Agent-Based Simulation of Financial Institution Investment Strategy Under Easing Monetary Policy for Operative Collapses

Author(s):  
Takamasa Kikuchi ◽  
Masaaki Kunigami ◽  
Takashi Yamada ◽  
Hiroshi Takahashi ◽  
Takao Terano ◽  
...  

Europe and Japan have both adopted negative interest rate policies as part of their monetary easing measures. However, despite the benefits that are claimed to be associated with increased lending demand, significant concerns exist regarding an increased burden on private financial institutions as a result of the application to their excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operation of financial institutions. We propose an agent-based model for interlocking specific bankruptcy based on changes in financial situations as a result of market price fluctuations involving assets held by financial institutions. To extend the proposed model to handle macro market shocks, we describe decision making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact of price declines involving marketable assets on financial systems.

2018 ◽  
Vol 2 (1) ◽  
pp. 1
Author(s):  
Shafaque Fatima ◽  
Saqib Sharif

Linking with the business case for diversity, this study examines whether the top management team (TMT) and the board of directors (BODs) diversity has a positive impact on financial institution (FI) performance in select countries of Asia least researched domain. We use data from 119 financial institutions across Asia for the year 2015, initially 1,447 institutions; however, incomplete data was excluded from final analysis. We use three proxies for diversity, that is, nationality diversity, gender diversity, and age diversity of TMT and BODs. To investigate the impact of TMT and BODs diversity, cross-sectional ordinary least-squares estimation is applied, using Return on Average Assets (ROAA%) as a measure of performance.  We find that nationality diversity and age diversity is positively and significantly related to FIs performance. Our evidence indicates that executives and board members with diverse exposure and younger age improve FIs profitability. However, there is no significant relationship between gender and FIs performance.


2018 ◽  
Vol 60 (6) ◽  
pp. 1412-1431
Author(s):  
Nejia Nekaa ◽  
Sami Boudabbous

Purpose The purpose of this study is to show the specificities of the corporate governance of Tunisian financial institutions and the impact of the internal mechanisms of corporate governance of these institutions on their social performance. It is therefore interesting to establish the existing relationship between these mechanisms of corporate governance and the performance of a financial firm. Design/methodology/approach This study aims to study the financial sector, generally characterized by its opacity, its regulation, its evolution and its obscurity. Therefore, a study based on the questionnaire method was recommended. The questionnaire is intended for managers. Therefore, the authors interviewed 138 managers of Tunisian financial institutions dispersed between agencies and headquarters in different regions (Gabes, Tozeur, Gafsa, Sfax, Sousse and Tunisia). Findings As a result, an impact on performance was observed according to the empirical study. Therefore, the authors can conclude an essential role of internal mechanisms for improving the social performance of a financial institution. The empirical findings in this paper lead to important conclusions. Indeed, the variables measuring the governance mechanisms have divergent effects on the social performance of the financial institutions subject to the sample. For the variables board of directors, confidence, culture, auditing, they have a positive effect. While, the incentive remuneration effect negatively the social performance. Originality/value This study will be based essentially on the financial sector in Tunisia: the credit institutions (22 banks), the establishments of leasing (eight companies of leasing), two factoring companies and two banks of cases which are listed on the Stock Exchange of Tunis (BVMT).


2016 ◽  
Vol 2 (4) ◽  
pp. 42
Author(s):  
Md. Thasinul Abedin

The study has tried to find out the key parameters through which a non-bank financial institution can embellish its earnings. The study has found that loan loss provisions increases in line with the increase in loan and advances and interest suspense. Moreover, non-bank financial institutions always report other assets except accounts receivable figure which foreshadows an existence of deliberate inflation of earnings. The study has found a positive impact of total loan loss provisions and interest suspense on accrued income, a clear message that non-bank financial institutions always report more accrued earnings to safeguard their profit. Increase in accrued income in line with total loan loss provision and interest suspense is also validated by increase in accrued income with respect to other assets except accounts receivable figure even though the impact of other assets on accrued income is insignificant at 5% level, an accounting channel through which excess other assets except accounts receivable would be inflated for excess increase in accrued income. The study has deduced that other assets except accounts receivable is a reserve bank for discretionary inflation of earnings even though it is insignificant. The study has used time series monthly data of International Leasing and Financial Services Limited, a non-bank financial institution from 2009-2015 reported in the Statement of NBDC sent to Bangladesh Bank each month. Two-time series models have been used in this study. The first model has tried to find out the impact of loan and advances, interest suspense, and other assets except accounts receivable on total loan loss provision. In the first model, there is a significant impact of loan and advances, interest suspense, and other assets except accounts receivable on total loan loss provision. The second model has tried to discern the impact of total loan loss provision, interest suspense, and other assets on accrued income along with other independent variables namely-loan and advances, total fixed assets, and operating income. The study has found a significant positive impact of total loan loss provision and interest suspense on accrued income and insignificant impact of other assets except accounts receivable on accrued income. For both models, there is no long-run relationship among the variables.


