1,722,203 research outputs found
The impact of adverse selection and the Basel Accords in different credit pricing decisions
No full textIn the last few years, variable pricing has attracted more and more attention in consumer lending industry. In the credit card market, there is a trend that traditional pricing strategy (fixed rate pricing) is gradually being replaced by variable pricing. The objective of this thesis is to investigate how adverse election and external influences (the Basel Accords or other banking regulations) could affect lender's profitability and pricing decisions under different pricing strategies. This thesis consists of three aspects: 1) We briefly outline why and how modelling the choice of credit card by a borrower as an auction process means that the winner's curse can lead to adverse selection. We show that the relationships between the actual default risk of a borrower and the lender's perceived view of this risk are very simple ones, whatever the distribution of errors the lender makes. By building a simple model of the profit a lender makes from a loan, we are able to examine what the effect of these errors could have on the lender's expected and actual profit. 2) We look at how the regulatory capital requirements in different versions of the Basel Accords (Basel 1, Basel 2 and Basel 3) affect acceptation and pricing decisions under three distinct pricing strategies: fixed rate pricing, two rates pricing and variable rates pricing. We implement this both in the case where a lender has an agreed cost of equity for each unit of equity needed to cover the regulatory capital requirements and where a lender decides in advance how much of its equity capital can be set aside to cover the requirements of its loan portfolio. 3) We explain how two special problems (lending quota and lending floor) in credit lending affect acceptation decision of a lender. Our simple consumer lending process is found to be similar to the classical marriage/secretary problem. We thus use Markov Decision Process (MDP) model to investigate the form of optimal policy under these two limited lending problems.EThOS - Electronic Theses Online ServiceGBUnited Kingdo
Credit card pricing and impact of adverse selection
No full textVariable pricing is one way of improving the profitability of credit cards when the price is the interest rate to be charged. However, choosing the appropriate price for each risk grade of default is not straightforward, as one of the main problems is adverse selection, when the lender finds that the borrowers who actually take a specific offer have a higher default rate than expected. We show that modelling the choice of credit card by the borrower as an auction process means that the winner's curse can lead to adverse selection. By modelling the way lenders use the credit score of a borrower in their pricing decision we are able to show that there is a simple relationship between the actual probability of a borrower repaying and what the successful lender believes this probability to be, regardless of the distribution of the errors caused by adverse selection. This allows one to assess the impact on profitability of these error
The impact of the Basel Accords on lender's profitability under different pricing decisions
No full textIn response to the deficiencies in financial regulation revealed by the global financial crisis a new capital regulatory standard, Basel III, has been introduced. This builds on the previous regulations known as Basel I and Basel II. We look at how the interest rate charged to maximise a lender’s profitability is affected by these three versions of the Basel Accord under three types of pricing: a fixed-price model, a two-price model and a variable risk-based pricing model. We investigate the result under two different scenarios. First, a fixed price of capital, and second, a fixed amount of equity capital available. We develop an iterative algorithm for solving the latter based on solution approaches to the former. The riskiness of the portfolio has more significance than the Basel Accord requirements but the move from Basel I to Basel II has more impact than that from Basel II to Basel II
Space charge behaviour of thick oil and pressboard in a HVDC converter transformer
No full textHigh Voltage Direct Current (HVDC) power transmission is essential for the development of long-distance power transmission. Within the HVDC conversion system, the most significant apparatus is a HVDC converter transformer. In converter transformers, on the one hand, the high operational electric field is desirable to decrease the dimension, weight, and material usage in converter transformers; on the other hand, the electric field must be lower compared to the dielectric strength to avoid the surface discharge or destructive breakdown of insulation materials. In addition the operation voltage, the electric field is also affected by space charge dynamics in insulation materials. For this reason, extensive efforts have been made to investigate space charge dynamics in the insulation material of converter transformers, such as the oil-impregnated paper. However, the space charge characteristics are not well understood for the thick oil and pressboard (PB) materials under a temperature gradient. Hence, a new purpose-built pulsed electroacoustic (PEA) system has been set up to measure the thick oil and PB space charge behaviour under a temperature gradient. This dissertation comprises the quantitative analysis of the space charge dynamics in thick oil and PB insulation materials under a temperature gradient through an experimental approach.With the purpose-built PEA system, the influential factor of temperature gradient on dynamics of space charge in thick oil and PB has been investigated. The space charge measured fromthe PEA system depends on the acoustic wave propagation in the insulation materials. The temperature can affect the acoustic velocity and thus space charge distribution. Therefore, for a one-layer sample, the space charge recovery method under a temperature gradient is important to ensure that the correct space charge pattern is acquired. Furthermore, in multilayer samples, an acoustic wave may experience different generation and transmission coefficients that lead to attenuation and dispersion after the propagation through the dispersive materials. Therefore, the space charge recovery method of multilayer samples under the temperature gradient is proposed.With the proposed space charge recovery method under a temperature gradient, the space charge influential factors, such as temperature gradient and multilayer oil and PB, are investigated. Furthermore, the polarity reversal (PR) effect on dynamics of space charge in multilayer oil and PB under a temperature gradient is presented using an experimental approach. The measured space charge is further interpolated into the COMOSOL model to quantitatively evaluate the electric field oil and PB after PR. The difference between the electric field after PR calculated by the Maxwell-Wagner theory and space charge density is compared. The thickness effect on the space charge is investigated on two-layer oil and PBmaterials. The simulation model is also expanded into four and six layers for the electric field calculation based on the estimated space charge results
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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