Residential property loans and performance during property price booms: evidence from European banks

Understanding the performance of banks is of the utmost relevance, because of the impact of this sector on economic growth and financial stability. Of all the different assets that make up a bank portfolio, the residential mortgage loans constitute one of its main. Using the dynamic panel data method, we analyse the influence of residential mortgage loans on bank profitability and risk, using a sample of 555 banks in the European Union (EU-15), over the period from 1995 to 2008. We find that banks with larger weights of residential mortgage loans show lower credit risk in good times. This result explains why banks rush to lend on property during booms due to the positive effects it has on credit risk. The results show further that credit risk and profitability are lower during the upturn in the residential property price cycle. The results also reveal the existence of a non-linear relationship (U-shaped marginal effect), as a function of bank’s risk, between profitability and the residential mortgage loans exposure. For those banks that have high credit risk, a large exposure of residential mortgage loans is associated with higher risk-adjusted profitability, through lower risk. For banks with a moderate/low credit risk, the effects of higher residential mortgage loan exposure on its risk-adjusted profitability are also positive or marginally positive.

NoC contention analysis using a branch-and-prune algorithm

“Many-core” systems based on a Network-on-Chip (NoC) architecture offer various opportunities in terms of performance and computing capabilities, but at the same time they pose many challenges for the deployment of real-time systems, which must fulfill specific timing requirements at runtime. It is therefore essential to identify, at design time, the parameters that have an impact on the execution time of the tasks deployed on these systems and the upper bounds on the other key parameters. The focus of this work is to determine an upper bound on the traversal time of a packet when it is transmitted over the NoC infrastructure. Towards this aim, we first identify and explore some limitations in the existing recursive-calculus-based approaches to compute the Worst-Case Traversal Time (WCTT) of a packet. Then, we extend the existing model by integrating the characteristics of the tasks that generate the packets. For this extended model, we propose an algorithm called “Branch and Prune” (BP). Our proposed method provides tighter and safe estimates than the existing recursive-calculus-based approaches. Finally, we introduce a more general approach, namely “Branch, Prune and Collapse” (BPC) which offers a configurable parameter that provides a flexible trade-off between the computational complexity and the tightness of the computed estimate. The recursive-calculus methods and BP present two special cases of BPC when a trade-off parameter is 1 or ∞, respectively. Through simulations, we analyze this trade-off, reason about the implications of certain choices, and also provide some case studies to observe the impact of task parameters on the WCTT estimates.

The impact of the implementation of the Basel III recommendations on the capital of portuguese banks

This paper analyses the impact of the implementation of the Basel III recommendations, using the standard method, in Portugal. For our study, we used the annual reports of 31st of December of 2012, and found out that out of the fourteen banks that published annual reports, only six satisfied the minimum ratios laid out by BCBS. Till 2012, Portuguese banks used an internal ratings method based on the Basel II recommendations known as notice 6/2010 of the Portuguese central bank, Banco de Portugal. As the implementation of the recommendations of Basel III in the EU via the Credit Review Directive IV is scheduled for 2014 and later years, Portuguese banks may severely contract credit upon implementation, as that is the easiest, fastest and cheapest way for banks to satisfy the minimum ratio requirements as compared to an increase of capital or credit spreads.

A simplified four-branch model for the analytical study of the out-of-plane performance of regular stone URM walls

During the last years, several studies have been made aiming to assess the out-of-plane seismic response of unreinforced stone masonry structures. This fact led to the development of a wide variety of models and approaches, ranging from simple kinematic based analytical models up to complex numerical simulations. Nevertheless, for the sake of simplicity, the out-of-plane seismic response of a masonry wall pier may be obtained by means of a simple single-degree-of-freedom system while still providing good results. In fact, despite the assumptions associated with such a simple formulation, it is also true that the epistemic uncertainty inherent with the selection of appropriate input parameters in more complex models may render them truly ineffective. In this framework, this paper focuses on the study of the out-of-plane bending of unreinforced stone masonry walls (cantilevers) by proposing a simplified analytical approach based on the construction of a linearized four-branch model, which is used to characterize the linear and nonlinear response of such structural elements through an overturning moment-rotation relationship. The formulation of the four-branch model is presented and described in detail and the meaningful parameters used for its construction are obtained from a set of experimental laboratory tests performed on six full-scale unreinforced regular sacco stone masonry specimens. Moreover, a parametric analysis aiming to evaluate the effect of these parameters’ variation on the final configuration of the model is presented and critically discussed. Finally, the results obtained from the application of the developed four-branch model on real unreinforced regular sacco stone masonry walls are thoroughly analysed and the main conclusions obtained from its application are summarized.