Search results for: network effect on systemic risk

Authors: Farhad Reyazat, Richard Werner

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This paper contributes to the existent literature by developing a framework that explains how to monitor potential threats to banking sector stability. The study explores structural vulnerabilities at the country level, but also look at bilateral exposures within a network context. The study contributes in analysing of the European banking systemic risk at aggregated level, which integrates the characteristics of bank size, and interconnectedness relative to the size of the economy which ultimate risk belong to, taking to account the concentration ratio of the banking industry within the whole economy. The nature of the systemic risk depends on the interplay of the network topology with the nature of financial transactions over the network, assets and buffer stemming from bank size, correlations, and the nature of the shocks to the financial system. The study’s results illustrate the contribution of banks’ size, size of economy and concentration of counterparty exposures to a given country’s banks in explaining its systemic importance, how much the banking network depends on a few traditional hubs activities and the changes of this dependencies over the last 9 years. The role of few of traditional hubs such as Swiss banks and British Banks and also Irish banks- where the financial sector is fairly new and grew strongly between 1990s till 2008- take the fourth position on 2014 reducing the relative size since 2006 where they had the first position. In-degree concentration index analysis in the study shows concentration index of banking network was not changed since financial crisis 2007-8. In-degree concentration index on first quarter of 2014 indicates that US, UK and Germany together, getting over 70% of the network exposures. The result of comparing the in-degree concentration index with 2007-4Q, shows the same group having over 70% of the network exposure, however the UK getting more important role in the hub and the market share of US and Germany are slightly diminished.

Keywords: systemic risk, counterparty risk, financial stability, interconnectedness, banking concentration, european banks risk, network effect on systemic risk, concentration risk

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Authors: Zidane Abderrezzaq

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In contrast to recent successful developments in macro monetary policies, the modelling, measurement and management of systemic financial stability has remained problematical. Indeed, the focus of most effort has been on improving individual, rather than systemic, bank risk management; the Basel II objective has been to bring regulatory bank capital into line with the (sophisticated) banks’ assessment of their own economic capital. Even at the individual bank level there are concerns over appropriate diversification allowances, differing objectives of banks and regulators, the need for a buffer over regulatory minima, and the distinction between expected and unexpected losses (EL and UL). At the systemic level the quite complex and prescriptive content of Basel II raises dangers of ‘endogenous risk’ and procyclicality. Simulations suggest that this latter could be a serious problem. In an extension to the main analysis we study how liquidity effects interact with banking structure to produce a greater chance of systemic breakdown. We finally consider how the risk of contagion might depend on the degree of asymmetry (tiering) inherent in the structure of the banking system. A number of our results have important implications for public policy, which this paper also draws out.

Keywords: systemic stability, financial regulation, credit risk, systemic risk

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Authors: Rahmoune Abdelhaq

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Systemic risk is a key concern for central banks charged with safeguarding overall financial stability. In this work, we investigate how systemic risk is affected by the structure of the financial system. We construct banking systems that are composed of a number of banks that are connected by interbank linkages. We then vary the key parameters that define the structure of the financial system — including its level of capitalization, the degree to which banks are connected, the size of interbank exposures and the degree of concentration of the system — and analyses the influence of these parameters on the likelihood of contagious (knock-on) defaults. First, we find that the better-capitalized banks are, the more resilient is the banking system against contagious defaults and this effect is non-linear. Second, the effect of the degree of connectivity is non-monotonic, that is, initially a small increase in connectivity increases the contagion effect; but after a certain threshold value, connectivity improves the ability of a banking system to absorb shocks. Third, the size of interbank liabilities tends to increase the risk of knock-on default, even if banks hold capital against such exposures. Fourth, more concentrated banking systems are shown to be prone to larger systemic risk, all else equal. In an extension to the main analysis, we study how liquidity effects interact with banking structure to produce a greater chance of systemic breakdown. We finally consider how the risk of contagion might depend on the degree of asymmetry (tier) inherent in the structure of the banking system. A number of our results have important implications for public policy, which this paper also draws out. This paper also discusses why bank risk management is needed to get the optimal one.

Keywords: financial stability, contagion, liquidity risk, optimal risk

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Authors: Frank Hespeler, Giuseppe Loiacono

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We propose measures for systemic risk generated through intra-sectorial interdependencies in the hedge fund sector. These measures are based on variations in the average cross-effects of funds showing significant interdependency between their individual returns and the moments of the sector’s return distribution. The proposed measures display a high ability to identify periods of financial distress, are robust to modifications in the underlying econometric model and are consistent with intuitive interpretation of the results.

