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Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
Simulation-based probabilistic risk assessment (SPRA) is a systematic and comprehensive methodology that has been used and refined over the past few decades to evaluate the risks associated with complex systems. SPRA models are well…
Nowadays, systematic security risk analysis plays a vital role in the automotive domain. The demand for advanced driver assistance systems and connectivity of vehicles to the internet makes cyber-security a crucial requirement for vehicle…
Based on the stochastic maximum principle for the partially coupled forward-backward stochastic control system (FBSCS for short), a modified method of successive approximations (MSA for short) is established for stochastic recursive optimal…
Probabilistic security assessment and real-time dynamic security assessments (DSA) are promising to better handle the risks of system operations. The current methodologies of security assessments may require many time-domain simulations for…
A new approach which generalizes the Selective Modal Analyis (SMA) and algorithms based upon it for solving the generalized eigenvalue problem is described. This approach allows for the systematic consideration of physical properties of the…
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption…
We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. In this regard, we provide a summary of…
To fight against the evolution of malware and its development, the specific methodologies that are applied by the malware analysts are crucial. Yet, this is something often overlooked in the relevant bibliography or in the formal and…
Inspired by the recent debate on the macroeconomic implications of the new bank regulatory standards known as Basel III, we tried to find out in this study that the impact of Basel III liquidity and capital requirements in Bangladesh…
This paper presents a description of the mechanical operations of banking as used in modern banking systems regulated under the Basel Accords, in order to provide support for a verifiable and complete description of the banking system…
With the rapid advancement of Formal Methods, Model-based Safety Analysis (MBSA) has been gaining tremendous attention for its ability to rigorously verify whether the safety-critical scenarios are adequately addressed by the design…
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for…
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss…
In the field of operational modal analysis (OMA), obtained modal information is frequently used to assess the current state of aerospace, mechanical, offshore and civil structures. However, the stochasticity of operational systems and the…
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a…
Because of the threat of advanced multi-step attacks, it is often difficult for security operators to completely cover all vulnerabilities when deploying remediations. Deploying sensors to monitor attacks exploiting residual vulnerabilities…
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-case risk (WR) approach, the MA approach produces not only a…
Dynamic response of loads has a significant effect on system stability and directly determines the stability margin of the operating point. Inherent uncertainty and natural variability of load models make the stability assessment especially…