We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. consider financial market composed of risk-free asset, inflation-linked bond and risky asset. The fund manager aims to maximize expected power utility derived from terminal wealth. Our solution allows one incorporate clause which distribution member's premiums his surviving dependents, should member die before retirement. Besides mortality risk, our optimization takes into...

In this paper, Bayesian optimization is compared to a genetic algorithm as applied resource allocation problem in networked surveillance radar setting. the chosen setting, requirement optimize conflicting objectives of both improved detection and tracking. As such, objective function weighted sum two parts. The first part represents number undetected targets second tracked target covariance matrix determinants. outperforms algorithm, by producing better solutions with same evaluations....

We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to system. Results for deterministic sequences are generalized stochastic account interbank lending relationships change frequently. A general class is proposed use systemic risk research, and we illustrate how results hold Erdős–Rényi can be network class. The structure a system determined by behavior which may vary according relative sizes banks. then paper...

Abstract The South African Reserve Bank (SARB) uses interest rates to control inflation. Computable General Equilibrium (CGE) model can contribute inflation targeting objective and also determine the effects on banks economy. We improved accuracy of results from previous work banking sector CGE by estimating elasticities reduced form equations instead arbitrarily choosing them. Our conform with established view that lower policy lead an increase in a reduction banks' profits. However,...

A theoretical method is empirically illustrated in finding the best time to forsake a loan such that overall credit loss minimised. This predicated by forecasting future cash flows of portfolio up contractual term, as remedy inherent right-censoring real-world `incomplete' portfolios. Two techniques, simple probabilistic model well an eight-state Markov chain, are used forecast these independently. We train both techniques from different segments within residential mortgage data, provided...

In this article a banking sector Computable General Equilibrium (CGE) model for South Africa is developed. The used to estimate the potential effect of regulatory policy on economy and as risk assessment tool assess how changes in regulation affect economy. The provides methodology regulators makers deal with future planning.The importance sector, especially systemic risk, cannot be over emphasized failure adequately risks usually leads serious financial crises including collapse major...

The South African Reserve Bank (SARB) uses interest rates to control inflation. Computable General Equilibrium (CGE) model can contribute inflation targeting objective and also determine the effects on banks economy. We improved accuracy of results from previous work banking sector CGE by estimating elasticities reduced form equations instead arbitrarily choosing them.Our conform with established view that lower policy lead an increase in a reduction banks’ profits. However, due adverse...

We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the allows modeller to reflect top-down where one bank system affects solvency and liquidity position of other banks, through market risks consequential strains. illustrate with an application using South African balance sheet data. Spikes simulated assessments agree closely spikes documented subjective this risk. This indicates network models can be useful...

We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. consider financial market interest rate, composed of risk-free asset, real zero coupon bond price, inflation-linked and risky asset. A member aims to maximize expected power utility derived from terminal wealth. In order protect rights who dies before retirement, we introduce clause which allows withdraw his premiums difference is distributed among survival...

A new procedure is presented for the objective comparison and evaluation of default definitions. This allows lender to find a threshold at which financial loss loan portfolio minimised, in accordance with Basel II. Alternative delinquency measures, other than simply measuring payments arrears, can also be evaluated using this optimisation procedure. Furthermore, simulation study performed testing from `first principles' across wide range credit risk scenarios. Specifically, three...