相关论文: Description of the Operational Mechanics of a Base…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
The goal of this article is to describe the concepts of system dynamics and its applications to the simulation modeling of financial institutions daily activity. The hybrid method of the re-engineering of banking business processes based…
Specifying the intended behaviour of autonomous systems is becoming increasingly important but is fraught with many challenges. This technical report provides an overview of existing work on specifications of autonomous systems and places a…
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…
Modeling processes are the activities of capturing and representing processes and control of their dynamic behavior. Desired features of the model include capture of relevant aspects of a real phenomenon, understandability, and completeness…
A mimic computing oriented automaton can directly portray the behaviors of a mimic computing system. In this paper, we investigate the following theoretical problems on this type of automata: operational semantics and computational ability.…
Control barrier functions have been demonstrated to be a useful method of ensuring constraint satisfaction for a wide class of controllers, however existing results are mostly restricted to continuous time systems of relative degree one.…
On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing Operational Risk regulatory capital for…
Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord…
Internet Banking System refers to systems that enable bank customers to access accounts and general information on bank products and services through a personal computer or other intelligent device. Internet banking products and services…
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…
This paper describes the design, implementation, and successful use of the Bristol Stock Exchange (BSE), a novel minimal simulation of a centralised financial market, based on a Limit Order Book (LOB) such as is common in major stock…
This paper establishes a general framework for describing hybrid dynamical systems which is particularly suitable for numerical simulation. In this context, the data structures used to describe the sets and functions which comprise the…
A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central…
Because of the speed, flexibility, and efficiency that it offers, the Internet has become the means for conducting growing numbers of transactions between suppliers and large international corporations. In this way, the Internet has opened…
In this paper, the author aims to establish a mathematical model for a mimic computer. To this end, a novel automaton is proposed. First, a one-dimensional cellular automaton is used for expressing some dynamic changes in the structure of a…
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into…
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…
Building Automation Systems (BAS) are exemplars of Cyber-Physical Systems (CPS), incorporating digital control architectures over underlying continuous physical processes. We provide a modular model library for BAS drawn from expertise…
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products…