Systemic Losses Due to Counterparty Risk in a Stylized Banking System

We report a study of a stylized banking cascade model investigating systemic risk caused by counterparty failure using liabilities and assets to define banks’ balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from normally operating to distressed whenever its liabilities are larger than the banks’ assets. The banks are connected through an interbank lending network and, whenever a bank is distressed, its creditor cannot expect the loan from the distressed bank to be repaid, potentially becoming distressed themselves. We solve the problem analytically for a homogeneous system and test the robustness and generality of the results with simulations of more complex systems. We investigate the parameter space and the corresponding distribution of operating banks mapping the conditions under which the whole system is stable or unstable. This allows us to determine how financial stability of a banking system is influenced by regulatory decisions, such as leverage; we discuss the effect of central bank actions, such as quantitative easing and we determine the cost of rescuing a distressed banking system using re-capitalisation. Finally, we estimate the stability of the UK and US banking systems comparing the years 2007 and 2012 by using real data.     

Complex networks and banking systems supervision

Comprehensive and thorough supervision of all banking institutions under a Central Bank’s regulatory control has become necessary as recent banking crises show. Promptly identifying bank distress and contagion issues is of great importance to the regulators. This paper proposes a methodology that can be used additionally to the standard methods of bank supervision or the new ones proposed to be implemented. By this, one can reveal the degree of banks’ connectedness and thus identify “core” instead of just “big” banks. Core banks are central in the network in the sense that they are shown to be crucial for network supervision. Core banks can be used as gauges of bank distress over a sub-network and promptly raise a red flag so that the central bank can effectively and swiftly focus on the corresponding neighborhood of financial institutions. In this paper we demonstrate the proposed scheme using as an example the asset returns variable. The method may and should be used with alternative variables as well.     

Impact of bankruptcy through asset portfolios

We investigate the Japanese banking crisis in the late 1990s with a simple network based mathematical model, which allows us to simulate the crisis as well as to obtain new perspective through analytic solution of our network model. We effectively identify the actual bankrupted banks and the robustness of the banking system using a simulation model based on properties of a bi-partite bank-asset network. We show the mean time property and analytical solution of the model revealing aggregate time dynamics of bank asset prices throughout the banking crisis. The results disclose simple but fundamental property of asset growth, instrumental for understanding the bank crisis. We also estimate the selling pressure for each asset type, derived from a Cascading Failure Model (CFM), offering new perspective for investigating the phenomenon of banking crisis.     

Congestion and cascades in payment systems

We develop a parsimonious model of the interbank payment system. The model incorporates an endogenous instruction arrival process, a scale-free topology of payments between banks, a fixed total liquidity which limits banks’ capacity to process arriving instructions, and a global market that distributes liquidity. We find that at low liquidity the system becomes congested and payment settlement loses correlation with payment instruction arrival, becoming coupled across the network. The onset of congestion is evidently related to the relative values of three characteristic times: the time for banks’ net position to return to 0, the time for a bank to exhaust its liquidity endowment, and the liquidity market relaxation time. In the congested regime settlement takes place in cascades having a characteristic length scale. A global liquidity market substantially attenuates congestion, requiring only a small fraction of the payment-induced liquidity flow to achieve strong beneficial effects.     

以波形发生器为基础的去偶

Varian的去偶方式适应性强,便于采用.在去偶宽度和去偶效果等方面具有独特的性能.包含去偶功能的波形发生器功率大.适应性强,设计精良.它可满足射频调制的各种需要.此外.Unity Plus系统的每一个通道都有自己的PROM控制的相位调制器.PROM包含各种去偶方式.它提供用户用GARP和WALTZ;XY32;MLEV-16;噪声;CW;方波;摆动方波以及进入可选择的,由用户输入文本文件驱动的WFG去偶方式.     

光谱数据库软件系统

介绍了红外光谱及核磁共振波谱信息库系统的设计方案和技术关键.系统数据库包含纯化合物红外光谱约9万多张,高聚物红外光谱1.2万张,药品红外光谱1千张,以及核磁共振氢谱6万多张,碳谱4万多张.可以按光谱编号、化学名、商品名、原子数、分子式进行查询,还能根据未知物光谱图的谱峰形状进行检索.结果得到未知化合物的相关信息及其标准谱图.     

