Search results

1 – 10 of over 69000
To view the access options for this content please click here
Book part
Publication date: 4 December 2018

Indranarain Ramlall

Abstract

Details

Tools and Techniques for Financial Stability Analysis
Type: Book
ISBN: 978-1-78756-846-4

To view the access options for this content please click here
Article
Publication date: 11 April 2016

Jamshaid Anwar Chattha and Simon Archer

This paper aims to provide a methodology for designing and conducting solvency stress tests, under the standardised approach as per IFSB-15, including the establishment of…

Abstract

Purpose

This paper aims to provide a methodology for designing and conducting solvency stress tests, under the standardised approach as per IFSB-15, including the establishment of macro-financial links, running scenarios with variation of assumptions and stress scenario parameters; apply and illustrate this methodology by providing a stylised numerical example through a tractable Excel-based framework, through which Islamic Commercial Banks (ICBs) can introduce additional regulatory requirements and show that they would remain in compliance with all capital requirements after a moderate to severe shock; and identify the potential remedial actions that can be envisaged by an ICB.

Design/methodology/approach

The paper uses the data of the one of the groups to which certain amendments and related assumptions are applied to develop a stylised numerical example for solvency stress-testing purposes. The example uses a Stress Testing Matrix (STeM; a step-by-step approach) to illustrate the stress-testing process. The methodology of the paper uses a two-stage process. The first stage consists of calculating the capital adequacy ratio (CAR) of the ICB using the IFSB formulae, depending on how the profit sharing investment account (PSIA) are treated in the respective jurisdiction. The second stage is the application of the stress scenarios and shocks.

Findings

Taking into account the specificities of ICBs such as their use of PSIA, the results highlighted the sensitivity of the CAR of an ICB with respect to the changes in the values of alpha and the proportion of unrestricted PSIA on the funding side. The simulation also indicated that an ICB operating above the minimum CAR could be vulnerable to shocks of various degrees of gravity, thus bringing the CAR below the minimum regulatory requirement and necessitating appropriate remedial actions.

Practical implications

The paper highlights various implications and relationships arising out of stress testing for ICBs, including the vulnerability of an ICB under defined scenarios, demanding appropriate immediate remedial actions on future capital resources and capital needs. The findings of the paper provide a preliminary discussion on developing a comprehensive toolkit for the ICBs similar to what is developed by the International Monetary Fund Financial Sector Assessment Programme.

Originality/value

This paper focuses on the gap with respect to the stress testing of capital adequacy. The main contribution of the paper is twofold. The first is the development of an STeM – a step-by-step approach, which provides a method for simulating solvency (i.e. capital adequacy) stress tests for ICBs; the second is the demonstration of the potentially crucial impact of profit-sharing investment accounts and the way they are managed by ICBs (notably the smoothing of profit payouts) in assessing the capital adequacy of the ICBs.

Details

Journal of Islamic Accounting and Business Research, vol. 7 no. 2
Type: Research Article
ISSN: 1759-0817

Keywords

To view the access options for this content please click here
Article
Publication date: 21 August 2017

Nadi Serhan Aydın

This paper aims to introduce a model-based stress-testing methodology for Islamic finance products. The importance of stress testing was indeed clearly underlined by the…

Abstract

Purpose

This paper aims to introduce a model-based stress-testing methodology for Islamic finance products. The importance of stress testing was indeed clearly underlined by the adverse developments in the global finance industry. One of the key takeaways was the need to strengthen the coverage of the capital framework. Cognisant of this fact, Basel III encapsulates provisions to enhance the financial sector’s ability to withstand shocks arising from possible stress events, thereby reducing adverse spillovers into the real economy. Similarly, the Islamic Financial Services Board requires Islamic financial institutions to run stress tests as part of capital planning.

Design/methodology/approach

The authors perform thorough backtests on Islamic and conventional portfolios under widely used risk models, which are characterised by an underlying conditional volatility framework and distribution, to identify the most suitable risk model specification. Associated with an appropriate initial shock and estimation window size, the paper also conducts a model-based stress test to examine whether the stress losses estimated by the selected models compare favourably to the historical shocks.

