Design and Application of Risk Adjusted Cumulative Sum (RACUSUM) for Online Strength Monitoring of Ready Mixed Concrete

The Cumulative Sum (CUSUM) procedure is an effective statistical process control tool that can be used to monitor quality of ready mixed concrete (RMC) during its production process. Online quality monitoring refers to monitoring of the concrete quality at the RMC plant during its production process. In this paper, we attempt to design and apply a new CUSUM procedure for RMC industry which takes care of the risks involved and associated with the production of RMC. This new procedure can be termed as Risk Adjusted CUSUM (RACUSUM). The 28 days characteristic cube compressive strengths of the various grades of concrete and detailed information regarding the production process and the risks associated with the production of RMC were collected from the operational RMC plants in and around Ahmedabad and Delhi (India). The risks are quantified using a likelihood based scoring method. Finally a Risk Adjusted CUSUM model is developed by imposing the weighted score of the estimated risks on the conventional CUSUM plot. This model is a more effective and realistic tool for monitoring the strength of RMC.

Multivariate Statistical Process Control Charts: An Overview

In this paper we discuss the basic procedures for the implementation of multivariate statistical process control via control charting. Furthermore, we review multivariate extensions for all kinds of univariate control charts, such as multivariate Shewhart-type control charts, multivariate CUSUM control charts and multivariate EWMA control charts. In addition, we review unique procedures for the construction of multivariate control charts, based on multivariate statistical techniques such as principal components analysis (PCA) and partial lest squares (PLS). Finally, we describe the most significant methods for the interpretation of an out-of-control signal.quality control, process control, multivariate statistical process control, Hotelling's T-square, CUSUM, EWMA, PCA, PLS

How does ownership structure and manager wealth influence risk? : a look at ownership structure, manager wealth, and risk in commercial banks

Bank managers, stockholders, and directors must work closely together in deciding what risks their bank will assume and how to control the bank's overall risk exposure. Each decision-maker will have to understand the risk preferences of others in order to make mutually acceptable decisions and develop policies that reflect all of their concerns. To the extent that weak risk control is tied to management and ownership structure, bank examiners must also understand the basic components of a sound management and ownership structure if the examiner is to suggest corrective steps for a problem institution. ; This study looks at a sample of Tenth Federal Reserve District banks to investigate the relationship between bank risk, ownership of the bank by managers, and the degree to which managers and owners have their wealth concentrated in their bank stockholdings. Data for 270 randomly selected banks reveal that ownership and wealth diversification of bank owners and managers do influence bank risk. These effects extend not only to the overall risk of the bank, but are also reflected uniquely in asset quality measures, bank leverage, and other parts of a bank's risk exposure. ; Major findings highlight connections between bank risk, ownership structure, and manager wealth. Banks are less risky when bank managers have a higher concentration of wealth in their bank and, thus, have more to lose from taking on additional risk. Possibly seeking to avoid large loan losses that could threaten their employment, hired managers typically operate their banks with lower credit risk than banks with owner managers. Using capital as a buffer against risk, owner-manager banks tend to have higher capitalization than banks with hired managers. Stock ownership by hired managers provides incentives to operate their bank more in line with the risk preferences of owners. Finally, a hired-manager bank will be less risky when a major owner monitoring the bank has much of his or her wealth concentrated in the bank's stock. ; Thus, ownership structure and concentration of wealth in bank equity have a significant influence on bank risk. Understanding how risk preferences depend on ownership and wealth diversification can be valuable information to managers and owners as they grapple with the level and type of risk to take in their banks.Risk ; Banking structure ; Federal Reserve District, 10th