Hedge funds and financial stability.

Much has been achieved to date in containing the financial stability risks that hedge funds could pose, while avoiding unnecessary restrictions that would distort market forces and prevent hedge funds from continuing to play their role in today’s markets. But in a continuously changing financial market environment, sustained attention is required by market participants and supervisory authorities to assess ongoing market developments and address any weaknesses in counterparty risk management practices and market discipline at an early stage. Dealers in the aggregate appear to be fairly well protected at present against the direct counterparty credit risks from hedge fund defaults, but the robustness of margining practices to a major deterioration in market conditions and liquidity needs to be examined further. The broader financial effects, via a deterioration in market liquidity and prices, from a market shock affecting hedge funds and other leveraged institutions remain difficult to gauge. This highlights the importance of improved stress testing and scenario analysis practices. A critical challenge in this regard will be to ensure improved assessment and mitigation of tail risks by all key participants in the system, so that unrealistic expectations that risks can be transferred to others do not lead to moral hazard and wider risks to the financial system.

Basel II and the Capital Requirements Directive: Responding to the 2008/09 Financial Crisis

This paper addresses factors which have prompted the need for further revision of banking regulation, with particular reference to the Capital Requirements Directive. The Capital Requirements Directive (CRD), which comprises the 2006/48/EC Directive on the taking up and pursuit of the business of credit institutions and the 2006/49/EC Directive on the capital adequacy of investment firms and credit institutions, implemented the revised framework for the International Convergence of Capital Measurement and Capital Standards (Basel II) within EU member states. Pro cyclicality has attracted a lot of attention – particularly with regards to the recent financial crisis, owing to concerns arising from increased sensitivity to credit risk under Basel II. This paper not only considers whether such concerns are well-founded, but also the beneficial and not so beneficial consequences emanating from Basel II’s increased sensitivity to credit risk (as illustrated by the Internal Ratings Based approaches). In so doing it considers the effects of Pillar 2 of Basel II, namely, supervisory review, with particular reference to buffer levels, and whether banks’ actual capital ratios can be expected to correspond with Basel capital requirements given the fact that they are expected to hold certain capital buffers under Pillar 2. Furthermore, it considers how regulators can respond to prevent systemic risks to the financial system during periods when firms which are highly leveraged become reluctant to lend. In deciding to cut back on lending activities, are the decisions of such firms justified in situations where such firms’ credit risk models are extremely and unduly sensitive - hence the level of capital being retained is actually much higher than minimum regulatory Basel capital requirements

Measuring the Difference We're Making: Making Metrics Work for Grantmakers

Measurement and evaluation issues were the focus of a dialogue held February 25, 2010 in Washington, DC, involving 40 representatives of intermediary grantmakers and some of their funders and other partners. Participants used a case study of an organizational capacity monitoring initiative undertaken by The Global Fund for Children as the springbroad for a broader discussion of how to evaluate the work of intermediary grantmakers and their grantee partners around the world

Scalable secure multi-party network vulnerability analysis via symbolic optimization

Threat propagation analysis is a valuable tool in improving the cyber resilience of enterprise networks. As these networks are interconnected and threats can propagate not only within but also across networks, a holistic view of the entire network can reveal threat propagation trajectories unobservable from within a single enterprise. However, companies are reluctant to share internal vulnerability measurement data as it is highly sensitive and (if leaked) possibly damaging. Secure Multi-Party Computation (MPC) addresses this concern. MPC is a cryptographic technique that allows distrusting parties to compute analytics over their joint data while protecting its confidentiality. In this work we apply MPC to threat propagation analysis on large, federated networks. To address the prohibitively high performance cost of general-purpose MPC we develop two novel applications of optimizations that can be leveraged to execute many relevant graph algorithms under MPC more efficiently: (1) dividing the computation into separate stages such that the first stage is executed privately by each party without MPC and the second stage is an MPC computation dealing with a much smaller shared network, and (2) optimizing the second stage by treating the execution of the analysis algorithm as a symbolic expression that can be optimized to reduce the number of costly operations and subsequently executed under MPC.We evaluate the scalability of this technique by analyzing the potential for threat propagation on examples of network graphs and propose several directions along which this work can be expanded

How are Irish households coping with their mortgage repayments? Information from the SILC Survey

This paper uses information contained within the Survey on Income and Living Conditions (SILC) to examine the ability of Irish households to sustain their mortgage repayments. We calculate mortgage repayment to income (MRTI) ratios for a representative sample of Irish households and examine the distribution of this ratio. In particular, we stratify information on marital, work and educational status along with household composition according to this MRTI. We also examine the distribution of information on household mortgages such as the source, the interest rate paid, the age and tenure, and the monthly repayment of the mortgage according to the same ratio. Finally, the distributional implications for the MRTI of a significant unemployment and interest rate shock are also examined.

Intelligent student engagement management : applying business intelligence in higher education

Advances in emerging ICT have enabled organisations to develop innovative ways to intelligently collect data that may not be possible before. However, this leads to the explosion of data and unprecedented challenges in making strategic and effective use of available data. This research-in-progress paper presents an action research focusing on applying business intelligence (BI) in a UK higher education institution that has developed a student engagement tracking system (SES) for student engagement management. The current system serves merely as a data collection and processing system, which needs significant enhancement for better decision support. This action research aims to enhance the current SETS with BI solutions and explore its strategic use. The research attempts to follow socio-technical approach in its effort to make the BI application a success. Progress and experience so far has revealed interesting findings on advancing our understanding and research in organisation-wide BI for better decision-making