RJLVWLFV 5HVHDUFK '2,B B
/RJLVWLFV 5HVHDUFK '2,B B
6XSSO\ &KDLQ 'LVUXSWLRQ 0RGHOV $ &ULWLFDO 5HYLHZ
1LHOV %XJHUW ā 5DLQHU /DVFK
5HFHLYHG $XJXVW $FFHSWHG $SULO 3XEOLVKHG RQOLQH XQH
7KH $XWKRU V 7KLV DUWLFOH LV SXEOLVKHG ZLWK 2SHQ $FFHVV DW ZZZ EYO XX XXXH
$%675$&7
(QWHUSULVHV DIIHFWHG E\ VXSSO\ FKDLQ GLVUXSWLRQV KDYH UHSRUWHG DGYHUVH FRQVHTXHQFHV DQG GUDPDWLF ¿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¿F QHWZRUN UHODWHG ULVN FKDUDFWHULVWLFV 7KLV SDSHU GHULYHV D GH¿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
.(<:25'6 VXSSO\ FKDLQ GLVUXSWLRQ ā VXSSO\ FKDLQ ULVN PDQDJHPHQW ā VLPXODWLRQ ā ULVN PDQDJHPHQW ā ULVN DQDO\VLV ā PRGHOLQJ
,1752'8&7,21
6XSSO\ FKDLQ GLVUXSWLRQV DUH FRQVLGHUHG WR EH D FRPELQDWLRQ RI DQ XQIRUHVHHQ WULJJHULQJ HYHQW DQG WKH UHVXOWLQJ FRQVHTXHQFHV ZKLFK MHRSDUGL]H WKH ÀRZ RI PDWHULDO DQG QRUPDO EXVLQHVV DFWLYLWLHV VLJQL¿FDQWO\
> @ 'LVUXSWLYH WULJJHUV FDQ EH FDWHJRUL]HG LQWR QDWXUDO HDUWKTXDNH ÀRRGV ¿UH HWF DQG PDQ PDGH
WHUURULVW DWWDFNV DFFLGHQWV VXSSOLHU EDQNUXSWF\ HWF WULJJHUV > @ :HOO GRFXPHQWHG GLVUXSWLRQ WULJJHUV KDYH EHHQ IRU H[DPSOH WKH WHUURULVW DWWDFNV +XUULFDQH 0LWFK DQG WKH 7DLZDQ HDUWKTXDNH RI 7KH UHVXOWLQJ FRQVHTXHQFHV RI D GLVUXSWLRQ FDQ EH GUDPDWLF
,Q D VHULHV RI H[SORVLRQV DW D FRQWDLQHU ZDUHKRXVH IRU WR[LF FKHPLFDOV DW WKH 3RUW RI 7LDQMLQ FDXVHG KHDY\ HQYLURQPHQWDO GDPDJH H J ZDWHU F\DQLGH OHYHOV WLPHV WKH DFFHSWDEOH OHYHOV GHVWUR\HG QHZO\ SURGXFHG FDUV FDXVLQJ D GLUHFW GDPDJH RI DQ HVWLPDWHG
PLOOLRQ 86' DQG SURYRNHG D VKXW GRZQ RI WZR PDQXIDFWXULQJ SODQWV RI 7R\RWD IRU PXOWLSOH GD\V
> @ ,Q +XUULFDQH +DUYH\ ZLWK DQ HVWLPDWHG GDPDJH RI RYHU ELOOLRQ 86' WKH FRVWOLHVW WURSLFDO F\FORQH RQ UHFRUG QRW RQO\ NQRFNHG RXW RI 86 RLO UH¿QLQJ FDSDFLW\ DQG RI RLO SURGXFWLRQ IURP WKH 86 *XOI RI 0H[LFR EXW DOVR VKXW GRZQ RI WKH FRXQWU\¶V FDSDFLW\ WR SURGXFH DQG VKLS EDVH SODVWLFV
> @ $PRQJ WKH PDQ\ FRPSDQLHV ZKLFK KDG WR FORVH SURGXFWLRQ SODQWV ZHUH IRU H[DPSOH $PHULFDQ
$FU\O %UDVNHP &HODQHVH &RYHVWUR ([[RQ 0RELOH DQG &KHYURQ 3KLOOLSV &KHPLFDO > @
7KHVH H[DPSOHV GLVSOD\ WKH GUDPDWLF FRQVHTXHQFHV DQG GHSHQGHQFLHV EHWZHHQ VXSSO\ FKDLQ HQWLWLHV DQG WKHLU YXOQHUDELOLW\ WR GLVUXSWLYH WULJJHUV 7KH ULVN RI
VXSSO\ FKDLQ GLVUXSWLRQV KDV LQFUHDVHG RYHU WKH ODVW
GHFDGH GXH WR WKH SURJUHVV RI JOREDOL]DWLRQ DV ZHOO DV
1LHOV %XJHUW &RUUHVSRQGLQJ $XWKRU QLHOV EXJHUW#WX GUHVGHQ GH
5DLQHU /DVFK
UDLQHU ODVFK#WX GUHVGHQ GH
'HSDUWPHQW RI %XVLQHVV 0DQDJHPHQW DQG (FRQRPLFV &KDLU RI %XVLQHVV 0DQDJHPHQW HVS /RJLVWLFV 'UHVGHQ 8QLYHUVLW\ RI 7HFKQRORJ\
0RPPVHQVWU 'UHVGHQ *HUPDQ\
7HO
)D[
RXWVRXUFLQJ DQG DQ LQWHQVL¿HG IRFXV RQ HI¿FLHQF\ DQG OHDQ PDQDJHPHQW > @ $FFRUGLQJ WR WKH 6XSSO\ &KDLQ 5HVLOLHQFH 5HSRUW IURP WKH %XVLQHVV &RQWLQXLW\
,QVWLWXWH ZKLFK VXUYH\HG RYHU FRPSDQLHV IURP FRXQWULHV RI WKH SDUWLFLSDQWV KDG H[SHULHQFHG DW OHDVW RQH VXSSO\ FKDLQ GLVUXSWLRQ WKDW \HDU > @
&RPSDQLHV DUH QRW GHIHQVHOHVV DJDLQVW GLVUXSWLRQV DQG FDQ QRWDEO\ UHGXFH WKH LPSDFW RI D GLVUXSWLYH HYHQW ZLWK WKH ULJKW PLWLJDWLRQ VWUDWHJLHV ,Q 1RNLD DQG (ULFVVRQ ZHUH ERWK DIIHFWHG E\ D ¿UH LQ D VXSSOLHU¶V VHPLFRQGXFWRU SURGXFWLRQ IDFLOLW\ EXW
1RNLD ZDV DEOH WR KDQGOH WKH VLWXDWLRQ SURDFWLYHO\ E\ FKDQJLQJ WKH GHVLJQ RI WKHLU FKLSV DQG PDNLQJ XVH RI EDFNXS VXSSOLHUV VZLIWO\ 1RNLD HYHQ SUR¿WHG IURP WKH GLVUXSWLRQ DQG ZDV DEOH WR VWHDO PDUNHW VKDUH IURP (ULFVVRQ GXH WR WKHLU DJLOLW\ > @
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
0LFURVRIW ([FHO ,QWHJUDWHG GHFLVLRQ VXSSRUW PRGHOV IRU LGHQWLI\LQJ DQG DQDO\]LQJ GLVUXSWLRQ ULVNV DV ZHOO DV IRU PLWLJDWLRQ SODQQLQJ DQG ULVN FRQWURO RQ D VXSSO\ QHWZRUN OHYHO VKRXOG EH SURYLGHG E\ WKLV ¿HOG RI UHVHDUFK WR DVVLVW SUDFWLWLRQHUV
7DEOH SUHVHQWV WKH PHWKRGRORJLHV DQG VFRSHV RI WZHOYH UHYLHZ SDSHUV RQ 6&50 ZKLFK ZH ZHUH DEOH WR LGHQWLI\ E\ XVLQJ WKH VFLHQWL¿F GDWDEDVHV 6FLHQFH'LUHFW (PHUDOG ,QVLJKW DQG *RRJOH 6FKRODU :H KDYH DQDO\]XX XI TXDQWLWDWLYH PRGHOV DUH SUHVHQWHG LI WKH SURFHVV VWHSV RI D VWDQGDUG 6&50 IUDPHZRUN QDPHO\ ULVN LGHQWL¿FDWLRQ ULVN DVVHVVPHQW ULVN PLWLJDWLRQ DQG FRQWURO RI ULVNV DUH FRQVLGHUHG WR FODVVLI\ DUWLFOHV LI PRGHOV DUH LQFOXGHG WKDW FRYHU D QHWZRUN SHUVSHFWLYH LI WKH SUHVHQWHG PRGHOV FRQVLGHU PXOWLSOH ULVNV DQG DW OHDVW WKUHH VXSSO\ FKDLQ HQWLWLHV DQG LI WKH PRGHOV DUH QRW MXVW SUHVHQWHG EXW DOVR HYDOXDWHG EDVHG RQ GHULYHG
* ' | * $ * ' | ' - |
| |||||||
'* ' ' | * ' ' ' + $ | - $ , ' ' $' ' # ' ' $ | # , # #$ ' + | ', # + + , | $ # * ' # $ $ | ' # $ # ' # $ $ | + * ' $ # "* # '$ | |||
<4 OVVK ?OO | OVV1 | 6 |
|
| ||||||
5 < L PH<)I OVVJ 1V | OVV1 | 6 |
| |||||||
<P8L )<MU)H OVV* KJ | OVVJ | 6 6 |
| |||||||
>L >:%I T OVV= =O | OVV* | 6 |
| |||||||
<4L PI OV?? ?O3 | OVV* | 6 6 |
|
| ||||||
>:7!!57 L MH>UU7 OV?O ?* | OV?V | 6 6 |
| |||||||
>%57 )M :D OV?O ??? | OV?V | 6 6 |
| |||||||
57;<7 )M :D OV?1 OJ | OV?N | 6 6 |
| |||||||
> )M :D OV?1 N* | OV?N | 6 |
|
|
| |||||
<T%)H )M :D OV?K ??V | OV?3 | 6 |
|
| ||||||
8 4>@ : )M :D OV?J =V | OV?K | 6 6 |
|
|
| |||||
H 9 I5 )M :D OV?J *3 | OV?3 | 6 |
|
|
| |||||
57I H)Q7)R | OV?* | 6 |
|
|
|
|
|
|
|
# 7M)H MPH) )Q7)R # 7M M7>< )MR>H9 < :TI7I
# XXM); M7! 7M)H MPH) )Q7)R # H>P<%)% 5)>HT
7DEOH 2YHUYLHZ RI OLWHUDWXUH UHYLHZV LQ 6&50
FULWHULD 7DQJ > @ JLYHV DQ RYHUYLHZ RI TXDQWLWDWLYH DSSURDFKHV DQG VRUWV WKH OLWHUDWXUH UHJDUGLQJ WKH EURDG DVSHFWV VXSSO\ GHPDQG SURGXFW DQG LQIRUPDWLRQ PDQDJHPHQW 7KH DXWKRU IXUWKHU FODVVL¿HV WKHVH ¿HOGV RI LQWHUHVW LQ VLQJOH VXSSO\ FKDLQ SODQQLQJ SUREOHPV XQGHU XQFHUWDLQWLHV OLNH VXSSOLHU VHOHFWLRQ WKH FRQVWUXFWLRQ RI VXSSO\ FKDLQ GHVLJQV RQ D QHWZRUN OHYHO VXSSOLHU FRQWUDFWLQJ HWF DQG JLYHV DQ RYHUYLHZ RI LQVLJKWV RI UHVHDUFK DUHDV WKDW GHDO ZLWK PDQDJHPHQW VWUDWHJLHV OLNH SURGXFW VXEVWLWXWLRQ SRVWSRQHPHQW DQG VR RQ
.KDQ DQG %XUQHV > @ SUHVHQW JHQHUDO OLWHUDWXUH RQ ULVN GH¿QLWLRQ DV ZHOO DV ULVN PDQDJHPHQW IUDPHZRUNV EHIRUH GLVFXVVLQJ ULVN DQG JHQHUDO ULVN PLWLJDWLRQ LQ WKH FRQWH[W RI VXSSO\ FKDLQ PDQDJHPHQW 0DQXM DQG 0HQW]HU > @ FRQGXFW D OLWHUDWXUH UHYLHZ FRPELQHG ZLWK D JURXQGHG WKHRU\ PHWKRGRORJ\ WR DGDSW WKH FRQFHSW RI ULVN DQG ULVN PDQDJHPHQW VWUDWHJLHV WR WKH FDVH RI JOREDO VXSSO\ FKDLQV 5DR DQG *ROGVE\ > @ XVH WKH FODVVL¿FDWLRQ RI EXVLQHVV DQG RUJDQL]DWLRQDO ULVNV E\ 5LWFKLH DQG 0DUVKDOO > @ V\QWKHVL]H WKH 6&50 OLWHUDWXUH DFFRUGLQJO\ DQG GHYHORS ULVN IDFWRUV IRU HDFK ULVN JURXS 7DQJ DQG 0XVD > @ UHYLHZ UHVHDUFK SDSHUV VXPPDUL]H TXDOLWDWLYH DV ZHOO DV TXDQWLWDWLYH PLWLJDWLRQ VWUDWHJLHV DFFRUGLQJ WR ULVNV UHJDUGLQJ WKH GLPHQVLRQV PDWHULDO ÀRZ ¿QDQFLDO ÀRZ DQG LQIRUPDWLRQ ÀRZ DQG XVH D NH\ZRUGV FR RFFXUUHQFH DQDO\VLV WR VWXG\ UHVHDUFK FOXVWHUV LQ 6&50 &ROLFFKLD DQG 6WUR]]L > @ XVH WKH V\VWHPDWLF OLWHUDWXUH PHWKRGRORJ\ RI 'HQ\HU DQG 7UDQ¿HOG > @ FRPELQHG ZLWK D FLWDWLRQ QHWZRUN DQDO\VLV WR GLVSOD\ WKH G\QDPLF HYROXWLRQ RI WKH 6&50 OLWHUDWXUH 6RGKL HW DO > @ FKRRVH D UHVHDUFK ¿HOG VWXG\ WR DQDO\]H WKH GLYHUVLW\ RI VFRSH DQG UHVHDUFK WRROV LQ WKH UHVHDUFKHU¶V SHUFHSWLRQ RI 6&50 )DKLPQLD HW DO > @ FRQGXFW D ELEOLRPHWULF DQDO\VLV RQ SXEOLFDWLRQV WR GH¿QH UHVHDUFK FOXVWHUV DQG WRS FRQWULEXWLQJ RUJDQL]DWLRQV DQG DXWKRUV RI TXDQWLWDWLYH 6&50 PRGHOV +R HW DO > @ XQGHUWDNH D V\VWHPDWLF OLWHUDWXUH UHYLHZ DQG SURYLGH DQ RYHUYLHZ RI VXSSO\ FKDLQ ULVN GH¿QLWLRQV ULVN W\SHV DQG ULVN IDFWRUV DV ZHOO DV SURFHVV VWHSV RI D VWDQGDUG 6&50 IUDPHZRUN E\ DQDO\]LQJ UHVHDUFK DUWLFOHV EHWZHHQ
DQG 4XDQWLWDWLYH DSSURDFKHV KDYH EHHQ VWUXFWXUHG E\ WKH VXSSRUWHG SURFHVV VWHSV RI WKH 6&50 IUDPHZRUN DQG E\ GH¿QHG ULVN W\SHV OLNH GHPDQG ULVN VXSSO\ ULVN HWF 0RGHOV ZKLFK FRYHU PRUH WKDQ WZR ULVNV VLPXODWHQRXVO\ KDYH QRW EHHQ FRQVLGHUHG E\ WKH DXWKRUV 6Q\GHU HW DO > @ JLYH DQ RYHUYLHZ RI TXDQWLWDWLYH PRGHOV XS XQWLO WKDW GHDO ZLWK VXSSO\ FKDLQ GLVUXSWLRQV 7KH DXWKRUV VWUXFWXUH WKH OLWHUDWXUH E\ PLWLJDWLRQ VWUDWHJLHV DQG XVH WKH IRXU VXE FDWHJRULHV LQYHQWRU\ VRXUFLQJ DQG GHPDQG ÀH[LELOLW\ IDFLOLW\ ORFDWLRQ DQG LQWHUDFWLRQ ZLWK H[WHUQDO VWDNHKROGHUV
:KLOH WKH SUHVHQWHG PRGHOV RQ LQYHQWRU\ PDQDJHPHQW DUH IRU WKH PRVW SDUW YDULDWLRQV RI WKH HFRQRPLF RUGHU TXDQWLW\ (24 PRGHO ZLWK D VLQJOH VXSSOLHU WKH FLWHG PRGHOV IRU IDFLOLW\ ORFDWLRQ SUREOHPV GHDO ZLWK WKH FRQVWUXFWLRQ RI VXSSO\ FKDLQ QHWZRUNV FRQVLGHULQJ WKH ULVN RI GLVUXSWLRQ RU LQWHQWLRQDO DWWDFNV 7KH PLWLJDWLRQ RI GLVUXSWLRQV WKURXJK LQWHUDFWLRQ ZLWK H[WHUQDO
SDUWQHUV GHDOV ZLWK FRQWUDFWLQJ 3UDNDVK HW DO > @ FRQGXFW D FLWDWLRQ QHWZRUN DQDO\VLV RQ SXEOLFDWLRQV IURP WR WR LGHQWLI\ UHVHDUFK FOXVWHUV SURPLQHQW DUWLFOHV PLWLJDWLRQ VWUDWHJLHV GLVFXVVHG ULVNV DQG PRGHOLQJ WHFKQLTXHV XVHG 5DMDJRSDO HW DO
> @ LGHQWLI\ SXEOLFDWLRQV EHWZHHQ DQG WKURXJK D V\VWHPDWLF OLWHUDWXUH VHDUFK DQG FODVVLI\ WKH DUWLFOHV E\ JHQHUDO FULWHULD OLNH JHRJUDSKLF ORFDWLRQV WRS FRQWULEXWLQJ MRXUQDOV HWF DQG PRUH VSHFL¿F FULWHULD OLNH WKH UHVHDUFK GHVLJQ W\SHV RI ULVNV DQG ULVN IDFWRUV FRQVLGHUHG $OWKRXJK ERWK UHYLHZV GR QRW FRYHU QHWZRUN OHYHO PRGHOV PRGHOV ZLWK QXPHURXV ULVNV DUH LQFOXGHG
7KH LGHQWL¿HG OLWHUDWXUH UHYLHZV GLIIHU LQ VFRSH DQG PHWKRGRORJ\ )LYH UHYLHZV RIIHU DQ HPSKDVLV RQ FRQFHSWXDO LVVXHV ZKLOH WKUHH VROHO\ IRFXV RQ TXDQWLWDWLYH DSSURDFKHV &LWDWLRQ QHWZRUN DQDO\VLV KDV EHHQ XVHG E\ ¿YH UHYLHZV WR LGHQWLI\ UHVHDUFK FOXVWHUV RU LGHQWLI\ WKH HYROXWLRQDU\ DVSHFWV RI WKH ¿HOG RI VWXG\ 2WKHU UHYLHZV DLP WR JLYH D EURDG RYHUYLHZ DQG FODVVLI\ WKH DUWLFOHV 7DQJ > @ +R HW DO > @ DQG 6Q\GHU HW DO
> @ FRQWDLQ D JUHDW DPRXQW RI TXDQWLWDWLYH PRGHOV EXW WKH ODUJH PDMRULW\ RI WKH PRGHOV GHDO ZLWK VSHFL¿F SODQQLQJ SUREOHPV XQGHU XQFHUWDLQW\ DQG GDWH EDFN WR $OO UHYLHZV FRQVLGHU DOVR G\DGLF PRGHOV WKDW LQFOXGH RQO\ WZR HQWLWLHV ZKLFK ZH GR QRW FRQVLGHU WR EH D VXSSO\ FKDLQ \HW > @ $ QXPEHU RI WKH LGHQWL¿HG
UHYLHZV > @ H[SUHVV WKH QHHG IRU PRUH KROLVWLF DQG LQWHJUDWHG GHFLVLRQ PRGHOV WKDW GHDO ZLWK G\QDPLF DV ZHOO DV LQWHUGHSHQGHQW DQG SURSDJDWLYH ULVN EHKDYLRU EXW ZH ¿QG WKDW WKH H[LVWLQJ UHVHDUFK HIIRUWV KDYH EHHQ ODUJHO\ RYHUORRNHG LQ H[LVWLQJ UHYLHZV VR IDU DQG KDYH RQO\ EHHQ SUHVHQWHG PDUJLQDOO\ 2QO\ 6Q\GHU HW DO > @ SUHVHQW D KDQGIXO RI PRGHOV RI D JLYHQ VXSSO\ QHWZRUN ZKLFK DLP WR HYDOXDWH WKH LPSDFW RI GLVUXSWLRQV EXW WKH DXWKRUV GR QRW FRQVLGHU LQWHUUHODWLRQV EHWZHHQ ULVNV ULVN SURSDJDWLRQ LQ QHWZRUNV DQG WKH G\QDPLF PRGHOLQJ RI PXOWLSOH ULVNV
,Q WKLV SDSHU ZH DLP WR LGHQWLI\ DQG SUHVHQW PRGHOLQJ DSSURDFKHV ZKLFK SRVVLEO\ LGHQWLI\ DQG DQDO\]H QXPHURXV GLVUXSWLRQ ULVNV FRQVLGHU WKHLU G\QDPLF DQG LQWHUGHSHQGHQW EHKDYLRU RQ D VXSSO\ FKDLQ QHWZRUN OHYHO DQG SRWHQWLDOO\ LQWHJUDWH PLWLJDWLQJ RU ULVN FRQWURO SRVVLELOLWLHV :H ZDQW WR HYDOXDWH WKH XVHIXOQHVV RI WKH LGHQWL¿HG PRGHOV IURP WKH YLHZSRLQW RI SURIHVVLRQDO 6&50 PDQDJHUV RI DQ DOUHDG\ RSHUDWLQJ VXSSO\ QHWZRUN DQG DVVHVV KRZ LQWHJUDWHG DQG KROLVWLF WKHVH PRGHOV DUH ZKDW PRGHOLQJ WHFKQLTXHV DUH XVHG DQG ZKLFK SURFHVV VWHSV RI D VWDQGDUG 6&50 IUDPHZRUN DUH VXSSRUWHG 7KHUHIRUH ZH QRW RQO\ SUHVHQW FODVVLI\ DQG FRQGHQVH WKH OLWHUDWXUH OLNH SUHYLRXV UHYLHZV EXW GHULYH UHTXLUHPHQWV IURP WKH OLWHUDWXUH WR FULWLFDOO\ DVVHVV WKH LGHQWL¿HG PRGHOV WR JXLGH IXWXUH UHVHDUFK HIIRUWV E\ SUHVHQWLQJ ZKDW PRGHOLQJ DVSHFWV KDYH EHHQ QHJOHFWHG VR IDU DQG ZKLFK PRGHOLQJ WHFKQLTXHV FRXOG EH FRPELQHG WR EHWWHU FDWHU WR KROLVWLF V\VWHP OHYHO GHFLVLRQ VXSSRUW $OWKRXJK WKH WHUP VXSSO\ FKDLQ KDV EHHQ GLVFXVVHG LQ D PXOWLIDFHWHG ZD\ E\ UHVHDUFKHUV D FRQVHQVXV FDQ EH UHDFKHG WKDW D PXOWLWXGH RI HQWLWLWLHV
DUH FRQVLGHUHG DQG DW OHDVW WKUHH HQWLWLHV DUH LQFOXGHG
> @ :H WKHUHIRUH DQDO\]H DSSURDFKHV ZLWK DW OHDVW WKUHH VXSSO\ FKDLQ HQWLWLHV DQG DVVXPH WKDW D VXSSO\ FKDLQ VWUXFWXUH LV DOUHDG\ JLYHQ :H H[FOXGH PRGHOV ZKLFK GR QRW DLP DW VSHFL¿FDOO\ VXSSRUWLQJ WKH 6&50 IUDPHZRUN SURFHVVHV OLNH IRU H[DPSOH TXDQWLWDWLYH PRGHOV UHJDUGLQJ VXSSO\ FKDLQ GHVLJQ DQG IDFLOLW\ ORFDWLRQ SODQQLQJ PRGHOV ZKLFK IRFXV RQ VXSSOLHU VHOHFWLRQ RQH RU WZR VWDJH LQYHQWRU\ PRGHOV DQG WKH UHVHDUFK DUHD RI ULVN UHODWHG FRQWUDFWLQJ
7KH UHVW RI WKLV SDSHU LV VWUXFWXUHG DV IROORZV 6HFWLRQ
GHYHORSV D ¿UVW GH¿QLWLRQ RI VXSSO\ FKDLQ GLVUXSWLRQ ULVN PRGHOV DV WKH IRXQGDWLRQ RI VXEVHTXHQW VHFWLRQV 6HFWLRQ GHVFULEHV WKH SDSHU¶V UHVHDUFK PHWKRGRORJ\ E\ VSHFLI\LQJ WKH SDUDPHWHUV RI WKH FRQGXFWHG OLWHUDWXUH VHDUFK DQG GH¿QLQJ WKH FULWHULD RI WKH VXEVHTXHQW DQDO\VLV 6HFWLRQ SUHVHQWV WKH LGHQWL¿HG SXEOLFDWLRQV DFFRUGLQJ WR WKH PRGHOLQJ WHFKQLTXH XVHG DQG HYDOXDWHV WKH PRGHOV ZLWK WKH KHOS RI WKH GHVFULEHG FULWHULD $IWHU LQWHUSUHWLQJ WKH UHVXOWV RI WKH HYDOXDWLRQ DQG IUDPLQJ D IXWXUH UHVHDUFK JXLGHOLQH WKH ODVW VHFWLRQ VXPPDUL]HV WKH ¿QGLQJV DQG RIIHUV D JHQHUDO ORRN DW IXWXUH UHVHDUFK LQ WKLV ¿HOG RI VWXG\