Keywords: hedge funds, systemic risk, vector autoregressive model, risk monitoring

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Authors: Rachelle McFarlane

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The Second Decade of Action Road Safety has begun with increased focus on countries who are disproportionately affected by road fatalities. Researchers highlight the low effectiveness of road safety campaigns in Latin America and the Caribbean (LAC) still reporting approximately 130,000 deaths and six million injuries annually. The regional fatality rate 19.2 per 100,000 with heightened concern for persons 15 to 44 years. In 2021, 483 Jamaicans died in 435 crashes, with 33% of these fatalities occurring during Covid-19 curfew hours. The study objective is to conduct a systemic safety review of Jamaican road crashes and provide a framework for its use in complementing traditional methods. The methodology involves the use of the FHWA Systemic Safety Project Selection Tool for analysis. This tool reviews systemwide data in order to identify risk factors across the network associated with severe and fatal crashes, rather that only hotspots. A total of 10,379 crashes with 745 fatalities and serious injuries were reviewed. Of the focus crash types listed, 50% of ‘Pedestrian Accidents’ resulted in fatalities and serious injuries, followed by 32% ‘Bicycle’, 24% ‘Single’ and 12% of ‘Head-on’. This study seeks to understand the associated risk factors with these priority crash types across the network and recommend cost-effective countermeasures across common sites. As we press towards Vision Zero, the inclusion of the systemic safety review method, complementing traditional methods, may create a wider impact in reducing road fatalities and serious injury by targeting issues across network with similarities; focus crash types and contributing factors.

Keywords: systemic safety review, risk factors, road crashes, crash types

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Authors: Wassamon Kun-Amornpong

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When a financial crisis occurs, there will be a law and regulatory reform in order to manage the turmoil and prevent a future crisis. One of the most important regulatory efforts to help cope with systemic risk and a financial crisis is the third version of the Basel Accord. Basel III has introduced some measures and tools (e.g., systemic risk buffer, countercyclical buffer, capital conservation buffer and liquidity risk) in order to mitigate systemic risk. Nevertheless, the effectiveness of these measures in Basel III in adequately addressing the problem of contagious runs that can quickly spread throughout the financial system is questionable. This paper seeks to contribute to the knowledge regarding the role of the Basel Accords in mitigating systemic risk. The research question is to what extent the Basel Accords can help control systemic risk in the financial markets? The paper tackles this question by analysing the concept of systemic risk. It will then examine the weaknesses of the Basel Accords before and after the Global financial crisis in 2008. Finally, it will suggest some possible solutions in order to improve the Basel Accord. The rationale of the study is the fact that academic works on systemic risk and financial crises are largely studied from economic or financial perspective. There is comparatively little research from the legal and regulatory perspective. The finding of the paper is that there are some problems in all of the three pillars of the Basel Accords. With regards to Pillar I, the risk model is excessively complex while the benefits of its complexity are doubtful. Concerning Pillar II, the effectiveness of the risk-based supervision in preventing systemic risk still depends largely upon its design and implementation. Factors such as organizational culture of the regulator and the political context within which the risk-based supervision operates might be a barrier against the success of Pillar II. Meanwhile, Pillar III could not provide adequate market discipline as market participants do not always act in a rational way. In addition, the too-big-to-fail perception reduced the incentives of the market participants to monitor risks. There has been some development in resolution measure (e.g. TLAC and MREL) which might potentially help strengthen the incentive of the market participants to monitor risks. However, those measures have some weaknesses. The paper argues that if the weaknesses in the three pillars are resolved, it can be expected that the Basel Accord could contribute to the mitigation of systemic risk in a more significant way in the future.

Keywords: Basel accords, financial regulation, risk-based supervision, systemic risk

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Authors: Jadwiga Królikowska, Andrzej Królikowski, Jarosław Bajer

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The work delineates the threats of maladjustment of the capacity of rain canals, designed and built in the early 20th century, in connection to heavy rainfall, especially in summer. This is the cause of the so called 'urban floods.' It directly relates to fierce raise of paving in the cities. Resolving this problem requires a change in philosophy of draining the rainfall by wider use of retention, infiltration and usage of rainwater. In systemic approach to managing the safety of urban drainage systems the risk, which is directly connected to safety failures, has been accepted as a measure. The risk level defines the probability of occurrence of losses grater than the ones forecast for a given time frame. The procedure of risk modelling, enabling its numeric analysis by using appropriate weights, is a significant issue in this paper.

Keywords: drainage system, urban areas, risk measurement, systemic approach

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Authors: İlhami Karahanoglu, Oguz Ceylan

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As its well-known definitions; systemic risk refers to whole economic system down-turn movement even collapse together in very severe cases. In fact, it points out the contagion effects of the defaults. Such a risk is can be depicted with the famous Chinese game of falling domino stones. During and after the Bear & Sterns and Lehman Brothers cases, it was well understood that there is a very strong effect of systemic risk in financial services sector. In this study, we concentrate on the existence of systemic risk in Turkish Banking Sector based upon the Halkbank Case during the end month of 2013; there was a political turmoil in Turkey in which the close relatives of the upper politicians were involved in illegal trading activities. In that operation, the CEO of Halkbank was also arrested and in investigation, Halkbank was considered as part of such illegal actions. That operation had an impact on Halkbanks stock value. The Halkbank stock value during that time interval decreased remarkably, the distributional profile of stock return changed and became more volatile as well as more skewed. In this study, the daily returns of 5 leading banks in Turkish banking sector were used to obtain 48 return distributions (for each month, 90-days-back stock value returns are used) of 5 banks for the period 12/2011-12/2013 (pre operation period) and 12/2013-12/2015 (post operation period). When those distributions are compared with timely manner, interestingly; the distribution of the 5 other leading banks in Turkey, public or private, had also distribution profiles which was different from the past 2011-2013 period just like Halkbank. Those 5 big banks, whose stock values are monitored with sub index in Istanbul stock exchange (BIST) as BN10, had more skewed distribution just following the Halkbank stock return movement during the post operation period, with lover mean value and as well higher volatility. In addition, the correlation between the stock value return distributions of the leading banks after Halkbank case, where the returns are more skewed to the left, increased (which is measured in monthly base before and after the operation). The dependence between those banks was stronger under the case where the stock values were falling compared with the normal market condition. Such distributional effect of stock returns between the leading banks in Turkey, which is valid for down sub-market (financial/banking sector) condition, can be evaluated as an evidence for the existence of contagious effect and systemic risk.

