Revisiting borehole stresses in anisotropic elastic media : comparison of analytical versus numerical solutions

We present a rigorous validation of the analyticalAmadei solution for the stress concentration around arbitrarily orientated borehole in general anisotropic elastic media. First, we revisit the theoretical framework of the Amadei solution and present analytical insights that show that the solution does indeed contain all special cases of symmetry, contrary to previous understanding, provided that the reduced strain coefficients β11 and β55 are not equal. It is shown from theoretical considerations and published experimental data that the β11 and β55 are not equal for realistic rocks. Second, we develop a 3D finite-element elastic model within a hybrid analyticalnumerical workflow that circumvents the need to rebuild and remesh the model for every borehole and material orientation. Third, we show that the borehole stresses computed from the numerical model and the analytical solution match almost perfectly for different borehole orientations (vertical, deviated and horizontal) and for several cases involving isotropic and transverse isotropic symmetries. It is concluded that the analytical Amadei solution is valid with no restrictions on the borehole orientation or elastic anisotropy symmetry.

An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

This study compares Value-at-Risk (VaR) measures for Australian banks over a period that includes the Global Financial Crisis (GFC) to determine whether the methodology and parameter selection are important for capital adequacy holdings that will ultimately support a bank in a crisis period. VaR methodology promoted under Basel II was largely criticised during the GFC for its failure to capture downside risk. However, results from this study indicate that 1-year parametric and historical models produce better measures of VaR than models with longer time frames. VaR estimates produced using Monte Carlo simulations show a high percentage of violations but with lower average magnitude of a violation when they occur. VaR estimates produced by the ARMA GARCH model also show a relatively high percentage of violations, however, the average magnitude of a violation is quite low. Our findings support the design of the revised Basel II VaR methodology which has also been adopted under Basel III.