'(),1,7,21 2) 6833/< &+$,1
',65837,21 5,6. 02'(/6
6XSSO\ FKDLQ ULVN LV SUHGRPLQDQWO\ GH¿QHG LQ WKH OLWHUDWXUH DV DQ HYHQW RULHQWHG FRQFHSW LQ ZKLFK ULVN VWURQJO\ UHODWHV WR WKH SUREDELOLW\ DQG FRQVHTXHQFH
RI D SRWHQWLDOO\ KDUPIXO HYHQW H J > @
+HFNPDQQ HW DO > @ EURDGHQ WKLV WUDGLWLRQDO ULVN SHUFHSWLRQ DQG DOVR FRQVLGHU FKDUDFWHULVWLFV ZKLFK LQÀXHQFH VXSSO\ FKDLQ ULVNV OLNH VXSSO\ FKDLQ JRDOV ULVN H[SRVXUH DQG ULVN DWWLWXGH 5LVN H[SRVXUH LV IXUWKHU VHJPHQWHG LQWR WKH WULJJHULQJ HYHQW WLPH EDVHG FKDUDFWHULVWLFV DQG IHDWXUHV RI WKH VXSSO\ FKDLQ OLNH YXOQHUDELOLW\ DQG UHVLOLHQFH +HFNPDQQ HW DO > @ GH¿QH VXSSO\ FKDLQ ULVN DV ³WKH SRWHQWLDO ORVV IRU D VXSSO\ FKDLQ LQ WHUPV RI LWV WDUJHW YDOXHV RI HI¿FLHQF\ DQG HIIHFWLYHQHVV HYRNHG E\ XQFHUWDLQ GHYHORSPHQWV RI VXSSO\ FKDLQ FKDUDFWHULVWLFV ZKRVH FKDQJHV ZHUH FDXVHG E\ WKH RFFXUUHQFH RI WULJJHULQJ HYHQWV´ 7KH SRWHQWLDO ORVV RI D VXSSO\ FKDLQ FDQ EH FDWHJRUL]HG DFFRUGLQJ WR LWV PDJQLWXGH $ GLVWXUEDQFH LV VHHQ DV D GHYLDWLRQ IURP QRUPDO EXVLQHVV DFWLYLWLHV ZKLFK GHWHULRUDWHV WKH DFFRPSOLVKPHQWV RI JRDOV > @
$ GLVUXSWLRQ LV FRQVLGHUHG WR EH PRUH VHYHUH WKDQ D GLVWXUEDQFH EXW D FOHDU GLVWLQFWLRQ EHWZHHQ WKHVH WZR FRQFHSWV LV PLVVLQJ
7KH OLWHUDWXUH RIIHUV QR FRQVHQVXDO GH¿QLWLRQ RI
6&50 DOWKRXJK WKHUH KDV EHHQ SOHQW\ RI FRQFHSWXDO UHVHDUFK LQ WKLV DUHD > @ -WWQHU HW DO > @ GH¿QH 6&50 DV ³WKH LGHQWL¿FDWLRQ DQG PDQDJHPHQW RI ULVNV IRU WKH VXSSO\ FKDLQ WKURXJK D FR RUGLQDWHG DSSURDFK DPRQJVW VXSSO\ FKDLQ PHPEHUV WR UHGXFH VXSSO\ FKDLQ YXOQHUDELOLW\ DV D ZKROH´ 7KH FRQFHSW RI YXOQHUDELOLW\ LV UHJDUGHG DV WKH VXVFHSWLELOLW\ RI WKH VXSSO\ FKDLQ WR
VSHFL¿F RU XQVSHFL¿F ULVN HYHQWV > @ &HU\QR HW DO
> @ FRPELQH VHYHUDO GH¿QLWLRQV DQG GHVFULEH 6&50 DV ³WKH LGHQWL¿FDWLRQ DQG PDQDJHPHQW RI ULVNV IRU WKH VXSSO\ FKDLQ WKURXJK D FRRUGLQDWHG DSSURDFK DPRQJVW VXSSO\ FKDLQ PHPEHUV WR UHGXFH VXSSO\ FKDLQ YXOQHUDELOLW\ DV D ZKROH WR LQFUHDVH UHVLOLHQFH´ 6&50 DLPV WR PLQLPL]H PRQLWRU DQG FRQWURO WKH SUREDELOLW\ DQG LPSDFW RI XQFHUWDLQ GLVUXSWLYH HYHQWV DQG WKHUHIRUH JXDUDQWHHV KLJK SHUIRUPDQFH SUR¿WDELOLW\ DQG FRQWLQXLW\ > @ 7KH QRWLRQ RI UHVLOLHQFH GHVFULEHV WKH V\VWHP¶V DELOLW\ WR UHWXUQ WR D VWDEOH VWDWH DIWHU H[SHULHQFLQJ GLVWXUEDQFHV > @
7KH GLIIHUHQWLDWLRQ EHWZHHQ VXSSO\ FKDLQ ULVN DQG VXSSO\ FKDLQ GLVUXSWLRQ ULVN 6&'5 LV QHFHVVDU\ VLQFH VXSSO\ FKDLQV LQ JHQHUDO HQFRPSDVV SOHQW\ RI FRPSDQLHV GLVSHUVHG DFURVV WKH JOREH DQG RQO\ ULVNV ZKLFK MHRSDUGL]H QRUPDO EXVLQHVV DFWLYLWLHV FUXFLDOO\ DUH UHOHYDQW )ROORZLQJ WKH GH¿QLWLRQ RI +HFNPDQQ HW DO > @ 6&'5V FDQ EH GH¿QHG DV WKH VXEVHW RI DOO VXSSO\ FKDLQ ULVNV ZLWK SRWHQWLDO FRQVHTXHQFHV WKDW LPSHGH WKH VXSSO\ FKDLQ DW OHDVW WHPSRUDULO\ RI DFKLHYLQJ LWV RSHUDWLRQDO JRDOV DQG RU MHRSDUGL]H WKH H[LVWHQFH RI RQH RU PRUH VXSSO\ FKDLQ SDUWQHUV
&RQFHSWXDO PRGHOV LQ JHQHUDO UHSUHVHQW D UHDO V\VWHP ZKLFK PD\ RU PD\ QRW FXUUHQWO\ H[LVW $ PRGHO LV FUHDWHG WKURXJK WKH SURFHVV RI DEVWUDFWLRQ LQ ZKLFK VSHFL¿F IHDWXUHV RI D UHDO V\VWHP DUH HPEHGGHG LQ WKH PRGHO GHSHQGLQJ RQ LWV SXUSRVH > @ 7KHUHIRUH FRQFHSWXDO PRGHOV FDQ EH FODVVL¿HG DFFRUGLQJ WR WKHLU REMHFWLYHV 'LIIHUHQW TXDQWLWDWLYH PRGHOV H[LVW ZKLFK GHDO ZLWK VXSSO\ FKDLQ ULVN HLWKHU H[SOLFLWO\ RU LPSOLFLWO\ 0RGHOV ZKLFK FRQVLGHU ULVNV LPSOLFLWO\ IRFXV RQ VSHFL¿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
DQDO\VLV LQ SDUWLFXODU H J > @ 7KH DLP LV WR XQGHUVWDQG WKH G\QDPLF EHKDYLRU RI WKH VXSSO\ FKDLQ IDFLQJ ULVNV RI VXSSO\ FKDLQ GLVUXSWLRQV 7KHVH PRGHOV DUH WKHUHIRUH QRW SUREOHP VSHFL¿F DQG PRUH DEVWUDFW EXW LQVLJKWV IURP VXSSO\ FKDLQ GLVUXSWLRQ PRGHOLQJ FDQ VKRZ YXOQHUDELOLWLHV RI VXSSO\ FKDLQV DQG VKLIW WKH DWWHQWLRQ WR VSHFL¿F VXSSO\ FKDLQ GHFLVLRQ SUREOHPV OLNH FRQVLGHULQJ WKH VXSSO\ FKDLQ GHVLJQ DV SDUW RI D PLWLJDWLRQ VWUDWHJ\ WR RSWLPL]H WKH VXSSO\ FKDLQ
%DVHG RQ WKH SUHYLRXVO\ PHQWLRQHG GH¿QLWLRQV UHJDUGLQJ 6& ULVNV 6&'5 6&50 DQG FRQFHSWXDO PRGHOV DV ZHOO DV WKH GLVWLQFWLRQ EHWZHHQ SUREOHPVSHFL¿F GHFLVLRQ SUREOHPV XQGHU FRQVLGHUDWLRQ
RI ULVNV DQG H[SOLFLW ULVN PRGHOLQJ ZH GH¿QH 6&'5 PRGHOV DV
$ 6&'5 PRGHO UHSUHVHQWV D VXSSO\ FKDLQ DQG DOO UHOHYDQW SRWHQWLDO WULJJHULQJ HYHQWV ZKLFK FDQ SRWHQWLDOO\ LPSHGH WKH VXSSO\ FKDLQ IURP DFKLHYLQJ LWV RSHUDWLRQDO JRDOV DQG RU MHRSDUGL]H WKH H[LVWHQFH RI RQH RU PRUH VXSSO\ FKDLQ HQWLWLHV DQG LQFOXGHV DOO QHFHVVDU\ VWDWLF DQG G\QDPLF IHDWXUHV WR GHVFULEH SRWHQWLDO ORVVHV IRU DOO VXSSO\ FKDLQ SDUWQHUV LQ WHUPV RI WKH VXSSO\ FKDLQ¶V WDUJHW YDOXHV LQ RUGHU WR VXSSRUW WKH FRRUGLQDWHG DSSURDFK DPRQJVW VXSSO\ FKDLQ HQWLWLHV WR UHGXFH VXSSO\ FKDLQ YXOQHUDELOLW\ DQG WR LQFUHDVH WKH VXSSO\ FKDLQ¶V SUHGLFWHG DELOLW\ WR UHWXUQ WR D VWDEOH VWDWH DIWHU H[SHULHQFLQJ GLVUXSWLRQV LQ WKH UHDO V\VWHP
5(6($5&+ 0(7+2'2/2*<
7R DWWDLQ WKLV SDSHU¶V REMHFWLYHV LW LV QHFHVVDU\ WR FRQGXFW D FULWLFDO UHYLHZ RQ 6&'5 PRGHOV $ UHYLHZ LV QRW EDVHG RQ QHZ VFLHQWL¿F LQVLJKWV SULPDULO\ EXW UDWKHU GLJHVWV FODVVL¿HV DQG V\QWKHVL]HV DOUHDG\ SXEOLFL]HG UHVHDUFK UHVXOWV WR FRPSDUH LQWHJUDWH DQG HYDOXDWH SULRU ¿QGLQJV DQG JLYH VXJJHVWLRQV IRU IXWXUH UHVHDUFK DFWLYLWLHV > @ $ FULWLFDO UHYLHZ DLPV WR V\QWKHVL]H H[LVWLQJ UHVHDUFK DUWLFOHV DQG WR HYDOXDWH WKHP DJDLQVW FULWHULD > @ ,WV VWUHQJWK LV WKH DELOLW\ WR FRQVWUXFWLYHO\ KLJKOLJKW GLVFUHSDQFLHV LQ WKH OLWHUDWXUH DQG VWHQJWKHQ QHZ LQVLJKWV E\ JLYLQJ D GLUHFWLRQ IRU IXUWKHU LPSURYHPHQW > @ &ULWLFDO UHYLHZV IRFXV RQ VSHFL¿F VHFWLRQV RI D UHVHDUFK DUHD DQG UDUHO\ LQFOXGH DQ H[KDXVWLYH ORRN DW D FRPSOHWH ¿HOG RI VWXG\ > @ 2XU OLWHUDWXUH VHDUFK LV EDVHG RQ WKH IUDPHZRUN RI )LQN > @ ZKR GHVFULEHG VHYHQ VWHSV DLPHG WR HQVXUH D V\VWHPDWLF H[SOLFLW DQG UHSURGXFLEOH OLWHUDWXUH UHYLHZ 7KH ¿UVW VWHS RI WKLV IUDPHZRUN FRQVLVWV RI IRUPXODWLQJ UHVHDUFK TXHVWLRQV WR VSHFLI\ WKH WDUJHW RI WKH VWXG\ 7KH QH[W IRXU VWHSV GHVLJQ WKH OLWHUDWXUH VHDUFK E\ VHOHFWLQJ UHOHYDQW ELEOLRJUDSKLF GDWDEDVHV GH¿QLQJ DSSURSULDWH VHDUFK WHUPV DQG DSSO\LQJ SUDFWLFDO DV ZHOO DV PHWKRGRORJLFDO VFUHHQLQJ FULWHULD LQ WKH IRUP RI H[FOXVLRQ DQG LQFOXVLRQ FULWHULD 3UDFWLFDO VFUHHQLQJ FULWHULD LQFOXGH IDFWRUV OLNH WKH DUWLFOHV¶ ODQJXDJH DQG WLPH DVSHFWV ZKLOH PHWKRGRORJLFDO VFUHHQLQJ FULWHULD FRYHU WKH SDSHUV¶ VFLHQWL¿F TXDOLW\ DQG DGHTXDF\ IRU WKH SXUSRVH RI WKH UHYLHZ $IWHU DEVWUDFWLQJ LQIRUPDWLRQ IURP WKH DUWLFOHV WKH ¿QGLQJV DUH V\QWKHVL]HG GHVFULSWLYHO\ DQG RU VWDWLVWLFDOO\
7KH IROORZLQJ UHVHDUFK TXHVWLRQV 54 VSHFLI\ WKH JRDOV RI WKLV UHYLHZ
54 :KDW ULVN VSHFL¿F PRGHOLQJ FKDUDFWHULVWLFV DQG HYDOXDWLRQ FULWHULD FDQ EH GH¿QHG"
54 :KLFK PRGHOLQJ WHFKQLTXHV DUH XVHG IRU VXSSO\ FKDLQ GLVUXSWLRQ PRGHOLQJ"
54 +RZ ZHOO GR WKH LGHQWL¿HG PRGHOV DQG PRGHOLQJ WHFKQLTXHV WDNH WKH LGHQWL¿HG ULVN VSHFL¿F PRGHOLQJ FKDUDFWHULVWLFV LQWR DFFRXQW"
54 :KDW SURFHVV VWHSV RI D VWDQGDUG 6&50 IUDPHZRUN DUH VXSSRUWHG E\ WKH PRGHOV"
54 :KDW SRWHQWLDO LPSURYHPHQWV FDQ EH IRUPXODWHG IRU SURVSHFWLYH PRGHOV DQG PRGHOLQJ WHFKQLTXHV"
/LWHUDWXUH VHDUFK
$Q H[WHQVLYH OLWHUDWXUH VHDUFK LV WKH IRXQGDWLRQ RI D UHYLHZ DQG DLPV WR ORFDWH DQ H[KDXVWLYH DQG SUREOHP VSHFL¿F VHW RI SXEOLFDWLRQV RQ WKH WRSLF RI LQWHUHVW > @ $ OLWHUDWXUH VHDUFK VKRXOG IRFXV DFFRUGLQJ WR YRP %URFNH HW DO > @ RQ SHHU UHYLHZHG DUWLFOHV WR HQVXUH FUHGLEOH DQG UHOLDEOH LQIRUPDWLRQ VRXUFHV 7KH VHDUFK VKRXOG QRW EH OLPLWHG WR D VSHFL¿F UHVHDUFK PHWKRG D VPDOO QXPEHU RI MRXUQDOV RU D SUHDUUDQJHG JHRJUDSKLF UHJLRQ
> @ 2XU VHDUFK WKHUHIRUH FRQVLGHUV PXOWLSOH VFLHQWL¿F GDWDEDVHV QDPHO\ 6FLHQFH'LUHFW (PHUDOG ,QVLJKW
*RRJOH 6FKRODU ,QGHUVFLHQFH DQG 7D\ORU )UDQFLV 7KH PDQGDWRU\ NH\ZRUGV XVHG IRU GDWD FROOHFWLRQ DUH FKRVHQ WR EH ³6XSSO\ &KDLQ´ RU ³6XSSO\ 1HWZRUN´ DV ZHOO DV DW OHDVW RQH RI WKH IROORZLQJ NH\ZRUGV LQ WKH SXEOLFDWLRQV¶ WLWOH DEVWUDFW DQG NH\ZRUGV FRPELQHG ZLWK ³25´ RSHUDWRUV ³5LVN´ ³'LVUXSWLRQ´
³'LVWXUEDQFH´ ³6LPXODWLRQ´ ³,QWHUGHSHQGHQFH´
³3URSDJDWLRQ´ ³4XDQWLWDWLYH´ ³2SWLPL]DWLRQ´
³2SWLPLVDWLRQ´ ³&ULVLV´ ³&DWDVWURSKH´ ³7HUURU´ 7KH OLWHUDWXUH VHDUFK LQFOXGHV SXEOLVKHG DQG QRW \HW
SXEOLVKHG EXW DFFHSWHG SDSHUV IURP WR HDUO\ 7KH \HDU KDV EHHQ FKRVHQ VLQFH WKH WHUURULVW DWWDFNV GUDPDWLFDOO\ VKLIWHG DWWHQWLRQ WR WKH ¿HOG RI ULVN PDQDJHPHQW 7DQJ DQG 0XVD > @ VWDWH WKDW EHWZHHQ
DQG WKH QXPEHU RI DUWLFOHV LQ 6&50 VORZO\ VWDUWHG WR LQFUHDVH EXW WKH FRQWHQW ZDV PDLQO\ TXDOLWDWLYH 6LQFH WKH WRSLF RI LQWHUHVW LV IRFXVHG RQ WKH FRQFHSW RI VXSSO\ FKDLQ DQG ULVN DQG VLQFH RXU VHDUFK VWULQJ LV UHODWLYHO\ RSHQ ZH FRQFOXGHG WKDW UHOHYDQW NH\ZRUGV ZRXOG EH SDUW RI WKH SXEOLFDWLRQV¶ WLWOHV DEVWUDFW DQG NH\ZRUGV :H WKHUHIRUH FRXOG UHGXFH WKH QXPEHU RI VHDUFK UHVXOWV WR D PRGHVW DPRXQW 7KH DEVWUDFWV ZHUH XVHG WR HYDOXDWH WKH SDSHUV¶ UHOHYDQFH 6LQFH ZH SXW RXUVHOYHV LQ WKH VKRHV RI 6&50 PDQDJHUV RI IXQFWLRQLQJ VXSSO\ QHWZRUNV IDFLQJ D ODUJH YDULHW\ RI GLVUXSWLRQ ULVNV VLPXOWDQHRXVO\ DQG VXLWDEOH WR WKH VFRSH DQG DLP RI WKLV UHYLHZ H[FOXVLRQ FULWHULD ZHUH GHWHUPLQHG WR EH
± 1R ULVN PHQWLRQHG
± $SSURDFKHV ZLWK D IRFXV RQ FRQWUDFWLQJ LVVXHV VXSSOLHU VHOHFWLRQ LQYHQWRU\ PDQDJHPHQW
(24 PRGHOV DQG WKH FRQVWUXFWLRQ RI D VXSSO\ FKDLQ GHVLJQ IDFLOLW\ ORFDWLRQ SUREOHPV
± /HVV WKDQ WKUHH VXSSO\ FKDLQ HQWLWLHV FRQVLGHUHG
± 5HYLHZ SDSHUV
± 3XUH ULVN LGHQWL¿FDWLRQ RU ULVN UDQNLQJ LI WKHUH LV QR IRFXV RQ ULVN LQWHUGHSHQGHQFLHV
7KH LGHQWL¿HG SXEOLFDWLRQV ZHUH XVHG DV DQ LQSXW IRU D EDFNZDUG DQG IRUZDUG UHIHUHQFH VHDUFK
(YDOXDWLRQ FULWHULD
2QH FUXFLDO DVSHFW RI WKLV DQDO\VLV ZKLFK KDV QRW EHHQ FRQVLGHUHG E\ DQ\ RWKHU RI WKH SULRU UHYLHZV LQ WKH ¿HOG RI 6&50 LV WKH IRUPXODWLRQ RI HYDOXDWLRQ FULWHULD 7KHVH FULWHULD VKRXOG SUHIHUDEO\ LQFOXGH DOO FULWLFDO HYDOXDWLRQ GLPHQVLRQV DQG EH FOHDUO\ GHOLPLWHG IURP HDFK RWKHU ,Q RXU FDVH PDLQ HYDOXDWLRQ FULWHULD DUH WDNHQ IURP WKH OLWHUDWXUH RQ FRQFHSWXDO PRGHOLQJ LQ RSHUDWLRQDO UHVHDUFK DQG EXVLQHVV SURFHVV PRGHOLQJ DQG DUH VSHFL¿HG DFFRUGLQJ WR RXU GH¿QLWLRQ RI 6&'5 PRGHOV DV ZHOO DV UHODWHG VWDWHPHQWV RI DXWKRUV LQ WKH
¿HOG RI ULVN PRGHOLQJ
$FFRUGLQJ WR 3ULWVNHU > @ WKH PRGHOLQJ SURFHVV LV GLI¿FXOW VLQFH WKHUH DUH QR TXDQWLWDWLYH FULWHULD IRU HYDOXDWLQJ WKH YDOXH RI D PRGHO 7HHXZ DQG YDQ GHQ
%HUJ > @ EXLOG DQ HYDOXDWLRQ IUDPHZRUN IRU EXVLQHVV SURFHVV PRGHOV DQG LQWURGXFH WKUHH H[WHUQDO TXDOLW\ FULWHULD IRU FRQFHSWXDO PRGHOV ZKLFK DUH XVHG WR HYDOXDWH WKH YDOXH RI WKH PRGHO IRU WKH XVHU RU FOLHQW
³FRPSOHWHQHVV´ DOO HVVHQWLDO DVSHFWV DUH LQWHJUDWHG
³LQKHUHQFH´ WKH PRGHO IRFXVHV RQ HVVHQWLDO DVSHFWV DQG ³FODULW\´ WKH PRGHO LV FRPSUHKHQVLEOH E\ WKH XVHU DQG DV REMHFWLYH DV SRVVLEOH 5RELQVRQ HW DO
> @ VXPPDUL]H WKH TXLWH PDQDJHDEOH QXPEHU RI SXEOLFDWLRQV LQ WKH RSHUDWLRQDO UHVHDUFK ¿HOG DQG LGHQWLI\ IRXU PDLQ UHTXLUHPHQWV IRU DQ HIIHFWLYH PRGHO
³YDOLGLW\´ ³FUHGLELOLW\´ ³XWLOLW\´ DQG ³IHDVLELOLW\´
:KLOH WKH FULWHULD ³YDOLGLW\´ LV GH¿QHG E\ 5RELQVRQ HW DO > @ DV WKH SHUFHSWLRQ RI WKH PRGHOHU WKDW WKH PRGHO LV VXI¿FLHQWO\ DFFXUDWH IRU WKH SXUSRVH DW KDQG WKH FULWHULD ³FUHGLELOLW\´ PHDVXUHV WKH VDPH DVSHFW EXW IURP WKH SRVVLEO\ GLIIHUHQW YLHZSRLQW RI WKH FOLHQW RU XVHU RI WKH PRGHO ³8WLOLW\´GHVFULEHV WKH XVHIXOQHVV RI WKH PRGHO DQG LQFOXGHV VXEFULWHULD OLNH ³HDVH RI XVH´
³ÀH[LELOLW\´ ³YLVXDO GLVSOD\´ DQG VR RQ 7KH IRXUWK FULWHULD ³IHDVLELOLW\´ UHIHUV WR WKH DPRXQW RI UHVRXUFHV
WLPH GDWD HWF QHFHVVDU\ WR EXLOG WKH FRUUHVSRQGLQJ FRPSXWHU PRGHO
:H IRFXV DFFRUGLQJ WR RXU ¿UVW UHVHDUFK TXHVWLRQ 54
RQ HYDOXDWLRQ FULWHULD VSHFL¿F WR 6&'5 PRGHOV :H WKHUHIRUH VXEGLYLGH WKH FRQWHQW VSHFL¿F PDLQ FULWHULD
³FUHGLELOLW\´ DQG ³FRPSOHWHQHVV´ ³LQKHUHQFH´ DQG
³FODULW\´ E\ DSSO\LQJ RXU GH¿QLWLRQ RI 6&'5 PRGHOV DQG OHDYH RXW ULVN XQUHODWHG PDLQ FULWHULD OLNH WKH JHQHUDO ³XVHIXOQHVV´ DQG ³IHDVLELOLW\´ RI WKH PRGHOV 0HDVXUDEOH LQGLFDWRUV IRU HDFK VXEFULWHULD DUH GH¿QHG VR WKDW FULWHULD FDQ EH HLWKHU QRW VDWLV¿HG GHQRWHG E\
SDUWLDOO\ VDWLV¿HG GHQRWHG E\ RU FRPSOHWHO\ VDWLV¿HG GHQRWHG E\
$FFRUGLQJ WR RXU GH¿QLWLRQ D 6&'5 PRGHO VKRXOG IRFXV RQ UHOHYDQW GLVUXSWLRQ ULVNV $ IRFXV RQ GLVUXSWLRQ ULVN LV LQGLFDWHG E\ LQFOXGLQJ DW OHDVW RQH H[SOLFLW GLVUXSWLRQ ULVN LQWR WKH PRGHO ,I QR GLVUXSWLRQ ULVN LV LQFRUSRUDWHG WKLV FULWHULD LV QRW VDWLV¿HG 5HOHYDQW RSHUDWLRQDO ULVNV FDQ EH LQFRUSRUDWHG DGGLWLRQDOO\ LQWR WKH PRGHOV EXW VKRXOG QRW EH WKH FRPSOHWH IRFXV 9DULRXV 6&'5V FDQ EH GLVWLQJXLVKHG 7KH\ FDQ EH FODVVL¿HG DFFRUGLQJ WR WKH ULVN VRXUFHV DV H[WHUQDO RU LQWHUQDO ULVNV ([WHUQDO ULVNV ZKLFK HPHUJH
