A Contingent Claim Analysis of Risk-based Capital Standards for Banks

Many countries are implementing capital adequacy standards developed under the auspices of the Bank for International Settlements (BIS), which explicitly link each bank’s minimum capital-to-asset ratio to the riskiness of its operations. In this paper, we use a contingent claim framework to examine the general questions of what goals a risk-based capital framework might be designed to achieve and how risk-based standards might be expected to influence bank behaviour. We identify two related but distinct regulatory policy goals, and derive a capital adequacy rule to achieve each goal: a liability-value (LV) rule designed to limit the contingent liability borne by the deposit guarantor per dollar of deposits; and a failure-probability (FP) rule designed to limit the probability of bank insolvency. We show that an LV rule is likely to push banks toward low-risk, low-capital combinations, whereas an FP rule is likely to encourage high risk and high capital ratios. The results suggest that restrictions on bank asset holdings and on overall financial leverage may be desirable in conjunction with risk-based capital standards. We then consider the extent to which the BIS standards reflect either an FP or an LV approach to capital regulation. The BIS standards assign risk weights to various types of assets, and establish a minimum ratio of capital to the sum of risk-weighted assets. We find that a BIS-type standard with appropriately chosen weights could be an extremely close approximation to a rule designed to achieve either goal, but that the actual weightings contained in the accord are most consistent with an FP rule. However, we show that the weight assigned to riskless assets should be negative if regulatory goals make an LV rule desirable; we also find that under either LV or FP rules the weight given to risky assets probably should be substantially higher than established in the BIS agreement. The optimal weights also depend on the typical range of risks in bank portfolios. Since this range may vary from one financial system to the next, it may be desirable to retain a degree of national discretion in setting the precise weightings.

Greenhouse Gas Reduction Opportunities for Local Governments: A Quantification and Prioritization Framework

Local governments have steadily increased their initiative to address global climate change, and many present their proposed strategies through climate action plans (CAPs). This study conducts a literature review on current local approaches to greenhouse gas (GHG) reduction strategies by assessing CAPs in California and presents common strategies in the transportation sector along with useful tools. One identified limitation of many CAPs is the omission of quantitative economic cost and emissions data for decision-making on the basis of cost-effectiveness. Therefore, this study proposes a framework for comparing strategies based on their life cycle emissions mitigation potential and costs. The results data can be presented in a marginal abatement cost curve (MACC) to allow for side-by-side comparison of considered strategies. Researchers partnered with Yolo and Unincorporated Los Angeles Counties to analyze 7 strategies in the transportation and energy sectors (five and two, respectively). A MACC was subsequently developed for each county. Applying the life cycle approach revealed strategies that had net cost savings over their life cycle, indicating there are opportunities for reducing emissions and costs. The MACC also revealed that some emissions reduction strategies in fact increased emissions on a life cycle basis. Applying the MACC framework to two case study jurisdictions illustrated both the feasibility and challenges of including quantitative analysis in their decision-making process. An additional barrier to using the MACC framework in the context of CAPs, is the mismatch between a life cycle and annual accounting basis for GHG emissions. Future work could explore more efficient data collection, alternative scopes of emissions for reporting, and environmental justice concerns.View the NCST Project Webpag

Numerical and experimental studies of multi-ply woven carbon fibre prepreg forming process

Woven carbon fibre prepreg is being increasingly used in high-performance aerospace and automotive applications, primarily because of its superior mechanical properties and formability. A wide range of forming simulation options are available for predicting material deformation during the prepreg forming process, particularly change in fibre orientation. Development of a robust validated simulation model requires comprehensive material characterisation and reliable experimental validation techniques. This paper presents experimental and numerical methods for studying the fibre orientation in multi-ply woven carbon fibre prepreg forming process, using a double-dome geometry. The numerical study is performed using the commercial forming simulation software PAM-FORM and the material input data are generated from a comprehensive experimental material characterisation. Two experimental validation methods are adopted for fibre shear angle measurement: an optical method for measuring only the surface plies, and a novel CT scan method for measuring both the surface plies and the internal plies. The simulation results are compared against the experimental results in terms of fibre shear angle and the formation of wrinkles to assess the validity of the model

The Parallel Implementation of a Full Configuration Interaction Program

Both the replicated and distributed data parallel full configuration interaction (FCI) implementations are described. The implementation of the FCI algorithm is organized in a hybrid strings-integral driven approach. Redundant communication is avoided, and the network performance is further optimized by an improved distributed data interface library. Examples show linear scalability of the distributed data code on both PC and workstation clusters. The new parallel implementation greatly extends the hardware on which parallel FCI calculations can be performed. The timing data on the workstation cluster show great potential for using the new parallel FCI algorithm in expanding applications of complete active space self-consistent field applications

Building Research-Informed Teacher Education Communities: A UCET Framework

©UCET December 201

A Novel Approach to Parallel Coupled Cluster Calculations: Combining Distributed and Shared Memory Techniques for Modern Cluster Based Systems

A parallel coupled cluster algorithm that combines distributed and shared memory techniques for the CCSD(T) method (singles + doubles with perturbative triples) is described. The implementation of the massively parallel CCSD(T) algorithm uses a hybrid molecular and “direct” atomic integral driven approach. Shared memory is used to minimize redundant replicated storage per compute process. The algorithm is targeted at modern cluster based architectures that are comprised of multiprocessor nodes connected by a dedicated communication network. Parallelism is achieved on two levels:  parallelism within a compute node via shared memory parallel techniques and parallelism between nodes using distributed memory techniques. The new parallel implementation is designed to allow for the routine evaluation of mid- (500−750 basis function) to large-scale (750−1000 basis function) CCSD(T) energies. Sample calculations are performed on five low-lying isomers of water hexamer using the aug-cc-pVTZ basis set

Analysis of microparticle penetration into human and porcine skin: non-invasive imaging with multiphoton excitation microscopy

At the University of Oxford and PowderJect Pharmaceuticals plc, a unique form of needle-free injection technology has been developed. Powdered vaccines and drugs in micro-particle form are accelerated in a high-speed gas flow to sufficient velocity to enter the skin, subsequently achieving a pharmaceutical effect. To optimize the delivery of vaccines and drugs with this method a detailed understanding of the interactive processes that occur between the microparticles and the skin is necessary. Investigations to date of micro-particle delivery into excised human and animal tissue have involved image analyses of histology sections. In the present study, a series of investigations were conducted on excised human and porcine skin using the technique of Multi-Photon fluorescence excitation Microscopy (MPM) to image particles and skin structures post-penetration. Micro-particles of various size and composition were imaged with infrared laser excitation. Three-dimensional images of stratum corneum and epidermal cell deformation due to micro-particle penetration were obtained. Measurements of micro-particle penetration depth taken from z-scan image stacks were used to successfully quantify micro-particle distribution within the skin, without invasively disrupting the skin target. This study has shown that MPM has great potential for the non-invasive imaging of particle skin interactive processes that occur with the transdermal delivery of powdered micro-particle vaccines and drugs