Keywords: financial risk, systemic risk, banking sector, return distribution, dependency structure

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Authors: Ender Su, Kai Wen Wong, I-Ling Ju, Ya-Ling Wang

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In this study, the systemic risk change of Taiwan’s banking sector is analyzed during the financial crisis. The risk expose of each financial institutions to the whole Taiwan banking systemic risk or vice versa under financial distress are measured by conditional Value-at-Risk (CoVaR) and conditional coherent expected shortfall (CoES). The CoVaR and CoES are estimated by using vector quantile autoregression (MVMQ-CaViaR) with the daily stock returns of each banks included domestic and foreign banks in Taiwan. The daily in-sample data covered the period from 05/20/2002 to 07/31/2007 and the out-of-sample period until 12/31/2013 spanning the 2008 U.S. subprime crisis, 2010 Greek debt crisis, and post risk duration. All banks in Taiwan are categorised into several groups according to their size of market capital, leverage and domestic/foreign to find out what the extent of changes of the systemic risk as the risk changes between the individuals in the bank groups and vice versa. The final results can provide a guidance to financial supervisory commission of Taiwan to gauge the downside risk in the system of financial institutions and determine the minimum capital requirement hold by financial institutions due to the sensibility changes in CoVaR and CoES of each banks.

Keywords: bank financial distress, vector quantile autoregression, CoVaR, CoES

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Authors: Jadwiga Królikowska, Andrzej Królikowski, Jarosław Bajer

Abstract:

The work delineates the threats of maladjustment of the capacity of rain canals, designed and built in the early 20th century, in connection to heavy rainfall, especially in summer. This is the cause of the so called 'urban floods.' It directly relates to fierce raise of paving in the cities. Resolving this problem requires a change in philosophy of draining the rainfall by wider use of retention, infiltration and usage of rainwater. In systemic approach to managing the safety of urban drainage systems the risk, which is directly connected to safety failures, has been accepted as a measure. The risk level defines the probability of occurrence of losses greater than the ones forecast for a given time frame. The procedure of risk modelling, enabling its numeric analysis by using appropriate weights, is a significant issue in this paper.

Keywords: risk management, drainage system, urban areas, urban floods

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Authors: Sujesh F. Sujan, Steve W. Jones, Arto Kiviniemi

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The use of Building Information Modelling (BIM) in the Architectural-Engineering-Construction (AEC) industry is a form of systemic innovation. Unlike incremental innovation, (such as the technological development of CAD from hand based drawings to 2D electronically printed drawings) any form of systemic innovation in Project-Based Inter-Organisational Networks requires complete collaboration and results in numerous benefits if adopted and utilised properly. Proper use of BIM involves people collaborating with the use of interoperable BIM compliant tools. The AEC industry globally has been known for its adversarial and fragmented nature where firms take advantage of one another to increase their own profitability. Due to the industry’s nature, getting people to collaborate by unifying their goals is critical to successful BIM adoption. However, this form of innovation is often being forced artificially in the old ways of working which do not suit collaboration. This may be one of the reasons for its low global use even though the technology was developed more than 20 years ago. Therefore, there is a need to develop a metric/method to support and allow industry players to gain confidence in their investment into BIM software and workflow methods. This paper departs from defining systemic risk as a risk that affects all the project participants at a given stage of a project and defines categories of systemic risks. The need to generalise is to allow method applicability to any industry where the category will be the same, but the example of the risk will depend on the industry the study is done in. The method proposed seeks to use individual perception of an example of systemic risk as a key parameter. The significance of this study lies in relating the variance of individual perception of systemic risk to how much the team is collaborating. The method bases its notions on the claim that a more unified range of individual perceptions would mean a higher probability that the team is collaborating better. Since contracts and procurement devise how a project team operates, the method could also break the methodological barrier of highly subjective findings that case studies inflict, which has limited the possibility of generalising between global industries. Since human nature applies in all industries, the authors’ intuition is that perception can be a valuable parameter to study collaboration which is essential especially in projects that utilise systemic innovation such as BIM.