IURP RXWVLGH WKH VXSSO\ FKDLQ DUH IRU H[DPSOH QDWXUDO GLVDVWHUV OLNH ÀRRGV HDUWKTXDNHV RU HSLGHPLFV DV ZHOO DV SROLWLFDO LQVWDELOLW\ OLNH ZDUV WHUURULVP DQG PDUNHW XQFHUWDLQW\ ZKLFK FDQ FRPH IURP SULFH DQG H[FKDQJH ÀXFWXDWLRQV DV ZHOO DV HFRQRPLF GRZQWXUQV
,QWHUQDO ULVNV FDQ EH FDXVHG E\ ULVNV UHJDUGLQJ WKH LQWHUQDO RSHUDWLRQV VXFK DV TXDOLW\ LVVXHV RU IRUHFDVW LQDFFXUDF\ DV ZHOO DV ULVNV UHJDUGLQJ WKH LQIRUPDWLRQ V\VWHP DQG WKH DYDLODEOH FDSDFLW\ ZKHQ IRU H[DPSOH D VXSSOLHU ¿OHV IRU EDQNUXSWF\ > @ $SSURDFKHV ZKLFK FRQWDLQ DW OHDVW RQH DQG XS WR WKUHH ULVNV VDWLVI\ WKLV DQDO\VLV FULWHULD SDUWLDOO\ ZKLOH DSSURDFKHV ZLWK PRUH WKDQ WKUHH GLVUXSWLRQV ULVNV VDWLVI\ WKLV FULWHULD
IXOO\
$FFRUGLQJ WR RXU GH¿QLWLRQ RI 6&'5 PRGHOV WKH DQWLFLSDWHG ORVVHV GXH WR 6&'5 QHHG WR EH TXDQWL¿HG 2QH SRVVLEOH ZD\ WR TXDQWLI\ WKH ORVVHV FRQVLVWV RI DQ LQWHJUDWLRQ RI ULVNV LQWR PRGHO SDUDPHWHUV E\ XVLQJ VWDQGDUG GHYLDWLRQV RU YDOXH DW ULVN FRQFHSWV ZKLFK VWDWLVWLFDOO\ PHDVXUH WKH PD[LPXP SRVVLEOH ORVV DW VSHFL¿F SHUFHQWLOHV > @ 6LPLODUO\ 6SHNPDQ DQG 'DYLV
> @ GH¿QH ULVN DV WKH SUREDELOLW\ RI YDULDQFH LQ DQ H[SHFWHG RXWFRPH $ GLIIHUHQW VWDQGDUG DSSURDFK LV WKH H[SOLFLW ULVN TXDQWL¿FDWLRQ XVLQJ WKH OLNHOLKRRG RI RFFXUUHQFH PXOWLSOLHG ZLWK WKH H[SHFWHG LPSDFW RI WKH ULVN HYHQW WR REWDLQ WKH H[SHFWHG ORVV > @ 7R TXDQWLI\ WKH SUREDELOLW\ DQG LPSDFW RI ULVN HYHQWV PRGHOV FDQ XVH KLVWRULFDO GDWD DQG RU H[SHUW NQRZOHGJH .QLJKW
> @ GLVWLQJXLVKHG LQ KLV GH¿QLWLRQ RI ULVN EHWZHHQ FHUWDLQW\ ³PHDVXUDEOH´ XQFHUWDLQW\ TXDQWLWDWLYH DQG ³XQPHDVXUDEOH´ XQFHUWDLQW\ ZLWK QR RU SDUWLDO NQRZOHGJH RI RXWFRPHV LQ WKH IRUP RI EHOLHIV $FFRUGLQJ WR WKLV QRWLRQ .OLEL DQG 0DUWHO > @ GH¿QH WKUHH W\SHV RI XQFHUWDLQW\ 5DQGRPQHVV GHVFULEHV D EXVLQHVV DV XVXDO À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
6LQFH D VXSSO\ FKDLQ E\ GH¿QLWLRQ LV D V\VWHP RI PXOWLSOH HQWLWLHV ZKLFK DUH FRQQHFWHG YLD PDWHULDO PRQHWDU\ DQG LQIRUPDWLRQ ÀRZV VXSSO\ FKDLQ SDUWQHUV DUH LQÀXHQFHG E\ FRQQHFWHG FRPSDQLHV DQG DVVRFLDWHG ULVNV > @ 7KHVH LQWHUGHSHQGHQFLHV KDYH LQFUHDVHG GXH WR WUHQGV VXFK DV RXWVRXUFLQJ DQG JOREDOL]DWLRQ > @ 4D]L HW DO > @ LGHQWLI\ KROLVWLF PHWKRGV IRU FDSWXULQJ LQWHUGHSHQGHQFLHV EHWZHHQ ULVN IDFWRUV DFURVV WKH HQWLUH VXSSO\ QHWZRUN DV RQH LPSRUWDQW LVVXH IRU IXWXUH UHVHDUFK LQ WKH ¿HOG RI 6&50 0RGHOLQJ DSSURDFKHV VKRXOG WKHUHIRUH WDNH WKHVH LQWHUGHSHQGHQFLHV LQWR DFFRXQW 7KLV FULWHULD LV IXOO\ VDWLV¿XX XX D PRGHO V\VWHPDWLFDOO\ DQDO\]HV DQG HYDOXDWHV WKH H[LVWHQFH DQG
VWUHQJWKV RI ULVN LQWHUGHSHQGHQFLHV 3DUWLDO VDWLVIDFWLRQ LV SUHVHQW LI D PRGHO WDNHV ULVN LQWHUGHSHQGHQFLHV LQWR DFFRXQW EXW GRHV QRW FRQVLGHU WKHLU VWUHQJWK DQG GRHV QRW XVH D V\VWHPDWLF PHWKRGRORJ\ WR LGHQWLI\ WKH LQWHUGHSHQGHQFLHV
5LVN SURSDJDWLRQ LV D FRQVHTXHQFH RI H[LVWLQJ ULVN LQWHUGHSHQGHQFLHV ,W FDQ EH FODVVL¿HG LQ XSVWUHDP DQG GRZQVWUHDP ULVN SURSDJDWLRQ 7KH SURSDJDWLRQ VSHHG LV GHSHQGHQW RQ WKH IUHTXHQF\ RI WKH LQIRUPDWLRQ PDWHULDO DQG FDVK H[FKDQJH LQ WKH VXSSO\ FKDLQ 7KH LPSDFW RI SURSDJDWLRQ FDQ GHFUHDVH DORQJ WKH QHWZRUN DV EXIIHUV LQ WKH VXSSO\ FKDLQ GDPSHQ WKH HIIHFW > @
,W LV SRVVLEOH WKDW RYHUGHSHQGHQFH RI VXSSO\ FKDLQ SDUWQHUV OHDGV WR DQ DPSOL¿FDWLRQ RI GLVUXSWLRQV > @ 8QGHUVWDQGLQJ WKH SURSDJDWLRQ RI GLVUXSWLRQV KHOSV WR GHVLJQ PLWLJDWLRQ VWUDWHJLHV DQG UHGXFH WKH LPSDFW RI ULVNV > @ 6HYHUDO DXWKRUV DJUHH WKDW WKHUH LV D ODFN RI TXDQWLWDWLYH PRGHOV WKDW FRPSXWH SURSDJDWLRQ HIIHFWV RI GLVUXSWLRQV DW PXOWLSOH VWDJHV RI WKH VXSSO\ FKDLQ
> @ 4D]L HW DO > @ DOVR VWUHVV WKH LPSRUWDQFH RI IXWXUH UHVHDUFK RQ ULVN SURSDJDWLRQ 0RGHOV ZKLFK SDUWLDOO\ VDWLVI\ WKLV FULWHULD PHUHO\ PRGHO WKH SURSDJDWLRQ RI WKH ULVN LPSDFW ZKLOH D FRPSOHWH VDWLVIDFWLRQ RI WKLV FULWHULD LV JLYHQ LI GLIIHUHQW SURSDJDWLRQ PHDVXUHV DUH XVHG WR TXDQWLI\ WKH SURSDJDWLRQ LWVHOI DQG LI WKH OLNHOLKRRG DV ZHOO DV LPSDFW RI SURSDJDWLRQ LV PRGHOHG
$ V\VWHP LQ JHQHUDO FRQVLVWV RI DQ RUJDQL]HG DQG DQ RUGHUHG ¿QLWH VHW RI YDULDEOHV DQG HOHPHQWV ZKLFK LQWHUDFW ZLWK HDFK RWKHU > @ 6WURQJ LQWHUDFWLRQV EHWZHHQ D V\VWHP¶V YDULDEOHV WLPH GHSHQGHQF\ D FRPSOH[ FDXVDO VWUXFWXUH DQG GHOD\HG EHKDYLRUDO UHDFWLRQV FKDUDFWHUL]H D G\QDPLF V\VWHP > @ 7KHUHIRUH VXSSO\ FKDLQV FDQ EH UHJDUGHG DV G\QDPLF V\VWHPV
6LQFH VXSSO\ FKDLQV LQWHUDFW ZLWK WKHLU HQYLURQPHQW WKH\ FDQ DOVR EH YLHZHG DV RSHQ V\VWHPV ([WHUQDO DV ZHOO DV LQWHUQDO ULVNV DUH G\QDPLF E\ QDWXUH DQG LQÀXHQFH WKHVH V\VWHPV > @ 7R XQGHUVWDQG WKH WHPSRUDO FKDUDFWHULVWLFV RI ULVNV G\QDPLF PRGHOV DUH DSSURSULDWH WR GHVFULEH WKH EHKDYLRU RI VXSSO\ FKDLQV XQGHU WKH LQÀXHQFH RI ULVNV (ODQJRYDQ HW DO > @ DV ZHOO DV &ROLFFKLD DQG 6WUR]]L > @ SRLQW RXW WKDW PRUH G\QDPLF PRGHOV DUH QHHGHG LQ ULVN PDQDJHPHQW 7KLV FULWHULD FDQ HLWKHU EH VDWLV¿HG LQ WKH FDVH RI D G\QDPLF PRGHO RU QRW VDWLV¿HG LQ WKH FDVH RI D VWDWLF PRGHO
$FFRUGLQJ WR RXU GH¿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
,I SUREDELOLWLHV FDQQRW EH TXDQWL¿HG WKH LPSDFW RI GLVUXSWLYH HYHQWV FDQ EH DVVHVVHG DV RQH LPSRUWDQW SDUW RI ULVN DQDO\VLV
Q :P M7><
!H7M)H7
<%7! M>H >, ,P:0::;)<M
>!PI >< %7IHP@M7>< H7I9I | # <:T >@)H M7>< : H7I9 L H7I9I 7<!:P%)% # ><I7%)H7<4 M :) IM ><) %7IHP@M7>< H7I9 |
P; )H >, !><I7%)H)% H7I9I | # >%): !><M 7<I ><) H7I9 # >%): !><M 7<I ;>H) M5 < ><) <% P@ M> M5H)) H7I9I # >H) M5 < M5H)) H7I9I !><I7%)H)% |
M I7I >, H7I9 !><!)@M | # > % M I7I PI)% # S@)HM 9<>R:)%4) >H 57IM>H7! : % M 7<!:P% :) # S@)HM 9<>R:)%4) <% 57IM>H7! : % M 7<!:P% :) |
><I7%)H M7>< >, H7I9 7<M)H%)@)<%)<!7)I | # > H7I9 7<M)H%)@)<%)<!7)I # >%): IIP;)I I@)!70! H7I9 7<M)H%)@)<%)<!7)I R7M5>PM < :TI7I # 7I9 7<M)H%)@)<%)<!7)I ITIM); M7! ::T %)H7Q)% |
7I9 @H>@ 4 M7>< | # 7I9 @H>@ 4 M7>< <>M !><I7%)H)% # H>@ 4 M7>< >, !><I)EP)<!)I !><I7%)H)% # H>@ 4 M7>< >, H7I9I !><I7%)H)% |
T< ;7! ;>%):7<4 >, H7I9I | # M M7! ;>%): # T< ;7! ;>%): |
H)%7!M7>< >, H7I9I | # > @H)%7!M7>< 7<!:P%)% # H)%7!M7>< >, H7I9 !><I)EP)<!)I # H)%7!M7>< >, H7I9I 7<!:P%)% |
7I9 >@M7;7U M7>< | # > H7I9 ;7M74 M7>< 7<!:P%)% # 7M74 M7>< IMH M)47)I 7<!:P%)%$ PM <>M ITIM); M7! ::T !5>I)< # P;)H>PI IMH M)47)I !><I7%)H)%$ ITIM); M7! ::T !5>I)< |
7DEOH 'HULYHG HYDOXDWLRQ FULWHULD IRU 6&'5 PRGHOV
$FFRUGLQJ WR &KRSUD DQG 6RGKL > @ WKHUH LV QR VLOYHU EXOOHW VWUDWHJ\ WR SUHYHQW RU WR FRPSOHWHO\ UHGXFH WKH LPSDFW DQG OLNHOLKRRG RI GLVUXSWLRQV VLQJOHKDQGHGO\ 0LWLJDWLRQ VWUDWHJLHV DUH FDOFXODWHG DFWLRQV WDNHQ E\ D
¿UP WR OHVVHQ WKH ULVNV RI D GLVUXSWLRQ 7KHVH DFWLRQV DUH SURDFWLYH DQG DUH WDNHQ EHIRUH D SRWHQWLDO GLVUXSWLRQ RFFXUV &RQWLQJHQF\ SODQV DUH UHDFWLYH DQG DUH LPSOHPHQWHG RQFH D GLVUXSWLRQ KDV WDNHQ SODFH > @
=VLGLVLQ DQG 5LWFKLH > @ GLYLGHG PLWLJDWLRQ VWUDWHJLHV LQWR IRXU FDWHJRULHV HOLPLQDWH WKH ULVN UHGXFH WKH IUHTXHQF\ DQG FRQVHTXHQFHV RI WKH ULVN WUDQVIHU WKH ULVN E\ PHDQV RI LQVXUDQFH DQG VKDULQJ DQG DFFHSW WKH ULVN 7KH VSHFL¿F DFWLRQV WDNHQ E\ PDQDJHUV GHSHQG RQ WKH QDWXUH RI ULVN FRPSDQ\¶V UHVRXUFHV WKHLU EXVLQHVV VWUDWHJ\ DQG PDQ\ PRUH IDFWRUV &RQWLQJHQF\ SODQV DUH VKRUW WHUP PHDVXUHV WDNHQ OLNH GHPDQG VKLIWLQJ WR RWKHU QRW LPSDFWHG SURGXFWV RU LQFUHDVLQJ SURGXFWLRQ DW DOWHUQDWLYH VXSSOLHUV > @ ,Q JHQHUDO PLWLJDWLRQ VWUDWHJLHV FRPH DW WKH FRVW RI OHVV RSHUDWLRQDO HI¿FLHQF\ EXW YLVLELOLW\ DFURVV WKH VXSSO\ FKDLQ LV RQH H[DPSOH RI D PLWLJDWLRQ VWUDWHJ\ WKDW LV EHOLHYHG WR DOVR ERRVW HI¿FLHQF\ DFFRUGLQJ WR 6WHFNH DQG .XPDU > @ 6LQFH WKHUH DUH VR PDQ\ SRWHQWLDO GLVUXSWLYH WULJJHUV LQVLGH DQG RXWVLGH WKH VXSSO\ FKDLQ WKH SODQQLQJ RI D PLWLJDWLRQ VWUDWHJ\ LV GLI¿FXOW DQG PRUH WKDQ D VLQJOH VWUDWHJ\ QHHGV WR EH LPSOHPHQWHG 4D]L HW DO
> @ HPSKDVL]H WKH QHHG IRU HYDOXDWLQJ FRPELQDWLRQV RI PLWLJDWLRQ VWUDWHJLHV 7KLV FULWHULD LV IXOO\ VDWLV¿XX XX WKH 6&'5 PRGHO DQDO\]HV PLWLJDWLRQ VWUDWHJLHV DQG WKHLU H[SHFWHG FRQVHTXHQFHV DQG FRPSUHKHQVLYHO\ FKRRVHV WKH PRVW HIIHFWLYH VWUDWHJ\ VWUDWHJLHV 7KH FULWHULD LV SDUWLDOO\ VDWLV¿XX XX WKH PRGHO LQFRUSRUDWHV PLWLJDWLRQ VWUDWHJLHV ZLWKRXW D V\VWHPDWLF VHOHFWLRQ SURFHGXUH
7KLV SDSHU IRFXVHV RQ ULVN UHODWHG FULWHULD DQG OHDYHV RXW JHQHUDO FULWHULD OLNH WKH ÀH[LELOLW\ RI WKH PRGHOLQJ DSSURDFKHV DQG WKH PRGHOLQJ FRPSOH[LW\ 7DEOH VKRZV GLVWLQFW DQG PHDVXUDEOH LQGLFDWRUV RI WKH DQDO\VLV FULWHULD
(9$/8$7,21 2) ,'(17,),(' 6833/<
&+$,1 ',65837,21 02'(/6
:LWK WKH SUHYLRXVO\ GHVFULEHG OLWHUDWXUH VHDUFK SDSHUV ZHUH LGHQWL¿HG )LJ JLYHV DQ RYHUYLHZ RI WKH WHPSRUDO GHYHORSPHQW RI WKLV ¿HOG RI UHVHDUFK ,W FDQ EH VHHQ WKDW LQ UHFHQW \HDUV SXEOLFDWLRQV KDYH LQFUHDVHG LQ JHQHUDO DQG LW FDQ EH H[SHFWHG WKDW SURVSHFWLYH UHVHDUFK RXWSXW ZLOO IXUWKHU H[SDQG LQ WKH IXWXUH 7KH LGHQWL¿HG OLWHUDWXUH FRQWULEXWLRQV FDQ EH FDWHJRUL]HG DFFRUGLQJ WR WKH PRGHOLQJ WHFKQLTXHV XVHG 7DEOH VKRZV WKDW 3HWUL 1HWV 6\VWHP '\QDPLFV DQG 'LVFUHWH (YHQW
6LPXODWLRQ DUH WKH WRS WKUHH PRVW SRSXODU PRGHOLQJ WHFKQLTXHV LQ WKLV ¿HOG RI VWXG\ 7RJHWKHU WKHVH WKUHH PRGHOLQJ WHFKQLTXHV PDNH XS D OLWWOH PRUH WKDQ RI DOO DSSURDFKHV %D\HVLDQ %HOLHI 1HWZRUNV DUH XVHG LQ VL[ SXEOLFDWLRQV $JHQW EDVHG 0RGHOLQJ LQ ¿YH DQG ,QWHUSUHWLYH 6WUXFWXUDO 0RGHOLQJ 0RQWH &DUOR 6LPXODWLRQ DQG ,QSXW 2XWSXW 0RGHOLQJ DUH DSSOLHG WKUHH WLPHV HDFK $URXQG RI DOO SDSHUV FRQVLVW RI DSSURDFKHV WKDW KDYH EHHQ XWLOL]HG RQFH VR IDU 54 6LQFH GLIIHUHQW PRGHOLQJ DSSURDFKHV KDYH FKDUDFWHULVWLF IHDWXUHV DV ZHOO DV DGYDQWDJHV DQG GUDZEDFNV LW LV XVHIXO WR RUJDQL]H WKH IROORZLQJ VXEVHFWLRQV DFFRUGLQJ WR WKH WHFKQLTXHV DSSOLHG (DFK PRGHOLQJ DSSURDFK LV EULHÀ\ LQWURGXFHG DQG HDFK SXEOLFDWLRQ LV SUHVHQWHG $OO SDSHUV RI HDFK JURXS ZLOO EH DQDO\]HG DFFRUGLQJ WR WKH FULWHULD FRQFHLYHG DERYH
54 DQG LW ZLOO EH VKRZQ ZKLFK SURFHVV VWHSV RI D VWDQGDUG 6&50 DUH VXSSRUWHG E\ WKH SDSHU¶V PRGHOV
54
3HWUL 1HWV
3HWUL 1HWV 31 DUH D JUDSKLFDO DQG PDWKHPDWLFDO PRGHOLQJ WHFKQLTXH IRU GHVFULELQJ DQG DQDO\]LQJ 'LVFUHWH (YHQW 6\VWHPV > @ $ 31 LV D ELSDUWLWH JUDSK ZKLFK FRQVLVWV RI D VHW RI SODFHV D VHW RI WUDQVLWLRQV GLUHFWHG DUFV WKDW FRQQHFW D SODFH ZLWK D WUDQVLWLRQ DQG YLFH YHUVD DQG VR FDOOHG WRNHQV 3ODFHV UHSUHVHQW
)LJ 3XEOLVKLQJ WUHQG RI VXSSO\ FKDLQ GLVUXSWLRQ ULVN PRGHOV
>%):7<4 M)!5<7EP)I PI)% | >D >, 7<IM <!)I | P>M |
)MH7 )M | ?O | O?C |
XXX); T< ;7!I | ?? | ?=C |
7I!H)M)6 Q)<M 7;P: M7>< | * | ?3C |
T)I7 < ):7), )MR>H9 | K | ??C |
4)<M6 I)% >%):7<4 | 1 | =C |
<M)H@H)M7Q) MHP!MPH : >%):7<4 | N | 1C |
><M) H:> 7;P: M7>< | N | 1C |
<@PM6 PM@PM >%):7<4 | N | 1C |
M5)H @@H> !5)I
K ??C
1J ?VVC
7DEOH 4XDQWLW\ RI PRGHOLQJ WHFKQLTXHV XVHG
SRVVLEOH VWDWHV RU FRQGLWLRQV RI D V\VWHP ZKHUHDV WUDQVLWLRQV YLVXDOL]H DFWLRQV RU HYHQWV DQG GLVSOD\ KRZ VWDWHV FDQ SRWHQWLDOO\ EH WUDQVIRUPHG 7KH DFWXDO V\VWHP VWDWH DW D FHUWDLQ WLPH LV YLVXDOL]HG E\ WRNHQV 7RNHQV DUH GHSLFWHG DV VPDOO ¿OOHG FLUFOHV LQVLGH SODFHV DQG VKRZ LI D FRQGLWLRQ LV PHW WR SHUIRUP D WUDQVLWLRQ LQ WKH V\VWHP > @ 7KH PDLQ IHDWXUH RI D 31 LV WKDW LWV VWDWH LV D YHFWRU RI QRQQHJDWLYH LQWHJHUV 31V KDYH EHHQ VKRZQ WR EH DQ HIIHFWLYH PRGHOLQJ WHFKQLTXH GXH WR WKHLU DELOLW\ WR YLVXDOL]H SDUDOOHOLVP FRQFXUUHQF\ V\QFKURQL]DWLRQ HWF > @ ( FRPPHUFH V\VWHPV DJHQW RULHQWHG PDQXIDFWXULQJ V\VWHPV SURGXFWLRQ V\VWHPV DV ZHOO DV HQWHUSULVH UHVRXUFH SODQQLQJ V\VWHPV KDYH
EHHQ PRGHOHG E\ 31V > @
%ODFNKXUVW HW DO > @ XVH D 31 DSSURDFK WR PRGHO RSHUDWLYH XQFHUWDLQWLHV LQ D IRXU WLHU VXSSO\ FKDLQ 7KH DXWKRUV GHYHORS D VR FDOOHG 3UREDELOLW\ EDVHG 7UDQV 1HW ZKLFK V\PEROL]HV WKH PDQXIDFWXULQJ SURFHVV RI WKH ¿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¿F DWWULEXWHV XQGHU WKH LQÀXHQFH RI XQFHUWDLQW\
:X HW DO > @ DSSO\ D 31 WR D IRXU WLHU VXSSO\ FKDLQ DQG PRGHO WKH SURSDJDWLRQ RI GLVUXSWLRQV 7KH DXWKRUV PRGHO SURGXFWLRQ SURFHVVHV RQ DQ RSHUDWLYH OHYHO DQG FRQVLGHU WKH FRVW DQG OHDG WLPH LQFUHDVH RI D GLVUXSWLRQ 7KH UHDFKDELOLW\ VHW SURYLGHV LQVLJKW LQWR WKH DIIHFWHG QRGHV RI D GLVUXSWLRQ DQG VLPSOL¿HV WKH DQDO\VLV VLQFH WKH DIIHFWHG VXEJUDSK RI WKH VR FDOOHG 'LVUXSWLRQ
$QDO\VLV 1HWZRUN '$ 1(7 FDQ EH VLJQL¿FDQWO\ VPDOOHU $ GHFLVLRQ PDNLQJ ORJLF LV LQFRUSRUDWHG LQWR WKH PRGHO VR WKDW WKH LQLWLDO RUGHU TXDQWLW\ DIIHFWV ZKHUH WKH SDUWV DUH URXWHG WKH OHDG WLPH RI WKH RUGHUV DQG WKH FRVW WR UXQ WKH RUGHU 7KH QHWZRUN LV DEOH WR DQDO\]H GLIIHUHQW SROLFLHV RU GLIIHUHQW VXSSO\ FKDLQ GHVLJQV ZLWK UHVSHFW WR WKH OHDG WLPH DQG FRVW HIIHFWV
/LX HW DO > @ XVH D WLPH FRORUHG 31 WR PRGHO FDXVH DQG HIIHFW UHODWLRQVKLSV RI H[SHFWHG HYHQWV
