Measuring Systemic Risk in the European Banking Sector: A copula CoVar approach

We propose a new methodology based on copula functions to estimate CoVaR, the Valueat-Risk (VaR) of the financial system conditional on an institution being under financial distress. Our Copula CoVaR approach provides simple, closed-form expressions for various definitions of CoVaR for a broad range of copula families and allows the CoVaR of an institution to have time-varying exposure to its VaR. We extend this approach to estimate other “co-risk” measures such as Conditional Expected Shortfall (CoES). We focus on a portfolio of large European banks and examine the existence of common market factors triggering systemic risk episodes. Further, we analyse the extent to which bank-specific characteristics such as size, leverage, and equity beta are associated with institutions’ contribution to systemic risk and highlight the importance of liquidity risk at the outset of the financial crisis in summer 2007. Finally, we investigate the link between macroeconomy and systemic risk and find that changes in major macroeconomic variables can contribute significantly to systemic risk

Effect of shaft surface roughness on the performance of radial lip seals

Reduction of leakage from the shaft–radial lip seal conjunction is critical in ensuring enduring performance of entire lubrication system. This paper investigates leakage from three types of shaft surfaces, finished using different manufacturing processes. The measurement of surface topography is conducted in order to determine the pertinent roughness parameters which correspond to the observed sealing performance in real practical applications. It is found that the skewness of the surface topography correlates well with the anecdotal leakage failure rate. To quantify this association, a hydrodynamic model, accounting for shaft roughness in a deterministic manner is developed. The results from the numerical analyses confirm that the lubricant mass flow rate is reduced in the case of negatively skewed surface height distributions, when compared with the positively skewed profiles

Uplink NOMA for UAV-Aided Maritime Internet-of-Things

Maritime activities are vital for economic growth, being further accelerated by various emerging maritime Internet of Things (IoT) use cases, including smart ports, autonomous navigation, and ocean monitoring systems. However, broadband, low-delay, and reliable wireless connectivity to the ever-increasing number of vessels, buoys, platforms and sensors in maritime communication networks (MCNs) has not yet been achieved. Towards this end, the integration of unmanned aerial vehicles (UAVs) in MCNs provides an aerial dimension to current deployments, relying on shore-based base stations (BSs) with limited coverage and satellite links with high latency. In this work, a maritime IoT topology is examined where direct uplink communication with a shore BS cannot be established due to excessive pathloss. In this context, we employ multiple UAVs for end-to-end connectivity, simultaneously receiving data from the maritime IoT nodes, following the non-orthogonal multiple access (NOMA) paradigm. In contrast to other UAV-aided NOMA schemes in maritime settings, dynamic decoding ordering at the UAVs is used to improve the performance of successive interference cancellation (SIC), considering the rate requirements and the channel state information (CSI) of each maritime node towards the UAVs. Moreover, the UAVs are equipped with buffers to store data and provide increased degrees of freedom in opportunistic UAV selection. Simulations reveal that the proposed opportunistic UAV-aided NOMA improves the average sum-rate of NOMA-based maritime IoT communication, leveraging the dynamic decoding ordering and caching capabilities of the UAVs

Learning to Fulfill the User Demands in 5G-enabled Wireless Networks through Power Allocation: a Reinforcement Learning approach

The goal of the study presented in this paper is to evaluate the performance of a proposed Reinforcement Learning (RL) power allocation algorithm. The algorithm follows a demand-driven power adjustment approach aiming at maximizing the number of users inside a coverage area that experience the requested throughput to accommodate their needs. In this context, different Quality of Service (QoS) classes, corresponding to different throughput demands, have been taken into account in various simulation scenarios. Considering a realistic network configuration, the performance of the RL algorithm is tested under strict user demands. The results suggest that the proposed modeling of the RL parameters, namely the state space and the rewarding system, is promising when the network controller attempts to fulfill the user requests by regulating the power of base stations. Based on comparative simulations, even for strict demands requested by multiple users (2.5 – 5 Mbps), the proposed scheme achieves a performance rate of about 96%

Power system static and dynamic security studies for the 1st phase of Crete Island Interconnection

The island of Crete is currently served by an autonomous electrical system being fed by oil-fired (Heavy fuel or light Diesel oil) thermal power plants and renewables (wind and PVs). The peak load and annual electric energy consumption are approximately 600 MW and 3 TWh respectively; wind and photovoltaic parks contribute approximately 20% of the electricity needs of the island. Due to the expensive fuel used, the Cretan power system has very high electric energy generation cost compared to the Greek mainland. On the other side the limited size of the system poses severe limitations to the penetration of renewable energy sources, not allowing to further exploit the high wind and solar potential of the island. According to the Ten Year Network Development Plan (TYNDP) of the Greek TSO (Independent Power Transmission Operator S.A. IPTO S.A.), the interconnection of Crete to the mainland Transmission System of Greece will be realized through two links: A 150 kV HVAC link between the Peloponnese and the Crete (Phase I) and a HVDC link connecting the metropolitan area of Athens with Crete (Phase II). The total length of submarine and underground cable of the HVAC link will be approximately 174km; it is at the limits of the AC technology and the longest and deepest worldwide at 150 kV level. A number of studies have been conducted by a joint group of IPTO and Hellenic Electricity Distribution Network Operator (HEDNO) for the design of this interconnection. This paper presents briefly the power system static and dynamic studies conducted for the design of the AC link and its operation. Firstly, the paper presents the main results of the static security study regarding the calculation of the maximum power transfer capability of the link and the selection of the reactive power compensation scheme of the cable. Results from dynamic security analysis studies are also presented. The small-signal stability analysis concludes that a new (intra-area) electromechanical oscillation is introduced to the National System after the interconnection. The damping of the electromechanical oscillations is sufficient; however the operation of power system stabilizers at power plants located both at the mainland and at Crete power system can increase significantly the damping of important oscillation modes. Finally with respect to the risk of loss of synchronism after a significant disturbance in the system of Crete, such as a three-phase fault (“transient stability”)- enough safety margin is estimated by means of Critical Clearing Time calculations