Keywords: building information modelling, perception of risk, systemic innovation, team collaboration

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Authors: Hannes Koester

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Driven by difficult market conditions and increasing regulations, many banks are making the strategic decision to restructure their portfolio by divesting several business segments. Using a unique dataset of 727 portfolio restructuring announcements by 161 international listed banks over the period 1999 to 2015, we investigate the impact of restructuring measurements on the stock performance as well as on the banks’ profitability and risk. Employing the event study methodology, we detect positive stock market reactions on the announcement of restructuring measurements. These positive stock market reactions indicate that shareholders reward banks’ specialization activities. However, the results of the system GMM regressions show a negative relation between restructuring measurements and banks’ return on assets and a positive relation towards the individual and systemic risk of banks. These empirical results indicate that there is no guarantee that portfolio restructurings will result in a more profitable and less risky institution.

Keywords: bank performance, bank risk, divestiture, restructuring, systemic risk

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Authors: Tamanna Rimi

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A large body of literature has discussed the determinants of migration decision. However, the potential role of individual risk attitudes on migration decision has so far been overlooked. The research on migration literature has studied how the expected income differential influences migration flows for a risk neutral individual. However, migration takes place when there is no expected income differential or even the variability of income appears as lower than in the current location. This migration puzzle motivates a recent trend in the literature that analyzes how attitudes towards risk influence the decision to migrate. However, the significance of risk attitudes on migration decision has been addressed mostly in a theoretical perspective in the mainstream migration literature. The efficient outcome of labor market and overall economy are largely influenced by migration in many countries. Therefore, attitudes towards risk as a determinant of migration should get more attention in empirical studies. To author’s best knowledge, this is the first study that has examined the relationship between relative risk aversion and migration decision in US market. This paper considers movement across United States as a means of migration. In addition, this paper also explores the network effect due to the increasing size of one’s own ethnic group to a source location on the migration decision and how attitudes towards risk vary with network effect. Two ethnic groups (i.e. Asian and Hispanic) have been considered in this regard. For the empirical estimation, this paper uses two sources of data: 1) U.S. census data for social, economic, and health research, 2010 (IPUMPS) and 2) University of Michigan Health and Retirement Study, 2010 (HRS). In order to measure relative risk aversion, this study uses the ‘Two Sample Two-Stage Instrumental Variable (TS2SIV)’ technique. This is a similar method of Angrist (1990) and Angrist and Kruegers’ (1992) ‘Two Sample Instrumental Variable (TSIV)’ technique. Using a probit model, the empirical investigation yields the following results: (i) risk attitude has a significantly large impact on migration decision where more risk averse people are less likely to migrate; (ii) the impact of risk attitude on migration varies by other demographic characteristics such as age and sex; (iii) people with higher concentration of same ethnic households living in a particular place are expected to migrate less from their current place; (iv) the risk attitudes on migration vary with network effect. The overall findings of this paper relating risk attitude, migration decision and network effect can be a significant contribution addressing the gap between migration theory and empirical study in migration literature.

Keywords: migration, network effect, risk attitude, U.S. market

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Authors: C. V. Pietreanu, S. E. Zaharia, C. Dinu

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The present research is built on three major pillars, commencing by making some considerations on accident investigation methods and pointing out both defining aspects and differences between linear and non-linear analysis. The traditional linear focus on accident analysis describes accidents as a sequence of events, while the latest systemic models outline interdependencies between different factors and define the processes evolution related to a specific (normal) situation. Linear and non-linear accident analysis methods have specific limitations, so the second point of interest is mirrored by the aim to discover the drawbacks of systemic models which becomes a starting point for developing new directions to identify risks or data closer to the cause of incidents/accidents. Since communication represents a critical issue in the interaction of human factor and has been proved to be the answer of the problems made by possible breakdowns in different communication procedures, from this focus point, on the third pylon a new error-modeling instrument suitable for risk assessment/accident analysis will be elaborated.

Keywords: accident analysis, multi-factorial error modeling, risk, systemic methods

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Authors: Yang Yu, Jian Wang, Jiqiang Liu, Lei Han, Xudong He, Shaohua Lv

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As the increasing network attacks become more and more complex, network situation assessment based on log analysis cannot meet the requirements to ensure network security because of the low quality of logs and alerts. This paper addresses the lack of consideration of security attributes of hosts and attacks in the network. Identity and effectiveness of Distributed Denial of Service (DDoS) are hard to be proved in risk assessment based on alerts and flow matching. This paper proposes a multi-dimension threat situation assessment method based on network security attributes. First, the paper offers an improved Common Vulnerability Scoring System (CVSS) calculation, which includes confident risk, integrity risk, availability risk and a weighted risk. Second, the paper introduces deterioration rate of properties collected by sensors in hosts and network, which aimed at assessing the time and level of DDoS attacks. Third, the paper introduces distribution of asset value in security attributes considering features of attacks and network, which aimed at assessing and show the whole situation. Experiments demonstrate that the approach reflects effectiveness and level of DDoS attacks, and the result can show the primary threat in network and security requirement of network. Through comparison and analysis, the method reflects more in security requirement and security risk situation than traditional methods based on alert and flow analyzing.