DQG XQH[SHFWHG HYHQWV H[FHSWLRQV DQG WKHLU HIIHFW RQ WKH V\VWHP $ JURXS RI VLPSOH HYHQWV RFFXUULQJ VLPXOWDQHRXVO\ PD\ FDXVH SRWHQWLDO SUREOHPV VR WKDW WKHLU LQWHUFRQQHFWHGQHVV QHHGV WR EH VWXGLHG 7KH DXWKRUV GLVSOD\ ZD\V WR PRGHO VHYHUDO HYHQW SDWWHUQV LQ D 31 FRQQHFWHG E\ ORJLF FRQQHFWLYHV DV EXLOGLQJ EORFNV DQG ZD\V WR FUHDWH QHZ XVHU GH¿QHG SDWWHUQV E\ FRPELQLQJ WKH SDWWHUQV WR H[KLELW PRUH FRPSOH[ LQWHUDFWLRQV 'HSHQGHQF\ JUDSKV DUH SUHVHQWHG WR EH DEOH WR FRQGHQVH WKH FDXVH DQG HIIHFW UHODWLRQVKLS EHWZHHQ HYHQWV DQG LGHQWLI\ LPSRUWDQW H[FHSWLRQV 5HDFKDELOLW\ DQDO\]LQJ WHFKQLTXHV IRU WLPH FRORUHG
31 DUH QRW IHDVLEOH IRU ODUJH SUREOHPV GXH WR WKH FRPSOH[LW\ RI WKH LQWHUUHODWLRQVKLSV EHWZHHQ HYHQWV 7KH DXWKRUV VLPXODWH WKH RSHUDWLYH SURFHVVHV RI D WZR WLHU VXSSO\ FKDLQ ZLWK WZR DOWHUQDWLYH VXSSOLHUV 7KH LQWHU DUULYDO WLPHV RI FXVWRPHU RUGHUV WKH RFFXUUHQFH RI SURGXFWLRQ GHOD\V DV ZHOO DV WKHLU UHVROXWLRQ WLPHV DUH PRGHOHG VWRFKDVWLFDOO\ 7KH HIIHFW RI WZR PLWLJDWLRQ VWUDWHJLHV UHGXFLQJ UHVROXWLRQ WLPH RI SURGXFWLRQ GHOD\V DQG LQFUHDVLQJ SUREDELOLW\ RI ¿QGLQJ DOWHUQDWLYH VRXUFLQJ RQ WKH EDVH FDVH SHUIRUPDQFH PHDVXUHV DUH VWXGLHG 7KH PRVW LPSRUWDQW SHUIRUPDQFH PHDVXUHV FRQVLGHUHG DUH WKH FXVWRPHU RUGHU ¿OO UDWH DQG WKH DYHUDJH UHSOHQLVKPHQW WLPH RI UXVK VXSSO\ RUGHUV
%ODFNKXUVW HW DO > @ SUHVHQW D PHWKRGRORJ\ ZKLFK DQDO\]HV VXSSO\ FKDLQ SURFHVVHV YLD 31V DQG V\VWHPDWLFDOO\ GHWHFWV SRVVLEOH FRQÀLFWV LQ WKH V\VWHP DV D VRXUFH RI VXSSO\ FKDLQ GLVUXSWLRQV 7KH DXWKRUV GLVVLSDWH WKH VXSSO\ FKDLQ V\VWHP LQ PXOWLSOH VR FDOOHG VLQJOH V\VWHP PRGXOHV ZKLFK DUH HDFK PRGHOHG E\ D 31 DQG VXEVHTXHQWO\ V\QWKHVL]HG LQWR DQ LQWHJUDWHG V\VWHP XVLQJ WKH V\QWKHVL]LQJ PRGXOH 7KH VLQJOH V\VWHP PRGXOH FRQVLVWV RI PXOWLSOH SUHGH¿QHG FRPSRQHQWV ZKLFK FDQ EH OLQNHG WRJHWKHU WR HQDEOH HDV\ FXVWRPL]DWLRQ RI WKH PRGHO WR LQGLYLGXDO QHHGV 7KH VLQJOH V\VWHP PRGXOHV DUH OLQNHG YLD $1' DQG
25 RSHUDWRUV 0RUH FRPSOH[ GHSHQGHQF\ W\SHV FDQ EH FRQVWUXFWHG WKURXJK WKHVH VLPSOH RSHUDWRUV $IWHU HDFK V\QWKHVL]LQJ SURFHVV FRQÀLFW GHWHFWLRQ LV FRQGXFWHG LQ RUGHU WR FRSH ZLWK WKH VL]H RI WKH SUREOHP &RQÀLFW GHWHFWLRQ LV SHUIRUPHG ZLWK WKH V\VWHP FRQÀLFW GHWHFWLRQ PRGXOH ZKLFK XVHV PDWUL[ HTXDWLRQV WR GHWHFW SRVVLEOH FRQÀLFWV 7KH PRGHO DVVXPHV WKDW FRQÀLFWV DULVH LI ¿QDO VWDWHV RI WKH V\VWHP FDQQRW EH UHDFKHG E\ WKH PRGHO¶V LQLWLDO VWDWH 7XQFHO DQG $OSDQ > @ VWXG\ WKH HIIHFW
RI PLWLJDWLRQ VWUDWHJLHV RQ SHUIRUPDQFH PHDVXUHV RI D IRXU WLHU VXSSO\ FKDLQ LQ WKH FDVH RI D PHGLXP VL]HG PDQXIDFWXUHU LQ 7XUNH\ DQG LWV EXVLQHVV SDUWQHUV 7KH DXWKRUV XVH WKH )DLOXUH 0RGH (IIHFWV DQG &ULWLFDOLW\
$QDO\VLV )0(&$ IRU ULVN LGHQWL¿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¿F
¿[HG FRVW LV WDNHQ DFFRXQW RI 3URFHVV WLPHV FXVWRPHU RUGHU LQWHU DUULYDO WLPHV WUDQVSRUWDWLRQ WLPHV HWF DUH LQFRUSRUDWHG DV VWRFKDVWLF SDUDPHWHUV 3HUIRUPDQFH PHDVXUHV OLNH WKH WRWDO UHYHQXH FXVWRPHU RUGHU ¿OO UDWH DQG SHUFHQWDJH RI RUGHUV IXO¿OOHG RQ WLPH GHOD\HG DQG FDQFHOHG DUH UHFRUGHG
=HJRUGL DQG 'DYDU]DQL > @ H[WHQG WKH PRGHO RI :X HW DO > @ E\ LQFRUSRUDWLQJ PXOWLSOH GLVUXSWLRQ ULVNV DQG FRQVLGHULQJ WKH LQWHUGHSHQGHQFLHV RI WKHLU ULVN LPSDFWV 7KH DXWKRUV VWXG\ WKH HIIHFWV RI VDQFWLRQV RQ D
¿YH WLHU VXSSO\ FKDLQ VLWXDWHG LQ ,UDQ ZLWK IRUHLJQ VXE VXSSOLHUV $ VDQFWLRQ FKDQJHV VXSSO\ FKDLQ SURFHVVHV DQG SD\PHQW SURFHGXUHV GHSHQGLQJ RQ WKH VSHFL¿F FDVH VR WKDW WKH SURFXUHPHQW FRVWV DQG OHDG WLPHV LQFUHDVH
,Q DGGLWLRQ WR D VDQFWLRQ WKH PRGHO FRQVLGHUV VXSSOLHU
¿QDQFLDO LQDELOLW\ LQÀDWLRQ DQG ÀXFWXDWLRQ RI H[FKDQJH UDWH DQG WKHLU LQWHUGHSHQGHQFLHV ([SHUWV¶ NQRZOHGJH DQG H[SHULHQFH DUH XVHG WR GH¿QH WKH SDUDPHWHUV
-RKQ DQG 3UDVDG > @ H[WHQG WKH PRGHO RI %ODFNKXUVW HW DO > @ DQG XVH D FRORUHG 31 IRU FRQÀLFW GHWHFWLRQ
.DQR HW DO > @ XVH D 31 WR G\QDPLFDOO\ PRGHO WKH UHFRYHU\ RI D VXSSO\ FKDLQ DIWHU D GLVUXSWLRQ RFFXUUHG 7KH DXWKRUV FRQVLGHU D WKUHH WLHU VXSSO\ FKDLQ ZLWK VDIHW\ VWRFN DQG JOREDOO\ GLVSHUVHG HQWLWLHV DQG DVVXPH WKDW DIWHU WKH PDWHULDO ÀRZ VWRSV IURP WKH VXSSOLHU WR WKH PDQXIDFWXUHU WKH PDQXIDFWXUHU ORRNV IRU D QHZ VXSSOLHU DQG LV DEOH WR VWDUW SURGXFWLRQ ZLWK WKH QHZ VXSSOLHU DIWHU D FHUWDLQ WLPH 7KH VLPXODWLRQ FRQVLVWV RI WZR VFHQDULRV RQH ZLWKRXW D GLVUXSWLRQ DQG RQH ZLWK D GLVUXSWLRQ RI WKH VXSSOLHU 7R PHDVXUH WKH LPSDFW RI WKH GLVUXSWLRQ WKH DFFXPXODWHG SURGXFWLYLW\ UHJDUGLQJ WKH VLPXODWLRQ WLPH VSDQ LV DQDO\]HG
%ORV DQG 0L\DJL > @ FRPELQH ,QRSHUDELOLW\ ,QSXW RXWSXW 0RGHOLQJ ,20 ZLWK 31 0RGHOLQJ ,20 RULJLQDOO\ VWHPV IURP /HRQWLHI ¶V ,QSXW RXWSXW 0RGHO
> @ ZKLFK LV D XVHIXO WRRO WR VWXG\ FRQVXPSWLRQ VKRFNV RQ LQWHUGHSHQGHQW HFRQRPLF V\VWHPV > @
,20 DWWHPSWV WR IRUHVHH WKH UHVXOWLQJ HFRQRPLF ORVVHV DQG LQRSHUDELOLW\ VXIIHUHG E\ GLIIHUHQW LQWHUGHSHQGHQW
LQGXVWU\ VHFWRUV > @ :HL HW DO > @ XVH ,20 WR PRGHO WKH SURSDJDWLRQ DQG LQWHUGHSHQGHQFLHV RI GLVUXSWLRQV LQ VXSSO\ FKDLQV ZKLFK ZLOO EH GLVFXVVHG LQ VHFWLRQ %ORV DQG 0L\DJL > @ IRUPXODWH WKH
PRGHO RI :HL HW DO > @ ZLWK WKH 31 WHFKQLTXH 6R FDOOHG (QFDSVXODWHG 31V (31V ZKLFK FRQVLVW RI D SODFH QRGH DQG D WUDQVLWLRQ QRGH VXEVWLWXWH WKH QRGHV LQ ,20 PRGHOLQJ (DFK (31 UHSUHVHQWV D IXQFWLRQ RU VXSSO\ FKDLQ HQWLW\ DQG LV FRPELQHG ZLWK GLUHFWHG DUFV WKDW YLVXDOL]H WKH SRLQW RI GLVUXSWLRQ WKH WUDQVPLVVLRQV RI D GLVUXSWLRQ DQG WKH UHFRYHU\ WR D QRUPDO RSHUDWLQJ PRGH
=KDQJ > @ PRGHOV VWRFN RXWV RFFXUULQJ LQ D WKUHH HQWLW\ VXSSO\ FKDLQ ZLWK WZR FRPSHWLWLYH SURGXFWV
ZLWK WZR GLIIHUHQW SURGXFW VL]HV IRU HDFK EUDQG ZLWK D KLJK OHYHO 31 7KH DXWKRU DQDO\]HV WKH HIIHFW RI ¿YH GLIIHUHQW FXVWRPHU EHKDYLRUV DQG WKH HIIHFWLYHQHVV RI LQIRUPDWLRQ VKDULQJ RQ WKH LQYHQWRU\ OHYHO WKH EDFNORJ DQG WKH EXOOZKLS HIIHFW TXDQWL¿HG LQ WKLV PRGHO E\ WDNLQJ WKH YDULDWLRQV RI SURGXFWLRQ DQG GHPDQG UDWH LQWR DFFRXQW 6ZLWFKLQJ WKH VWRUH DQG GHOD\LQJ WKHLU SXUFKDVH KDV D VLJQL¿FDQW QHJDWLYH HIIHFW RQ WKH SHUIRUPDQFH PHDVXUHV ,QIRUPDWLRQ VKDULQJ FDQ KDYH D SRVLWLYH LPSDFW EXW GHSHQGV RQ WKH SDWWHUQ RI WKH FXVWRPHUV¶ EHKDYLRU
%ODFNKXUVW HW DO > @ FRPELQH D 31 ZLWK D 7ULDQJXODUL]DWLRQ &OXVWHULQJ $OJRULWKP WR LGHQWLI\ WKH SURSDJDWLRQ SDWK RI GLVUXSWLRQV DQG WR ¿QG FULWLFDO QRGHV LQ FRPSOH[ VXSSO\ QHWZRUNV $IWHU FRQVWUXFWLQJ D 31 RI WKH VXSSO\ QHWZRUN WKH VWUXFWXUH RI WKH 31 LV WUDQVIHUUHG WR D 1RGH 'HSHQGHQF\ 0DWUL[ ZKLFK FRQWDLQV WKH GHSHQGHQFLHV RI SODFHV DQG WUDQVLWLRQV ZLWK D ELQDU\ GLJLW 7KH QRGHV DQG WUDQVLWLRQV DUH VRUWHG E\ WKHLU VWUHQJWKV RI GHSHQGHQF\ WR GH¿QH OHYHOV DQG ORRSV DUH LGHQWL¿HG WR GH¿QH F\FOHV ,I D GLVUXSWLRQ RFFXUV DW D QRGH LQ D VSHFL¿F OHYHO RQO\ VXEVHTXHQW OHYHOV ZLOO H[SHULHQFH PDWHULDO RXWDJHV &\FOHV DUH YXOQHUDEOH SDUWV RI WKH QHWZRUN DQG QHHG WR EH PRQLWRUHG FORVHO\ DFFRUGLQJ WR WKH DXWKRUV
/LX HW DO > @ XVHDFRORUHG 31 WR PRGHO WKHLQIRUPDWLRQ DQG PDWHULDO ÀRZ RI SHULVKDEOH SURGXFWV LQ D OLQHDU
¿YH HQWLW\ VXSSO\ FKDLQ DQG WR FRQWURO SURGXFW TXDOLW\ ULVN EDVHG RQ VHQVRU GDWD (QYLURQPHQWDO SDUDPHWHUV H J WLPH WHPSHUDWXUH GDWD SURFHVVLQJ SDUDPHWHUV H J WKH W\SH RI SURFHVVLQJ VWHS DQG TXDOLW\ SDUDPHWHUV OLNH WKH GHFD\ UDWH DQG TXDOLW\ JUDGH RI LQVSHFWLRQ DUH UHJLVWHUHG RQ VHQVRUV DQG WUDQVIHUUHG DORQJ WKH HQWLWLHV RI WKH VXSSO\ FKDLQ $ FRPSOH[ 31 RI DOO RSHUDWLQJ DQG LQIRUPDWLRQ SURFHVVHV LV EXLOW DQG DQDO\]HG WRJHWKHU ZLWK WKH WLPH VHULHV GDWD IRU ULVN LGHQWL¿FDWLRQ LPSDFW DVVHVVPHQW DQG ULVN FRQWURO )LYH ULVN JUDGHV UDQJH IURP SHUIHFW TXDOLW\ WR LQHGLEOH TXDOLW\ 7DEOH JLYHV DQ RYHUYLHZ RI WKH PRGHOLQJ DSSURDFKHV ZLWK UHVSHFW WR WKH GHULYHG DQDO\VLV FULWHULD 7KH 31 EDVHG PRGHOV JHQHUDOO\ IRFXV RQ WKH LPSDFW RI SRVVLEOH ULVN HYHQWV LQ WKH IRUP RI ZKDW LI DQDO\VHV /LX HW DO > @ 7XQFHO DQG
$OSDQ > @ DQG =KDQJ > @ LQFRUSRUDWH PRUH WKDQ RQH DQG XS WR WKUHH ULVNV LQ WKHLU PRGHOV /LX HW DO > @ FRQFHQWUDWH RQ WKH LQWHUGHSHQGHQFLHV RI RSHUDWLYH ULVN HYHQWV ZKLOH 7XQFHO DQG $OSDQ > @ IRFXV RQ WKH HIIHFW RI PLWLJDWLRQ VWUDWHJLHV LQ WKH IDFH RI PXOWLSOH GLVUXSWLRQ ULVNV =KDQJ > @ DQDO\]HV GLIIHUHQW SRVVLEOH FXVWRPHU UHVSRQVHV WR VWRFN RXWV DQG WHVWV PLWLJDWLRQ VWUDWHJLHV
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
#ID1 #IE
4 3/LDEI #I 4> KRR- $ |
|
|
|
|
|
|
|
|
|
|
|
|
L #I 4> KRRF 9-+ |
|
|
|
|
|
|
|
|
|
|
|
|
1L #I 4> KRRF G- |
|
|
|
|
|
|
|
|
|
|
|
|
4 3/LDEI #I 4> KRR$ F |
|
|
|
|
|
|
|
|
|
|
| |
L6 #4 H 4: 6 KR9R 9JJ |
|
|
|
|
|
| ||||||
#.8D!1 H M DQ 61 KR9K 9-$ |
|
|
|
|
|
|
|
|
|
| ||
8/6 H D E ! KR9K -J |
|
|
|
|
|
|
|
|
|
|
| |
68 #I 4> KR9J -F |
|
|
|
|
|
|
|
|
|
|
|
|
48E H 1P .1 KR9+ 9R |
|
|
|
|
|
|
|
|
|
|
|
|
/ 6. KR9G 9-F |
|
|
|
|
|
|
|
|
|
|
|
|
4 3/LDEI #I 4> KR9F 7 |
|
|
|
|
|
|
|
|
|
|
| |
1L #I 4> KR9F GJ |
|
|
|
|
|
|
|
|
|
|
|
|
7DEOH &RPSDULVRQ RI 3HWUL 1HW DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
-RKQ DQG 3UDVDG > @ DV ZHOO DV %ODFNKXUVW HW DO > @ DLP WR GHWHFW FRQÀLFWV DV D SRVVLEOH VRXUFH RI D GLVUXSWLRQ E\ XVLQJ D 31 WHFKQLTXH 7KH PRGHO WKHUHIRUH GRHV QRW XVH KLVWRULFDO GDWD RU H[SHUW NQRZOHGJH WR TXDQWLI\ ULVNV 7XQFHO DQG $OSDQ > @ LQWHJUDWH KLVWRULFDO GDWD DQG H[SHUW NQRZOHGJH VLPXOWDQHRXVO\ IRU ULVN LGHQWL¿FDWLRQ ZKLOH RWKHU 31 DSSURDFKHV XVH H[SHUW NQRZOHGJH DV D VROH VRXUFH RI LQIRUPDWLRQ 6RPH DSSURDFKHV PRGHO WKH LQWHUGHSHQGHQFLHV LQ WKH V\VWHP G\QDPLFDOO\ EXW FRQFHQWUDWH RQ WKH LPSDFW RI ULVNV DQG QRW RQ WKH ULVN LQWHUGHSHQGHQFLHV WKHPVHOYHV .DQR HW DO > @ IRFXV RQ WKH UHFRYHU\ SURFHVV DIWHU D GLVUXSWLRQ RFFXUV DQG WKHUHIRUH PRGHO WKH ULVN SURSDJDWLRQ ZLWKRXW FRQVLGHULQJ LQWHUGHSHQGHQFLHV
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¶ HIIHFWLYHQHVV ZLWK UHVSHFW WR SHUIRUPDQFH PHDVXUHV EXW GR QRW RSWLPL]H ULVN LWVHOI
7KH ULJKW SDUW RI 7DEOH JLYHV DQ RYHUYLHZ RI WKH VXSSRUWHG IUDPHZRUN VWHSV RI WKH DUWLFOHV 0RVW DUWLFOHV IRFXV RQ ULVN DVVHVVPHQW 7KH DSSURDFKHV RI %ODFNKXUVW
HW DO > @ DQG -RKQ DQG 3UDVDG > @ FRQFHQWUDWH RQ ULVN LGHQWL¿FDWLRQ DQG ULVN FRQWURO VLQFH WKHVH DSSURDFKHV DLP WR GHWHFW FRQÀLFWV LQ WKH VXSSO\ FKDLQ ZKLFK FDQ OHDG WR VHULRXV GDPDJH
6\VWHP '\QDPLFV
6\VWHP '\QDPLFV 6' LV D PRGHOLQJ DSSURDFK ZKLFK DLPV WR DQDO\]H FRPSOH[ DQG G\QDPLF V\VWHPV ,Q LWV HVVHQFH 6' H[SODLQV WKH G\QDPLF EHKDYLRU RI D V\VWHP DV D FRQVHTXHQFH RI WKH V\VWHP¶V VWUXFWXUH > @
$FFRUGLQJ WR WKLV DSSURDFK WKH VWUXFWXUH RI D V\VWHP FRQVLVWV RI HOHPHQWV WKDW LQWHUDFW ZLWK HDFK RWKHU WKURXJK GHOD\HG FDXVH DQG HIIHFW UHODWLRQVKLSV DQG LQIRUPDWLRQ IHHGEDFN > @ $ PRGHO LQFOXGHV PXOWLSOH FDXVDO ORRSV ZKLFK FDQ HLWKHU EDODQFH RU UHLQIRUFH ÀXFWXDWLRQV RI YDULDEOHV 7KH UHODWLRQVKLS EHWZHHQ HOHPHQWV LV GHVFULEHG ZLWK HTXDWLRQV > @ 6' KDV EHHQ DSSOLHG WR YDULRXV UHVHDUFK DUHDV VXFK DV VXSSO\ FKDLQ PDQDJHPHQW ELRORJLFDO DQG PHGLFDO PRGHOLQJ WKHRU\ GHYHORSPHQW LQ WKH QDWXUDO DQG VRFLDO VFLHQFH DQG VR RQ > @ 1LQH PRGHOV KDYH EHHQ LGHQWL¿HG ZKLFK XVH 6' DV WKH PRGHOLQJ WHFKQLTXH RI FKRLFH
:LOVRQ > @ XVHV 6' WR H[DPLQH WKH HIIHFWV RI WUDQVSRUWDWLRQ GLVUXSWLRQV RQ D ¿YH HFKHORQ VXSSO\ FKDLQ ZLWK ¿[HG WUDQVLW WLPHV 7KH DXWKRU FRPSDUHV D WUDGLWLRQDO VXSSO\ FKDLQ DQG D VXSSO\ FKDLQ FRRUGLQDWHG E\ D YHQGRU PDQDJHG LQYHQWRU\ V\VWHP 90, ,Q WKH FRQYHQWLRQDO DUUDQJHPHQW RQO\ GRZQVWUHDP GHPDQG LQIRUPDWLRQ RI WKH GLUHFW SDUWQHUV DUH NQRZQ ,Q WKH 90, VWUXFWXUH WKH UHWDLOHU DQG WKH ¿UVW WLHU VXSSOLHU UHFHLYH GLUHFW FXVWRPHU GHPDQG LQIRUPDWLRQ $ GD\ WUDQVSRUWDWLRQ GLVUXSWLRQ ZDV VLPXODWHG DQG WKH
HIIHFWV RQ SHUIRUPDQFH PHDVXUHV VXFK DV XQ¿OOHG FXVWRPHU RUGHUV PD[LPXP DQG DYHUDJH LQYHQWRU\ OHYHOV DQG PD[LPXP JRRGV LQ WUDQVLW DUH VWXGLHG $OO IRXU SRVVLEOH GLVUXSWLRQ ORFDWLRQV DUH FRQVLGHUHG
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
*KDGJH HW DO > @ GHYHORS D 6&50 IUDPHZRUN ZKLFK LV VXSSRUWHG E\ 6' PRGHOLQJ 4XDOLWDWLYH DQG TXDQWLWDWLYH GDWD RI LQWHUQDO SURGXFW GHYHORSPHQW SURMHFWV ZHUH XVHG DV D UHSUHVHQWDWLRQ RI D JOREDO VXSSO\ FKDLQ )RU ULVN FODVVL¿FDWLRQ WKH ³3URFHVV 2UJDQLVDWLRQ DQG /RFDWLRQ 'DWD $SSOLFDWLRQV DQG