Speculative and Hedging Interaction Model in Oil and U.S. Dollar Markets—Phase Transition

We show that there is a phase transition in the bounded rational Carfì–Musolino model, and the possibility of a market crash. This model has two types of operators: a real economic subject (Air) and one or more investment banks (Bank). It also has two markets: oil spot market and US dollar futures. Bank agents react to Air and equilibrate much more quickly than Air. Thus Air is an acting external agent due to its longer-term investing, whereas the action of the banks equilibrates before Air makes its next transaction. This model constitutes a potential game, and agents crowd their preferences into one of the markets at a critical temperature when air makes no purchases of oil futures.     

A dynamical model for forecasting operational losses

A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank’s processes, the spontaneous generation of losses via a noise term and the efforts made by the bank to avoid their occurrence. Since the model is very general, it can be tailored on the internal organizational structure of a specific bank by estimating some of its parameters from historical operational losses. The model is exactly solved in the case in which there are no causal loops in the matrix of couplings and it is shown how the solution can be exploited to estimate also the parameters of the noise. The forecasting power of the model is investigated by using a fraction f$f$ of simulated data to estimate the parameters, showing that for f=0.75$f=0.75$ the VaR can be forecast with an error ?10⁻³.     

Advances in quasi-isentropic compression experiments at institute of fluid physics of CAEP

The Advances in magnetically driven quasi-isentropic compression experiments (ICEs) at Institute of Fluid Physics of China Academy of Engineering Physics are introduced including the techniques, data processing methods and some typical application in dynamics of materials. Two apparatuses of CQ-1.5 and CQ-4 based on compact capacitor banks are described, which are used to do quasi-isentropic compression experiments and launch high velocity flyer plates. And some work of data processing methods of quasi-isentropic compression experiments is also presented in this topic. Finally, some applications of our generators in quasi-isentropic compression experiments of material dynamics are introduced, such as the experimental compression isentropes, phase transition, spallation of metals and elasto-plastic transition.     

Networks of companies and branches in Poland

In the present study we consider relations between companies in Poland taking into account common branches they belong to. It is clear that companies belonging to the same branch compete for similar customers, so the market induces correlations between them. On the other hand two branches can be related by companies acting in both of them. To remove weak, accidental links we shall use a concept of threshold filtering for weighted networks where a link weight corresponds to a number of existing connections (common companies or branches) between a pair of nodes.     

Individual and group dynamics in purchasing activity

As a major part of the daily operation in an enterprise, purchasing frequency is in constant change. Recent approaches on the human dynamics can provide some new insights into the economic behavior of companies in the supply chain. This paper captures the attributes of creation times of purchase orders to an individual vendor, as well as to all vendors, and further investigates whether they have some kind of dynamics by applying logarithmic binning to the construction of distribution plots. It’s found that the former displays a power-law distribution with approximate exponent 2.0, while the latter is fitted by a mixture distribution with both power-law and exponential characteristics. Obviously, two distinctive characteristics are presented for the interval time distribution from the perspective of individual dynamics and group dynamics. Actually, this mixing feature can be attributed to the fitting deviations as they are negligible for individual dynamics, but those of different vendors are cumulated and then lead to an exponential factor for group dynamics. To better describe the mechanism generating the heterogeneity of the purchase order assignment process from the objective company to all its vendors, a model driven by product life cycle is introduced, and then the analytical distribution and the simulation result are obtained, which are in good agreement with the empirical data.     

Analysis of Japanese banks’ historical tree diagram

By using the historical data from the Japanese banks’ database at “The Bankers Library” of Japanese Banker Association, we analyze the historical network of banks from 1868 to 2006. Firstly, we define a bank every year by a particle and draw a space-time evolution process of merger, division, establishment, and failure by a tree diagram structure. We found that the distribution of the tree basin size of real data and simulation result are mostly fitting well. Secondly, we analyze the raw data of financial statements of banks collected by the National Diet library. We confirm that the distributions of the amount of deposits have fat-tail every year, however, small deviations are observed relating to governmental policy.     

