292 research outputs found

    Analysis of operational risk of banks ‚Äď catastrophe modelling

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    Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of ‚Äúfirst time to hit‚ÄĚ requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future

    A parallel edge orientation algorithm for quadrilateral meshes

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    One approach to achieving correct finite element assembly is to ensure that the local orientation of facets relative to each cell in the mesh is consistent with the global orientation of that facet. Rognes et al. have shown how to achieve this for any mesh composed of simplex elements, and deal.II contains a serial algorithm to construct a consistent orientation of any quadrilateral mesh of an orientable manifold. The core contribution of this paper is the extension of this algorithm for distributed memory parallel computers, which facilitates its seamless application as part of a parallel simulation system. Furthermore, our analysis establishes a link between the well-known Union-Find algorithm and the construction of a consistent orientation of a quadrilateral mesh. As a result, existing work on the parallelisation of the Union-Find algorithm can be easily adapted to construct further parallel algorithms for mesh orientations.Comment: Second revision: minor change

    K√∂rnyezeti kock√°zatok felm√©r√©se. Param√©terek bizonytalans√°g√°nak hat√°sa a kock√°zatkezel√©si d√∂nt√©shozatalra = Assessment of environmental risks ‚Äď effects of parameter uncertainty to the risk management decisions

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    A k√∂rnyezeti kock√°zatok megfelelŇĎ felm√©r√©se √©s kezel√©se napjaink egyik legfontosabb k√©rd√©se, nemcsak a szakmai, hanem a sz√©les √©rtelemben vett k√∂zv√©lem√©ny sz√°m√°ra. A szerzŇĎ cikk√©ben azt vizsg√°lja, hogy a k√∂rnyezeti kock√°zatok felm√©r√©s√©nek milyen megk√∂zel√≠t√©sei vannak. Kulcsk√©rd√©sk√©nt pedig arra koncentr√°l, hogy a kock√°zatkezel√©si d√∂nt√©seket hogyan befoly√°solja a becsl√©sek bizonytalans√°ga. ElŇĎsz√∂r a k√∂rnyezeti kock√°zat defin√≠ci√≥j√°t adja meg, majd azt mutatja be, hogy a k√∂rnyezeti kock√°zatok kezel√©s√©re vonatkoz√≥ megk√∂zel√≠t√©sek milyen p√°rhuzamban √°llnak a p√©nz√ľgyi rendszerrel, mint komplex rendszerre vonatkoz√≥ megk√∂zel√≠t√©sekkel. V√©g√ľl a jelenleg legnagyobb kock√°zatoknak tartott k√∂rnyezeti kock√°zatokat ismerteti r√∂viden. A cikk m√°sodik r√©sz√©ben kock√°zatkezel√©si alternat√≠v√°kat mutat be, √©s azt, hogy a kock√°zatkezel√©si l√©p√©sek kiv√°laszt√°s√°t befoly√°solja a bizonytalans√°g. Ezt illusztr√°land√≥ Brouwer-Blois (2008) modellj√©t haszn√°lva a sokl√©p√©ses szimul√°ci√≥t √©s alternat√≠v d√∂nt√©si krit√©riumot ‚Äď a kritikus (extr√©m) k√∂lts√©g-hat√°s mutat√≥t ‚Äď alkalmazza. _____________ Adequate assessment and management of environmental risks is a key question nowadays also for professional experts and also for the overall public. In this article the author examines the different approaches concerning environmental risks. He concentrates as a key question the influence on risk management decisions of uncertainties raised by our estimations. First he analyses the definition of environmental risks, and he shows the similarities and differences between approaches concerning environmental risks and risks threatening financial system, and finally he gives short overview on the most current environmental risks. In the second part of the paper he presents risk management alternatives and analyses the influential power of uncertainty on risk management decisions. In order to illustrate this phenomenon the author applies the model of Brouwer-Blois (2008) with multistep simulation and an alternative decisive criterion, the ranking based on critical (extreme) cost to effect measure
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