Costs and losses induced by possible future extreme environmental conditions and difficulties in repairing post yielding damage strongly suggest the need for proper consideration in design rather than just life loss ...Costs and losses induced by possible future extreme environmental conditions and difficulties in repairing post yielding damage strongly suggest the need for proper consideration in design rather than just life loss prevention. This can be addressed through the development of design methodology that balances the initial cost of the very large floating structure (VLFS) against the expected potential losses resulting from future extreme wave induced structural damage. Here, the development of a methodology for determining optimal, cost effective design will be presented and applied to a VLFS located in the Tokyo bay. Optimal design criteria are determined based on the total expected life cycle cost and acceptable damage probability and curvature of the structure, and a set of sizes of the structure are obtained. The methodology and applications require expressions of the initial cost and the expected life cycle damage cost as functions of the optimal design variables. This study includes the methodology, total life cycle cost function, structural damage modeling, and reliability analysis.展开更多
We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by ...We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by the bank to its clients,on top of the fair valuation of counterparty risk,in order to account for the incompleteness of this risk.The transfer of the residual reserve credit capital from shareholders to creditors at bank default results in a unilateral CVA,consistent with the regulatory requirement that capital should not diminish as an effect of the sole deterioration of the bank credit spread.Our funding cost for variation margin(FVA)is defined asymmetrically since there is no benefit in holding excess capital in the future.Capital is fungible as a source of funding for variation margin,causing a material FVA reduction.We introduce a specialist initial margin lending scheme that drastically reduces the funding cost for initial margin(MVA).Our capital valuation adjustment(KVA)is defined as a risk premium,i.e.the cost of remunerating shareholder capital at risk at some hurdle rate.展开更多
文摘Costs and losses induced by possible future extreme environmental conditions and difficulties in repairing post yielding damage strongly suggest the need for proper consideration in design rather than just life loss prevention. This can be addressed through the development of design methodology that balances the initial cost of the very large floating structure (VLFS) against the expected potential losses resulting from future extreme wave induced structural damage. Here, the development of a methodology for determining optimal, cost effective design will be presented and applied to a VLFS located in the Tokyo bay. Optimal design criteria are determined based on the total expected life cycle cost and acceptable damage probability and curvature of the structure, and a set of sizes of the structure are obtained. The methodology and applications require expressions of the initial cost and the expected life cycle damage cost as functions of the optimal design variables. This study includes the methodology, total life cycle cost function, structural damage modeling, and reliability analysis.
基金The research of Stephane Cr´epey benefited from the support of the“Chair Markets´in Transition,”Fed´eration Bancaire Franc´¸aise,of the ANR project 11-LABX-0019 and from the EIF grant“Collateral management in centrally cleared trading.”。
文摘We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by the bank to its clients,on top of the fair valuation of counterparty risk,in order to account for the incompleteness of this risk.The transfer of the residual reserve credit capital from shareholders to creditors at bank default results in a unilateral CVA,consistent with the regulatory requirement that capital should not diminish as an effect of the sole deterioration of the bank credit spread.Our funding cost for variation margin(FVA)is defined asymmetrically since there is no benefit in holding excess capital in the future.Capital is fungible as a source of funding for variation margin,causing a material FVA reduction.We introduce a specialist initial margin lending scheme that drastically reduces the funding cost for initial margin(MVA).Our capital valuation adjustment(KVA)is defined as a risk premium,i.e.the cost of remunerating shareholder capital at risk at some hurdle rate.