Loan and nonloan flows in the Australian interbank network

High-value transactions between banks in Australia are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments and transfers sourced from the SWIFT payment delivery system, the Austraclear securities settlement system, and the interbank transactions entered directly into RITS. In this paper, we analyse a dataset received from the Reserve Bank of Australia that includes all interbank transactions settled in RITS on an RTGS basis during five consecutive weekdays from 19 February 2007 inclusive, a week of relatively quiescent market conditions. The source, destination, and value of each transaction are known, which allows us to separate overnight loans from other transactions (nonloans) and reconstruct monetary flows between banks for every day in our sample. We conduct a novel analysis of the flow stability and examine the connection between loan and nonloan flows. Our aim is to understand the underlying causal mechanism connecting loan and nonloan flows. We find that the imbalances in the banks’ exchange settlement funds resulting from the daily flows of nonloan transactions are almost exactly counterbalanced by the flows of overnight loans. The correlation coefficient between loan and nonloan imbalances is about −0.9 on most days. Some flows that persist over two consecutive days can be highly variable, but overall the flows are moderately stable in value. The nonloan network is characterised by a large fraction of persistent flows, whereas only half of the flows persist over any two consecutive days in the loan network. Moreover, we observe an unusual degree of coherence between persistent loan flow values on Tuesday and Wednesday. We probe static topological properties of the Australian interbank network and find them consistent with those observed in other countries.     

Network versus portfolio structure in financial systems

The question of how to stabilize financial systems has attracted considerable attentionsince the global financial crisis of 2007–2009. Recently, Beale et al. [Proc. Natl. Acad.Sci. USA 108, 12647 (2011)] demonstrated that higher portfolio diversityamong banks would reduce systemic risk by decreasing the risk of simultaneous defaults atthe expense of a higher likelihood of individual defaults. In practice, however, a bankdefault has an externality in that it undermines other banks’ balance sheets. This paperexplores how each of these different sources of risk, simultaneity risk and externality,contributes to systemic risk. The results show that the allocation of external assets thatminimizes systemic risk varies with the topology of the financial network as long as assetreturns have negative correlations. In the model, a well-known centrality measure,PageRank, reflects an appropriately defined “infectiveness” of a bank. An important resultis that the most infective bank needs not always to be the safest bank. Under certaincircumstances, the most infective node should act as a firewall to prevent large-scalecollective defaults. The introduction of a counteractive portfolio structure willsignificantly reduce systemic risk.     

Parametric processes in microstructured and highly nonlinear optical fibres

Optical parametric amplification is an important nonlinear process in photonic crystal fibres driven by the small effective area and the special dispersion characteristics of these fibres. Aside from its role in supercontinuum generation, parametric amplification can lead to efficient wavelength conversion, limited primarily by the uniformity of the diameter of currently available fibres. The related Bragg scattering process can be used for both wavelength conversion and optical switching, again limited by the physical characteristics of the fibres used.     

Quantum dual signature scheme based on coherent states with entanglement swapping

A novel quantum dual signature scheme, which combines two signed messages expected to be sent to two diverse receivers Bob and Charlie, is designed by applying entanglement swapping with coherent states. The signatory Alice signs two different messages with unitary operations(corresponding to the secret keys) and applies entanglement swapping to generate a quantum dual signature. The dual signature is firstly sent to the verifier Bob who extracts and verifies the signature of one message and transmits the rest of the dual signature to the verifier Charlie who verifies the signature of the other message. The transmission of the dual signature is realized with quantum teleportation of coherent states. The analysis shows that the security of secret keys and the security criteria of the signature protocol can be greatly guaranteed.An extensional multi-party quantum dual signature scheme which considers the case with more than three participants is also proposed in this paper and this scheme can remain secure. The proposed schemes are completely suited for the quantum communication network including multiple participants and can be applied to the e-commerce system which requires a secure payment among the customer, business and bank.     

Investigation of Simulated Trading — A multi agent based trading system for optimization purposes

Some years ago, Bachem, Hochstättler, and Malich proposed a heuristic algorithm called Simulated Trading for the optimization of vehicle routing problems. Computational agents place buy-orders and sell-orders for customers to be handled at a virtual financial market, the prices of the orders depending on the costs of inserting the customer in the tour or for his removal. According to a proposed rule set, the financial market creates a buy-and-sell graph for the various orders in the order book, intending to optimize the overall system. Here I present a thorough investigation for the application of this algorithm to the traveling salesman problem.     

Delay-induced cluster patterns in coupled Cayley tree networks

We study effects of delay in diffusively coupled logistic maps on the Cayley tree networks. We find that smaller coupling values exhibit sensitiveness to value of delay, and lead to different cluster patterns of self-organized and driven types. Whereas larger coupling strengths exhibit robustness against change in delay values, and lead to stable driven clusters comprising nodes from last generation of the Cayley tree. Furthermore, introduction of delay exhibits suppression as well as enhancement of synchronization depending upon coupling strength values. To the end we discuss the importance of results to understand conflicts and cooperations observed in family business.