7HFKQRORJ\´ 32/'$7 PRGHO LV XVHG ZKLFK ZDV RULJLQDOO\ DSSOLHG IRU SURFHVV LPSURYHPHQW SXUSRVHV LQ FRPSDQLHV 4XDOLWDWLYH ULVN GDWD LV LQFRUSRUDWHG E\ XVLQJ WKH 'HOSKL PHWKRG ZKLOH TXDQWLWDWLYH GDWD LV FROOHFWHG ZLWK WKH KHOS RI KLVWRULF ULVN GDWD 7KH DYHUDJH LPSDFW RI WKH LGHQWL¿HG ULVN HYHQWV RQ WKH SHUIRUPDQFH PHDVXUHV FRVW DQG GXUDWLRQ DQG WKHLU DYHUDJH SUREDELOLW\ RI RFFXUUHQFH ZHUH DQDO\]HG ZLWK UHVSHFW WR WKH ULVN FODVVL¿FDWLRQ FDWHJRULHV RI WKH 32/'$7 PRGHO ,W LV WKHUHIRUH SRVVLEOH WR GH¿QH XSSHU DQG ORZHU OLPLWV IRU HDFK ULVN DWWULEXWH DQG JDLQ XQGHUVWDQGLQJ RI WKH ULVN EHKDYLRU 7KH ULVN PRGHOLQJ VWHS LWVHOI VWDUWV ZLWK GH¿QLQJ D ULVN DV D VHW RI DWWULEXWHV DFFRUGLQJ WR WKH 32/'$7 FODVVL¿FDWLRQ DQG LQLWLDO SDUDPHWHUV VXFK DV LQLWLDO ULVN LPSDFW RQ WLPH DQG FRVWV DV ZHOO DV H[SHFWHG SUREDELOLW\ RI RFFXUUHQFH 6XEVHTXHQWO\ VWDWLVWLFDO PRGHOLQJ ZDV FRQGXFWHG WR ¿QG WKH EHVW SUREDELOLW\ GLVWULEXWLRQ IRU WKH VHW RI GDWD 7KH 6' PRGHO FRQVLGHUV WKH FRPELQDWLRQ RI WKHVH ULVN DWWULEXWHV DQG WKHLU EHKDYLRUDO SDWWHUQ WR VLPXODWH WKH RYHUDOO LPSDFW ZLWKLQ LWHUDWLRQV EDVHG RQ 6' HTXDWLRQV QRW H[SOLFLWO\ VKRZQ $ VHQVLWLYLW\ DQDO\VLV RI WKH WZR PRGHOV LV FRQGXFWHG WR IXUWKHU DQDO\]H WKH V\VWHP
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
&HGLOOR &DPSRV HW DO > @ XVH WKH VDPH 6' PRGHO WR VLPXODWH WKH LPSDFW RI FULPLQDO DFWV RQ WKH LQYHQWRU\ SHUIRUPDQFH DQG WRWDO FRVWV RI WKH VDPH IRXUWLHU VXSSO\ FKDLQ XVHG LQ WKH DSSURDFK EHIRUH ZLWK D VDIHW\ VWRFN OHYHO RI ¿YH GD\V 7KH VXSSOLHU LV HLWKHU ORFDWHG LQ
0H[LFR RU %UD]LO UHVXOWLQJ LQ GLIIHUHQW OHDG WLPHV 7KH FRQVHTXHQFHV RI D FDUJR UREEHU\ RQ WKH LQYHQWRU\ OHYHO DUH VLPLODU WR WKH ¿QGLQJV RI %XHQR 6RODQR HW DO > @
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¿F UDWLR RI WKH SULFH SHU SURGXFW E\ WKH UHWDLOHU ,I D GLVUXSWLRQ RFFXUV WKH UHWDLOHU EX\V WKHVH SURGXFWV DW WKH PDMRU VXSSOLHU¶V UHJXODU SULFH ,I WKH RUGHU LV KLJKHU WKDQ WKH VWDQGE\ TXDQWLW\ D KLJKHU SULFH QHHGV WR EH SDLG E\ WKH UHWDLOHU ,QYHQWRU\ OHYHOV XQVDWLV¿HG GHPDQG DQG WKH UHWDLOHU¶V WRWDO SUR¿W DUH XVHG DV SHUIRUPDQFH PHDVXUHV
%DVHG RQ WKH EDVLF IRXU WLHU PDQXIDFWXULQJ VXSSO\ FKDLQ 6' PRGHO RI 6WHUPDQ 6FKXK HW DO > @ GHYHORS DQG YDOLGDWH D 6' PRGHO FDSDEOH RI DVVHVVLQJ GLIIHUHQW GLVWXUEDQFHV LQ D VXSSO\ FKDLQ 7KH EDVLF PRGHO ZLWK LWV FRQWLQXRXV UHSOHQLVKPHQW ZDV HQKDQFHG E\ GH¿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¿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
*XHUWOHU DQG 6SLQOHU > @ EXLOG DQ 6' PRGHO WR FDSWXUH WKH LQWHUQDO G\QDPLFV RI RSHUDWLRQDO ULVNV RI DQ HQWHUSULVH XQGHU WKH LQÀXHQFH RI VXSSO\ ULVNV 7KH DXWKRUV GH¿QH RSHUDWLRQDO ULVNV DQG ULVN FDWHJRULHV WR EH DEOH WR FRPSDUH GLIIHUHQW VFDOHV RI RULJLQDO ULVN UHODWHG GDWD 7KH GDWD VHW LQFOXGHV GDWD RI WZR FDVH FRPSDQLHV RI RYHU VXSSOLHUV H[SHUW LQWHUYLHZV DQG VHFRQGDU\ GDWD 7KH LQWHUUHODWLRQVKLS EHWZHHQ WKH PRGHOHG ULVNV DUH TXDQWL¿HG XVLQJ LQ GHSWK H[SHUW LQWHUYLHZV YLD FURVV LPSDFW DQDO\VLV 7KH FDXVDO ORRS GLDJUDP FRQWDLQV RQO\ SRVLWLYH FRUUHODWLRQV VLQFH
LW LV DVVXPHG WKDW D ULVN LQFUHDVH GRHV QRW OHDG WR DQ LPSURYHPHQW RI WKH VLWXDWLRQ 7KH PRGHO LV GHVLJQHG WR FRQVLGHU GLVUXSWLYH VKRFNV EXW LW DOVR LQFRUSRUDWHV D GHJUHH RI VHOI VWDELOL]DWLRQ 7KH PDJQLWXGH RI D ULVN LV WKHUHIRUH DIIHFWHG E\ WKH PDJQLWXGH RI LQWHUUHODWHG ULVNV
GHYLDWLRQ IURP WKH HTXLOLEULXP VWDWH WKH SUHVHQFH RI D GLVUXSWLYH VKRFN D UDQGRP IDFWRU ZLWK D VHW VWDQGDUG GHYLDWLRQ DQG D VWDELOL]LQJ IDFWRU ZKLFK LV FDOFXODWHG DV D FRQVWDQW ÀRZ WRZDUGV WKH LQLWLDO HTXLOLEULXP RI WKH V\VWHP (DFK VLPXODWLRQ UXQ FRQVLVWV RI LWHUDWLRQV DQG LV HPEHGGHG LQ D 0RQWH &DUOR VLPXODWLRQ WR UHWULHYH VWDEOH UHVXOWV IURP D VHTXHQFH RI VLPXODWLRQ UXQV
*XHUWOHU DQG 6SLQOHU > @ IROORZ D GHVLJQ RI H[SHULPHQWV DSSURDFK ZLWK WZR LQGHSHQGHQW H[SHULPHQWV D VLQJOH IDFWRU DQG D PXOWLSOH IDFWRU DQDO\VLV 7KH VLQJOH IDFWRU DQDO\VLV VWXGLHV WKH KLJK LPSDFW RFFXUUHQFH RI RQH RSHUDWLRQDO ULVN DQG WKH PXOWLSOH IDFWRU DQDO\VLV VWXGLHV WKH RFFXUUHQFH RI PXOWLSOH ORZLPSDFW RSHUDWLRQDO ULVNV
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
/L HW DO > @ VWXG\ WKH HIIHFW RI ULVN HYHQWV ZKLFK DUH LGHQWL¿HG IURP H[LVWLQJ OLWHUDWXUH DQG WZR PLWLJDWLRQ VWUDWHJLHV LQFUHDVLQJ WUDQVSRUWDWLRQ HTXLSPHQW FDSDFLW\ DQG LQFUHDVLQJ DPRXQW RI WUDQVSRUW YHKLFOHV RQ WKH SHUIRUPDQFH RI D FKHPLFDO VXSSO\ FKDLQ WUDQVSRUWDWLRQ V\VWHP 5LVN LV PRGHOHG E\ XVLQJ IRXU ULVN FKDUDFWHULVWLFV QDPHO\ WKH RFFXUUHQFH SUREDELOLW\ RI D ULVN HYHQW WKH SUREDELOLW\ WKDW D ULVN HYHQW LQÀXHQFHV D YDULDEOH WKH OLNHOLKRRG RI D FRQVHTXHQFH DQG WKH VHYHULW\ RI WKH FRQVHTXHQFH 7KH PRGHO IRFXVHV RQ RQH IRFDO HQWHUSULVH DQG FRQVLVWV RI WKH LQYHQWRU\ V\VWHP DQG WKH G\QDPLF FDSDFLW\ RI WKH WUDQVSRUWDWLRQ V\VWHP 7KH WUDQVSRUWDWLRQ WLPH LV G\QDPLF DQG GHSHQGHQW RQ WKH LQIUDVWUXFWXUH¶V FDSDFLW\ DQG WKH FXUUHQW YROXPH RI WKH SURGXFWV EHLQJ WUDQVSRUWHG ([SHUW RSLQLRQ LV XVHG WR JHQHUDWH LQSXW YDOXHV DQG
PEI#5 P6 51 E
VXJJHVW ULVN PLWLJDWLRQ PHWKRGV 7KH SHUIRUPDQFH RI WKH V\VWHP LV HYDOXDWHG E\ IRXU PHDVXUHV QDPHO\ WKH WUDQVSRUWDWLRQ FDSDFLW\ WKH WUDQVSRUWDWLRQ WLPH WKH LQYHQWRU\ OHYHO DQG WKH RUGHU IXO¿OOPHQW UDWH
.HLOKDFNHU DQG 0LQQHU > @ DQDO\]H ¿YH PLWLJDWLRQ VWUDWHJLHV SURGXFW VXEVWLWXWLRQ UHF\FOLQJ LQFUHDVH RI UHVHDUFK DQG GHYHORSPHQW DQG PL[ RI WKH SUHYLRXV IRXU VWUDWHJLHV WR FRSH ZLWK VXSSO\ VKRUWDJHV RI WKH FULWLFDO FRPPRGLW\ RI UDUH HDUWK HOHPHQWV GXH WR H[SRUW UHVWULFWLRQV :LWK DQ H[WHQVLYH XVH RI HPSLULFDO GDWD DQ HQG WR HQG VXSSO\ FKDLQ PRGHO LQFOXGLQJ HLJKW GLIIHUHQW VXSSO\ FKDLQV LV GHYHORSHG FRQVLVWLQJ RI D JUHDW QXPEHU RI PLQLQJ FRPSDQLHV DQG UDZ PDWHULDO SURFHVVRUV PRGHOHG RQ FRXQWU\ OHYHO VHPL ¿QLVKHG JRRGV DQG ¿QLVKHG JRRGV PDQXIDFWXUHUV UHVHDUFK DQG GHYHORSPHQW ODEV PRGHOHG RQ VXSSO\ FKDLQ OHYHO DQG FRQVXPHUV PRGHOHG RQ LQGXVWU\ OHYHO 7KH DXWKRUV FRPSDUH WKH PRGHO¶V RXWSXW SULFH RI UDUH HDUWK HOHPHQWV ZLWK WKH HPSLULFDO SULFH RI 1HRG\PLXP DQG WKH VXSSO\ XQDYDLODELOLW\ DYRLGDQFH DV SHUIRUPDQFH YDOXHV 3URGXFW VXEVWLWXWLRQ HVSHFLDOO\ IRU ¿QLVKHG JRRGV PDQXIDFWXUHUV PLWLJDWHV VXSSO\ XQDYDLODELOLW\ EHVW 5HF\FOLQJ FDQ EH HIIHFWLYH LI WKH LQIUDVWUXFWXUH DQG UHF\FOLQJ WHFKQRORJ\ LV DOUHDG\ SUHVHQW
6KXNOD DQG 1DLP > @ EXLOG DQ 6' PRGHO RI WKH ZHOO NQRZQ IRXU HFKHORQ VXSSO\ FKDLQ RI 6WHUPDQ¶V %HHU
*DPH > @ DQG DSSO\ D FOXVWHU EDVHG VSHFWUDO DQDO\VLV RQ WLPH VHULHV SUR¿OHV DPRXQW RI VKLSSHG JRRGV DQG QHW LQYHQWRU\ OHYHO WR GHWHFW GLVWXUEDQFHV GXH WR FDSDFLW\ UHVWULFWLRQV ,Q WKHLU ¿UVW VLPXODWLRQ VFHQDULRV WKH PHDQ FXVWRPHU GHPDQG SHU SHULRG LV GRXEOHG KDOIZD\ WKURXJK WKH VLPXODWLRQ UXQ DQG WKH VKLSSLQJ FDSDFLW\ RI RQH HQWLW\ SHU VFHQDULR LV GHVLJQDWHG WR EH WKH ERWWOHQHFN RI WKH V\VWHP 7KH VXEVHTXHQW VLPXODWLRQ
14E86 KRRF 9-- |
|
|
|
|
|
|
|
|
|
| ||
1!84 #I 4> KR99 9R$ |
|
|
|
|
|
|
|
|
|
| ||
/ !.# #I 4> KR9J J9 |
|
|
|
|
|
|
|
|
|
|
|
|
L#680 84 68 #I 4> KR9- 9J |
|
|
|
|
|
|
|
|
|
|
|
|
#!14480 5:8E #I 4> KR9- 9+ |
|
|
|
|
|
|
|
|
|
|
|
|
6. #I 4> KR9- 9J7 |
|
|
|
|
|
|
|
|
|
|
|
|
/L/ #I 4> KR9+ 9R- |
|
|
|
|
|
|
|
|
|
| ||
L#DI4#D H :164#D KR9+ JJ |
|
|
|
|
|
|
|
|
|
|
|
|
1 #I 4> KR9G +7 |
|
|
|
|
|
|
|
|
| |||
#14/ 3#D H 166#D KR9F -$ |
|
|
|
|
|
|
|
|
|
|
|
|
/L34 H 15 KR9F 9RF |
|
|
|
|
|
|
|
|
|
|
|
|
7DEOH &RPSDULVRQ RI 6\VWHP '\QDPLFV DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
VFHQDULRV FRQVLGHU D FDSDFLW\ UHGXFWLRQ RI RQH HQWLW\ SHU VFHQDULR ZKLOH WKH GHPDQG UHPDLQV XQFKDQJHG
,Q ERWK VLPXODWLRQ H[SHULPHQWV WKH HQWLW\ ZKLFK OLPLWV WKH VKLSSLQJ FDSDFLW\ FRXOG EH GHWHFWHG
7DEOH SURYLGHV DQ RYHUYLHZ RI WKH DSSURDFKHV ZLWK UHVSHFW WR WKH GHVFULEHG UHTXLUHPHQWV 7KH PRGHOLQJ DSSURDFKHV IRU WKH PRVW SDUW IRFXV RQ GLVUXSWLRQ ULVNV *KDGJH HW DO > @ VWXG\ ULVN LQ JHQHUDO DQG XVH SURMHFW ULVN GDWD DV D UHSUHVHQWDWLRQ RI VXSSO\ FKDLQ ULVNV ZKLOH 6FKXK HW DO > @ DQG *XHUWOHU DQG 6SLQOHU > @ IRFXV RQ RSHUDWLYH ULVNV ,W LV GHEDWDEOH LI SURMHFW ULVN GDWD FDQ EH XVHG DV D UHSUHVHQWDWLYH RI VXSSO\ FKDLQ ULVN GDWD VLQFH PXOWLSOH SURMHFWV FDQ EH FODVVL¿HG LQ GLIIHUHQW UHFXUULQJ SKDVHV DQG VXSSO\ FKDLQ DFWLYLWLHV DUH FRQWLQXRXV 6KXNOD DQG 1DLP
> @ VWXG\ GLVWXUEDQFHV GXULQJ ZKLFK SURGXFWLRQ FDSDFLW\ LV OLPLWHG EXW VWLOO DYDLODEOH 2QO\ IRXU PRGHOV LQFRUSRUDWH PRUH WKDQ RQH ULVN 0RVW 6' DSSURDFKHV DSSO\ D ZKDW LI DQDO\VLV ZKHUH RQH VSHFL¿F ULVN LV VHW DV WUXH DQG WKH FRQVHTXHQFHV DQG EHKDYLRU RI WKH V\VWHP DUH DQDO\]HG 7KH PRGHOV WKHUHIRUH LQFOXGH RQO\ WKH LPSDFW DV SDUW RI WKH ULVN FRQFHSW EXW DUH DEOH WR GLVSOD\ LQWHUGHSHQGHQFLHV DQG SURSDJDWLRQ RI WKH LPSDFW ZHOO
*XHUWOHU DQG 6SLQOHU > @ DV ZHOO DV *KDGJH HW DO
> @ PRGHO ULVN H[SOLFLWO\ DQG XVH TXDOLWDWLYH DV ZHOO DV TXDQWLWDWLYH GDWD VR WKDW WKHVH WZR PRGHOV GLVSOD\ D ULVN UHODWHG PRGHOLQJ RXWSXW $ IHZ DXWKRUV SDUWO\ FRQVLGHU ULVN RSWLPL]DWLRQ :LOVRQ > @ 6LGROD HW DO
> @ DQG :DQJ HW DO > @ FRPSDUH GLIIHUHQW VXSSO\ FKDLQ RUJDQL]DWLRQ VWUDWHJLHV 90, EDFNXS VXSSOLHU DQG WKHUHIRUH HYDOXDWH WKHLU XVHIXOQHVV 6FKXK HW DO
> @ DQG /L HW DO > @ FKDQJH PRGHO SDUDPHWHUV WR VWXG\ WKH HIIHFWV RI PLWLJDWLRQ VWUDWHJLHV EXW RQO\ FRQVLGHU VRPH PLWLJDWLRQ VWUDWHJLHV 7KH DSSURDFK RI
.HLOKDFNHU DQG 0LQQHU > @ LV DQ H[FHSWLRQ WKDW VROHO\ FRQFHQWUDWHV RQ PLWLJDWLRQ VWUDWHJLHV WR ¿QG ZD\V WR GHDO ZLWK VFDUFH UHVRXUFHV
7KH ULJKW KDQG VLGH RI 7DEOH JLYHV DQ RYHUYLHZ RI WKH VXSSRUWHG SURFHVV VWHSV RI HDFK PRGHOLQJ DSSURDFK
$OWKRXJK RQO\ WKH PRGHOV RI *KDGJH HW DO > @ DV ZHOO DV *XHUWOHU DQG 6SLQOHU > @ IXOO\ FRQVLGHU ULVN DVVHVVPHQW ULVN DVVHVVPHQW ZLWK D FRQFHQWUDWLRQ RQ WKH G\QDPLF LPSDFW RI ULVN HYHQWV LV WKH IRFXV RI WKH LGHQWL¿HG 6' PRGHOV 7KH RQO\ WZR DSSURDFKHV WKDW FRQVLGHUHG V\VWHPDWLF PHWKRGV IRU ULVN LGHQWL¿FDWLRQ ZHUH WKH PRGHOV RI *KDGJH HW DO > @ DQG *XHUWOHU DQG 6SLQOHU > @ 7KH GDWD GULYHQ PRQLWRULQJ DSSURDFK RI
6KXNOD DQG 1DLP > @ LQWHJUDWHV WKH FRQWURO RI ULVN LQGLFDWRUV
'LVFUHWH (YHQW 6LPXODWLRQ
'LVFUHWH (YHQW 6LPXODWLRQ '(6 PRGHOV WKH V\VWHP¶V G\QDPLF EHKDYLRU DV D GLVFUHWH VHTXHQFH RI HYHQWV LQ WLPH > @ $ ZLGH UDQJH RI VXSSO\ FKDLQ SODQQLQJ SUREOHPV KDYH EHHQ PRGHOHG ZLWK '(6 PRGHOV VXFK DV VXSSO\ FKDLQ GHVLJQ LQYHQWRU\ SODQQLQJ SURGXFWLRQ VFKHGXOLQJ DQG VXSSOLHU VHOHFWLRQ > @ )LYH PRGHOV KDYH EHHQ LGHQWL¿HG ZKLFK XVH '(6 DV WKH PRGHOLQJ WHFKQLTXH RI FKRLFH 3HWURYLF HW DO > @ GHYHORS D '(6
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¿OO UDWH DFKLHYHG E\ WKH 6& XQGHU WKH VSHFL¿F SDUDPHWHUV
6FKPLWW DQG 6LQJK > @ VWXG\ '(6 WR DQDO\]H WKH SHUIRUPDQFH RI D WKUHH WLHU VXSSO\ FKDLQ ZLWK WZR SURGXFWV ORZ YROXPH DQG KLJK YROXPH WZR UDZ PDWHULDO VXSSOLHUV WKUHH GLVWULEXWLRQ FHQWHUV DV ZHOO DV SUHGH¿QHG PLWLJDWLRQ VWUDWHJLHV 0RQWH &DUOR 6LPXODWLRQ LV XVHG WR GHWHUPLQH DQ DJJUHJDWHG GLVWULEXWLRQ RI WKH IUHTXHQF\ DQG GXUDWLRQ RI GLVUXSWLRQV SHU ORFDWLRQ 7KH GDWD EDVLV RI WKH 0RQWH &DUOR VLPXODWLRQ FRQVLVWV RI KLVWRULFDO GLVUXSWLRQ GDWD DQG H[SHUW NQRZOHGJH RI IXWXUH SRVVLEOH ULVN HYHQWV )RU HDFK ORFDWLRQ D PLWLJDWLRQ VWUDWHJ\ EDFNXS FDSDFLW\ DW GLIIHUHQW ORFDWLRQV LV GH¿QHG ZKLFK FRPHV LQWR HIIHFW DIWHU D VHW GXUDWLRQ RI D GLVUXSWLRQ 7KH DXWKRUV DQDO\]H WKH HIIHFW RI VHYHUDO LQYHQWRU\ OHYHOV RQ WKH VHUYLFH OHYHO RI WKH VXSSO\ FKDLQ LQ FDVH RI QR GLVUXSWLRQ RFFXUULQJ DQG LQ FDVH RI GLVUXSWLRQV RFFXUULQJ DQG SHUIRUP D VWUHVV WHVW IRU YDULRXV GLVUXSWLRQ VFHQDULRV
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
$TODQ DQG /DP > @ FRPELQH D JRDO SURJUDPPLQJ DQG D VLPXODWLRQ PRGHO WR ¿QG WKH EHVW PLWLJDWLRQ VWUDWHJLHV LQYHQWRU\ OHYHOV DQG SURGXFWLRQ TXDQWLWLHV XQGHU EXGJHW FRQVWUDLQWV LQ D KLJK HQG VHUYHU PDQXIDFWXULQJ VXSSO\ FKDLQ ZLWK IRXU VXSSOLHUV 7KH RSWLPL]LQJ PRGHO GHWHUPLQHV WKH SDUDPHWHUV UHVSRQVH VWUDWHJ\ SURGXFWLRQ TXDQWLWLHV DQG LQYHQWRU\ OHYHOV IRU WKH VXEVHTXHQW VLPXODWLRQ ,W VLPXOWDQHRXVO\ PD[LPL]HV WRWDO SUR¿W DV ZHOO DV WRWDO ULVN UHGXFWLRQ DQG PLQLPL]HV WKH WRWDO F\FOH WLPH 7KH '(6 FRQVLGHUV WKH SDUDPHWHUV FDOFXODWHG E\ WKH JRDO SURJUDPPLQJ DSSURDFK DQG DQDO\]HV WKH SHUIRUPDQFH YDOXHV XQGHU VWRFKDVWLF IHDWXUHV 7KH RXWSXW RI WKH VLPXODWLRQ VHUYHV DV LQSXW RI WKH RSWLPL]LQJ PRGHO DQG WKH GHYLDWLRQ LV FDOFXODWHG 7KLV SURFHVV LV FRQWLQXHG XQWLO FRQYHUJHQFH LV DFKLHYHG
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
1E D#I#0 M#6I 15L4 I186
#ID8M1 KRR9 $R |
|
|
|
|
|
|
|
|
|
|
| |
/51II H 16./ KRR7 9R9 |
|
|
|
|
|
|
|
|
|
|
|
|
/51II H 16./ KR9K 9RK |
|
|
|
|
|
|
|
|
|
|
|
|
1E/ 5L!!16 #I 4> KR9+ JF |
|
|
|
|
|
|
|
|
|
|
|
|
?4 6 H 5 KR9G - |
|
|
|
|
|
|
|
|
|
|
|
|
M 68M KR9F -9 |
|
|
|
|
|
|
|
|
|
|
|
|
/51II #I 4> KR9F 9R7 |
|
|
|
|
|
|
|
|
|
|
|
|
6. #I 4> KR9$ 9-R |
|
|
|
|
|
|
|
|
|
|
|
|
7DEOH &RPSDULVRQ RI 'LVFUHWH (YHQW 6LPXODWLRQ WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
