DQ Dqdo - VLV Iudphzrun Iru Edqn Fdslwdo Doorfdwlrq
DQ Dqdo - VLV Iudphzrun Iru Edqn Fdslwdo Doorfdwlrq
DQ Dqdo - VLV Iudphzrun Iru Edqn Fdslwdo Doorfdwlrq
Devwudfw
Lq wklv sdshu/ zh suhvhqw d phwkrgrorj| iru fdslwdo dghtxdf|1 Fdslwdo dghtxdf| lq d edqn frxog
eh ylhzhg dv dq dvvhw doorfdwlrq sureohp1 Wkhuhiruh lw lv srvvleoh wr xvh wkh iudphzrun ri wkh sruwirolr
wkhru|1 Exw lw uhtxluhv wr hvwlpdwh wkh fruuhodwlrq pdwul{ ri wkh exvlqhvv olqh uhwxuqv1 Lq wklv zrun/ zh
hvwlpdwh wklv fruuhodwlrq pdwul{ e| xvlqj d idfwru prgho edvhg rq h{whuqdo gdwd1 Lq d vhfrqg sduw ri wklv
duwlfoh/ zh surylgh vrph looxvwudwlrqv wr uhedodqfh rswlpdoo| wkh fdslwdo doorfdwlrq zlwklq wkh edqn1
4 Lqwurgxfwlrq
Fdslwdo doorfdwlrq zlwklq d edqn lv jhwwlqj pruh lpsruwdqw dv wkh uhjxodwru| uhtxluhphqwv duh prylqj wrzdugv
hfrqrplf0edvhg phdvxuhv ri ulvn1 Edqnv duh xujhg wr exlog vrxqg lqwhuqdo phdvxuhv ri fuhglw dqg pdunhw
ulvnv iru doo wkhlu dfwlylwlhv1 Lq wklv frqwh{w/ fdslwdo doorfdwlrq lv d fuxfldo wdvn zklfk lv yhu| vlplodu wr d
sruwirolr pdqdjhphqw sureohp1 Pruh suhflvho|/ d wrs0grzq dssurdfk frqvlvwv lq glvdjjuhjdwlqj d edqn*v
sruwirolr lqwr glhuhqw exvlqhvv olqhv zlwk glhuhqw udwlrv ri h{shfwhg uhwxuq dqg glhuhqw ulvnv1 Wkhq wkh
fdslwdo vkrxog eh doorfdwhg lq rughu wr edodqfh wkh sruwirolr lq dq rswlpdo zd|1
Dffruglqj wr wkh sruwirolr wkhru|/ d edqn kdv wr hydoxdwh qrw rqo| wkh h{shfwhg uhwxuq dqg wkh ulvn ri
hyhu| exvlqhvv olqh/ exw dovr wkh fruuhodwlrq pdwul{ ri wkhvh exvlqhvv olqhv* uhwxuqv1 Lq prvw fdvhv/ wkh edqn
kdv d jrrg nqrzohgjh ri lwv h{shfwhg uhwxuqv dqg ulvnv1 Dv iru wkh fruuhodwlrq pdwul{/ wkh sureohp lv pruh
frpsoh{= wkh edqn grhv qrw kdyh hqrxjk lqwhuqdo gdwd dqg lqirupdwlrq wr hvwlpdwh lw dffxudwho|1 Lq wklv
uhvshfw/ zh ghyhors dq dssurdfk edvhg rq d Pdunhw Idfwru Prgho= zh hvwlpdwh dq lpsolhg fruuhodwlrq pdwul{
xvlqj wkh uhwxuqv ri d sdqho ri edqnv1 Wkh vhfrqg vhfwlrq suhvhqwv wklv prgho1
Wkh wklug vhfwlrq ghdov zlwk wkh doorfdwlrq sureohp1 Dq dvvhw doorfdwlrq sureohp fdqqrw h{dfwo| vwdqg
iru d fdslwdo doorfdwlrq sureohp1 Qhyhuwkhohvv wkh sruwirolr wkhru| fdq eh dgdswhg vr wkdw lw wdnhv fdslwdo
doorfdwlrq*v vshflf lvvxhv lqwr dffrxqw1 Iru h{dpsoh/ d edqn kdv wr delgh e| vrph vroyhqf| uxohv/ lw dovr kdv
wr uhdfk vrph lpsolflw remhfwlyhv {hg e| lwv vkduhkroghuv1 Ehvlghv/ fdslwdo doorfdwlrq frxog eh ylhzhg dv dq
rswlplvdwlrq sureohp ru dq hfrqrplf xwlolw| ixqfwlrq sureohp xqghu vshflf frqvwudlqwv1
Dfwxdoo|/ wkh doorfdwlrq sureohp lv qrw h{dfwo| wkh sureohp d edqn kdv wr frsh zlwk1 D edqn lv fdudfwhulvhg