Keywords: DDoS evaluation, improved CVSS, network security attribute, threat situation assessment

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Authors: Amanda R. R. Oliveira, Caio F. F. C. Cunha, Juan C. L. Junior, Amorim H. P. Junior

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Children deaths are traumatic events that most often can be prevented. The technology of prevention and intervention in cases of infant deaths is available at low cost and with solid evidence and favorable results, however, with low access cover. Weight is one of the main factors related to death in the neonatal period, so the newborns of low birth weight are a population at high risk of death in the neonatal period, especially early neonatal period. This paper describes the development of a model based in neural network analysis to predict the mortality risk rating in the early neonatal period for newborns of low birth weight to identify the individuals of this population with increased risk of death. The neural network applied was trained with a set of newborns data obtained from Brazilian health system. The resulting network presented great success rate in identifying newborns with high chances of death, which demonstrates the potential for using this tool in an integrated manner to the health system, in order to direct specific actions for improving prognosis of newborns.

Keywords: low birth weight, neonatal death risk, neural network, newborn

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Authors: Sajjad Baghernezhad

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Meta-heuristic and hybrid algorithms have high adeer in modeling medical problems. In this study, a neural network was used to predict covid-19 among high-risk and low-risk patients. This study was conducted to collect the applied method and its target population consisting of 550 high-risk and low-risk patients from the Kerman University of medical sciences medical center to predict the coronavirus. In this study, the memetic algorithm, which is a combination of a genetic algorithm and a local search algorithm, has been used to update the weights of the neural network and develop the accuracy of the neural network. The initial study showed that the accuracy of the neural network was 88%. After updating the weights, the memetic algorithm increased by 93%. For the proposed model, sensitivity, specificity, positive predictivity value, value/accuracy to 97.4, 92.3, 95.8, 96.2, and 0.918, respectively; for the genetic algorithm model, 87.05, 9.20 7, 89.45, 97.30 and 0.967 and for logistic regression model were 87.40, 95.20, 93.79, 0.87 and 0.916. Based on the findings of this study, neural network models have a lower error rate in the diagnosis of patients based on individual variables and vital signs compared to the regression model. The findings of this study can help planners and health care providers in signing programs and early diagnosis of COVID-19 or Corona.

Keywords: COVID-19, decision support technique, neural network, genetic algorithm, memetic algorithm

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Authors: Jitendra Aswani

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In the first section of this study, impact of Global Financial Crisis (GFC) on the synchronization of fourteen Asian Stock Markets (ASM’s) of countries like Hong Kong, India, Thailand, Singapore, Taiwan, Pakistan, Bangladesh, South Korea, Malaysia, Indonesia, Japan, China, Philippines and Sri Lanka, has been analysed using the network science and its metrics like degree of node, clustering coefficient and network density. Then in the second section of this study by introducing the US stock market in existing network and developing a Minimum Spanning Tree (MST) spread of crisis from the US stock market to Asian Stock Markets (ASM) has been explained. Data used for this study is adjusted the closing price of these indices from 6th January, 2000 to 15th September, 2013 which further divided into three sub-periods: Pre, during and post-crisis. Using network analysis, it is found that Asian stock markets become more interdependent during the crisis than pre and post crisis, and also Hong Kong, India, South Korea and Japan are systemic important stock markets in the Asian region. Therefore, failure or shock to any of these systemic important stock markets can cause contagion to another stock market of this region. This study is useful for global investors’ in portfolio management especially during the crisis period and also for policy makers in formulating the financial regulation norms by knowing the connections between the stock markets and how the system of these stock markets changes in crisis period and after that.

Keywords: global financial crisis, Asian stock markets, network science, Kruskal algorithm

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Authors: Majid Lotfi Ghahroud, Seyed Jalal Tabatabaei, Ebrahim Karami, AmirArsalan Ghergherechi, Amir Ali Saeidi

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In this study, the relationship between investment growth and stock returns of companies listed in Tehran Stock Exchange and whether their relationship -behavioral or risk factors- are discussed. Generally, there are two perspectives; risk-based approach and behavioral approach. According to the risk-based approach due to increase investment, systemic risk and consequently the stock returns are reduced. But due to the second approach, an excessive optimism or pessimism leads to assuming stock price with high investment growth in the past, higher than its intrinsic value and the price of stocks with lower investment growth, less than its intrinsic value. The investigation period is eight years from 2007 to 2014. The sample consisted of all companies listed on the Tehran Stock Exchange. The method is a portfolio test, and the analysis is based on the t-student test (t-test). The results indicate that there is a negative relationship between investment growth and stock returns of companies and this negative correlation is stronger for firms with higher cash flow. Also, the negative relationship between asset growth and stock returns is due to behavioral factors.