,YDQRY > @ EXLOGV D '(6 PRGHO RI D IRXU HFKHORQ VXSSO\ FKDLQ FRQVLVWLQJ RI RQH PDQXIDFWXUHU RQH FHQWUDO GLVWULEXWLRQ FHQWHU &'& WZR UHJLRQDO GLVWULEXWLRQ FHQWHUV 5'&V DQG WHQ FXVWRPHUV LQ RUGHU WR TXDQWLI\ WKH HIIHFWV RI WZR GLVUXSWLYH VFHQDULRV WRWDO GLVUXSWLRQ RI &'& FDSDFLW\ GLVUXSWLRQ DW 5'& DQG D IXOO GLVUXSWLRQ RI &'& DQG FRUUHVSRQGLQJ UHFRYHU\ SURFHVVHV /HDG WLPHV DQG GHPDQG DUH PRGHOHG ZLWK D WULDQJXODU GLVWULEXWLRQ 6DOHV SULFH KROGLQJ FRVWV ¿[ IDFLOLW\ FRVWV SURGXFWLRQ WLPH DQG FRVWV DQG WUDQVSRUWDWLRQ FRVWV DUH GH¿QHG WR PDNH PRQHWDU\ HIIHFWV LQYHVWLJDWDEOH 5HDO WUDQVSRUWDWLRQ GLVWDQFHV DUH XVHG IRU WKH PRGHOLQJ RI PDWHULDO ÀRZ DQG DQ RUGHU XS WR SROLF\ FRQWUROV UHSOHQLVKPHQW SURFHVVHV 7RWDO UHYHQXH FRVW DQG SUR¿W DV ZHOO DV WKH FXVWRPHU VHUYLFH OHYHO DQG LQYHQWRU\ KROGLQJ FRVWV DUH XVHG IRU SHUIRUPDQFH HYDOXDWLRQ 7KH PRGHO VKRZV WKDW ERWK GLVUXSWLRQ VFHQDULRV LPSDFW WKH SHUIRUPDQFH YDOXHV VLJQL¿FDQWO\ QRW HYHU\ GLVUXSWLRQ OHDGV WR D SURSDJDWLYH HIIHFWV ULSSOH HIIHFW DQG UHFRYHU\ SURFHVVHV FDQ VLJQL¿FDQWO\ DOOHYLDWH WKH GLVUXSWLYH LPSDFW
6FKPLWW HW DO > @ LPSOHPHQW D IRXU HFKHORQ VXSSO\ FKDLQ VWDJH DQG FRQWDLQLQJ WZR HQWLWLHV HDFK LQWR D '(6 PRGHO WR WHVW WKH LPSDFW RI GD\ GLVUXSWLRQV
FORVH WR WKH FXVWRPHU DQG RQ WKH PRVW XSVWUHDP HFKHORQ RQ WKH WRWDO VXSSO\ FKDLQ LQYHQWRU\ OHYHO DQG FXVWRPHU ¿OO UDWH WR HYDOXDWH WKH HIIHFW RI H[SHGLWLQJ DV ZHOO DV G\QDPLF FRVW EDVHG RUGHULQJ SROLFLHV ([SHGLWLQJ LV LPSOHPHQWHG E\ VZLWFKLQJ WR DLUSODQH GHOLYHU\ LQ FHUWDLQ ORZVWRFN VLWXDWLRQV ZKLFK UHGXFHV OHDG WLPHV VLJQL¿FDQWO\ 7KH VLPXODWLRQV VKRZ WKDW H[SHGLWLQJ LQFUHDVHV WKH YDULDELOLW\ LQ RUGHU TXDQWLW\ DQG IUHTXHQF\ OHDGV WR VLJQL¿FDQWO\ KLJKHU WRWDO LQYHQWRU\ LQ WKH V\VWHP DQG UHGXFHV VKRUWDJHV VOLJKWO\
$ GRZQVWUHDP GLVUXSWLRQ LV VKRZQ WR EH PRUH VHYHUH WKDQ DQ XSVWUHDP GLVUXSWLRQ +ROGLQJ EDFNRUGHU ORVW
VDOHV DQG WUDQVSRUWDWLRQ FRVWV DUH VXEVHTXHQWO\ DGGHG WR ¿QG FRVW EDVHG RUGHU XS WR OHYHOV DFURVV PXOWLSOH HFKHORQV XQGHU WKH LQÀXHQFH RI WKH GLVUXSWLRQ 7KH DXWKRUV YDU\ WKH RUGHU XS WR OHYHOV RI WKH ¿UVW DQG VHFRQG HFKHORQ FDOFXODWH WKH UHVXOWLQJ WRWDO VXSSO\ FKDLQ FRVWV DQG ¿QG KLJKO\ YRODWLOH FRVW EHKDYLRU $ JHQHWLF DOJRULWKP LV GHVLJQHG DQG FRXOG RXWSHUIRUP D UHJXODU OLQH VHDUFK DOJRULWKP
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¿FDQWO\ UHGXFH OHDG WLPHV DQG WRWDO FRVW %\ DOVR FRQVLGHULQJ FRVW YDULDEOHV IRU LPSOHPHQWLQJ WKH FRXQWHUPHDVXUHV WKH RSWLPDO LQWHQVLW\ RI PLWLJDWLRQ VWUDWHJ\ FDQ EH GH¿QHG
7DEOH VKRZV WKDW WKH LGHQWL¿HG '(6 PRGHOV SUHGRPLQDQWO\ LQFRUSRUDWH D QXPEHU RI ULVNV DQG KDYH D VWURQJ IRFXV RQ 6& GLVUXSWLRQV 2QO\ WKH PRGHOV RI 3HWURYLF > @ DQG :DQJ HW DO > @ GHDO ZLWK JHQHUDO XQFHUWDLQW\ DQG GLVWXUEDQFHV $ QXPEHU RI ULVNV DUH LQFRUSRUDWHG H[FHSW IRU WKH '(6 PRGHOV RI ,YDQRY
> @ DQG 6FKPLWW HW DO > @ WKDW FRQFHUQ JHQHULF GLVUXSWLRQV +LVKDPXGGLQ HW DO > @ FRQGXFW D ZKDW LI DQDO\VLV RQ WZR GLIIHUHQW W\SHV RI GLVUXSWLRQV VXSSO\ DQG WUDQVSRUWDWLRQ GLVUXSWLRQ VR WKDW WKLV PRGHO LV DEOH WR LQFRUSRUDWH GHHS XQFHUWDLQW\ ZLWKRXW FRQVLGHULQJ TXDQWL¿HG OLNHOLKRRGV 3HWURYLF > @ DQDO\]HV XQFHUWDLQW\ LQ JHQHUDO ZLWKRXW DQ\ IRFXV RQ GLVUXSWLRQ ULVN EXW LV DEOH WR LQFRUSRUDWH OLQJXLVWLF DQG IX]]\ GDWD LQWR WKH PRGHO :DQJ HW DO > @ UHO\ RQ H[SHUW LQWHUYLHZV DQG PHDVXUHG TXDQWL¿HG SDUDPHWHUV 6FKPLWW DQG 6LQJK > @ LQFRUSRUDWH KLVWRULFDO GLVUXSWLRQ GDWD DQG H[SHUW NQRZOHGJH RI IXWXUH SRVVLEOH ULVN HYHQWV 7KH PDLQ IRFXV RI WKHVH PRGHOV LV WKH G\QDPLF GHVFULSWLRQ RI WKH V\VWHP¶V EHKDYLRU 6FKPLWW
DQG 6LQJK > @ $TODQ DQG /DP > @ 6FKPLWW HW DO > @ DQG :DQJ HW DO > @ KDYH D FOHDU IRFXV RQ ULVN RSWLPL]DWLRQ $TODQ DQG /DP > @ DLP WR ¿QG WKH EHVW PL[ RI PLWLJDWLRQ VWUDWHJLHV WR RSWLPL]H WKH VXSSO\ FKDLQ¶V ULVNV ZLWK UHVSHFW WR GLIIHUHQW FRQVWUDLQWV 6FKPLWW DQG 6LQJK > @ IRFXV RQ WKH RSWLPDO LQYHQWRU\ OHYHO WR IDFH VXSSO\ FKDLQ GLVUXSWLRQV DV ZHOO DV WKH ULJKW EDFNXS VXSSO\ VWUDWHJ\ WR FRSH ZLWK GLVUXSWLRQV 6FKPLWW HW DO > @ HYDOXDWH H[SHGLWLQJ DQG FRVW EDVHG RUGHU XS WR SROLFLHV :DQJ HW DO > @ DQDO\]H WKH HIIHFW RI IRXU PLWLJDWLRQ VWUDWHJLHV RQ WKH V\VWHP¶V SHUIRUPDQFH DQG DLP WR DVVHV WKH PRVW FRVW HI¿FLHQW FRXQWHUPHDVXUHV 7KH '(6 PRGHOV RI
+LVKDPXGGLQ HW DO > @ :DQJ HW DO > @ DQG 6FKPLWW DQG 6LQJK > @ GLVSOD\ WKH UHODWLRQVKLS EHWZHHQ GLVUXSWLRQ DQG SRWHQWLDO FRQVHTXHQFHV VR WKDW ULVN SUHGLFWLRQ LV SDUWLDOO\ LQFOXGHG 7KH RQO\ DSSURDFKHV ZKLFK IRFXV RQ ULVN SURSDJDWLRQ DFURVV WKH VXSSO\ FKDLQ DUH WKH DSSURDFKHV RI 6FKPLWW DQG 6LQJK >
@ VLQFH WKH\ VWXG\ WKH WLPH DVSHFWV RI GLVUXSWLRQV UHJDUGLQJ SHUIRUPDQFH PHDVXUHV DQG ,YDQRY > @ ZKR DQDO\]HV WKH VR FDOOHG ULSSOH HIIHFW EXW ZLWKRXW FRQVLGHULQJ GLUHFW TXDQWLWDWLYH PHDVXUHV RI WKLV HIIHFW 7KH ULJKW KDQG VLGH RI 7DEOH JLYHV DQ RYHUYLHZ RI WKH VXSSRUWHG SURFHVV VWHSV RI HDFK PRGHOLQJ DSSURDFK 7KH PRGHOV RI 6FKPLWW DQG 6LQJK > @ DQG :DQJ HW DO > @ VXSSRUW ULVN LGHQWL¿FDWLRQ ULVN DVVHVVPHQW DQG PLWLJDWLRQ RI ULVNV 3HWURYLF > @ +LVKDPXGGLQ
> @ ,YDQRY > @ DQG 6FKPLWW HW DO > @ IRFXV PDLQO\ RQ ULVN DVVHVVPHQW 7KH WZR ODWWHU DSSURDFKHV DOVR SDUWO\ FRQVLGHU ULVN PLWLJDWLRQ $TODQ DQG /DP > @ DLP WR RSWLPL]H PLWLJDWLRQ VWUDWHJLHV 7KH FRQWURO RI ULVN LV QRW LQFOXGHG LQ WKH LGHQWL¿HG '(6 PRGHOV
%D\HVLDQ %HOLHI 1HWZRUNV
$ %D\HVLDQ %HOLHI 1HWZRUN %1 LV D JUDSKLFDO PRGHO LQ WKH IRUP RI D GLUHFWHG DF\FOLF JUDSK ZKLFK UHSUHVHQWV UDQGRP YDULDEOHV DQG WKHLU FRQGLWLRQDO GHSHQGHQFLHV ,W HQDEOHV WKH FRPSXWDWLRQ RI D MRLQW SUREDELOLW\ GLVWULEXWLRQ RYHU D VHW RI UDQGRP YDULDEOHV
> @ ,W LV ZLGHO\ XVHG LQ VWDWLVWLFV PDFKLQH OHDUQLQJ DQG DUWL¿FLDO LQWHOOLJHQFH > @ 7KUHH DSSOLFDWLRQV RI %1V KDYH EHHQ LGHQWL¿HG ZKLFK ZLOO EH RXWOLQHG LQ WKH IROORZLQJ
%DGXUGHHQ HW DO > @ XVH D %1 WR PRGHO ULVN LQWHUGHSHQGHQFLHV RI DQ DHURVSDFH LQGXVWU\ VXSSO\ FKDLQ ZLWK VXSSOLHUV RQH IRFDO 2(0 DQG FXVWRPHUV 7KH UHVHDUFK JURXS XVHV WKH ULVN WD[RQRP\ RI 5DR DQG *ROGVE\ > @ DQG H[SDQGV LW WR ULVN GULYHUV DQG VXSSO\ FKDLQ SHUIRUPDQFH PHDVXUHV ZLWK WKH KHOS RI D OLWHUDWXUH VHDUFK DQG H[SHUW NQRZOHGJH
$ ULVN QHWZRUN PDWUL[ ZDV GHYHORSHG WR LGHQWLI\ ULVN LQWHUGHSHQGHQFLHV $Q ([FHO EDVHG SURWRW\SH VRIWZDUH WRRO WUDQVIRUPHG WKH PDWUL[ LQWR D ULVN QHWZRUN PDS ZKLFK YLVXDOL]HV KRZ WKH LGHQWL¿HG ULVN GULYHUV LQÀXHQFH WKH SHUIRUPDQFH PHDVXUH 'DWD FROOHFWLRQ VKHHWV ZHUH XVHG WR JDWKHU LQIRUPDWLRQ UHJDUGLQJ FRQGLWLRQDO SUREDELOLWLHV DQG D JURXS RI H[SHUWV WKHQ HVWLPDWHG FRQGLWLRQDO SUREDELOLWLHV XVHG IRU WKH %1
-RLQW SUREDELOLWLHV FDQ EH FDOFXODWHG DQG YLVXDOL]HG IRU HDFK SURGXFLQJ HQWLW\ RI WKH VXSSO\ FKDLQ E\ DSSO\LQJ
%D\HVLDQ WKHRU\ )XUWKHU DQDO\VHV DUH FRQGXFWHG E\ FKDQJLQJ VSHFL¿F ULVNV WR RU DQG VWXG\LQJ WKH LPSDFW RQ RWKHU ULVNV DQG SHUIRUPDQFH PHWULFV
*DUYH\ HW DO > @ PRGHO WKH SURSDJDWLRQ RI GLVUXSWLRQ ULVNV LQ D VXSSO\ FKDLQ 7KH DXWKRUV LGHQWLI\ PXOWLSOH SRWHQWLDO ULVN HYHQWV DW YDULRXV QRGHV DQG DUFV RI WKH VXSSO\ FKDLQ 7KHVH ULVN HYHQWV DUH FRQVLGHUHG WR EH QRGHV RI D VR FDOOHG ULVN JUDSK $ SURFHGXUH EDVHG RQ D SUREDELOLW\ GHSHQGHQF\ PRGHO LV GHYHORSHG WR FDSWXUH FDXVDO UHODWLRQVKLSV EHWZHHQ WKH RFFXUUHQFHV RI WKH LGHQWL¿HG ULVNV ZLWKRXW FUHDWLQJ GLUHFWHG F\FOHV 'XH WR WKLV SURFHGXUH WKH DUFV RI WKH ULVN JUDSK FDQ EH LPSOHPHQWHG 7KH %1 LV HVWDEOLVKHG E\ DVVHVVLQJ FRQGLWLRQDO SUREDELOLWLHV EHWZHHQ WKHVH ULVN HYHQWV 7KH LPSDFW RI HDFK SRWHQWLDO ULVN HYHQW QHHGV WR EH HVWLPDWHG DQG LV FDSWXUHG E\ GH¿QLQJ D FRVW IXQFWLRQ IRU HDFK ULVN 6FHQDULRV ZKLFK FRYHU DOO SRVVLEOH RXWFRPHV DQG FRUUHVSRQGLQJ SUREDELOLWLHV RI RFFXUUHQFH DUH DVVLJQHG 7KH DXWKRUV GHYHORS PHDVXUHV WR VWXG\ SURSDJDWLRQ HIIHFWV RI WKH FRQVLGHUHG ULVN HYHQWV
4D]L HW DO > @ LQFRUSRUDWH PLWLJDWLRQ VWUDWHJLHV LQWR WKHLU %1 DSSURDFK DQG PRGHO WKH PLWLJDWLQJ HIIHFWV RQ WKH V\VWHP 7KH FRQGLWLRQDO SUREDELOLWLHV RI HDFK ULVN HYHQW FDQ EH UHGXFHG E\ LPSOHPHQWLQJ PLWLJDWLRQ VWUDWHJLHV ZKLFK UHVXOWV LQ H[WUD PLWLJDWLRQ FRVWV 7KH DXWKRUV GH¿QH DQ REMHFWLYH IXQFWLRQ WKDW UHZDUGV WKH VDYLQJ RI FRVWV ZLWK UHVSHFW WR WKH FRVWV RI LPSOHPHQWLQJ DOO PLWLJDWLRQ VWUDWHJLHV DQG WKH UHGXFWLRQ RI H[SHFWHG ORVV LQ UHODWLRQ WR LPSOHPHQWLQJ QR PLWLJDWLRQ VWUDWHJLHV 7KH PD[LPXP ZHLJKWHG VXP RI WKHVH WZR QRUPDOL]HG XWLOLW\ IDFWRUV LV FRQVLGHUHG WR EH WKH RSWLPDO FRPELQDWLRQ RI PLWLJDWLRQ VWUDWHJLHV 6LPLODU WR %DGXUGHHQ HW DO > @ 6KDUPD DQG
6KDUPD > @ GHYHORS D %1 PRGHO WR DVVHVV ULVN LQWHUGHSHQGHQFLHV RI HLJKW ULVNV DQG ULVN IDFWRUV LQ DQ ,QGLDQ WH[WLOH VXSSO\ FKDLQ WR FDOFXODWH WKH LPSDFW RQ WKUHH SHUIRUPDQFH PHDVXUHV QDPHO\ FRVW WLPH DQG TXDOLW\ 7KH VWUXFWXUH DQG WKH FRQGLWLRQDO SUREDELOLW\ WDEOHV RI WKH %1 KDYH EHHQ FUHDWHG ZLWK WKH KHOS RI VL[ VXSSO\ FKDLQ H[SHUWV KLVWRULFDO VXSSO\ FKDLQ GDWD DQG FRUUHVSRQGLQJ 6&50 OLWHUDWXUH 7R NHHS FRPSXWLQJ WLPH PDQDJHDEOH WKH DSSHDUDQFH VWDWH RI ULVN IDFWRUV
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
P#E1 6 #41#' #IN8D3
!LD!##6 #I 4> KR9- + |
|
|
|
|
|
|
|
|
|
|
| |
DM#P #I 4> KR9+ JR |
|
|
|
|
|
|
|
|
|
|
|
|
Q1 #I 4> KR9+ $G |
|
|
|
|
|
|
|
|
|
|
|
|
/ D5 H / D5 KR9+ 9RG |
|
|
|
|
|
|
|
|
|
|
|
|
Q1 #I 4> KR9F $F |
|
|
|
|
|
|
|
|
|
|
|
|
Q1 #I 4> KR9$ $$ |
|
|
|
|
|
|
|
|
|
|
|
|
7DEOH &RPSDULVRQ RI %D\HVLDQ %HOLHI 1HWZRUN DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
ULVNV DQG SHUIRUPDQFH PHDVXUHV FDQ HLWKHU EH ³KLJK´ RU ³ORZ´ 7KH 'HOSKL PHWKRG KDV EHHQ DGRSWHG WR UHDFK D FRQVHQVXV EHWZHHQ H[SHUWV $IWHU FDOFXODWLQJ WKH VWDWH SUREDELOLWLHV RI WKH SHUIRUPDQFH QRGHV WKH SUREDELOLW\ RI ULVN IDFWRUV DUH LQGLYLGXDOO\ VHW WR WR LGHQWLI\ WKH PRVW FULWLFDO ULVN IDFWRUV DV SDUW RI WKH VHQVLWLYLW\ DQDO\VLV
4D]L HW DO > @ FRPELQH D )0(&$ DSSURDFK ZLWK D %1 PRGHO LQ D 7XUNLVK VXSSO\ FKDLQ FRQVLGHULQJ DOO LPPHGLDWH VXSSOLHUV RI D PDQXIDFWXUHU RI VXSSOHPHQWDU\ SDUWV LQ WKH KRPH DSSOLDQFH LQGXVWU\ WR LGHQWLI\ ULVN IDFWRUV ULVNV DQG SRVVLEOH ORVVHV DQG WR DVVHVV WKH LQWHUGHSHQGHQFLHV EHWZHHQ WKHP )0(&$ LV XVHG IRU WKH LGHQWL¿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
,Q D VLPLODU DSSURDFK 4D]L HW DO > @ XVH )DXOW 7UHH
$QDO\VLV )7$ %1 DQG ([SHFWHG 8WLOLW\ 7KHRU\ WR PRGHO ULVNV RI D FRPSRQHQW PDQXIDFWXULQJ VXSSO\ FKDLQ LQ WKH DHURVSDFH LQGXVWU\ DQG WKHLU HIIHFW RQ WKH IROORZLQJ SHUIRUPDQFH YDOXHV TXDOLW\ WLPHOLQHVV PDUNHW VKDUH SUR¿W DQG VXVWDLQDELOLW\
)7$ FRQGXFWHG DQG YDOLGDWHG E\ IRFXV JURXS VHVVLRQV RI H[SHUWV LV XVHG DV D WRS GRZQ ZD\ WR LGHQWLI\ WKH SHUIRUPDQFH PHDVXUHV¶ SRWHQWLDO ULVNV DV ZHOO DV WKHLU XQGHUO\LQJ FDXVDO ULVN IDFWRUV DQG WR WKHUHIRUH GHWHUPLQH WKH KLHUDUFKLFDO VWUXFWXUH RI WKH
%1 7KH H[SHUWV VXEVHTXHQWO\ GHWHUPLQH WKH VWUHQJWK RI LQWHUGHSHQGHQF\ EHWZHHQ WKH ULVNV E\ DVVHVVLQJ FRQGLWLRQDO SUREDELOLWLHV $IWHU LGHQWLI\LQJ SRWHQWLDO
ULVN PLWLJDWLRQ VWUDWHJLHV DQG HVWLPDWLQJ WKHLU FRVWV DQG WKH RYHUDOO EXGJHW FRQVWUDLQW WKH PLWLJDWLRQ VWUDWHJLHV DQG WKHLU HIIHFW RQ WKH ULVNV DUH EXLOW LQWR WKH
%1 $OO SRVVLEOH FRPELQDWLRQV RI PLWLJDWLRQ VWUDWHJLHV DUH DQDO\]HG E\ UXQQLQJ WKH %1 DQG FDOFXODWLQJ WKH SHUIRUPDQFH YDOXHV IRU HDFK VFHQDULR 7KH ¿QDO VWHS LV WKH VHOHFWLRQ RI VWUDWHJLHV WKDW PD[LPL]H WKH GHFLVLRQ PDNHU¶V RYHUDOO H[SHFWHG XWLOLW\ DQG WKHUHIRUH FRQVLGHULQJ WKHLU ULVN DWWLWXGH
7DEOH FRPSDUHV WKH VL[ DSSURDFKHV ZLWK WKH UHTXLUHPHQWV GHULYHG DERYH $OO VL[ PRGHOV IRFXV RQ D QXPEHU RI 6&'5 DQG FRQFHQWUDWH RQ PRGHOLQJ WKH LQWHUGHSHQGHQFLHV EHWZHHQ WKHP 6LQFH FRQGLWLRQDO SUREDELOLWLHV QHHG WR EH GH¿QHG WKH PRGHOV LQFRUSRUDWH WKH ULVN FDWHJRULHV ³UDQGRPQHVV´ DQG ³KD]DUG´ 'HHS XQFHUWDLQ ULVNV DUH QRW FRQVLGHUHG )RXU PRGHOLQJ DSSURDFKHV TXDQWLI\ ULVNV E\ XVLQJ H[SHUWV ZLWKRXW XVLQJKLVWRULFDO GDWD 6KDUPD DQG 6KDUPD > @ DQG 4D]L
> @ DOVR LQWHJUDWH KLVWRULFDO GDWD LQWR WKHLU DSSURDFK 5LVN SURSDJDWLRQ LV PDLQO\ VWXGLHG E\ *DUYH\ HW DO
> @ DQG 4D]L HW DO > @ ZKR ERWK GHYHORS SURSDJDWLRQ PHDVXUHV %DGXUGHHQ HW DO > @ EULHÀ\ PHQWLRQ WKDW ULVN SURSDJDWLRQ FDQ EH H[SORUHG E\ VHWWLQJ VSHFL¿F ULVNV DV WUXH DQG DQDO\]LQJ WKH LPSDFW 4D]L HW DO > ± @ FRQFHQWUDWH RQ ULVN RSWLPL]DWLRQ 7KH SUHGLFWLRQ RI ULVNV LV FRQVLGHUHG LQ DOO DSSURDFKHV %DGXUGHHQ HW DO
> @ RQO\ SUHGLFW WKH SUREDELOLW\ RI RFFXUUHQFH ZKLOH WKH RWKHU ¿YH PRGHOV SUHGLFW WKH SUREDELOLW\ RI RFFXUUHQFH DQG WKH LPSDFW RI ULVNV 1RQH RI WKH DSSURDFKHV LQFOXGH G\QDPLF DVSHFWV LQWR WKHLU PRGHOV
7KH ULJKW KDQG SDUW RI 7DEOH VKRZV ZKLFK VWHSV RI WKH VWDQGDUG 6&50 IUDPHZRUN DUH PRGHOHG DQG VXSSRUWHG E\ WKH SXEOLFDWLRQV :KLOH WKH FRQWURO RI ULVNV LV QRW VXSSRUWHG DOO DSSURDFKHV FRYHU ULVN DVVHVVPHQW 2Q WRS RI WKDW %DGXUGHHQ HW DO > @ 6KDUPD DQG 6KDUPD > @ DV ZHOO DV 4D]L > @ H[WHQVLYHO\ FRYHU ULVN LGHQWL¿FDWLRQ DQG 4D]L HW DO > ± @ ¿QG ZD\V RI PLWLJDWLQJ ULVNV 7KH FRQWURO RI ULVN LV PLVVLQJ LQ %1 DSSURDFKHV VR IDU
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
.#6I0 E#! 8!#416.