Author(s):  
Juan Lara-Rubio ◽  
Myriam Martínez-Fiestas ◽  
Antonio M. Cortés-Romero

During the last decade, the national financial markets have shown a great transformation that has failed to reduce the high rate of existing banking in spite of the current financial crisis. This high level of competition makes financial institutions concerned about the loyalty of their customers to maintain or increase their market share and profitability. In this chapter, the authors propose a statistical model that measures the risk of customers dropping out of a Spanish financial institution, and this is a widespread method for the financial sector in general. The risk depends on socio-demographic and economic factors, as well as—most importantly—on the levels of satisfaction and trust that the bank produces in customers. Research shows that the proposed model can help institutions to know which customers have a greater risk of dropping out and, therefore, establish some recommendations for their loyalty.


Author(s):  
Harshika Singh ◽  
Gaetano Cascini ◽  
Hernan Casakin ◽  
Vishal Singh

AbstractThe dynamics of design teams play a critical role in product development, mainly in the early phases of the process. This paper presents a conceptual framework of a computational model about how cognitive and social features of a design team affect the quality of the produced design outcomes. The framework is based on various cognitive and social theories grounded in literature. Agent-Based Modelling (ABM) is used as a tool to evaluate the impact of design process organization and team dynamics on the design outcome. The model describes key research parameters, including dependent, independent, and intermediates. The independent parameters include: duration of a session, number of times a session is repeated, design task and team characteristics such as size, structure, old and new members. Intermediates include: features of team members (experience, learning abilities, and importance in the team) and social influence. The dependent parameter is the task outcome, represented by creativity and accuracy. The paper aims at laying the computational foundations for validating the proposed model in the future.


2018 ◽  
Vol 10 (1) ◽  
Author(s):  
Sultanah Alshammari ◽  
Armin Mikler

ObjectiveTo develop a computational model to assess the risk of epidemics in global mass gatherings and evaluate the impact of various measures of prevention and control of infectious diseases.IntroductionGlobal Mass gatherings (MGs) such as Olympic Games, FIFA World Cup, and Hajj (Muslim pilgrimage to Makkah), attract millions of people from different countries. The gathering of a large population in a proximity facilitates transmission of infectious diseases [1]. Attendees arrive from different geographical areas with diverse disease history and immune responses. The associated travel patterns with global events can contribute to a further disease spread affecting a large number of people within a short period and lead to a potential pandemic. Global MGs pose serious health threats and challenges to the hosting countries and home countries of the participants [2]. Advanced planning and disease surveillance systems are required to control health risks in these events. The success of computational models in different areas of public health and epidemiology motivates using these models in MGs to study transmission of infectious diseases and assess the risk of epidemics. Computational models enable simulation and analysis of different disease transmission scenarios in global MGs. Epidemic models can be used to evaluate the impact of various measures of prevention and control of infectious diseases.MethodsThe annual event of the Hajj is selected to illustrate the main aspects of the proposed model and to address the associated challenges. Every year, more than two million pilgrims from over 186 countries arrive in Makkah to perform Hajj with the majority arriving by air. Foreign pilgrims can stay at one of the holy cities of Makkah and Madinah up to 30-35 days prior the starting date of the Hajj. The long duration of the arrival phase of the Hajj allows a potential epidemic to proceed in the population of international pilgrims. Stochastic SEIR (Susceptible−Exposed−Infected−Recovered) agent-based model is developed to simulate the disease transmission among pilgrims. The agent-based model is used to simulate pilgrims and their interactions during the various phases of the Hajj. Each agent represents a pilgrim and maintains a record of demographic data (gender, country of origin, age), health data (infectivity, susceptibility, number of days being exposed or infected), event related data (location, arrival date and time), and precautionary or health-related behaviors.Each pilgrim can be either healthy but susceptible to a disease, exposed who are infected but cannot transmit the infection, or infectious (asymptomatic or symptomatic) who are infected and can transmit the disease to other susceptibles. Exposed individuals transfer to the infectious compartment after 1/α days, and infectious individuals will recover and gain immunity to that disease after 1/γ days. Where α is the latent period and γ is the infectious period. Moving susceptible individuals to exposed compartment depends on a successful disease transmission given a contact with an infectious individual. The disease transmission rate is determined by the contact rate and thetransmission probability per contact. Contact rate and mixing patterns are defined by probabilistic weights based on the features of infectious pilgrims and the duration and setting of the stage where contacts are taking place. The initial infections are seeded in the population using two scenarios (Figure 1) to measure the effects of changing, the timing for introducing a disease into the population and the likelihood that a particular flight will arrive with one or more infected individuals.ResultsThe results showed that the number of initial infections is influenced by increasing the value of λ and selecting starting date within peak arrival days. When starting from the first day, the average size of the initial infectious ranges from 0.05% to 1% of the total arriving pilgrims. Using the SEIR agent-based model, a simulation of the H1N1 Influenza epidemic was completed for the 35-days arrival stage of the Hajj. The epidemic is initiated with one infectious pilgrim per flight resulting in infected 0.5% of the total arriving pilgrims. As pilgrims spend few hours at the airport, the results obtained from running the epidemic model showed only new cases of susceptible individuals entering the exposed state in a range of 0.20% to 0.35% of total susceptibles. The number of new cases is reduced by almost the same rate of the number of infectious individuals following precautionary behaviors.ConclusionsA data-driven stochastic SEIR agent-based model is developed to simulate disease spread at global mass gatherings. The proposed model can provide initial indicators of infectious disease epidemic at these events and evaluate the possible effects of intervention measures and health-related behaviors. The proposed model can be generalized to model the spread of various diseases in different mass gatherings, as it allows different factors to vary and entered as parameters.References1. Memish ZA, Stephens GM, Steffen R, Ahmed QA. Emergence of medicine for mass gatherings: lessons from the Hajj. The Lancet infectious diseases. 2012 Jan 31;12(1):56-65.2. Chowell G, Nishiura H, Viboud C. Modeling rapidly disseminating infectious disease during mass gatherings. BMC medicine. 2012 Dec 7;10(1):159.