Keywords: behavioral theory, investment growth, risk-based theory, stock returns

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Authors: Umesh Kumar Singh, Chanchala Joshi

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With increasing dependency on IT infrastructure, the main objective of a system administrator is to maintain a stable and secure network, with ensuring that the network is robust enough against malicious network users like attackers and intruders. Security risk management provides a way to manage the growing threats to infrastructures or system. This paper proposes a framework for risk level estimation which uses vulnerability database National Institute of Standards and Technology (NIST) National Vulnerability Database (NVD) and the Common Vulnerability Scoring System (CVSS). The proposed framework measures the frequency of vulnerability exploitation; converges this measured frequency with standard CVSS score and estimates the security risk level which helps in automated and reasonable security management. In this paper equation for the Temporal score calculation with respect to availability of remediation plan is derived and further, frequency of exploitation is calculated with determined temporal score. The frequency of exploitation along with CVSS score is used to calculate the security risk level of the system. The proposed framework uses the CVSS vectors for risk level estimation and measures the security level of specific network environment, which assists system administrator for assessment of security risks and making decision related to mitigation of security risks.

Keywords: CVSS score, risk level, security measurement, vulnerability category

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Authors: Emir H. Pernet, Jeimy J. Cano

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Maturity models, used descriptively to explain changes in reality or normatively to guide managers to make interventions to make organizations more effective and efficient, are based on the principles of statistical quality control promulgated by Shewhart in the years 30, and on the principles of PDCA continuous improvement (Plan, Do, Check, Act) developed by Deming and Juran. Some frameworks developed over the concept of maturity models includes COBIT, CMM, and ITIL. This paper presents some limitations of traditional maturity models, most of them based on points of reflection and analysis done by some authors. Almost all limitations are related to the mechanistic and reductionist approach of the principles over those models are built. As Systems Theory helps the understanding of the dynamics of organizations and organizational change, the development of a systemic maturity model can help to overcome some of those limitations. This document proposes a systemic maturity model, based on a systemic conceptualization of organizations, focused on the study of the functioning of the parties, the relationships among them, and their behavior as a whole. The concept of maturity from the system theory perspective is conceptually defined as an emergent property of the organization, which arises from as a result of the degree of alignment and integration of their processes. This concept is operationalized through a systemic function that measures the maturity of an organization, and finally validated by the measuring of maturity in organizations. For its operationalization and validation, the model was applied to measure the maturity of organizational Governance, Risk and Compliance (GRC) processes.

Keywords: GRC, maturity model, systems theory, viable system model

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Authors: Ratna Kuswardani

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This paper aims to study the impact of recent Global Financial Crisis (GFC) on 6 selected emerging Asian economies (Indonesia, Malaysia, Thailand, Philippines, Singapore, and South Korea). We first figure out the contagion of GFC from the US and Europe to the selected emerging Asian countries by studying the tail dependence of market stock returns between those countries. We apply the concept of Extreme Value Theory (EVT) to model the dependence between multiple returns series of variables under examination. We explore the factors causing the contagion between the regions. We find dependencies between markets that are influenced by their size, especially for large markets in emerging Asian countries that tend to have a higher dependency to the market in the more advanced country such as the U.S. and some countries in Europe. The results also suggest that the dependencies between market returns and bank stock returns in the same region tend to be higher than dependencies between these returns across two different regions. We extend our analysis by studying the impact of GFC on the systemic in the banking system. We also find that larger institution has more dependencies with the market stock, suggesting that larger size bank can cause disruption in the market. Further, the higher probability of extreme loss can be seen during the crisis period, which is shown by the non-linear dependency between the pre-crisis and the post-crisis period. Finally, our analysis suggests that systemic risk appears in the domestic banking systems in emerging Asia, as shown by the extreme dependencies within banks in the system. Overall, our results provide caution to policy makers and investors alike on the possible contagion of the impact of global financial crisis across different markets.

Keywords: contagion, extreme value theory, global financial crisis, systemic risk

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Authors: Fereshteh Darash

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Reflective tax management corresponds to the Agency Theory since it determines the motivation of managers for tax management actions and short-term and long-term consequences. Therefore, selection of tax strategy contributes to the tax and financial position of the firm in the future. The aim of the present research is to evaluate the effect of tax management components on risk-taking of firms listed in Tehran stock exchange by using regression analysis method. Results show that tax effective rate, tax risk and tax planning have no significant effect on the firm's future risk. Results suggest that stakeholders assess the effective tax rate and delay in tax payment in line with their benefits. They tend to accept the higher risk cost for reduction of tax payments and benefits of higher liquidity in current period. Hence, effective tax rate and tax risk have no significant effect on future risk of the firm. Moreover, tax planning yields no information regarding the predictability of the future profits and as a result, it has no significant effect on the future risk of the firm since specific goals of financial reporting are in priority for the stakeholders and regardless of the firm’s data analysis, they take investment decisions and they less intend to purchase the stocks in a rational manner.

Keywords: tax management, tax effective rate, tax risk, tax planning, firm risk

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Authors: Wang Xue, Fan Liwei

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The trust and use of social network platforms by users are instrumental factors that contribute to the platform’s sustainable development. Studying the influential factors of the use of social network platforms is beneficial for developing and maintaining a large user base. This study constructed an extended unified theory of acceptance and use of technology (UTAUT2) moderating model with perceived privacy risks to analyze the factors affecting the trust and use of social network platforms. 444 participants completed our 35 surveys, and we verified the survey results by structural equation model. Empirical results reveal the influencing factors that affect the trust and use of social network platforms, and the extended UTAUT2 model with perceived privacy risks increases the applicability of UTAUT2 in social network scenarios. Social networking platforms can increase their use rate by increasing the economics, functionality, entertainment, and privacy security of the platform.

