What Happened to Risk Management During the 2008-09 Financial Crisis?

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits.risk management;violations;conservative risk strategy;aggressive risk strategy;value-at-risk forecast

A decision rule to minimize daily capital charges in forecasting value-at-risk

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realised losses are above the estimated risk. In this paper we propose a learning strategy that complements existing methods for calculating VaR and lowers daily capital requirements, while restricting the number of endogenous violations within the Basel II Accord penalty limits. We suggest a decision rule that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor’s 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits.value-at-risk;daily capital charges;optimizing strategy;risk forecasts;endogenous violations;frequency of violations

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.Value-at-Risk (VaR);daily capital charges;optimizing strategy;robust forecasts;violation penalties;global financial crisis;Basel II Accord;aggressive risk management strategy;conservative risk management strategy

Evaluation of a Local Fault Detection Algorithm for HVDC Systems

A great increase in the amount of energy generated from clean and renewable sources integrated in the electric power system is expected worldwide in the coming years. High Voltage Direct Current (HVDC) systems are seen as a promising alternative to the traditional Alternating Current (AC) systems for the expansion of the electric power system. However, to achieve this vision, there are some remaining challenges regarding HVDC systems which need to be solved. One of the main challenges is related to fault detection and location in HVDC grids. This paper reviews the main protection algorithms available and presents the evaluation of a local fault detection algorithm for DC faults in a multi-terminal Voltage Source Conversion (VSC) based HVDC grid. The paper analyses the influence of the DC voltage sampling frequency and the cable length in the performance of the algorithm. © 2019, European Association for the Development of Renewable Energy, Environment and Power Quality (EA4EPQ).The authors thank the support from the Spanish Ministry of Economy, Industry and Competitiveness (project ENE2016-79145-R AEI/FEDER, UE) and GISEL research group IT1083-16), as well as from the University of the Basque Country UPV/EHU (research group funding PPG17/23)

Job satisfaction and work–family policies through work-family enrichment

Purpose: The purpose of this paper is to analyze the effect of a bundle of work–family policies on employee’s job satisfaction and (affective) organizational commitment, by using work–family enrichment and conflict as explanatory. Design/methodology/approach: Empirical study is conducted with a sample of 322 employees from 30 Spanish firms that have been granted with the “Flexible Firm Award” or have been certified as “Family Responsible Firms.” Structural equation modeling is used to test hypotheses. Findings: The results show that the higher the use of work–family policies the more positive effects on work–family enrichment and conflict, and that job satisfaction is positively related to (effective) organizational commitment. Research limitations/implications: This is a cross-sectional study which may limit the establishment of causal relationships. Practical implications: Work–family policies may constitute a relevant management tool to balance work and family life by making employees more interested in their jobs, enhancing their well-being and reducing the conflicts between work and family domains. The positive role of work–family enrichment contributes to enhance employees’ job satisfaction and, at the same time, to increase their organizational commitment. Managers should pay attention at how work–family policies are justified because they may influence differently on their outcomes on satisfaction and commitment. Originality/value: There are two main original contributions of the paper. First, the authors study the joint effect of work–family policies on different dimensions of enrichment and conflict. Second, the authors analyze the relationship between different dimensions of enrichment and conflict on job satisfaction and organizational commitment

Pluri-Canonical Models of Supersymmetric Curves

This paper is about pluri-canonical models of supersymmetric (susy) curves. Susy curves are generalisations of Riemann surfaces in the realm of super geometry. Their moduli space is a key object in supersymmetric string theory. We study the pluri-canonical models of a susy curve, and we make some considerations about Hilbert schemes and moduli spaces of susy curves.Comment: To appear in the proceedings of the intensive period "Perspectives in Lie Algebras", held at the CRM Ennio De Giorgi, Pisa, Italy, 201

Theorizing the Relationship Between Identity and Diversity Engagement: Openness Through Identity Mismatch

Psychological research suggests that engagement with diversity-relevant materials can have a positive impact on interracial relations. However, prior research also suggests that there may be individual differences in how effective exposure to critical diversity narratives would be in facilitating positive intergroup attitudes. The primary aim of this paper is to provide some empirically based theorizing about patterns of group identification and their relationship to effective diversity exposure. In this chapter, we discuss two examples of research that explore for whom engagement with critical diversity activities may facilitate increased perceptions of social inequality. We begin by conceptualizing four race-based identity profiles derived from orthogonal considerations of attachment and glorification. We discuss support for findings that suggest that scoring high on one dimension but not the other (mixed or mismatched identity profiles) constitutes the identity profiles most likely to facilitate openness to critical, potentially identity-threatening, diversity content.Ye

Automatic design of deterministic and non-halting membrane systems by tuning syntactical ingredients

To solve the programmability issue of membrane computing models, the automatic design of membrane systems is a newly initiated and promising research direction. In this paper, we propose an automatic design method, Permutation Penalty Genetic Algorithm (PPGA), for a deterministic and non-halting membrane system by tuning membrane structures, initial objects and evolution rules. The main ideas of PPGA are the introduction of the permutation encoding technique for a membrane system, a penalty function evaluation approach for a candidate membrane system and a genetic algorithm for evolving a population of membrane systems toward a successful one fulfilling a given computational task. Experimental results show that PPGA can successfully accomplish the automatic design of a cell-like membrane system for computing the square of n ( n >/= 1 is a natural number) and can find the minimal membrane systems with respect to their membrane structures, alphabet, initial objects, and evolution rules for fulfilling the given task. We also provide the guidelines on how to set the parameters of PPGA

Radiation recoil from highly distorted black holes

We present results from numerical evolutions of single black holes distorted by axisymmetric, but equatorially asymmetric, gravitational (Brill) waves. Net radiated energies, apparent horizon embeddings, and recoil velocities are shown for a range of Brill wave parameters, including both even and odd parity distortions of Schwarzschild black holes. We find that a wave packet initially concentrated on the black hole throat, a likely model also for highly asymmetric stellar collapse and late stage binary mergers, can generate a maximum recoil velocity of about 150 (23) km/sec for even (odd) parity perturbations, significantly less than that required to eject black holes from galactic cores.Comment: 15 pages, 8 figure

Resonant Raman scattering off neutral quantum dots

Resonant inelastic (Raman) light scattering off neutral GaAs quantum dots which contain a mean number, N=42, of electron-hole pairs is computed. We find Raman amplitudes corresponding to strongly collective final states (charge-density excitations) of similar magnitude as the amplitudes related to weakly collective or single-particle excitations. As a function of the incident laser frequency or the magnetic field, they are rapidly varying amplitudes. It is argued that strong Raman peaks should come out in the spin-density channels, not related to valence-band mixing effects in the intermediate states.Comment: Accepted in Physical Review