Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and pitfalls of SMA such as instability, risk insensitivity, super-additivity and the implicit relationship between SMA capital model and systemic risk in the banking sector. We also discuss the issues with closely related operational risk Capital-at-Risk (OpCar) Basel Committee proposed model which is the precursor to the SMA. In conclusion, we advocate to maintain the AMA internal model framework and suggest as an alternative a number of standardization recommendations that could be considered to unify internal modelling of operational risk. The findings and views presented in this paper have been discussed with and supported by many OpRisk practitioners and academics in Australia, Europe, UK and USA, and recently at OpRisk Europe 2016 conference in London

Holistic Measures for Evaluating Prediction Models in Smart Grids

The performance of prediction models is often based on "abstract metrics" that estimate the model's ability to limit residual errors between the observed and predicted values. However, meaningful evaluation and selection of prediction models for end-user domains requires holistic and application-sensitive performance measures. Inspired by energy consumption prediction models used in the emerging "big data" domain of Smart Power Grids, we propose a suite of performance measures to rationally compare models along the dimensions of scale independence, reliability, volatility and cost. We include both application independent and dependent measures, the latter parameterized to allow customization by domain experts to fit their scenario. While our measures are generalizable to other domains, we offer an empirical analysis using real energy use data for three Smart Grid applications: planning, customer education and demand response, which are relevant for energy sustainability. Our results underscore the value of the proposed measures to offer a deeper insight into models' behavior and their impact on real applications, which benefit both data mining researchers and practitioners.Comment: 14 Pages, 8 figures, Accepted and to appear in IEEE Transactions on Knowledge and Data Engineering, 2014. Authors' final version. Copyright transferred to IEE

Microservice Transition and its Granularity Problem: A Systematic Mapping Study

Microservices have gained wide recognition and acceptance in software industries as an emerging architectural style for autonomic, scalable, and more reliable computing. The transition to microservices has been highly motivated by the need for better alignment of technical design decisions with improving value potentials of architectures. Despite microservices' popularity, research still lacks disciplined understanding of transition and consensus on the principles and activities underlying "micro-ing" architectures. In this paper, we report on a systematic mapping study that consolidates various views, approaches and activities that commonly assist in the transition to microservices. The study aims to provide a better understanding of the transition; it also contributes a working definition of the transition and technical activities underlying it. We term the transition and technical activities leading to microservice architectures as microservitization. We then shed light on a fundamental problem of microservitization: microservice granularity and reasoning about its adaptation as first-class entities. This study reviews state-of-the-art and -practice related to reasoning about microservice granularity; it reviews modelling approaches, aspects considered, guidelines and processes used to reason about microservice granularity. This study identifies opportunities for future research and development related to reasoning about microservice granularity.Comment: 36 pages including references, 6 figures, and 3 table

Short-Term Electricity Demand Forecasting with Machine Learning

Project Work presented as the partial requirement for obtaining a Master's degree in Data Science and Advanced Analytics, specialization in Business AnalyticsAn accurate short-term load forecasting (STLF) is one of the most critical inputs for power plant units’ planning commitment. STLF reduces the overall planning uncertainty added by the intermittent production of renewable sources; thus, it helps to minimize the hydro-thermal electricity production costs in a power grid. Although there is some research in the field and even several research applications, there is a continual need to improve forecasts. This project proposes a set of machine learning (ML) models to improve the accuracy of 168 hours forecasts. The developed models employ features from multiple sources, such as historical load, weather, and holidays. Of the five ML models developed and tested in various load profile contexts, the Extreme Gradient Boosting Regressor (XGBoost) algorithm showed the best results, surpassing previous historical weekly predictions based on neural networks. Additionally, because XGBoost models are based on an ensemble of decision trees, it facilitated the model’s interpretation, which provided a relevant additional result, the features’ importance in the forecasting

Autonomic State Management for Optimistic Simulation Platforms

We present the design and implementation of an autonomic state manager (ASM) tailored for integration within optimistic parallel discrete event simulation (PDES) environments based on the C programming language and the executable and linkable format (ELF), and developed for execution on x8664 architectures. With ASM, the state of any logical process (LP), namely the individual (concurrent) simulation unit being part of the simulation model, is allowed to be scattered on dynamically allocated memory chunks managed via standard API (e.g., malloc/free). Also, the application programmer is not required to provide any serialization/deserialization module in order to take a checkpoint of the LP state, or to restore it in case a causality error occurs during the optimistic run, or to provide indications on which portions of the state are updated by event processing, so to allow incremental checkpointing. All these tasks are handled by ASM in a fully transparent manner via (A) runtime identification (with chunk-level granularity) of the memory map associated with the LP state, and (B) runtime tracking of the memory updates occurring within chunks belonging to the dynamic memory map. The co-existence of the incremental and non-incremental log/restore modes is achieved via dual versions of the same application code, transparently generated by ASM via compile/link time facilities. Also, the dynamic selection of the best suited log/restore mode is actuated by ASM on the basis of an innovative modeling/optimization approach which takes into account stability of each operating mode with respect to variations of the model/environmental execution parameters