Prevalence and predictors of poly-victimization of adolescents in England and Wales

This study examined the change in the prevalence of adolescent polyvictimization and individual and area predictors of poly-victimization in England and Wales. The national representative longitudinal Offending, Crime and Justice Survey (2003–2006) was analyzed with data from 2,066 adolescents, aged between 10 and 18 years (mean±SD at Time 1=13.08±2.01), using multilevel multinomial logit models. Findings revealed that the majority of the adolescents (41.6%, 48.5%, 54.6%, 61.6%, respectively) did not experience victimization between 2003 and 2006. However, 28.3%, 25.9%, 19.5%, and 14.5% of the adolescents experienced poly-victimization (experiencing more than or equal to two types of victimizations), with a decrease of 13.8% over the 4-year period. Furthermore, some adolescents were consistent polyvictims, meaning they were poly-victims in all years that they participated in the survey. In particular, 3.57% of the adolescents who participated in the four waves of the survey were poly-victims in all years; 7.41% of the adolescents who participated in three of the four waves of the survey were poly-victims in all years; and 25.79% of the adolescents who participated in two of the four waves of the survey were poly-victims in both years

Power system static and dynamic security studies for the 1st phase of Crete Island Interconnection

The island of Crete is currently served by an autonomous electrical system being fed by oil-fired (Heavy fuel or light Diesel oil) thermal power plants and renewables (wind and PVs). The peak load and annual electric energy consumption are approximately 600 MW and 3 TWh respectively; wind and photovoltaic parks contribute approximately 20% of the electricity needs of the island. Due to the expensive fuel used, the Cretan power system has very high electric energy generation cost compared to the Greek mainland. On the other side the limited size of the system poses severe limitations to the penetration of renewable energy sources, not allowing to further exploit the high wind and solar potential of the island. According to the Ten Year Network Development Plan (TYNDP) of the Greek TSO (Independent Power Transmission Operator S.A. IPTO S.A.), the interconnection of Crete to the mainland Transmission System of Greece will be realized through two links: A 150 kV HVAC link between the Peloponnese and the Crete (Phase I) and a HVDC link connecting the metropolitan area of Athens with Crete (Phase II). The total length of submarine and underground cable of the HVAC link will be approximately 174km; it is at the limits of the AC technology and the longest and deepest worldwide at 150 kV level. A number of studies have been conducted by a joint group of IPTO and Hellenic Electricity Distribution Network Operator (HEDNO) for the design of this interconnection. This paper presents briefly the power system static and dynamic studies conducted for the design of the AC link and its operation. Firstly, the paper presents the main results of the static security study regarding the calculation of the maximum power transfer capability of the link and the selection of the reactive power compensation scheme of the cable. Results from dynamic security analysis studies are also presented. The small-signal stability analysis concludes that a new (intra-area) electromechanical oscillation is introduced to the National System after the interconnection. The damping of the electromechanical oscillations is sufficient; however the operation of power system stabilizers at power plants located both at the mainland and at Crete power system can increase significantly the damping of important oscillation modes. Finally with respect to the risk of loss of synchronism after a significant disturbance in the system of Crete, such as a three-phase fault (“transient stability”)- enough safety margin is estimated by means of Critical Clearing Time calculations

Evolving towards a critical point: A possible electromagnetic way in which the critical regime is reached as the rupture approaches

International audienceIn analogy to the study of critical phase transitions in statistical physics, it has been argued recently that the fracture of heterogeneous materials could be viewed as a critical phenomenon, either at laboratory or at geophysical scales. If the picture of the development of the fracture is correct one may guess that the precursors may reveal the critical approach of the main-shock. When a heterogeneous material is stretched, its evolution towards breaking is characterized by the appearance of microcracks before the final break-up. Microcracks produce both acoustic and electromagnetic(EM) emission in the frequency range from VLF to VHF. The microcracks and the associated acoustic and EM activities constitute the so-called precursors of general fracture. These precursors are detectable not only at laboratory but also at geophysical scales. VLF and VHF acoustic and EM emissions have been reported resulting from volcanic and seismic activities in various geologically distinct regions of the world. In the present work we attempt to establish the hypothesis that the evolution of the Earth's crust towards the critical point takes place not only in a mechanical but also in an electromagnetic sense. In other words, we focus on the possible electromagnetic criticality, which is reached while the catastrophic rupture in the Earth's crust approaches. Our main tool is the monitoring of micro-fractures that occur before the final breakup, by recording their radio-electromagnetic emissions. We show that the spectral power law analysis of the electromagnetic precursors reveals distinguishing signatures of underlying critical dynamics, such as: (i) the emergence of memory effects; (ii) the decrease with time of the anti-persistence behaviour; (iii) the presence of persistence properties in the tail of the sequence of the precursors; and (iv) the acceleration of the precursory electro-magnetic energy release. Moreover, the statistical analysis of the amplitudes of the electromagnetic fluctuations reveals the breaking of the symmetry as the theory predicts. Finally, we try to answer the question: how universal the observed electromagnetic critical behaviour of the failing system is