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This study analyses the bank market competition and bank interest margins in the European Union member countries banking sector during the period 2007–2019, using panel data analysis and aggregated data for each country ́s banking sector. Our starting point is the theory about market structure and two structural indexes are used as proxies of the degree of market competition. The methodology is based on the model developed by Ho and Saunders (1981), where the bank is viewed as a risk averse dealer amongst borrowers and lenders. This model has later been extended to fit analyses on nationally aggregated levels, which is appropriate in this study. The result show that bank concentration is not statistically significant in explaining variability of interest margin in the EU banking sectors. Instead, the statistically significant determinants of interest margins are more bank specific variables, such as average operating cost and credit risk. Although this study cannot claim economic significance, it provides information that economic policies should be designed to lower average operating cost rather than market competition, in order to lower interest margin. / I denna studie analyserar vi konkurrensen på bankmarknaden och bankernas räntemarginaler i Europeiska unionens medlemsländers banksektor under perioden 2007–2019, genom paneldataanalys och aggregerad data för varje lands banksektor. Vår utgångspunkt är teorin om marknadsstruktur och vi använder två strukturella mått för att mäta konkurrens på marknaden. Metoden är baserad på den modell som Ho and Saunders (1981) utformade, där banken ses som en riskavert förmedlare mellan låntagare och långivare. Modellen har sedan utökats till att lämpa sig för analyser på en nationellt aggregerad nivå, vilket är passande för denna studie. Resultatet visar att konkurrens på bankmarknaden inte på ett statistiskt signifikant sätt förklarar variabilitet i räntemarginalen. Istället visar resultatet att de statistiskt signifikanta faktorerna för räntemarginalen är mer bankspecifika variabler, såsom genomsnittlig operationell kostnad och kreditrisk. Trots att denna studie inte kan påvisa ekonomisk signifikans, ger den information om att ekonomiska policys bör utformas för att sänka den genomsnittliga operationella kostnaden snarare än att öka marknadskonkurrens, för att minska räntemarginalen.

The mechanism through which the Appalachian Mountains have maintained moderate relief some ~300 Myr after the cessation of mountain building has long puzzled geomorphologists. As recent studies have shown that Appalachian exhumation has occurred at slow rates consistent with isostatic rebound of thickened crust, the driving forces behind localized episodes of accelerated incision and the associated rugged topography have been difficult to explain given the absence of tectonic uplift. This study uses previously undocumented relict fluvial gravels and knickpoint location to confirm the role of drainage rearrangement in producing local base level drop and subsequent basin-scale transient incision in the southern Appalachians. This process is fundamentally driven by the high potential energy of streams flowing across the elevated, slowly eroding Blue Ridge Plateau relative to the present Atlantic and landward interior base levels. Gravel deposits confirm that repeated capture of landward-draining Plateau streams by Atlantic basin streams, whose immediate base level is 250-300 m lower, forces episodic rapid incision and overall erosional retreat of the Blue Ridge Escarpment along the Plateau margin. The distribution of knickpoints, bedrock gorges, and relict surfaces in the interior of the Plateau indicate that the New River, which drains to the continental interior, is actively incising the low-relief Plateau surface due to episodic drops in landward base level. The origin of landward base level perturbation is unclear, but it may be the result of glacially-driven shortening and steepening of the lower New River during the Pleistocene. Collectively, these data indicate that rapid base level drop through drainage reorganization can energize streams in otherwise stable landscapes and accelerate fluvial incision and relief production without uplift of the land surface. This process is likely quite significant in post-orogenic settings, where inherited drainage patterns may not reflect the most direct, and thus energetically appropriate, path to present base level. Passive margins may therefore never achieve a topographic steady-state, despite uniformly slow and constant uplift due to isostatic rebound. / Ph. D.

Yes / Voltage instability problems in power system are an important issue that should be taken into consideration during the planning and operation stages of modern power system networks. The system operators always need to know how far the power systems from voltage collapse in order to apply suitable action to avoid unexpected results. This paper propose a review of some static voltage stability indices found in the literature to study voltage collapse reveals that various analytical tools based on different concept to predict voltage collapse phenomena. These static voltage stability indices present reliable information about the closeness of the power system to voltage collapse and identification of the weakest bus, line and area in the power network. A number of static voltage stability indices have been proposed in the literature, but in this only four of them will be considered. The effectiveness of these indices is demonstrated through studies in IEEE 14 bus reliability test system. The results are discussed and key conclusion presented. / MSCRC

京都大学 / 新制・課程博士 / 博士(人間健康科学) / 甲第25214号 / 人健博第120号 / 京都大学大学院医学研究科人間健康科学系専攻 / (主査)教授 杉本 直三, 教授 高桑 徹也, 教授 溝脇 尚志 / 学位規則第4条第1項該当 / Doctor of Human Health Sciences / Kyoto University / DFAM