MEST Journal ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 216-223
Author(s):  
Nataliia Zachosova ◽  
Zinaida Zyvko ◽  
Oleksii Koval

The need to form a system of economic security for the effective operation of financial institutions is determined. Peculiarities of ensuring economic security of different types of financial institutions are found out, characteristic features of functional systems of economic security of financial intermediaries are revealed. It is offered to understand the management of economic security of financial institutions as a direction of management activities aimed at achieving a high level of protection of the institution's resources from the negative impact of internal and external threats by implementing a wide range of management decisions to use available opportunities and resources while providing financial services. The basics of the mechanism of economic security management of financial institutions are formed. It is assumed that the organization of the economic security system of a financial institution is carried out in several stages, such as the formation of the economic security system, ensuring the economic security system, identification, assessment, ranking of threats, and development of countermeasures; assessing the level of readiness of institutions to implement a mechanism for managing economic security; assessment of the level of economic security, development of management decisions. It is determined that the purpose of economic security management is to achieve the maximum possible level of realization of the institution's interests and meet the interests and needs of clients with optimal resource costs to minimize the impact of threats that accompany the activities of institutions.


2020 ◽  
Vol 5 ◽  
pp. A100
Author(s):  
Mohammed Alrashed ◽  
Jeff Shamma

The increasing occurrence of panic stampedes during mass events has motivated studying the impact of panic on crowd dynamics. Understanding the collective behaviors of panic stampedes is essential to reducing the risk of deadly crowd disasters. In this work, we use an agent-based formulation to model the collective human behavior in such crowd dynamics. We investigate the impact of panic behavior on crowd dynamics, as a specific form of collective behavior, by introducing a contagious panic parameter. The proposed model describes the intensity and spread of panic through the crowd. The corresponding panic parameter impacts each individual to represent a different variety of behaviors that can be associated with panic situations such as escaping danger, clustering, and pushing. Simulation results show contagious panic and pushing behavior, resulting in a more realistic crowd dynamics model.


Author(s):  
S. G. Sisira Dharmasri Jayasekara

Money laundering is a global threat that requires an urgent attention of policymakers to protect financial systems from criminals. A jurisdiction is required to develop a regime to control or mitigate the impact of crimes that have multi-dimensional impacts on global economies. Prevention of global crimes is a challenge not only to jurisdiction but also to the global standard setters. The final impact of these crimes hit the financial system and other regulated institutions. Anti-money laundering/combating the financing of terrorism (AML/CFT) supervision is an emerging area; therefore, a sound regime of AML/CFT supervision is essential to support global initiatives in this regard. This chapter discusses the implementation of a sound risk-based AML/CFT supervision of financial institutions as well as designated non-finance business and professions. This is important for AML/CFT regulators to strengthen the AML/CFT regime of a country.


2014 ◽  
Vol 2014 ◽  
pp. 1-10 ◽  
Author(s):  
Peng Han ◽  
Jinkuan Wang ◽  
Yan Li ◽  
Yinghua Han

The large adoption of electric vehicles (EVs), hybrid renewable energy systems (HRESs), and the increasing of the loads shall bring significant challenges to the microgrid. The methodology to model microgrid with high EVs and HRESs penetrations is the key to EVs adoption assessment and optimized HRESs deployment. However, considering the complex interactions of the microgrid containing massive EVs and HRESs, any previous single modelling approaches are insufficient. Therefore in this paper, the methodology named Hierarchical Agent-based Integrated Modelling Approach (HAIMA) is proposed. With the effective integration of the agent-based modelling with other advanced modelling approaches, the proposed approach theoretically contributes to a new microgrid model hierarchically constituted by microgrid management layer, component layer, and event layer. Then the HAIMA further links the key parameters and interconnects them to achieve the interactions of the whole model. Furthermore, HAIMA practically contributes to a comprehensive microgrid operation system, through which the assessment of the proposed model and the impact of the EVs adoption are achieved. Simulations show that the proposed HAIMA methodology will be beneficial for the microgrid study and EV’s operation assessment and shall be further utilized for the energy management, electricity consumption prediction, the EV scheduling control, and HRES deployment optimization.


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