Global Financial Crisis and Accounting Rules： The Implications of the New Exposure Draft （ED） Financial Instruments： Expected Credit Losses on the Evaluation of Banking Company Loans

During the financial crisis, the delayed recognition of credit losses on loans and other financial instruments was identified as a weakness in existing incurred loss model of impairment stated by International Accounting Standards （IAS） 39, because it is believed that this delay might generate pro-cyclical effects. In response to the recommendations of G20, Financial Crisis Advisory Group （FCAG）, and other international bodies, the International Accounting Standards Board （IASB） has undertaken, since 2009, as a part of the project to replace IAS 39, a project （partially shared with Financial Accounting Standards Board （FASB）） aimed at introducing an expected loss model of impairment. Within the scope of this subset project, the IASB has previously issued two exposure documents proposing models to account for expected credit losses： an exposure draft （ED） Financial Instrument： Amortized Cost and Impairment, published in November 2009, and a supplementary document （SD） Financial Instrument： Impairment, published jointly with the FASB in January 2011. However, neither of the two proposals received strong support from interested parties. Recently, the IASB, after the FASB＇s decision to withdraw from the joint project and to develop a separate expected credit loss model based on a single measurement approach consisting in the sole recognition of lifetime expected credit losses, published a third proposal--Ahe so-called expected credit losses model （ED/2013/3 Financial Instruments： Expected Credit Losses）.

Impact of cancer diagnosis on life expectancy by area-level socioeconomic groups in New South Wales, Australia: a population-based study

Objective: Improvement in cancer survival over recent decades has not been accompanied by a narrowing of socioeconomic disparities. This study aimed to quantify the loss of life expectancy(LOLE) resulting from a cancer diagnosis and examine disparities in LOLE based on area-level socioeconomic status(SES).Methods: Data were collected for all people between 50 and 89 years of age who were diagnosed with cancer, registered in the NSW Cancer Registry between 2001 and 2019, and underwent mortality follow-up evaluations until December 2020. Flexible parametric survival models were fitted to estimate the LOLE by gender and area-level SES for 12 common cancers.Results: Of 422,680 people with cancer, 24% and 18% lived in the most and least disadvantaged areas, respectively. Patients from the most disadvantaged areas had a significantly greater average LOLE than patients from the least disadvantaged areas for cancers with high survival rates, including prostate [2.9 years(95% CI: 2.5±3.2 years) vs. 1.6 years(95% CI: 1.3±1.9 years)] and breast cancer [1.6 years(95% CI: 1.4±1.8 years) vs. 1.2 years(95% CI: 1.0±1.4 years)]. The highest average LOLE occurred in males residing in the most disadvantaged areas with pancreatic [16.5 years(95% CI: 16.1±16.8 years) vs. 16.2 years(95% CI: 15.7±16.7 years)] and liver cancer [15.5 years(95% CI: 15.0±16.0 years) vs. 14.7 years(95% CI: 14.0±15.5 years)]. Females residing in the least disadvantaged areas with thyroid cancer [0.9 years(95% CI: 0.4±1.4 years) vs. 0.6 years(95% CI: 0.2±1.0 years)] or melanoma [0.9 years(95% CI: 0.8±1.1 years) vs. 0.7 years(95% CI: 0.5±0.8 years)] had the lowest average LOLE.Conclusions: Patients from the most disadvantaged areas had the highest LOLE with SES-based differences greatest for patients diagnosed with cancer at an early stage or cancers with higher survival rates, suggesting the need to prioritise early detection and reduce treatment-related barriers and survivorship challenges to improve life expectancy.

A Novel Method for Banks to Monitor the Cumulative Loss Due to Defaults

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.

MARKOWITZ STRATEGIES REVISED

Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper.

Performance-based seismic financial risk assessment of reinforced concrete frame structures

Engineering facilities subjected to natural hazards(such as winds and earthquakes) will result in risk when any designed system(i.e.capacity) will not be able to meet the performance required(i.e.demand).Risk might be expressed either as a likelihood of damage or potential financial loss.Engineers tend to make use of the former(i.e.damage).Nevertheless,other non-technical stakeholders cannot get useful information from damage.However,if financial risk is expressed on the basis of probable monetary loss,it will be easily understood by all.Therefore,it is necessary to develop methodologies which communicate the system capacity and demand to financial risk,Incremental dynamic analysis(IDA) was applied in a performance-based earthquake engineering context to do hazard analysis,structural analysis,damage analysis and loss analysis of a reinforced concrete(RC) frame structure.And the financial implications of risk were expressed by expected annual loss(EAL).The quantitative risk analysis proposed is applicable to any engineering facilities and any natural hazards.It is shown that the results from the IDA can be used to assess the overall financial risk exposure to earthquake hazard for a given constructed facility.The computational IDA-EAL method will enable engineers to take into account the long-term financial implications in addition to the construction cost.Consequently,it will help stakeholders make decisions.

On reliability optimization for power generation systems

The reliability level of a power generation system is an important problem which is concerned by both electricity producers and electricity consumers. Why？ It is known that the high reliability level may result in additional utility cost, and the low reliability level may result in additional consumer＇s cost, so the optimum reliability level should be determined such that the total cost can reach its minimum. Four optimization models for power generation system reliability are constructed, and the proven efficient solutions for these models are also given.

DEVELOPMENT OF REALISTIC QUALITY LOSS FUNCTIONS FOR INDUSTRIAL APPLICATIONS

A number of quality loss functions, most recently the Taguchi loss function, have been developed to quantify the loss due to the deviation of product performance from the desired target value. All these loss functions assume the same loss at the specified specification limits. In many real life industrial applications, however, the losses at the two different specifications limits are often not the same. Further, current loss functions assume a product should be reworked or scrapped if product performance falls outside the specification limits. It is a common practice in many industries to replace a defective item rather than spending resources to repair it, especially if considerable amount of time is required. To rectify these two potential problems, this paper proposes more realistic quality loss functions for proper applications to real-world industrial problems. This paper also carries out a comparison studies of all the loss functions it considers.