Findings

The results suggest that the model-based framework, when combined with an appropriate risk model and distribution, can successfully reproduce past stress periods. The conditional empirical risk model is the most effective one in both long and short portfolio cases – particularly when combined with a long-enough estimation window. The relative performance of normal vs heavy-tailed distributions and symmetric vs asymmetric risk models, on the other hand, is highly dependent on whether the portfolio is long or short. Finally, the authors find that the Islamic portfolio is generally associated with lower historical stress losses as compared to the conventional portfolio.

Originality/value

The model-based framework eliminates some of the key problems associated with traditional scenario-based approaches and is easily adaptable to Islamic finance.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 10 no. 3
Type: Research Article
ISSN: 1753-8394

Keywords

To view the access options for this content please click here
Article
Publication date: 1 February 1997

Imad H. Khamis

Compares optimum constant‐stress and simple step‐stress ALTs for the Weibull distribution. The purpose is to quantify the advantage of using step‐stress testing in…

Downloads
541

Abstract

Compares optimum constant‐stress and simple step‐stress ALTs for the Weibull distribution. The purpose is to quantify the advantage of using step‐stress testing in comparison to constant‐stress testing when censoring is likely to occur at the lower levels of stress. Assumes that a log‐linear relationship exists between log scale parameter and stress and that the cumulative exposure model holds for the effect of changing stress in step‐stress test. The variance of the MLE of log scale parameter at design stress is used as the criterion for comparing ALTs. The efficiency of simple step‐stress tests relative to constant‐stress with Type I censoring is studied in terms of the ratio of these variances. Results are given for asymptotic variances and for finite sample sizes using simulation to estimate variances.

Details

International Journal of Quality & Reliability Management, vol. 14 no. 1
Type: Research Article
ISSN: 0265-671X

Keywords

To view the access options for this content please click here
Article
Publication date: 13 February 2019

Preeti Wanti Srivastava and Manisha Manisha

Zero-failure reliability testing aims at demonstrating whether the product has achieved the desired reliability target with zero failure and high confidence level at a…

Abstract

Purpose

Zero-failure reliability testing aims at demonstrating whether the product has achieved the desired reliability target with zero failure and high confidence level at a given time. Incorporating accelerated degradation testing in zero-failure reliability demonstration test (RDT) facilitates early failure in high reliability items developed within short period of time to be able to survive in fiercely competitive market. The paper aims to discuss these issues.

Design/methodology/approach

The triangular cyclic stress uses one test chamber thus saving experimental cost. The parameters in model are estimated using maximum likelihood methods. The optimum plan consists in finding out optimum number of cycles, optimum specimens, optimum stress change point(s) and optimum stress rates.

Findings

The optimum plan consists in finding out optimum number of cycles, optimum specimens, optimum stress change point(s) and optimum stress rates by minimizing asymptotic variance of estimate of quantile of the lifetime distribution at use condition subject to the constraint that total testing or experimental cost does not exceed a pre-specified budget. Confidence intervals of the design parameters have been obtained and sensitivity analysis carried out. The results of sensitivity analysis show that the plan is robust to small deviations from the true values of baseline parameters.

Originality/value

For some highly reliable products, even accelerated life testing yields little failure data of units in a feasible amount of time. In such cases accelerated degradation testing is carried out, wherein the failure termed as soft failure is defined in terms of performance characteristic of the product exceeding its critical (threshold) value.

Details

International Journal of Quality & Reliability Management, vol. 36 no. 3
Type: Research Article
ISSN: 0265-671X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 September 1973

J. Brettle and S. Orman

Introduction The ever increasing demands made on materials by advanced technology has led, in recent years, to a greater awareness of the importance of mechano‐chemical…

Abstract

Introduction The ever increasing demands made on materials by advanced technology has led, in recent years, to a greater awareness of the importance of mechano‐chemical behaviour. These may be defined as the synergistic effect of mechanical forces and chemical reactions on the material. Although possibly interrelated, three classes of mechano‐chemical reactions have been identified as; stress‐corrosion (SCC), corrosion fatigue (CF) and hydrogen embrittlement. SCC has become one of the ‘in’ subjects of corrosion science during the last decade, while the importance of CF has emerged comparatively recently. In a review of the national corrosion and protection scene in 1970, it was revealed that 62 postgraduate research workers, representing 21% of the total effort in the corrosion and protection field, were involved in mechano‐chemical corrosion studies1. The bulk of these were working on SCC. This large research effort has not resulted in a standardisation of test methods nor, despite several attempts, in a unifying theory for SCC2. The newcomer to the field is faced with a bewildering variety of tests of varying complexity and validity. The supporters of each type of test tend to make exaggerated claims particularly when the test they are advocating is the only one which has caused a particular alloy‐environment system to exhibit SCC.

