Banking institutions all over the world face significant challenge due to the cumulative loss due to defaults of borrowers of different types of loans. The cumulative default loss built up over a period of time could ...Banking institutions all over the world face significant challenge due to the cumulative loss due to defaults of borrowers of different types of loans. The cumulative default loss built up over a period of time could wipe out the capital cushion of the banks. The aim of this paper is to help the banks to forecast the cumulative loss and its volatility. Defaulting amounts are random and defaults occur at random instants of time. A non Markovian time dependent random point process is used to model the cumulative loss. The expected loss and volatility are evaluated analytically. They are functions of probability of default, probability of loss amount, recovery rate and time. Probability of default being the important contributor is evaluated using Hidden Markov modeling. Numerical results obtained validate the model.展开更多
More attention has been paid to the cost of intensive but sporadic floods than the cost of extensive but frequent events.To examine the impacts of intensive versus extensive events,we investigated the loss structure o...More attention has been paid to the cost of intensive but sporadic floods than the cost of extensive but frequent events.To examine the impacts of intensive versus extensive events,we investigated the loss structure of global flood-induced mortality by using the cumulative loss ratio,marginal benefit chart,and cumulative loss plot.Drawing on the flood-induced mortality data for four decades(1976–2016)from the international disaster database EM-DAT,we defined the levels of flood loss according to the frequency of flood-induced deaths,and calculated the cumulative mortality and the marginal benefits of flood loss prevention practices at different levels.Our analysis showed that for the world’s leading 30 countries with large flood-induced mortality and different levels of development:(1)70%of them have the cumulative deaths from extensive floods exceeding half of those caused by intensive floods in the study’s four data decades;and(2)80%of them tend to gain less marginal benefit with increasing levels of flood prevention,with their marginal benefits peaking at loss prevention levels of 2-year or 5-year flood-induced mortality.These results indicate that,in the long run,the cumulative deaths of extensive floods are comparable to that of intensive events,and prevention of loss from extensive events can be an efficient way to reduce the total loss.For flood risk management under conditions of climate change,extensive loss events deserve more consideration.展开更多
文摘Banking institutions all over the world face significant challenge due to the cumulative loss due to defaults of borrowers of different types of loans. The cumulative default loss built up over a period of time could wipe out the capital cushion of the banks. The aim of this paper is to help the banks to forecast the cumulative loss and its volatility. Defaulting amounts are random and defaults occur at random instants of time. A non Markovian time dependent random point process is used to model the cumulative loss. The expected loss and volatility are evaluated analytically. They are functions of probability of default, probability of loss amount, recovery rate and time. Probability of default being the important contributor is evaluated using Hidden Markov modeling. Numerical results obtained validate the model.
基金partial financial support provided by the projects of the National Key Research and Development Program(Grant No.2016YFA0602404 and 2017YFA0604903)National Science Foundation of China(Grant No.41501020)partial financial support provided by the Science and Technology Planning Project of Guangdong Province,China(Grant No.2017B020244002 and 2019A070716007)。
文摘More attention has been paid to the cost of intensive but sporadic floods than the cost of extensive but frequent events.To examine the impacts of intensive versus extensive events,we investigated the loss structure of global flood-induced mortality by using the cumulative loss ratio,marginal benefit chart,and cumulative loss plot.Drawing on the flood-induced mortality data for four decades(1976–2016)from the international disaster database EM-DAT,we defined the levels of flood loss according to the frequency of flood-induced deaths,and calculated the cumulative mortality and the marginal benefits of flood loss prevention practices at different levels.Our analysis showed that for the world’s leading 30 countries with large flood-induced mortality and different levels of development:(1)70%of them have the cumulative deaths from extensive floods exceeding half of those caused by intensive floods in the study’s four data decades;and(2)80%of them tend to gain less marginal benefit with increasing levels of flood prevention,with their marginal benefits peaking at loss prevention levels of 2-year or 5-year flood-induced mortality.These results indicate that,in the long run,the cumulative deaths of extensive floods are comparable to that of intensive events,and prevention of loss from extensive events can be an efficient way to reduce the total loss.For flood risk management under conditions of climate change,extensive loss events deserve more consideration.