Keywords: perceived privacy risk, social network, trust, use, UTAUT2 model

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Authors: Dweepabiswa Bagchi, D. V. Senthilkumar

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Numerous studies have typically demonstrated the devastation of invasions on an isolated ecosystem or, at most, a network of dispersively coupled similar ecosystem patches. Using such a simplistic 2-D network model, one can only consider dispersal coupling and inter-species trophic interactions. However, in a realistic ecosystem, numerous species co-exist and interact trophically and non-trophically in groups of 2 or more. Even different types of dispersal can introduce complexity in an ecological network. Therefore, a more accurate representation of actual ecosystems (or ecological networks) is a complex network consisting of motifs formed by two or more interacting species. Here, the apropos structure of the network should be multiplex or multi-layered. Motifs between different patches or species should be identical within the same layer and vary from one layer to another. This study investigates three distinct ecological multiplex networks facing invasion from one or more external species. This work determines and quantifies the criteria for the increased extinction risk of these networks. The dynamical states of the network with high extinction risk, i.e., the danger states, and those with low extinction risk, i.e., the resistive network states, are both subsequently identified. The analysis done in this study further quantifies the persistence of the entire network corresponding to simultaneous changes in the strength of invasive dispersal and higher-order trophic and non-trophic interactions. This study also demonstrates that the ecosystems enjoy an inherent advantage against invasions due to their multiplex network structure.

Keywords: increased ecosystem persistence, invasion on ecosystems, multiplex networks, non-trophic interactions

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Authors: Maryam Radan, Fereshteh Nejad Dehbashi, Vahid Bayati, Mahin Dianat, Seyyed Ali Mard, Zahra Mansouri

Abstract:

Pulmonary emphysema is a pathological respiratory condition identified by alveolar destruction which leads to limitation of airflow and diminished lung function. A substantial body of evidence suggests that mesenchymal stem cells (MSCs) have the ability to induce tissue repair primarily through a paracrine effect. In this study, we aimed to determine the efficacy of Intratracheal adipose-derived mesenchymal stem cells (ADSCs) therapy in comparison to this approach with that of Intravenous (Systemic) therapy. Fifty adult male Sprague–Dawley rats weighing between 180 and 200 g were used in this experiment. The animals were randomized to Control groups (Intratracheal or Intravenous vehicle), Elastase group (intratracheal administration of porcine pancreatic elastase; 25 U/kg on day 0 and day 10th), Elastase+Intratracheal ADSCs therapy (1x107 Cells, on day 28) and Elastase+Systemic ADSCs therapy (1x107 Cells, on day 28). The rats which not subjected to any treatment, considered as the control. All rats were sacrificed 3 weeks later. Morphometric findings in lung tissues (Mean linear intercept) confirmed the establishment of the emphysema model via alveolar disruption. Contrarily, ADSCs administration partially restored alveolar architecture. These results were associated with improving arterial oxygenation, reducing lung edema, and decreasing lung inflammation with higher significant effects in the Intratracheal therapy route. These results documented that the efficacy of intratracheal ADSCs was comparable with intravenous ADSCs therapy. Accordingly, the obtained data suggested that intratracheal delivery of ADSCs would enhance lung repair in pulmonary emphysema. Moreover, this method provides benefits over a systemic administration, such as the reduction of cell number and the low risk to engraft other organs.

Keywords: mesenchymal stem cell, emphysema, Intratracheal, systemic

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Authors: Hotlan Siagian, Han Tae Hee

Abstract:

This study aims to examine the effect of supplier trust and top management involvement on the supply chain risk management through buyer-supplier relationship. The population of the research is 44 Korean companies domiciled in East and Central Java of Indonesia. The respondent consists of a top management level from each company. Data collection used a questionnaire designed with five-item Likert scale. Collected data were analyzed using structural equation modeling (SEM) technique with SmartPLS software version 3.0 to examine the hypotheses. The result revealed that supplier trust has an effect on supply chain risk management, top management involvement affects supply chain risk management, supplier trust influences buyer-supplier relationship, top management involvement affects the buyer-supplier relationship, and buyer-supplier relationship affects supply chain risk management. The last finding is that buyer-supplier relationship empirically mediates the effect of supplier trust and top management involvement.

