discovery, coordination, and control, which present challenges in a dynamic, open environment. In this thesis, I present an approach to address these challenges by separating the functionality concerns of concurrent computations from those of coordinating their resource use, with the purpose of reducing programming complexity, and aiding development of correct, efficient, and resource-aware concurrent programs. As a first step towards effectively coordinating distributed resources, I developed DREAM, a Distributed Resource Estimation and Allocation Model, which enables computations to reason about future availability of resources. I then developed a fine-grained resource coordination scheme for distributed computations. The coordination scheme integrates DREAM-based resource reasoning into a distributed scheduler, for deciding and enforcing fine-grained resource-use schedules for distributed computations. To control the overhead caused by the coordination, a tuner is implemented which explicitly balances the overhead of the control mechanisms against the extent of control exercised. The effectiveness and performance of the resource coordination approach have been evaluated using a number of case studies. Experimental results show that the approach can effectively schedule computations for supporting various types of coordination objectives, such as ensuring Quality-of-Service, power-efficient execution, and dynamic load balancing. The overhead caused by the coordination mechanism is relatively modest, and adjustable through the tuner. In addition, the coordination mechanism does not add extra programming complexity to computations

Cost and benefits of rent control in Kumasi, Ghana

Over the past forty years, rent control has been a feature of housing in Ghana. This study focusses on the housing market in Kumasi, the second largest city in Ghana. The authors examine the characteristics of the rent control regime in force there, and assess the costs and benefits of rent control, on landlords and on tenants, and its effect on the housing stock. Rent control has been successful in ensuring that housing is very inexpensive for most households, in both absolute terms and in the proportion of income devoted to rent. Thesecontrols have deprived landlords of economic returns on their property, causing them to withdraw stock from renting to use for their own family members and to reduce maintenance. However, rent control is not the only constraint on the housing market, in Kumasi or in Ghana. The paper also describes other supply side and regulatory constraints; such as those affecting land, finance, and choice of building design and materials. A number of options for relaxation/decontrol are studied with the aid of a simple present value model. Along with decontrol of new construction it is recommended that floating up and out of controls over a five year period should be considered, along with policy changes to ensure ready supplies of land, finance, and building materials. Such policies are essential, given that private housing investment provides the great majority of rooms in Ghanaian urban areas.Non Bank Financial Institutions,Banks&Banking Reform,Housing Finance,Housing&Human Habitats,Economic Theory&Research

Fair value accounting and the financial market crisis. To what extent is fair valuation responsible for the financial crisis?

The subprime financial crisis impacted the economy on a global level and was accompanied by manifold discussions regarding the involvement of fair value accounting principles. The debate reached its temporary peak in late 2008, when the IASB amended the rules of fair value accounting for seriously distressed financialinstitutions to prevent further recognition of fair value losses. During the last decades, European financial markets showed a strong trend towards liberalization, deregulation and economic integration, but at the same time these developments are held responsible to make financial systems more unstable, fragile, and prone to crisis. This study investigates the recurrent occurrence of financial crises in general thereby focusing on the interdependence between thelatest subprime crisis and fair value financial instruments of European banks in particular. Financial institutions play an important role in financial crises as they are the predominant appliers of fair value accounting principles under IAS 39. The business models of financial institutions are presented and the associated risk types indicate the increased vulnerability towards market interruptions. The consideration of several preceding financial crises shows that they may be triggered under different scenarios. However, they follow a similar pattern and have some comparable characteristics. In this context an “ideal-typical” course of a financial crisis in developed economies is presented. The study shows that fair value accounting was not responsible for the latest crisis. However, there are legitimate concerns about financial reporting at fair value that came to the fore during times of crisis. Critics argue that fair value accounting leads to instability in financial markets due to irrational investors’ behavior, procylicality, liquidity problems, and increases of company-specific subjectivity in absence of market prices. Using a comprehensive sample of 316 European IFRS applying financial institutions, the impact of fair value accounting throughout European banks is examined and upon procyclical effects of fair value financial instruments observed during the period 2006 to 2010. As a result, the sample provided no or only minor evidence that fair value accounting added additional procyclicality to European banks’ financial statements. Fair value accounting seems to be the appropriate measure for certain financial instruments and a first step in the right direction. However, the financial crisis revealed certain weaknesses in the area of fair value accounting and several proposals for improvement are discussed

The spark that ignited the Industrial Revolution : an examination of the institutions surrounding the development of the steam engine in England and France

M-DNR

Multi-Agent Systems

This Special Issue ""Multi-Agent Systems"" gathers original research articles reporting results on the steadily growing area of agent-oriented computing and multi-agent systems technologies. After more than 20 years of academic research on multi-agent systems (MASs), in fact, agent-oriented models and technologies have been promoted as the most suitable candidates for the design and development of distributed and intelligent applications in complex and dynamic environments. With respect to both their quality and range, the papers in this Special Issue already represent a meaningful sample of the most recent advancements in the field of agent-oriented models and technologies. In particular, the 17 contributions cover agent-based modeling and simulation, situated multi-agent systems, socio-technical multi-agent systems, and semantic technologies applied to multi-agent systems. In fact, it is surprising to witness how such a limited portion of MAS research already highlights the most relevant usage of agent-based models and technologies, as well as their most appreciated characteristics. We are thus confident that the readers of Applied Sciences will be able to appreciate the growing role that MASs will play in the design and development of the next generation of complex intelligent systems. This Special Issue has been converted into a yearly series, for which a new call for papers is already available at the Applied Sciences journal’s website: https://www.mdpi.com/journal/applsci/special_issues/Multi-Agent_Systems_2019