Designing an expert knowledge-based Systemic Importance Index for financial institutions

Defining whether a financial institution is systemically important (or not) is challenging due to (i) the inevitability of combining complex importance criteria such as institutions’ size, connectedness and substitutability; (ii) the ambiguity of what an appropriate threshold for those criteria may be; and (iii) the involvement of expert knowledge as a key input for combining those criteria. The proposed method, a Fuzzy Logic Inference System, uses four key systemic importance indicators that capture institutions’ size, connectedness and substitutability, and a convenient deconstruction of expert knowledge to obtain a Systemic Importance Index. This method allows for combining dissimilar concepts in a non-linear, consistent and intuitive manner, whilst considering them as continuous –non binary- functions. Results reveal that the method imitates the way experts them-selves think about the decision process regarding what a systemically important financial institution is within the financial system under analysis. The Index is a comprehensive relative assessment of each financial institution’s systemic importance. It may serve financial authorities as a quantitative tool for focusing their attention and resources where the severity resulting from an institution failing or near-failing is estimated to be the greatest. It may also serve for enhanced policy-making (e.g. prudential regulation, oversight and supervision) and decision-making (e.g. resolving, restructuring or providing emergency liquidity).Systemic Importance, Systemic Risk, Fuzzy Logic, Approximate Reasoning, Too-connected-to-fail, Too-big-to-fail. Classification JEL: D85, C63, E58, G28.

Aggregated fuzzy answer set programming

Fuzzy Answer Set programming (FASP) is an extension of answer set programming (ASP), based on fuzzy logic. It allows to encode continuous optimization problems in the same concise manner as ASP allows to model combinatorial problems. As a result of its inherent continuity, rules in FASP may be satisfied or violated to certain degrees. Rather than insisting that all rules are fully satisfied, we may only require that they are satisfied partially, to the best extent possible. However, most approaches that feature partial rule satisfaction limit themselves to attaching predefined weights to rules, which is not sufficiently flexible for most real-life applications. In this paper, we develop an alternative, based on aggregator functions that specify which (combination of) rules are most important to satisfy. We extend upon previous work by allowing aggregator expressions to define partially ordered preferences, and by the use of a fixpoint semantics

Decision support model for the selection of asphalt wearing courses in highly trafficked roads

The suitable choice of the materials forming the wearing course of highly trafficked roads is a delicate task because of their direct interaction with vehicles. Furthermore, modern roads must be planned according to sustainable development goals, which is complex because some of these might be in conflict. Under this premise, this paper develops a multi-criteria decision support model based on the analytic hierarchy process and the technique for order of preference by similarity to ideal solution to facilitate the selection of wearing courses in European countries. Variables were modelled using either fuzzy logic or Monte Carlo methods, depending on their nature. The views of a panel of experts on the problem were collected and processed using the generalized reduced gradient algorithm and a distance-based aggregation approach. The results showed a clear preponderance by stone mastic asphalt over the remaining alternatives in different scenarios evaluated through sensitivity analysis. The research leading to these results was framed in the European FP7 Project DURABROADS (No. 605404).The research leading to these results has received funding from the European Union Seventh Framework Programme (FP7/2007–2013) under Grant Agreement No. 605404

Fuzzy investment decision support for brownfield redevelopment

Tato disertační práce se zaměřuje na problematiku investování a podporu rozhodování pomocí moderních metod. Zejména pokud jde o analýzu, hodnocení a výběr tzv. brownfieldů pro jejich redevelopment (revitalizaci). Cílem této práce je navrhnout univerzální metodu, která usnadní rozhodovací proces. Proces rozhodování je v praxi komplikován též velkým počet relevantních parametrů ovlivňujících konečné rozhodnutí. Navržená metoda je založena na využití fuzzy logiky, modelování, statistické analýzy, shlukové analýzy, teorie grafů a na sofistikovaných metodách sběru a zpracování informací. Nová metoda umožňuje zefektivnit proces analýzy a porovnávání alternativních investic a přesněji zpracovat velký objem informací. Ve výsledku tak bude zmenšen počet prvků množiny nejvhodnějších alternativních investic na základě hierarchie parametrů stanovených investorem.This dissertation focuses on decision making, investing and brownfield redevelopment. Especially on the analysis, evaluation and selection of previously used real estates suitable for commercial use. The objective of this dissertation is to design a method that facilitates the decision making process with many possible alternatives and large number of relevant parameters influencing the decision. The proposed method is based on the use of fuzzy logic, modeling, statistic analysis, cluster analysis, graph theory and sophisticated methods of information collection and processing. New method allows decision makers to process much larger amount of information and evaluate possible investment alternatives efficiently.

Intelligent control based on fuzzy logic and neural net theory

In the conception and design of intelligent systems, one promising direction involves the use of fuzzy logic and neural network theory to enhance such systems' capability to learn from experience and adapt to changes in an environment of uncertainty and imprecision. Here, an intelligent control scheme is explored by integrating these multidisciplinary techniques. A self-learning system is proposed as an intelligent controller for dynamical processes, employing a control policy which evolves and improves automatically. One key component of the intelligent system is a fuzzy logic-based system which emulates human decision making behavior. It is shown that the system can solve a fairly difficult control learning problem. Simulation results demonstrate that improved learning performance can be achieved in relation to previously described systems employing bang-bang control. The proposed system is relatively insensitive to variations in the parameters of the system environment