e| lwv lqlwldo doorfdwlrq1 Prylqj wr d qhz dqg ehwwhu doorfdwlrq jhqhudwhv frvwv wkdw fdq eh wdnhq lqwr dffrxqw
e| shqdol}lqj wkh xwlolw| ixqfwlrq1 Qrqhwkhohvv/ li vxfk d phwkrg ghwhuplqhv wkh srvlwlrq ri wkh rswlpxp/
lw grhv qrw h{klelw dq| sdwk jrlqj iurp wkh lqlwldo doorfdwlrq wr wkh rswlpdo rqh1 Wkhq/ zh lqwurgxfh
uhdoorfdwlrq vljqdov doorzlqj d g|qdplf srolf| wkdw ohdgv wr wkh rswlpxp1
W Zh judwhixoo| wkdqn Mhdq0\yhv Urvvljqro/ Sdwulfn Dpdw/ Dqguìh0Olvh Uìp| dv zhoo dv wkh Fdslwdo Doorfdwlrq whdp dw
Fuìglw O|rqqdlv iru vwlpxodwlqj glvfxvvlrqv1 Doo uhpdlqlqj huuruv duh rxuv1 Wr vhqg xv |rxu frpphqwv/ frqwdfw Dqwrlqh Iudfkrw
+dqwrlqh1iudfkrwCfuhglwo|rqqdlv1iu, ru Wklhuu| Urqfdool +wklhuu|1urqfdoolCfuhglwo|rqqdlv1iu,1
4
Wklv sdshu lv edvhg rq wzr zrunv pdgh dw wkh Rshudwlrqdo Uhvhdufk Jurxs ri Fuìglw O|rqqdlv +^:`/
^48`,1 Wkh qglqjv ehlqj frqghqwldo/ wklv sdshu lv qrw h{whqvlyho| looxvwudwhg e| jxuhv1 Pruhryhu/ zh kdyh
ghflghg wr frqfhdo dq| uhihuhqfh wr sduwlfxodu qdqfldo lqvwlwxwlrqv1 \hw/ wkh pdlq olqhv kdyh ehhq suhvhuyhg1
Xvlqj wklv prgho/ zh fdq hvwlpdwh wkh fruuhodwlrqv ehwzhhq wkh glhuhqw exvlqhvv olqhv* uhwxuqv1 Wkhq/
wklv h{whuqdo fruuhodwlrq pdwul{ fdq eh xvhg lq dq lqwhuqdo prgho edvhg rq wrs0grzq phwkrgrorj|1 Ohw*v
srlqw rxw wkdw vxfk d prgho lv qrw shuihfw= dq lqwhuqdo fruuhodwlrq pdwul{ zrxog eh pruh uhohydqw exw/
prvw ri wkh wlph/ d edqn odfnv lqwhuqdo gdwd wr hvwlpdwh lw dfxuudwho|1 Wkh dssurdfk deryh jhwv ulg ri wklv
sureohp1
uw>q @ A
w>q iw . xw>q +7,
+p,
zkhuh iw @ iw lv wkh udqgrp yhfwru ri wkh exvlqhvv olqhv* uhwxuqv dqg xw>q dq lqglrv|qfudwlf
4pP
whup zklfk fdswxuhv doo wkh vshflflwlhv ri wkh edqn q1 Vlqfh iw grhv qrw ghshqg rq wkh edqn/ A w>q iw fdq
eh ylhzhg dv wkh pdunhw frpsrvdqw ri wkh vwrfn uhwxuq1 Wkh uhvlgxdo xw>q wdnhv lqwr dffrxqw wkh idfw
wkdw wzr edqnv zlwk vlplodu fdslwdo doorfdwlrqv grhv qrw qhfhvvdulo| kdyh wkh vdph vwrfn uhwxuqv1 Dv d
frqvhtxhqfh/ zh qdwxudoo| vxssrvh wkdw wkh xw>q duh vwdwlvwlfdoo| xqfruuhodwhg ehwzhhq wzr edqnv dqg dovr
5
vhuldoo| xqfruuhodwhg1
Pruhryhu/ zh vxssrvh wkdw iw dqg xw duh lqghshqgdqw dqg zh dvvxph wkdw iw Q +> ,
dqg xw>q Q 3> 5q 1 Wkhq/ zh kdyh
H ^uw>q ` @ Aw>q +8,
ydu ^uw>q ` @ A 5
w>q w>q . q +9,
Lw ehfrphv dssduhqw wkdw wkh yduldqfh ri wkh edqn*v uhwxuq lv wkh vxp ri wzr frpsrqhqwv1 Wkh uvw frpsrqhqw
lv d idfwru ulvn frpprq wr hyhu| edqn1 Wzr edqnv zlwk wkh vdph fdslwdo doorfdwlrq kdyh wkh vdph idfwru
ulvn1 Ohw*v qrwlfh wkdw wklv idfwru ulvn lv d orzhu ulvn erxqg +ydu ^uw>q ` A
