3,562 research outputs found
It Pays to Violate: How Effective are the Basel Accord Penalties?
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As capital reserves lead to an opportunity cost to banks, it is likely that banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this problem the Basel Accord introduced a backtesting procedure, whereby banks using models that led to excessive violations are penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be used to forecast VaR thresholds under a variety of distributional assumptions. The results suggest that, within the current constraints and the penalty structure of the Basel Accord, the lowest capital charges arise when using models that lead to excessive violations, thereby suggesting the current penalty structure is not severe enough to control risk management. In addition, this paper suggests an alternative penalty structure that is more effective at aligning the interests of banks and regulators.GARCH;risk management;forecasting;Value-at-Risk (VaR);Basel accord penalties;simulations;violations
Lowest order Virtual Element approximation of magnetostatic problems
We give here a simplified presentation of the lowest order Serendipity
Virtual Element method, and show its use for the numerical solution of linear
magneto-static problems in three dimensions. The method can be applied to very
general decompositions of the computational domain (as is natural for Virtual
Element Methods) and uses as unknowns the (constant) tangential component of
the magnetic field on each edge, and the vertex values of the
Lagrange multiplier (used to enforce the solenoidality of the magnetic
induction ). In this respect the method can be seen
as the natural generalization of the lowest order Edge Finite Element Method
(the so-called "first kind N\'ed\'elec" elements) to polyhedra of almost
arbitrary shape, and as we show on some numerical examples it exhibits very
good accuracy (for being a lowest order element) and excellent robustness with
respect to distortions
The Differentiation and Promotion of Studentsâ Rights in Portugal
This investigation includes a differential study (Study 1)
and a quasi-experimental research (Study 2). In Study 1, the objective
was to establish to what extent studentsâ rights existed and analyse
the differentiation between studentsâ rights with Portuguese and
immigrant mothers, throughout school years. The sample consisted of
537 students with Portuguese and immigrant mothers, distributed by
different school years (7th, 9th and 11th grades). The Childrenâs Rights
Scale (Hart et al., 1996; Veiga, 2001) was used. In Study 2, the purpose
was to analyse the effects on studentsâ rights of the use by teachers of a
communicational intervention program, supervised by school psychologists.
The sample involved 7th and 9th grade students, in a total of
four classes, two forming the experimental groups (n = 36) and two the
control groups (n = 43); as in Study 1, the Childrenâs Rights Scale was used. The results indicated the effectiveness of the communicational intervention program on studentsâ rights and are consistent with previous studies. An implication is that psychologists and teachers, working together and taking a human rights perspective, may develop an important role in projects to promote the studentsâ rights
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