In this thesis, an optimal multivariable current control method is presented for the highspeed permanent magnet synchronous motor (HS-PMSM). The HS-PMSMs have growing applications in the industry. One of their major challenges is the low switching to fundamental frequency ratio (SFR). At high speed and low SFR, the control time delays including the digital, the PWM, and sensor delays become more pronounced and lead to oscillations and even instabilities. A well-known method for delay compensation is to advance the phase angle of control input for a known amount. In practice, the exact delay is unknown, and mismatch in the compensating angle causes deteriorating effect on the system. In the proposed method, the digital and PWM delays are modelled and integrated with an optimal multivariable controller. This method improves the stability margin and achievable speed margin compared to the traditional phase advancing delay compensation (PADC) method. Combining the proposed delay modeling and the PADC method further improves the response, as the uncertain sensor delays can be compensated greatly. Besides the delay, the cross-coupling between ���� axis affects the dynamic performance of the machine. The proposed multivariable approach considers and directly addresses the coupling. Dynamic performance of the PMSM with the proposed method is thoroughly compared with the conventional delay compensation method. The proposed method is validated through extensive simulation studies on a 2 kW high-speed machine.

The 2007 financial crisis highlighted the severe risks posed by counterparty defaults in financial markets. Assessing and addressing counterparty credit risk has consequently been a focal point of new regulations introduced in the wake of the crisis. The Central Clearing Counterparty (CCP) is at the heart of the solution, an entity dedicated to managing and mitigating counterparty risk in a market. CPPs manage risk by collecting collateral, referred to as margin, from the participants trading on the market. Appropriately sizing the margin is of utmost importance for the CCP to maintain the integrity of its operation and, by extension, protect the participants in the market. Most contemporary margin methodologies require significant resources which precludes frequent margin updates. In light of this issue, our work examines the capability of replicating the popular margin methodology Historical Simulation Value at Risk using machine-learning-based methods envisioning that an adequate such model could be used as a complement to the traditional model, providing real-time margin estimations. The experiment concerns portfolios containing stocks, bonds, and options and uses static market data and scenarios. We conclude that neither of the ensemble methods are sufficiently accurate, while both of the neural network-based models show moderate promise, warranting further development.

Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing Members. The Initial Margin can be calculated in many ways, one of which is by applying the commonly used risk measure Value-at-Risk. However, Value-at-Risk has one major flaw, namely its inability to encapsulate Tail Risk. Due to this, there has for long been a desire to replace Value-at-Risk with Expected Shortfall, another risk measure that has shown to be much better suited to encapsulate Tail Risk. That said, Value-at-Risk is still used over Expected Shortfall, something which is mainly due to the fact that there is no consensus regarding how one should backtest Expected Shortfall. The goal of this thesis is to evaluate some of the most commonly proposed methods for backtesting Expected Shortfall. In doing this, several non-parametric backtests of Expected Shortfall are investigated using simulated data as well as market data from different types of securities. Moreover, this thesis aims to shed some light on the differences between Value-at-Risk and Expected Shortfall, highlighting why a change of risk measure is not as straightforward as one might believe. From the investigations of the thesis, several backtests are found to be sufficient for backtesting the Initial Margin with Expected Shortfall as the risk measure, the so called Minimally Biased Relative backtest showing the overall best performance of the looked at backtests. Further, the thesis visualizes how Value-at-Risk and Expected Shortfall are two risk measures that are inherently different in a real-world setting, emphasizing how one should be careful making conversions between the two based upon parametric assumptions.

人壽保險業為特許行業，各國基於不同監理目的而有不同會計處理規定，導致各國會計差異問題的浮現。台灣自 2011 年 1 月 1 日起正式 適用國際財務報導準則保險合約第一階段規範與國際接軌，其為過渡性準則，乃說明保險合約之定義、合約之認列與衡量及其揭露等，實施後影響不大。但實施後保險業仍存在對資產採公平價值評價，而對負債 (責任準備金) 採成本法評價之不一致現象。因此，為達資產負債 管理的一致性，將實施 IFRS 4 Phase II，對保險負債採公平價值評價並 規定保險負債須以無風險利率評價。本研究將在 IFRS 4 Phase II 對負債公平價值的規範架構下，以壽險 業商品的準備金為例，評估 IFRS 4 Phase II 實施後其準備金價值及公 司財報損益所會產生的差異。此外，探討 IFRS 4 Phase II 實施後對壽 險業的評價影響，諸如服務邊際、現金價值與風險調整，包含此財務揭露改變是否將對壽險業之商品類型造成影響。 / Life insurance corporation should be granted a franchise by the government in every countries. The purpose of supervision based on different countries have different accounting rules, leading to differences in national accounting problems. Taiwan has officially adopted the framework of International Financial Reporting Standards 4 Phase I since January 1, 2011. IFRS 4 Phase I is a transitional guidelines, which includes some definitions of insurance contracts. The principles of IFRS Phase I doesn’t cause serious effects for life insurance corporations. However, the problem of mismatching between the fair value of assets and the book value of liabilities still exists. Therefore, in order to achieve consistency management in asset and liability, the fair value valuation for liabilities is required under the frame work of IFRS 4 Phase II In our research, we would take a policy for example to evaluate the fair value of liabilities under the framework of IFRS 4 Phase II. Besides, we also analyze the the influences for life insurance companies after applying the IFRS 4 Phase II.