Details

Anti-Corrosion Methods and Materials, vol. 20 no. 9
Type: Research Article
ISSN: 0003-5599

To view the access options for this content please click here
Article
Publication date: 1 March 1934

E. Skerry

BEFORE discussing the machines and methods used, it is necessary to understand the fundamental laws which govern the testing of materials.

Downloads
28

Abstract

BEFORE discussing the machines and methods used, it is necessary to understand the fundamental laws which govern the testing of materials.

Details

Aircraft Engineering and Aerospace Technology, vol. 6 no. 3
Type: Research Article
ISSN: 0002-2667

To view the access options for this content please click here
Article
Publication date: 1 November 1963

A.D. Hall

THE purpose of this paper is to examine the part that metal fatigue plays in the engineering of the helicopter, and to outline the methods used at present to estimate the…

Abstract

THE purpose of this paper is to examine the part that metal fatigue plays in the engineering of the helicopter, and to outline the methods used at present to estimate the safe fatigue life of the component parts of the helicopter.

Details

Aircraft Engineering and Aerospace Technology, vol. 35 no. 11
Type: Research Article
ISSN: 0002-2667

To view the access options for this content please click here
Article
Publication date: 1 February 1962

R.J. Ryman

This preliminary investigation has shown that the programme load method of testing provides more useful information than single load level tests enabling a more reliable…

Abstract

This preliminary investigation has shown that the programme load method of testing provides more useful information than single load level tests enabling a more reliable estimate of a structural joint fatigue life to be obtained.

Details

Aircraft Engineering and Aerospace Technology, vol. 34 no. 2
Type: Research Article
ISSN: 0002-2667

To view the access options for this content please click here
Article
Publication date: 1 October 2006

Nesar Ahmad, Ariful Islam and Abdus Salam

The aim of this research paper is to generalize the previous works on the design of accelerated life tests (ALTs) for periodic inspection and Type I censoring and to…

Abstract

Purpose

The aim of this research paper is to generalize the previous works on the design of accelerated life tests (ALTs) for periodic inspection and Type I censoring and to promote the use of an exponentiated Weibull (EW) distribution in accelerated life testing.

Design/methodology/approach

Statistically optimal ALT plans are suggested for items whose lifetime follows the EW distribution under periodic inspection and Type I censoring. It is assumed that the mean lifetime (scale parameter) is a log‐linear function of stress and that the shape parameters are independent of stress. Given shape parameters, design stress and high test stress, the test plan is optimized with respect to the low test stress and the proportion of test units are also allocated to this test stress. The asymptotic variance (AsVar) of the maximum likelihood estimator of log mean life at the design stress is used as an optimality criterion with equally spaced inspection times. A FORTRAN program was written to calculate the optimal plans. Procedures for planning of an ALT, including selection of sample size, have also been discussed. An illustration of the optimal ALT plans has been done through a numerical example.

Findings

Computational findings for various values of the shape parameters indicate that the AsVar of log mean life at the design stress is insensitive to the number of inspection times and to misspecifications of imputed failure probabilities at design and high test stresses. Computational findings also show that optimal designs of ALT previously obtained for exponential, Rayleigh, and Weibull distributions become special cases of the EW distribution. Thus, the EW distribution is a useful and widely applicable reliability model for optimal ALT plans.

Originality/value

The present investigation features the EW distribution of lifetimes of test items and it generalizes the previous works on accelerated life testing. Furthermore, the propose test plans can be applied to estimate the lifetime of highly reliable product or material, if a researcher designs a test under the assumption of this model.

Details

International Journal of Quality & Reliability Management, vol. 23 no. 8
Type: Research Article
ISSN: 0265-671X

Keywords

1 – 10 of over 69000