D3 KR9- FF |
|
|
|
|
|
|
|
|
|
|
|
|
48E #I 4> KR9+ 99 |
|
|
|
|
|
|
|
|
| |||
# 3 #I 4> KR9+ 9R+ |
|
|
|
|
|
|
|
|
|
|
|
|
II8 #I 4> KR9F F+ |
|
|
|
|
|
|
|
|
|
|
|
|
#!N8 / #I 4> KR9$ +G |
|
|
|
|
|
|
|
|
|
|
|
|
7DEOH &RPSDULVRQ RI RWKHU PRGHOLQJ DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
$JHQW EDVHG 0RGHOLQJ
$JHQW EDVHG 0RGHOLQJ $%0 LV D PRGHOLQJ DQG VLPXODWLRQ PHWKRG LQ ZKLFK PXOWL DJHQW V\VWHPV UHSUHVHQW VRFLDO HFRQRPLF DQG HFRORJLFDO V\VWHPV HWF > @ (DFK V\VWHP FRQVLVWV RI D VHW RI DJHQWV D VHW RI UHODWLRQVKLSV DQG WKH DJHQWV¶ HQYLURQPHQW LQ WKH ERXQGDULHV RI DQ RYHUDUFKLQJ V\VWHP $Q DJHQW LV DQ DXWRQRPRXV VHOI GLUHFWHG LQGLYLGXDO HQWLW\ ZKLFK FDQ IXQFWLRQ LQGHSHQGHQWO\ IURP RWKHU DJHQWV ,W LQWHUDFWV ZLWK DQG UHDFWV WR RWKHU DJHQWV DQG WKHLU HQYLURQPHQW E\ KDYLQJ HLWKHU D VLPSOH FROOHFWLRQ RI LI WKHQ HOVH UXOHV RU FRPSOH[ DUWL¿FLDO LQWHOOLJHQFH WHFKQLTXHV LQWHJUDWHG LQ WKHLU EHKDYLRU > @ $%0 LV SDUWLFXODUO\ LQWHUHVWLQJ EHFDXVH RI LWV DELOLW\ WR UHSUHVHQW VHOI RUJDQL]LQJ V\VWHPV LQ ZKLFK HQWLWLHV LQWHUDFW LQÀXHQFH HDFK RWKHU DQG DUH DEOH WR OHDUQ IURP WKHLU H[SHULHQFH WR EH EHWWHU DGDSWHG WR WKHLU HQYLURQPHQW > @
3DUN > @ FRPELQHV $%0 DV ZHOO DV 6' PRGHOLQJ WR VWXG\ WKH EHKDYLRU RI D WKUHH WLHU VXSSO\ FKDLQ ZLWK WZR PDQXIDFWXUHUV RI WZR GLIIHUHQW SURGXFWV WZR UHWDLOHUV DQG D FXVWRPHU 7KH FXVWRPHU FKRRVHV EHWZHHQ WKH WZR SURGXFWV DQG ZDLWV D JLYHQ WLPH EHIRUH FRQVXPLQJ DJDLQ 7KH FXVWRPHU¶V EHKDYLRU LV PRGHOHG E\ 6' ZKHUHDV WKH SURGXFWLRQ SURFHVVHV DUH GHVFULEHG E\
$%0 7KH VHUYLFH OHYHO RI WKH VXSSO\ FKDLQ LV XVHG DV D SHUIRUPDQFH PHWULF
%ORV HW DO > @ GHVFULEH D VLPXODWLRQ EDVHG PHWKRGRORJ\ WR DVVHVV DQG PLWLJDWH LGHQWL¿HG ULVN VFHQDULRV ZLWK D VXSSO\ FKDLQ ULVN HYHQW GDWDEDVH DQG
$%0 RI WKH VXSSO\ FKDLQ 6FHQDULRV DUH JHQHUDWHG E\ H[SHUW EDVHG SUREDELOLVWLF GHVFULSWLRQ RU E\ NQRZQ KLVWRULFDO ULVN HYHQWV DQG DQ 6&50 VSHFLDOLVW JHQHUDWHV SRVVLEOH PLWLJDWLRQ VWUDWHJLHV 6LPXODWLRQ PRGHOV RI DOO VFHQDULRV QHHG WR EH GHYHORSHG EHIRUH WKH SHUIRUPDQFH DQG HIIHFWLYHQHVV RI WKH VWUDWHJLHV FDQ EH TXDQWLWDWLYHO\ DVVHVVHG 7KH DXWKRUV DGRSWHG WKHLU PHWKRGRORJ\ WR D JOREDO VXSSO\ FKDLQ RI D PDQXIDFWXULQJ ¿UP ZLWKLQ WKH HOHFWURQLF LQGXVWU\ LQ 7DLZDQ EXW GR QRW GHVFULEH WKHLU VLPXODWLRQ PRGHOV LQ GHWDLO
6HFN HW DO > @ SUHVHQW DQ $%0 DSSURDFK WR VWXG\ WKH HIIHFW RI GLIIHUHQW ULVN VFHQDULRV RQ WKH ¿OO UDWH RI WKH VXSSO\ FKDLQ V\VWHP 7KH DXWKRUV DQDO\]H D WKUHH WLHU VXSSO\ FKDLQ ZLWK WZR VXSSOLHUV DQG WZR VXE VXSSOLHUV 7KH ¿UVW ULVN VFHQDULR FRQVLVWV RI D SHUIHFW GHPDQG IRUHFDVW ZLWK D SODQQLQJ XXXX]RQ ODUJHU WKDQ WKH FXPXODWLYH OHDG WLPH DQG D FDSDFLW\ VXSHULRU RU HTXDO WR WKH GHPDQG $V H[SHFWHG WKH ¿OO UDWH LV $ PLQRU IRUHFDVWLQJ HUURU ZLWK QR VDIHW\ VWRFNV UHVXOWV LQ D ¿OO UDWH EHORZ 7KH DXWKRUV WHVW D PDMRU IRUHFDVWLQJ HUURU ZLWK HQRXJK VDIHW\ VWRFN WR PDLQWDLQ D SHUIHFW ¿OO UDWH 7KH ODVW VFHQDULR FRQVLVWV RI D GLVUXSWLRQ RI RQH RI WKH VXE VXSSOLHUV ZLWK D VHW GXUDWLRQ DQG D VHW WLPH WR UHFRYHU\ 7KLV VFHQDULR VKRZV WKH GHOD\XX XXXX RI WKH
¿OO UDWH DQG WKH VORZ UHSOHQLVKPHQW RI WKH VDIHW\ VWRFN 2WWR HW DO > @ SURSRVH WKH $%0 DSSURDFK
³DFFOLPDWH´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¿W 'XULQJ VLPXODWHG GLVUXSWLRQV RI GLIIHUHQW WLPH OHQJWKV WR GD\V WKH SURGXFWLRQ FDSDFLW\ RI D VSHFL¿F UHJLRQDO VHFWRU LV UHGXFHG E\ D FHUWDLQ YDULDEOH GHJUHH 7KH DXWKRUV ¿QG WKDW LQGLUHFW ORVVHV VWURQJO\ GHSHQG RQ WKH GXUDWLRQ DQG PDJQLWXGH RI WKH GLVUXSWLRQV DQG FDQ ULVH ZHOO DIWHU WKH GLVUXSWLRQ KDV FHDVHG 7KH H[RJHQRXV YDULDEOH RI EXIIHU LQYHQWRU\ VHUYHV DV D PLWLJDWLQJ FRPSRQHQW DQG LV UHFRPPHQGHG WR EH LQFUHDVHG GXH WR WKH LQFUHDVH LQ WKH QXPEHU RI H[SHFWHG QDWXUDO GLVDVWHUV
/HGZRFK HW DO > @ EXLOG DQ $%0 WR TXDQWLWDWLYHO\ FRPSDUH WKH FRQVHTXHQFHV RI GLIIHUHQW GLVUXSWLRQ
IUHTXHQFLHV DQG GXUDWLRQV RQ WKH ¿OO UDWH EDFNORJ DQG LQYHQWRU\ KROGLQJ FRVWV RI UDQGRP DQG VFDOH IUHH QHWZRUN WRSRORJLHV ZLWK D VLQJOH RULJLQDO HTXLSPHQW PDQXIDFWXUHU DQG VXSSOLHU QRGHV ,Q FDVH RI D UDQGRP WRSRORJ\ D VHW QXPEHU RI OLQNV LV UDQGRPO\ DWWDFKHG WR D VHW RI QRGHV 6FDOH IUHH QHWZRUNV FRQVLVW RI KXE QRGHV ZLWK D ODUJH QXPEHU RI LPPHGLDWH VXSSOLHUV 3URGXFLQJ DJHQWV FDQ UHFHLYH RUGHUV IRUHFDVW GHPDQG VKLS SURGXFW DQG RUGHU VXSSO\ ZKHUHDV ORJLVWLFV SURYLGHU DJHQWV SHUIRUP WUDQVSRUWDWLRQ EHWZHHQ QRGHV
$ VSHFL¿F UDQGRP QXPEHU RI SURGXFLQJ DJHQWV FDQ SHUIRUP WZR PLWLJDWLRQ VWUDWHJLHV &RQWLQJHQW UHURXWLQJ OHWV WKH DJHQW WUDQVIHU WKHLU RUGHUV IURP D GLVUXSWHG QRGH WR RQH RU PRUH RSHUDWLRQDO VXSSOLHUV ZKLOH LQYHQWRU\ PLWLJDWLRQ LQFUHDVHV WKH EXIIHU LQYHQWRU\ DV D UREXVW VWUDWHJ\ 6LPXODWLRQ H[SHULPHQWV ZLWK GLIIHUHQW ULVN DQG PLWLJDWLRQ VFHQDULRV VKRZ WKDW VFDOH IUHH QHWZRUNV KDYH KLJKHU GLVUXSWLRQ WROHUDQFH WKDQ UDQGRP QHWZRUNV LQYHQWRU\ PLWLJDWLRQ LPSURYHV ¿OO UDWHV PRUH HIIHFWLYH WKDQ FRQWLQJHQW UHURXWLQJ UHJDUGOHVV RI WKH QHWZRUN WRSRORJ\ DQG LQYHQWRU\ PLWLJDWLRQ LV FRVW HIIHFWLYH RQO\ IRU IUHTXHQW GLVUXSWLRQV
7DEOH VKRZV WKDW DOO $%0 DSSURDFKHV IRFXV RQ GLVUXSWLRQ ULVNV DQG LQFRUSRUDWH G\QDPLF PRGHOLQJ 7KH LGHQWL¿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
$ FOHDU IRFXV RQ ULVN DVVHVVPHQW LV YLVLEOH LQ WKH DSSURDFKHV 6\VWHPDWLF ULVN LGHQWL¿FDWLRQ PHWKRGV KDYH QRW EHHQ LQFRUSRUDWHG %ORV HW DO > @ PHQWLRQ ULVN LGHQWL¿FDWLRQ EXW GR QRW JR LQWR GHWDLO 5LVN PLWLJDWLRQ KDV EHHQ SDUWO\ LQWHJUDWHG EXW QRW V\VWHPDWLFDOO\ VXSSRUWHG 6HFN HW DO > @ LQGLUHFWO\ VKRZ WKDW QRGHV ZLWK EDFNXS VXSSO\ RU VDIHW\ VWRFN DUH OHVV DIIHFWHG DQG DFFXUDWH IRUHFDVWLQJ LV EHQH¿FLDO $SSURDFKHV ZKLFK HPSKDVL]H WKH FRQWURO RI ULVNV DUH VWLOO PLVVLQJ
,QWHUSUHWLYH 6WUXFWXUDO 0RGHOLQJ
,QWHUSUHWLYH 6WUXFWXUDO 0RGHOLQJ ,60 LV D PHWKRGRORJ\ ZKLFK LV XVHG WR WUDQVIRUP XQVWUXFWXUHG JUDSKLFDO UHSUHVHQWDWLRQV RI D FRPSOH[ V\VWHP LQWR D ZHOO VWUXFWXUHG GLUHFWHG JUDSK ZLWK D KLHUDUFK\ DQG UHODWLRQVKLSV EHWZHHQ HOHPHQWV > @ 7KH EDVLF SURFHGXUH LV DV IROORZV 7KH HOHPHQWV RI WKH PRGHOV QHHG WR EH GH¿QHG ¿UVW 7KH VWUXFWXUDO VHOI LQWHUDFWLRQ PDWUL[ 66,0 FRQWDLQV WKH GLUHFW UHODWLRQVKLSV EHWZHHQ WKH HOHPHQWV 7KH UHODWLRQVKLSV
DUH GHWHUPLQHG E\ SDLUZLVH FRPSDULVRQ RI WKH ULVNV 7KH 66,0 ZKLFK LQFOXGHV IRXU V\XXXXX XX GHVFULEH WKH LQWHUGHSHQGHQFLHV LV WUDQVIRUPHG LQWR D ELQDU\ UHDFKDELOLW\ PDWUL[ 7KH ¿QDO UHDFKDELOLW\ PDWUL[ FRQWDLQV LQGLUHFW UHODWLRQVKLSV EHWZHHQ WKH HOHPHQWV ZKLFK DUH FRQQHFWHG E\ LQWHUPHGLDWH HOHPHQWV 7KH HOHPHQWV DUH WKHQ SXW LQ D KLHUDUFKLFDO RUGHU E\ OHYHO SDUWLWLRQLQJ 7KH OHIW SDUW RI 7DEOH FRPSDUHV WKH
,60 DSSURDFKHV $OO RI WKH PRGHOV LQWHJUDWH D QXPEHU RI GLIIHUHQW 6&'5V DQG KDYH D KLJK IRFXV RQ ULVN LQWHUGHSHQGHQFLHV
3IRKO HW DO > @ DV ZHOO DV 9HNDQWHVK HW DO > @ LQFRUSRUDWH D IX]]\ 0,&0$& DQDO\VLV DQG DUH WKHUHIRUH DEOH WR HYDOXDWH WKH VWUHQJWKV RI WKH LQWHUGHSHQGHQFLHV
,60 LV VXLWDEOH IRU DOO ULVN FDWHJRULHV ZLWK WKH SUHPLVH WKDW LW LV SRVVLEOH WR DW OHDVW XQGHUVWDQG WKH FRQVHTXHQFHV RI GHHSO\ XQFHUWDLQ ULVN HYHQWV RQ RWKHU ULVNV DQG YLFH YHUVD 7KH GDWD EDVLV RI WKH GHVFULEHG PRGHOV VWHPV IURP H[SHUW NQRZOHGJH DQG OLWHUDWXUH UHYLHZV '\QDPLF HIIHFWV WKH SUHGLFWLRQ RI ULVNV ULVN SURSDJDWLRQ DQG D ULVN UHODWHG RSWLPL]DWLRQ RI WKH VXSSO\ FKDLQ LV PLVVLQJ
7KH ULJKW KDQG VLGH RI 7DEOH VKRZV ZKLFK VWHSV RI WKH VWDQGDUG 6&50 IUDPHZRUN DUH PRGHOHG DQG VXSSRUWHG E\ WKH SXEOLFDWLRQV
3IRKO HW DO > @ XVH ,60 WR LGHQWLI\ LQWHUGHSHQGHQFLHV DPRQJ VXSSO\ FKDLQ ULVNV DQG DSSO\ D 0,&0$& DQDO\VLV WR FODVVLI\ WKH ULVNV DFFRUGLQJ WR WKHLU GULYLQJ DQG GHSHQGHQFH SRZHU 7KH DXWKRUV VWXG\ D VXSSO\ FKDLQ FRQVLVWLQJ RI D ¿UVW WLHU VXSSOLHU D IRFDO FRPSDQ\ DQG D WKLUG SDUW\ ORJLVWLFV SURYLGHU ZKLFK WUDQVSRUWV JRRGV WR WKH IRFDO FRPSDQ\ DV ZHOO DV WR WKH FXVWRPHU H[WHUQDO DQG LQWHUQDO GLVUXSWLRQ ULVNV DUH LQFRUSRUDWHG $ JURXS RI H[SHUWV LV VXJJHVWHG ZKR WKHQ FRQVWUXFW WKH VWUXFWXUDO VHOI LQWHUDFWLRQ PDWUL[ 66,0
$IWHU FRQVWUXFWLQJ WKH ,60 EDVHG PRGHO WKH 0,&0$& DQDO\VLV FRQVLVWV RI FDOFXODWLQJ WKH VXP DORQJ WKH URZV DQG WKH FROXPQV RI WKH ¿QDO UHDFKDELOLW\ PDWUL[ DV DQ LQGLFDWRU IRU WKH GULYLQJ SRZHU DQG GHSHQGHQFH RI HDFK ULVN )RXU JURXSV RI ULVNV DUH GH¿QHG DXWRQRPRXV GHSHQGHQW OLQNDJH DQG LQGHSHQGHQW $ )X]]\ 0,&0$& DQDO\VLV LV DSSOLHG WR FRQVLGHU WKH VWUHQJWK RI UHODWLRQVKLSV RQ D VFDOH IURP WR 7KH YDOXHV DUH VXSHULPSRVHG RQ WKH LQLWLDO UHDFKDELOLW\ PDWUL[
9HNDQWHVK HW DO > @ XVH WKH ,60 DSSURDFK WR PRGHO WKH LQWHUGHSHQGHQFLHV RI VXSSO\ FKDLQ ULVNV DVVRFLDWHG ZLWK WKH ,QGLDQ DSSDUHO UHWDLO LQGXVWU\ 7KH DXWKRUV LGHQWL¿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
6I#D:D#I1M# IDL ILD 4 8!#416. | 8 | L5 | I | 1 | 1 | P | D# | 1E | 1 1E 1 | 8 |
'8/4 #I 4> KR99 $9 |
|
|
|
|
|
|
|
|
|
|
#3 6I#E/ #I 4> KR9+ 9J+ |
|
|
|
|
|
|
|
|
|
|
D1M EI M #I 4> KR9+ 99J |
|
|
|
|
|
|
|
|
|
|
LE 86 !1EDL:I186 D1E3E
#D 8' D1E3E
E1E 8' D1E3 86 #:I E3 16I#D!#:#6!#6 1#E E3 :D8: . I186
6 51 58!#416. 8' D1E3E
!1 I186 8' D1E3E 3 8:I151Q I186
E3 1!#6I1* I186 3 EE#EE5#6I I1. I186 8' D1E3E
6ID84 8' D1E3E
7DEOH &RPSDULVRQ RI ,QWHUSUHWLYH 6WUXFWXUDO 0RGHOLQJ DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
6ULYDVWDYD HW DO > @ IRFXV RQ WKH ,QGLDQ IRRG UHWDLO LQGXVWU\ DQG LGHQWLI\ VXSSO\ FKDLQ ULVNV ZLWK WKH KHOS RI H[SHUWV 7KH DXWKRUV DOVR XVH D 0,&0$& DQDO\VLV EXW GR QRW DSSO\ D IX]]\ EDVHG HYDOXDWLRQ RI WKH VWUHQJWKV RI WKH UHODWLRQVKLSV
5LVN LGHQWL¿FDWLRQ DV ZHOO DV WKH VHOHFWLRQ RI HOHPHQWV WR EH H[DPLQHG DUH SDUW RI WKH ,60 PHWKRGRORJ\ ,W LV KRZHYHU QRW PHWKRGLFDOO\ VXSSRUWHG /LWHUDWXUH RU H[SHUW NQRZOHGJH DUH QDPHG DV WKH VRXUFH RI UHOHYDQW ULVNV ,QWHUGHSHQGHQFLHV DQG WKH GULYLQJ SRZHU RI ULVNV DUH RQH DVSHFW RI ULVN DVVHVVPHQW 7KH TXDQWL¿FDWLRQ RI ULVNV LV QRW FRQVLGHUHG LQ WKH ,60 IUDPHZRUN 2WKHU SURFHVV VWHSV OLNH WKH PLWLJDWLRQ DQG WKH FRQWURO RI ULVNV DUH QRW VXSSRUWHG
0RQWH &DUOR 6LPXODWLRQ
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
6RFLDO 6FLHQFHV > @
'HOHULV DQG (UKXQ > @ FRPELQH 0&6 ZLWK D VR FDOOHG ÀRZ PRGHO ZKLFK FDOFXODWHV WKH ORVV RI YROXPH GXH WR GHVWUR\HG VXSSO\ FKDLQ QRGHV WR REWDLQ WKH SUREDELOLW\ GHQVLW\ IXQFWLRQ RI WKH ORVVHV LQ WKH QHWZRUN 7KH OLNHOLKRRGV RI WKH FRQVLGHUHG VFHQDULRV DUH HVWLPDWHG E\ H[SHUWV
.OLEL HW DO > @ XVH 0&6 WR PRGHO WKH LPSDFW RI UDQGRP EXVLQHVV DV XVXDO ULVN HYHQWV DV ZHOO DV H[WUHPH HYHQWV RQ WKH FDSDFLW\ RI 6& HQWLWLHV DQG RQ WKH GHPDQG RI SURGXFWV 7KH DXWKRUV SURSRVH D WKUHH VWHS PRGHOLQJ DSSURDFK ZKLFK FRQVLVWV RI WKH GH¿QLWLRQ RI VR FDOOHG PXOWL KD]DUGV VXPPDU\ RI GLIIHUHQW KD]DUGV ZLWK JHQHULF LPSDFW WR LPSURYH TXDQWL¿FDWLRQ JHRJUDSKLF KD]DUG ]RQHV DVVRFLDWHG YXOQHUDELOLW\ VRXUFHV 6&
HQWLWLHV DV ZHOO DV LQIUDVWUXFWXUH DQG WKHLU H[SRVXUH OHYHOV ZLWK UHVSHFW WR WKH GH¿QHG PXOWLKD]DUGV
$ VWRFKDVWLF SURFHVV PRGHOV WKH WLPH DQG VSDFH FKDUDFWHULVWLFV RI WKH ULVN HYHQWV¶ RFFXUUHQFHV DV ZHOO DV WKHLU LQWHQVLW\ DQG WKH WLPH IRU UHFRYHU\ UHJDUGLQJ SURGXFWLRQ FDSDFLW\ DQG GHPDQG RI GLIIHUHQW SURGXFW PDUNHWV ,W LV UHFRPPHQGHG WR XVH KLVWRULFDO GDWD DQG H[SHUW RSLQLRQV WR HVWDEOLVK WKHVH SDUDPHWHUV 7KH 0RQWH &DUOR 6LPXODWLRQ FUHDWHV D QXPEHU RI VFHQDULRV DQG FDOFXODWHV WKH QXPEHU RI KLWV DQG WKH QXPEHU RI XQVHUYHG SURGXFWV ZLWKLQ WKH SODQQLQJ XXXX]RQ
0L]JLHU HW DO > @ TXDQWLI\ WKH GLUHFW DQG SURSDJDWHG ORVVHV GXH WR ERWK LGLRV\QFUDWLF RQH QRGH LV GLUHFWO\ LPSDFWHG DQG V\VWHPLF DOO QRGHV DUH GLUHFWO\ LPSDFWHG GLVUXSWLRQV RI D WZR VWDJH FRQYHUJLQJ QHWZRUN ZLWK D 0RQWH &DUOR VLPXODWLRQ DSSURDFK 7KH UHVXOWLQJ ORVV GLVWULEXWLRQ RI WKH FHQWUDO PDQXIDFWXUHU LV FRQVLGHUHG E\ LWV PHDQ LWV YDOXH DW ULVN PD[LPXP SRVVLEOH ORVV XS WR D SUHGH¿QHG TXDQWLOH DQG LWV H[SHFWHG VKRUWIDOO
PHDQ ORVVHV H[FHHGLQJ WKH SUHGH¿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¿FDWLRQ DV D PLWLJDWLRQ VWUDWHJ\ RQ WKH ORVV GLVWULEXWLRQ RI WKH PDQXIDFWXUHU E\ DGGLQJ RQH VXSSOLHU LQ HDFK VLPXODWLRQ UXQ WR WKH QHWZRUN VWDUWLQJ ZLWK MXVW D VLQJOH VXSSOLHU DQG FKDQJLQJ WKH LQWHQVLW\ SDUDPHWHU RI WKH KD]DUGV ,Q WKLV PRGHO WKH YDULDQFH RI WKH ORVV GLVWULEXWLRQ LV UHGXFHG ZLWK DQ LQFUHDVLQJ QXPEHU RI VDPH VWDJH VXSSOLHUV 7KLV SRVLWLYH HIIHFW LV GLPLQLVKHG ZKHQ VXSSOLHUV RQ WKH VHFRQG VWDJH DUH DGGHG
86I# D48 15L4 I186
#4#D1E H D/L6 KRR+ KK
41 1 #I 4> KR9K +J
1Q.1#D #I 4> KR9+ F9
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
7DEOH &RPSDULVRQ RI 0RQWH &DUOR 6LPXODWLRQ DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
7DEOH FRPSDUHV WKH WKUHH 0&6 DSSURDFKHV UHJDUGLQJ WKH IXO¿OOPHQW RI WKH UHTXLUHPHQWV GHULYHG DERYH $OO WKUHH 0&6 DSSURDFKHV IRFXV RQ GLVUXSWLRQV DQG LQFRUSRUDWH QXPHURXV ULVNV LQWR WKHLU PHWKRGRORJ\
+LVWRULFDO GDWD DV ZHOO DV H[SHUW RSLQLRQV DUH XVHG WR DVVHVV WKH ULVN YDOXHV H[FHSW LQ WKH PHWKRGRORJ\ RI 0L]JLHU HW DO > @ ZKR KDYH D PRUH WKHRUHWLF DSSURDFK WR ULVN PRGHOLQJ 0L]JLHU HW DO > @ IRFXV SDUWO\ RQ ULVN SURSDJDWLRQ DQG DLP DW ULVN PLWLJDWLRQ E\ D GLYHUVL¿HG VRXUFLQJ VWUDWHJ\
