Seasonal dynamic pattern analysis in service of climate change research. A methodical case-study - monitoring and simulation based on an aquatic insect community

Our aim was to approach an important and well-investigable phenomenon – connected to a relatively simple but real field situation – in such a way, that the results of field observations could be directly comparable with the predictions of a simulation model-system which uses a simple mathematical apparatus and to simultaneously gain such a hypothesis-system, which creates the theoretical opportunity for a later experimental series of studies. As a phenomenon of the study, we chose the seasonal coenological changes of aquatic and semiaquatic Heteroptera community. Based on the observed data, we developed such an ecological model-system, which is suitable for generating realistic patterns highly resembling to the observed temporal patterns, and by the help of which predictions can be given to alternative situations of climatic circumstances not experienced before (e.g. climate changes), and furthermore; which can simulate experimental circumstances. The stable coenological state-plane, which was constructed based on the principle of indirect ordination is suitable for unified handling of data series of monitoring and simulation, and also fits for their comparison. On the state-plane, such deviations of empirical and model-generated data can be observed and analysed, which could otherwise remain hidden.

How much is corporate cash-pooling worth? Modelling and simulation

The paper analyzes a special corporate banking product, the so called cash-pool, which gained remarkable popularity in the recent years as firms try to centralize and manage their liquidity more efficiently. The novelty of this paper is the formalization of a valuation model which can serve as a basis for a Monte Carlo simulation to assess the most important benefits of the firms arising from the pooling of their cash holdings. The literature emphasizes several benefits of cash-pooling such as interest rate savings, economy of scale and reduced cash-flow volatility. The presented model focuses on the interest rate savings complemented with a new aspect: the reduced counterparty risk toward the bank. The main conclusion of the analysis is that the value of a cash-pool is higher in case of firms with large, diverse and volatile cash-flows having less access to the capital markets especially if the partner bank is risky and offers a high interest spread. It is also shown that cash-pooling is not the privilege of large multinational firms any more as the initial direct costs can be easily regained within a year even in the case of SMEs.

Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban (Methods of capital allocation and their characteristics in practice)

A pénzügyekben mind elméletileg, mind az alkalmazások szempontjából fontos kérdés a tőkeallokáció. Hogyan osszuk szét egy adott portfólió kockázatát annak alportfóliói között? Miként tartalékoljunk tőkét a fennálló kockázatok fedezetére, és a tartalékokat hogyan rendeljük az üzleti egységekhez? A tőkeallokáció vizsgálatára axiomatikus megközelítést alkalmazunk, tehát alapvető tulajdonságok megkövetelésével dolgozunk. Cikkünk kiindulópontja Csóka-Pintér [2010] azon eredménye, hogy a koherens kockázati mértékek axiómái, valamint a tőkeallokációra vonatkozó méltányossági, ösztönzési és stabilitási követelmények nincsenek összhangban egymással. Ebben a cikkben analitikus és szimulációs eszközökkel vizsgáljuk ezeket a követelményeket. A gyakorlati alkalmazások során használt, illetve az elméleti szempontból érdekes tőkeallokációs módszereket is elemezzük. A cikk fő következtetése, hogy a Csóka-Pintér [2010] által felvetett probléma gyakorlati szempontból is releváns, tehát az nemcsak az elméleti vizsgálatok során merül fel, hanem igen sokszor előforduló és gyakorlati probléma. A cikk további eredménye, hogy a vizsgált tőkeallokációs módszerek jellemzésével segítséget nyújt az alkalmazóknak a különböző módszerek közötti választáshoz. / === / Risk capital allocation in finance is important theoretically and also in practical applications. How can the risk of a portfolio be shared among its sub-portfolios? How should the capital reserves be set to cover risks, and how should the reserves be assigned to the business units? The study uses an axiomatic approach to analyse risk capital allocation, by working with requiring basic properties. The starting point is a 2010 study by Csoka and Pinter (2010), who showed that the axioms of coherent measures of risk are not compatible with some fairness, incentive compatibility and stability requirements of risk allocation. This paper discusses these requirements using analytical and simulation tools. It analyses methods used in practical applications that have theoretically interesting properties. The main conclusion is that the problems identified in Csoka and Pinter (2010) remain relevant in practical applications, so that it is not just a theoretical issue, it is a common practical problem. A further contribution is made because analysis of risk allocation methods helps practitioners choose among the different methods available.