Keywords: buyer supplier relationship, supplier trust, supply chain risk management, top management involvement

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Authors: Zhizhong Yuan, Lili Wang, Chenya Zheng, Wuqi Yang

Abstract:

How to encourage and support peer-to-peer (P2P) network lending, and effectively monitor the risk of P2P network lending, has become the focus of the Chinese government departments, industrialists, experts and scholars in recent years. The reason is that this convenient online micro-credit service brings a series of credit risks and other issues. Avoiding the risks brought by the P2P network lending model, it can better play a benign role and help China's small and medium-sized private enterprises with vigorous development to solve the capital needs; otherwise, it will bring confusion to the normal financial order. As a form of financial services, P2P network lending has injected new blood into China's non-government finance in the past ten years, and has found a way out for idle funds and made up for the shortage of traditional financial services in China. However, it lacks feasible measures in credit evaluation and government supervision. This paper collects a large amount of data about P2P network lending of China. The data collection comes from the official media of the Chinese government, the public achievements of existing researchers and the analysis and collation of correlation data by the authors. The research content of this paper includes literature review; the current situation of China's P2P network lending development; the risk analysis of P2P network lending in China; the risk prevention strategy of P2P network lending in China. The focus of this paper is to try to find a specific program to strengthen supervision and avoid risks from the perspective of government regulators, operators of P2P network lending platform, investors and users of funds. These main measures include: China needs to develop self-discipline organization of P2P network lending industry and formulate self-discipline norms as soon as possible; establish a regular information disclosure system of P2P network lending platform; establish censorship of credit rating of borrowers; rectify the P2P network lending platform in compliance through the implementation of bank deposition. The results and solutions will benefit all the P2P network lending platforms, creditors, debtors, bankers, independent auditors and government agencies of China and other countries.

Keywords: peer-to-peer(P2P), regulation, risk prevention, supervision

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Authors: Fathia Ehmouda Zaid, Reim Abudelnbi

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Cardiovascular disease is a major cause of morbidity and mortality in patients with systemic lupus erythematosus (SLE). Patients and method: Cross-section study (68) patients diagnosed as systemic lupus erythematosus (SLE), who visited the outpatient clinic of rheumatology, these patients were interviewed with a structured questionnaire about their past and current clinically for presence of Cardiovascular disease in systemic lupus and use SLEDAI, specific tests [ECG –ECHO –CXRAY] the data are analyzed statistically by Pearson's correlation coefficient was calculated and statistical significance was defined as P< 0.05,during period (2013-2014). Objective: Estimation Cardiovascular disease manifestation of systemic lupus erythematosus, correlation with disease activity, morbidity, and mortality. Result: (68) Patients diagnosed as systemic lupus erythematosus' age range from (18-48 years), M=(13±29Y), Sex were female 66/68 (97.1%), male 2/68 (2.9%),duration of disease range[1-15year], M =[7±8y], we found Cardiovascular disease manifestation of systemic lupus erythematosus 32/68 (47.1%), correlation with disease activity use SLEDAI,(r= 476** p=0.000),Morbidity,(r= .554**; p=0.000) and mortality (r=.181; p=.139), Cardiovascular disease manifestations of systemic lupus erythematosus are pericarditis 8/68 (11.8%), pericardial effusion 6/68 (8.8%), myocarditis 4/68 (5.9 %), valvular lesions (endocarditis) 1/68 (1.5%), pulmonary hypertension (PAH) 12/68 (17.6%), coronary artery disease 1/68 (1.5%), none of patients have conduction abnormalities involvement. Correlation with disease activity use SLEDAI, pericarditis (r= .210, p=.086), pericardial effusion (r= 0.079, p=.520), myocarditis (r= 272*, p=.027), valvular lesions (endocarditis) (r= .112, p= .362), pulmonary hypertension (PAH) (r= .257*, p=.035) and coronary artery disease (r=.075, p=.544) correlation between cardiovascular disease manifestations of systemic lupus erythematosus and specific organ involvement we found Mucocutaneous (r=.091 p= .459), musculoskeletal (MSK) (r=.110 p=.373), Renal disease (r=.278*, p=.022), neurologic disease (r=.085, p=.489) and Hematologic disease (r=-.264*, p=.030). Conclusion: Cardiovascular manifestation is more frequent symptoms with systemic lupus erythematosus (SLE) is 47 % correlation with disease activity and morbidity but not with mortality. Recommendations: Focus research to evaluation and an adequate assessment of cardiovascular complications on the morbidity and mortality of the patients with SLE are still required.

Keywords: cardiovascular disease, systemic lupus erythematosus, disease activity, mortality

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Authors: Xiaohan Bookman, Xiaoyan Zhu

Abstract:

Margin-Based Principle has been proposed for a long time, it has been proved that this principle could reduce the structural risk and improve the performance in both theoretical and practical aspects. Meanwhile, feed-forward neural network is a traditional classifier, which is very hot at present with a deeper architecture. However, the training algorithm of feed-forward neural network is developed and generated from Widrow-Hoff Principle that means to minimize the squared error. In this paper, we propose a new training algorithm for feed-forward neural networks based on Margin-Based Principle, which could effectively promote the accuracy and generalization ability of neural network classifiers with less labeled samples and flexible network. We have conducted experiments on four UCI open data sets and achieved good results as expected. In conclusion, our model could handle more sparse labeled and more high-dimension data set in a high accuracy while modification from old ANN method to our method is easy and almost free of work.

Keywords: Max-Margin Principle, Feed-Forward Neural Network, classifier, structural risk

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