6\VWHPDWLF ULVN LGHQWL¿FDWLRQ DQG WKH FRQWURO RI ULVNV DUH QRW FRQVLGHUHG LQ WKH LGHQWL¿HG PRGHOV $ VWURQJ IRFXV RQ ULVN DVVHVVPHQW LV GHWHFWDEOH DQG DOO WKUHH PRGHOV VXSSRUW WKLV SURFHVV VWHS
,QSXW 2XWSXW 0RGHOLQJ
,QSXW 2XWSXW 0RGHOLQJ ,20 RULJLQDOO\ VWHPV IURP
/HRQWLHI ¶V ,QSXW RXWSXW 0RGHO > @ ZKLFK LV D XVHIXO WRRO WR VWXG\ FRQVXPSWLRQ VKRFNV RQ LQWHUGHSHQGHQW HFRQRPLF V\VWHPV > @ ,20 DWWHPSWV WR IRUHVHH WKH UHVXOWLQJ HFRQRPLF ORVVHV DQG LQRSHUDELOLW\ VXIIHUHG E\ GLIIHUHQW LQWHUGHSHQGHQW LQGXVWU\ VHFWRUV > @
LE 86 !1EDL:I186 D1E3E
#D 8' D1E3E
E1E 8' D1E3 86 #:I E3 16I#D!#:#6!#6 1#E E3 :D8: . I186
6 51 58!#416. 8' D1E3E
!1 I186 8' D1E3E 3 8:I151Q I186
E3 1!#6I1* I186 3 EE#EE5#6I I1. I186 8' D1E3E
6ID84 8' D1E3E
:HL HW DO > @ XVH ,20 WR PRGHO WKH SURSDJDWLRQ DQG LQWHUGHSHQGHQFLHV RI VXSSO\ FKDLQ GLVUXSWLRQV
LQ D ¿YH WLHU VXSSO\ QHWZRUN ZLWK PHPEHUV 7KH LQRSHUDELOLW\ YHFWRU FRQVLVWV RI FRQWLQXRXV YDULDEOHV ZLWK YDOXHV UDQJLQJ IURP WR ZKLFK LQGLFDWH WKH H[WHQW RI LQDELOLW\ RI WKH V\VWHP¶V PHPEHU WR SHUIRUP LWV IXQFWLRQV SHUIHFW RSHUDEOH VWDWH LV UHSUHVHQWHG E\ $ VR FDOOHG LQWHUGHSHQGHQF\ PDWUL[ GLVSOD\V WKH LQWHUGHSHQGHQFLHV EHWZHHQ VXSSO\ FKDLQ HQWLWLHV 7RWDO LQRSHUDELOLW\ LV FDOFXODWHG E\ VXPPLQJ XS WKH SURSDJDWHG LQRSHUDELOLW\ SDVVHG RQ E\ GHSHQGHQW VXSSO\ FKDLQ QRGHV DQG WKH GLUHFW LQRSHUDELOLW\ RI WKH QRGH
GLUHFW HIIHFW RI D GLVUXSWLRQ 7KH LQWHUGHSHQGHQF\ PDWUL[ FDQ EH FDOFXODWHG EDVHG RQ 2UGHUHG :HLJKWHG
$YHUDJLQJ 7KH LQWHUGHSHQGHQF\ FDQ EH PHDVXUHG E\ GHWHUPLQLQJ PXOWLSOH IDFWRUV OLNH WUDGLQJ YROXPH EXIIHU FDSDFLW\ DQG VXEVWLWXWDELOLW\ HWF IRU HDFK GLUHFWO\ FRQQHFWHG UHODWLRQVKLS WR D QRGH 1LNQHMDG DQG 3HWURYLF > @ FRPELQH )X]]\ 6HW 7KHRU\ ZLWK D '\QDPLF ,20 ',20 WR PHDVXUH WKH SURSDJDWLYH HIIHFWV RI WZR GLVUXSWLYH VFHQDULRV LQ D VXSSO\ FKDLQ ZLWK WZR VXSSOLHUV RQH PDQXIDFWXUHU DQG FXVWRPHUV ([SHUWV¶ NQRZOHGJH LV XVHG WR VSHFLI\ WULDQJXODU IX]]\ VHW QXPEHUV 7)61V RI HDFK HQWLW\¶V SODQQHG UHYHQXH DQG UHVLOLHQFH DV ZHOO DV WKH GHSHQGHQFLHV EHWZHHQ HDFK SDUWQHU 7KH GLVUXSWLRQ LWVHOI LV DOVR PRGHOHG ZLWK D 7)61 7KH H[RJHQRXV GLVUXSWLRQ ODVWV IRU WHQ
6:LI0 LI:LI 8!#416. | 8 | L5 | I | 1 | 1 | P | D# | 1E | 1 | 1E | 1 | 8 |
#1 #I 4> KR9R 9-J |
|
|
|
|
|
|
|
|
|
|
|
|
136#2 ! H #ID8M1 KR9F FK |
|
|
|
|
|
|
|
|
|
| ||
D8E E #I 4> KR9F 9K |
|
|
|
|
|
|
|
|
|
|
|
|
7DEOH &RPSDULVRQ RI ,QSXW 2XWSXW 0RGHOLQJ DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
WLPH XQLWV LQ ZKLFK WKH GLVUXSWHG HQWLW\ LV SDUWLDOO\ IXQFWLRQDO 7KH ',20 FDOFXODWHV WKH SURSDJDWLYH HIIHFWV IRU HDFK WLPH IUDPH WLPH XQLWV LQ WRWDO ZLWK UHVSHFW WR WKH GHSHQGHQFLHV EHWZHHQ HDFK SDUWQHU DQG WKH UHVLOLHQFH RI HDFK HQWLW\ 7KH PHDQ UHVXOWLQJ LQRSHUDELOLW\ LV PXOWLSOLHG ZLWK WKH SODQQHG IX]]\ UHYHQXH WR FDOFXODWH WKH IX]]\ ¿QDQFLDO ORVVHV $ VHQVLWLYLW\ DQDO\VLV WHVWV WKH LPSDFW RI HDFK LQSXW¶V YDOXH RQ WKH HVWLPDWHG IX]]\ ¿QDQFLDO ORVVHV DQG RQ LWV DPELJXLW\ D PHDVXUH RI XQFHUWDLQW\ RI 7)61V 7KH PRVW FULWLFDO LQSXW YDOXHV VKRXOG EH UHDQDO\]HG PRUH WKRURXJKO\ XQWLO GHFLVLRQ PDNHUV IHHO FRQ¿GHQW
%URVDV HW DO > @ XVH D IX]]\ VXSSO\ VLGH ,20 WR DVVHVV WKH LPSDFW RI SULFH FKDQJHV GXH WR DQ RFFXUULQJ GLVUXSWLRQ $ 3KLOLSSLQH KHUEDO IRRG VXSSOHPHQW VXSSO\ QHWZRUN ZKLFK LV H[SRVHG WR GHYDVWDWLQJ W\SKRRQV FRQVLVWLQJ RI ¿YH VXSSOLHUV WZR PDQXIDFWXUHUV DQG WKUHH GLVWULEXWLQJ SKDUPDFLHV LV PRGHOHG 8QOLNH WKH VWDQGDUG ,20 WKH VXSSO\ VLGH ,20 PRGHOV VXSSO\ VLGH SULFH SHUWXUEDWLRQV $ W\SKRRQ LV DVVXPHG WR LQFUHDVH WKH SULFHV RI RQH VXSSOLHU E\ 7KH LQWHUGHSHQGHQF\ PDWUL[ FRQVLVWV RI IX]]\ VXSSO\ FRVWV LQ WKH IRUP RI 76)1V 7KH SULFH LQFUHDVHV DUH FDOFXODWHG IRU HDFK SDUWQHU WR VHH WKH PRVW DIIHFWHG QRGHV
7DEOH FRPSDUHV WKH ,20 DSSURDFKHV WR WKH GHULYHG UHTXLUHPHQWV $OWKRXJK WKH DSSURDFKHV FRQVLGHU RQH JHQHULF GLVUXSWLYH HYHQW DV D ULVN IDFWRU DQG GR QRW KDYH D VWURQJ IRFXV RQ KRZ WR JDWKHU WKH LQSXW SDUDPHWHUV
,20 LV KHOSIXO IRU VZLIWO\ FDOFXODWLQJ WKH SURSDJDWLYH HIIHFWV ZLWK WKH KHOS RI WKH LQWHUGHSHQGHQF\ PDWUL[
$OO DSSURDFKHV KHUH SDUWO\ IXO¿OO WKH UHTXLUHPHQWV RI ULVN SURSDJDWLRQ DQG ULVN LQWHUGHSHQGHQFLHV EHFDXVH WKH\ IRFXV RQ WKH LPSDFW RI ULVNV RQ WKH SHUIRUPDQFH YDOXHV 5LVN PLWLJDWLRQ LV SDUWO\ LQFRUSRUDWHG E\ RQH PRGHO :HL HW DO > @ LQFUHDVH WKH QXPEHU RI VXSSOLHUV DQG HYDOXDWH WKH HIIHFWV RQ WKH SHUIRUPDQFH YDOXHV
1LNQHMDG DQG 3HWURYLF > @ XVH D G\QDPLF ,20 DQG FDQ WKHUHIRUH DOVR SURYLGH WHPSRUDO LQVLJKWV
5LVN LGHQWL¿FDWLRQ DV WKH ¿UVW VWHS RI D VWDQGDUG
6&50 IUDPHZRUN LV QRW VXSSRUWHG E\ WKH ,20 PRGHOV
7KH FRQWURO RI ULVN KDV DOVR QRW EHHQ LQFRUSRUDWHG VR IDU $ FOHDU IRFXV OLHV RQ WKH HDV\ DVVHVVPHQW RI ULVN LPSDFW
2WKHU DSSURDFKHV
6L[ DSSURDFKHV KDYH EHHQ LGHQWL¿HG ZKLFK FRXOG QRW EH QXPEHUHG DORQJVLGH WKH VLPXODWLRQ WHFKQLTXHV GHVFULEHG DERYH 7KHVH DSSURDFKHV LQFOXGH 7LPH EDVHG 6LPXODWLRQ 6WDWLF 6LPXODWLRQ 1HXUDO 1HWZRUNV DQG PRGHOV EDVHG RQ *UDSK 7KHRU\
7KLDJDUDMDQ HW DO > @ GHYHORS D VLPXODWLRQ EDVHG ULVN DQDO\VLV WHFKQLTXH IRU ODUJH VFDOH PLOLWDU\ ORJLVWLFV SODQQLQJ 6LPXODWLRQ LV XVHG WR HYDOXDWH WKH LPSDFW RI XQDYDLODELOLW\ RI WUDQVSRUW YHKLFOHV RQ WKH VHTXHQFH RI DFWLYLWLHV ZKLFK IRUP WKH ORJLVWLFV SODQ 7KH ORJLVWLFV SODQ FRQWDLQV WKH VWUXFWXUDO LQIRUPDWLRQ DERXW WKH DYDLODEOH ÀHHW RI YHKLFOHV UHTXLUHG FDSDFLWLHV DQG WLPH VSDQV WKDW WKH YHKLFOHV DUH QHHGHG 6RPH DFWLYLWLHV QHHG WR EH IXO¿OOHG E\ VSHFL¿F WUDQVSRUW YHKLFOHV VR WKDW XQDYDLODELOLW\ FDQ HLWKHU FDXVH WKH ZKROH ORJLVWLFV SODQ WR IDLO RU KDV QR HIIHFW 7KH VWDWLF VLPXODWLRQ FDOFXODWHV FRQÀLFWV LQ WKH SODQ 7KH DXWKRUV GHYHORS D VLPSOH VR FDOOHG IDLOXUH WKUHVKROG DQG FRQVHTXHQFH PHWULF WR PHDVXUH WKH UHODWLYH FULWLFDOLW\ RI WUDQVSRUW YHKLFOHV REVHUYHG LQ VLPXODWLRQ DQG WR HQDEOH ODUJH SODQV WR EH DQDO\]HG TXLFNO\ $ ULVN PDWUL[ LV XVHG WR FRPELQH WKH FRQVHTXHQFHV ZLWK WKH OLNHOLKRRG RI DQ XQDYDLODELOLW\ ZKLFK QHHGV WR EH DVVHVVHG E\ H[SHUWV DQG WR GHULYH PLWLJDWLRQ VWUDWHJLHV
$TODQ DQG /DP > @ GHYHORS D PXOWL REMHFWLYH PL[HG LQWHJHU OLQHDU SURJUDPPLQJ PRGHO ZKLFK ORRNV IRU WKH EHVW FRPELQDWLRQ RI GLIIHUHQW LQWHUGHSHQGHQW PLWLJDWLRQ
8 LE 86 !1EDL:I186 D1E3E
L5 #D 8' D1E3E
I E1E 8' D1E3 86 #:I
1E3 16I#D!#:#6!#6 1#E
1E3 :D8: . I186
P6 51 58!#416. 8' D1E3E
D#!1 I186 8' D1E3E
1E3 8:I151Q I186
1E3 1!#6I1* I186
1E3 EE#EE5#6I
1I1. I186 8' D1E3E
86ID84 8' D1E3E
1E #44 6#8LE ::D8 /#E
| /1 . D 2 6 #I 4> KR99 |
|
|
|
|
|
|
|
|
|
|
|
|
| ?4 6 H 5 KR9+ J |
|
|
|
|
|
|
|
|
|
|
|
|
| 2#E/ #I 4> KR9+ 79 |
|
|
|
|
|
|
|
|
|
|
|
|
| 6 #I 4> KR9+ 9K9 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1L #I 4> KR9G GK |
|
|
|
|
|
|
|
|
|
|
|
|
| 6. #I 4> KR9G 9KJ |
|
|
|
|
|
|
|
|
|
|
|
|
# H @5 5)>HT # 7S)%6 <M)4)H H>4H ;;7<4 # )PH : )MR>H9
# M M7! 7;P: M7>< # 7;)6 I)% 7;P: M7><
7DEOH &RPSDULVRQ RI RWKHU PRGHOLQJ DSSURDFKHV WR PRGHO VXSSO\ FKDLQ GLVUXSWLRQ ULVNV
VWUDWHJLHV ,WV DLPV DUH WR PLQLPL]H WRWDO PLWLJDWLRQ FRVW DQG WR PD[LPL]H ULVN UHGXFWLRQ XQGHU EXGJHW FRQVWUDLQWV DQG D PLQLPXP ULVN UHGXFWLRQ FRQVWUDLQW
%RZ 7LH DQDO\VLV LV XVHG WR DJJUHJDWH WKH OLNHOLKRRG DQG LPSDFW RI PXOWLSOH ULVN IDFWRUV WR IRUP D VLQJOH ULVN 7R HYDOXDWH WKH LQWHUGHSHQGHQFLHV EHWZHHQ GLIIHUHQW ULVN PLWLJDWLRQ VWUDWHJLHV WKH DXWKRUV XVH H[SHUW RSLQLRQ DQG GHYHORS D VR FDOOHG ULVN PLWLJDWLRQ PDWUL[ ZKLFK GLVSOD\V WKH HIIHFW RI HDFK PLWLJDWLRQ VWUDWHJ\ RQ WKH LQFRUSRUDWHG ULVNV
5DMHVK HW DO > @ FRPELQH *UH\ 7KHRU\ ZLWK D *UDSK
7KHRU\ 0DWUL[ $SSURDFK *70$ WR ¿QG WKH PRVW HIIHFWLYH PLWLJDWLRQ VWUDWHJLHV ZLWK UHVSHFW WR YDULRXV VXSSO\ FKDLQ ULVNV LQFOXGLQJ WKH ULVN RI GLVUXSWLRQ *UH\ 7KHRU\ LV XVHG WR TXDQWLI\ WKH UHODWLYH LPSRUWDQFH RI ULVNV DV ZHOO DV WKH SRVLWLYH DQG QHJDWLYH LQÀXHQFH RI HDFK ULVN PLWLJDWLRQ VWUDWHJ\ RYHU HDFK ULVN E\ XVLQJ OLQJXLVWLF H[SUHVVLRQ RI H[SHUWV 7KH JUH\ VFDOHV DUH FRQYHUWHG LQWR FULVS YDOXHV DQG WKH *70$ FDOFXODWHV WKH SRVLWLYH LPSDFW RI HDFK PLWLJDWLRQ VWUDWHJ\ LQ WRWDO DV ZHOO DV WKH QHJDWLYH LPSDFW RI HDFK PLWLJDWLRQ VWUDWHJ\ RYHU DOO ULVNV 7KH GLIIHUHQFH RI WKHVH WZR YDOXHV RI HDFK PLWLJDWLRQ VWUDWHJ\ IRUPV WKH QHW SRVLWLYH LQÀXHQFH YDOXH DQG HQDEOHV WKH UDQNLQJ RI WKH VWUDWHJLHV DFFRUGLQJ WR WKHLU HIIHFWLYHQHVV VXSSO\ FKDLQ ULVN FDWHJRULHV DQG PLWLJDWLRQ VWUDWHJLHV ZLWK D IRFXV RQ HOHFWURQLFV PDQXIDFWXULQJ VXSSO\ FKDLQV DUH FRQVLGHUHG
/LX HW DO > @ FRPELQH D JUH\ SUHGLFWLRQ PRGHO ZLWK D 1HXUDO 1HWZRUN WR SUHGLFW WKH GHPDQG DIWHU WKH RFFXUUHQFH RI D WUDQVSRUWDWLRQ GLVUXSWLRQ *UH\ 3UHGLFWLRQ 0RGHOLQJ *0 LV EDVHG RQ *UH\ 6\VWHP
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
7DQJ HW DO > @ DQDO\]H WKH G\QDPLF HIIHFWV RI ULVN SURSDJDWLRQ LQ D VXSSO\ QHWZRUN ZLWK QRGHV FRQVLVWLQJ RI D SK\VLFDO OD\HU PDWHULDO ÀRZ GLUHFWHG JUDSK DQG D F\EHU OD\HU LQIRUPDWLRQ ÀRZ XQGLUHFWHG JUDSK (DFK QRGH LV JLYHQ D VSHFL¿F LQLWLDO ORDG D PD[LPXP FDSDFLW\ DQG D PD[LPXP SHUPLWWHG SURSDJDEOH IDLOHG ORDG $ SURSRUWLRQ RI QRGHV IDLO DW WKH EHJLQQLQJ RI HDFK VLPXODWLRQ UXQ DQG WKH FRUUHVSRQGLQJ OLQNDJHV RI WKH DIIHFWHG QRGHV DUH UHPRYHG 7KH LQLWLDO ORDGV RI WKH DIIHFWHG QRGHV DUH GLVWULEXWHG WKURXJK D VRFDOOHG SULRULW\ UHGLVWULEXWLRQ VWUDWHJ\ WR WKH QHLJKERULQJ QRGHV DQG DGGHG WR WKHLU ORDG ,I D QRGH¶V PD[LPXP FDSDFLW\ LV H[FHHGHG WKH QRGH IDLOV DQG WKH SURSDJDWHG ORDG DV ZHOO DV WKH ORDG RI
WKH QHZO\ IDLOHG QRGH DUH IRUZDUGHG WR WKH QHLJKERUV EXW DUH QRW DOORZHG WR WRS WKH PD[LPXP SHUPLWWHG IDLOHG ORDG 7KH SK\VLFDO OD\HU DQG F\EHU OD\HU DUH OLQNHG E\ VRPH QRGHV 7KH SUREDELOLW\ WKDW WKH VXUYLYLQJ QHWZRUN VWLOO EHORQJV WR WKH JLDQW FRPSRQHQW RI WKH JUDSKV VHUYHV DV D PHDVXUH RI UREXVWQHVV 7KH DXWKRUV WHVW WKH HIIHFW RI D VLQJOH QRGH GLVUXSWLRQ YHUVXV D PXOWL QRGH GLVUXSWLRQ DQG YDU\ LQSXW SDUDPHWHUV UHJDUGLQJ WKH PD[LPXP FDSDFLW\ DQG LQLWLDO ORDGV
7DEOH FRPSDUHV WKH UHPDLQLQJ PRGHOLQJ DSSURDFKHV DQG VKRZV WKHLU FRUUHVSRQGLQJ PRGHOLQJ WHFKQLTXHV $OO DSSURDFKHV H[FHSW WKH PRGHO RI 5DMHVK HW DO > @ IRFXV RQ GLVUXSWLRQ ULVNV EXW RQO\ WZR RI WKH PRGHOV LQFRUSRUDWH PXOWLSOH ULVNV 7KH YDULHW\ EHWZHHQ WKH PRGHOV LV UHODWLYHO\ KLJK VLQFH GLIIHUHQW VLPXODWLRQ WHFKQLTXHV DUH XVHG (DFK WHFKQLTXH KDV LWV RZQ ¿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
7KH PRGHOV RI 5DMHVK HW DO > @ DV ZHOO DV $TODQ DQG /DP > @ FRQVLGHU WKH SURFHVV VWHS ULVN PLWLJDWLRQ H[SOLFLWO\ ZKLOH 7KLDJDUDMDQ HW DO > @ DQG 7DQ HW DO
> @ VXJJHVW ULVN PLWLJDWLRQ VWUDWHJLHV DQG LQGLUHFWO\ VKRZ WKDW QRGHV ZLWK EDFNXS VXSSO\ RU VDIHW\ VWRFN DUH OHVV DIIHFWHG DQG DFFXUDWH IRUHFDVWLQJ LV EHQH¿FLDO
,QWHUSUHWDWLRQ RI UHVXOWV
7KH SUHYLRXV VXEVHFWLRQV KDYH SUHVHQWHG WKH DSSURDFKHV ZLWK WKH FRUUHVSRQGLQJ PRGHOLQJ WHFKQLTXHV ZKLFK DUH XVHG WR PRGHO 6&'5 RQ D QHWZRUN OHYHO (DFK RI WKHVH VLPXODWLRQ WHFKQLTXHV DV ZHOO DV VSHFL¿F DSSURDFKHV SRVVHVV GLIIHUHQW FKDUDFWHULVWLFV 7KLV VHFWLRQ FRPSDUHV WKH HLJKW WHFKQLTXHV UHJDUGLQJ WKH SUHYLRXVO\ GHULYHG UHTXLUHPHQWV DQG GLVSOD\V WKH VWUHQJWKV DQG ZHDNQHVVHV RI WKHVH PHWKRGV 7KH DQDO\VLV RI WKH UHTXLUHPHQWV UHJDUGLQJ WKH GDWD EDVLV DQG WKH ULVNV LQWHJUDWHG LQWR WKH PRGHO FDQ EH FRQGXFWHG LQGHSHQGHQWO\ IURP WKH VLPXODWLRQ WHFKQLTXHV XVHG
5HJDUGOHVV RI WKH VLPXODWLRQ WHFKQLTXHV XVHG PRVW RI WKH LGHQWL¿HG PRGHOV IRFXV RQ GLVUXSWLRQ ULVNV )LJ D GLVSOD\V WKDW PRUH WKDQ RI DOO FRQWULEXWLRQV KDYH D GLUHFW IRFXV RQ GLVUXSWLRQ ULVNV ZKLOH WHQ SXEOLFDWLRQV FRQVLGHU GLVUXSWLRQ ULVNV DPRQJ JHQHUDO VXSSO\ FKDLQ ULVNV )LJ E SUHVHQWV WKH IDFW WKDW DURXQG KDOI RI WKH PRGHOV LQFRUSRUDWH RQO\ RQH ULVN ZKLOH PRGHOV
DURXQG LQFOXGH PRUH WKDQ WKUHH YDULRXV ULVNV VLPXOWDQHRXVO\ 7KLV LQGLFDWHV WKDW D JRRG SURSRUWLRQ RI UHVHDUFKHUV KDYH UHFRJQL]HG WKH LPSRUWDQFH RI DQDO\]LQJ GLVUXSWLRQV DQG KDYH GHYHORSHG H[WHQVLYH PRGHOV ZKLFK LQFOXGH D PXOWLWXGH RI VWUDWHJLF ULVNV
2QH LPSRUWDQW DVSHFW RI ULVN PRGHOLQJ LV WKH GDWD EDVLV RI WKH DSSURDFK )LJ F VKRZV WKDW PRUH WKDQ WKUHH TXDUWHUV RI WKH LGHQWL¿HG 6&'5 PRGHOV FRQVLGHU WKH SRWHQWLDO ORVVHV RI WKH ULVN ZLWKRXW LQWHJUDWLQJ WKH SUREDELOLW\ RI RFFXUUHQFH WR WKHLU ULVN FRQFHSW 7KLV LV VXLWDEOH IRU FRQVLGHULQJ GHHS XQFHUWDLQW\ ZKHUH HYHQWV KDSSHQ UDUHO\ DQG KDYH D KLJK LPSDFW 2QO\ PRGHOV DURXQG KDYH ULVNV TXDQWL¿HG ZLWK WKHLU SUREDELOLW\ RI RFFXUUHQFH E\ KLVWRULFDO GDWD DQG H[SHUW NQRZOHGJH 7KH DSSURDFK RI .OLEL HW DO > @ LV WKH
RQO\ RQH ZKLFK FRQVLGHUV KD]DUGRXV DV ZHOO DV GHHSO\ XQFHUWDLQ HYHQWV H[SOLFLWO\ 7KLV DVSHFW LQGLFDWHV WKDW PRUH H[WHQVLYH ZRUN RQ WKH GDWD EDVLV RI WKH GHYHORSHG PRGHOV FRXOG EH GRQH
7KH W\SHV RI GLVUXSWLRQV PRGHOHG E\ WKH LGHQWL¿HG PRGHOV FDQ EH VHHQ LQ )LJ 'LVUXSWLRQV KDYH EHHQ PRGHOHG E\ SXEOLFDWLRQV PRGHOHG LQ D JHQHULF ZD\ E\ LPSDLULQJ HQWLWLHV DQG RU OLQNV EHWZHHQ VXSSO\ FKDLQ SDUWQHUV LQGHSHQGHQWO\ RI WKH ULVN FDXVH :KLOH PRGHOV FUHDWH GLVUXSWLRQV E\ OHWWLQJ QRGHV IDLO VHYHQ