w>q w>q ,1 Wkh vhfrqg frpsrqhqw
lv d vshflf ulvn wkdw fdq eh ylhzhg dv dq h!flhqf| phdvxuh ri wkh pdqdjhphqw ri wkh edqn1
zlwk
yhfk K
f @ +45,
Gldj
fruuhvsrqgv wr DKK A DA . 5 dqg wkh pdwulfhv K dqg duh ghqhg vxfk wkdw K lv wkh orzhu wuldqjxodu
Fkrohvn| ghfrpsrvlwlrq ri dqg lv wkh vtxduhg urrw pdwul{ ri G1 Ya lv wkh hpslulfdo Q Q fryduldqfh
f
PO dv wkh vroxwlrq ri wkh olnholkrrg htxdwlrqv j + f m u, @ 31
pdwul{ ri wkh uhwxuqv uw 1 Zh frxog dovr ghwhuplqh a
Dqg a PO lv ghqhg dv D|a u zlwk D| wkh Prruh0Shqurvh svhxgr0lqyhuvh ri D dqg a u wkh hpslulfdo phdq yhfwru
ri wkh uhwxuqv1
6
Uhpdun 5 Zh duh lqwhuhvwhg lq wkh fruuhodwlrq pdwul{ ri wkh exvlqhvv olqhv* uhwxuqv1 Ohw*v srlqw rxw wkdw
wkh POH ri lv yhu| hdv| wr frpsxwh rqfh ru K duh hvwlpdwhg 1
Uhpdun 6 Vlqfh wkh qxpehu ri sdudphwhuv lv yhu| kljk +glp f @ Q . P +P5 .4, ,/ vwduwlqj ydoxhv duh yhu|
lpsruwdqw iru wkh rswlplvdwlrq frqyhujhqfh1 Zh qrwh wkdw zh frxog hdvlo| frpsxwh wkhp xvlqj wkh ROV +ru
JOV, hvwlpdwhv ri wkh prgho +:,1
41 Wkh dqqxdo uhsruw pd| eh xvhg wr ghqh wkh uhwxuqv uw>q 1 \hw/ lq wklv fdvh/ wkh qxpehu ri revhuydwlrqv
lv qrw odujh hqrxjk wr rewdlq frqvlvwhqf| lq PO hvwlpdwlrq1 Vr zh kdyh wdnhq wkh gdlo| vwrfn uhwxuqv
iurp mdqxdu| 4<<7 wr mxo| 4<<<1
+p,
51 Dv iru wkh idfwruv iw / zh ghfrpsrvh wkh edqnlqj dfwlylw| lqwr ; w|slfdo exvlqhvv olqhv= uhwdlo edqnlqj/
plggoh0pdunhw/ dvvhw pdqjhphqw/ frusrudwh edqnlqj/ vwuxfwxuhg qdqfh/ frusrudwh pdunhw/ olih lqvxu0
dqfh dqg qrq0olih lqvxudqfh1 Wkh prgho fdq eh dssolhg wr rxu zkroh sdqho ru vhsduhwho|/ wr glhuhqw
jhrjudsklf duhdv1 Lq wklv zrun/ zh kdyh ghqhg d Hxurshdq duhd dqg dq Dphulfdq rqh1 Wkhq/ zh
rewdlq 49 glhuhqw idfwruv1
61 Wkh pdlq lvvxh olhv lq ghwhuplqlqj wkh glhuhqw edqnv* vhqvlwlylwlhv1 Zh pd| dvvxph wkdw wkh| duh
uhodwhg wr wkh fxuuhqw fdslwdo doorfdwlrqv1 Lq wklv uhvshfw/ hdfk edqn*v fdslwdo doorfdwlrq zdv frqyhqlhqwo|
wuhdwhg wr rewdlq d frqvlvwhqw +exw suredeo| dssur{lpdwhg, phdvxuh ri wkh hfrqrplf fdslwdo ghglfdwhg
wr hdfk exvlqhvv olqh1 Wklv kdug wdvn zdv shuiruphg e| rxu Fuìglw O|rqqdlv h{shuw/ M0\1 Urvvljqro1
Vhfrqgo|/ zh exlow d sdqho ri qdqfldo lqvwlwxwlrqv zlwk NPY Prqlwru1 Wkh sdqho frqwdlqv 648 edqnv/
lqvxudqfh dqg qdqfldo lqvwlwxwlrqv1 Zh hqfrxqwhuhg vrph sureohpv zlwk dvldq edqnv vr wkdw zh ghflghg wr
ohdyh wkhp rxw ri wkh sdqho1 Dv d frqvhtxhqfh/ zh ghqhg rqo| wzr jhrjudsklf duhdv1 Pruhryhu/ vrph ri wkh
edqnv* vwrfn uhwxuqv suhvhqwhg sduwlfxodulwlhv ehfdxvh ri ixvlrq/ fdslwdo prglfdwlrqv dqg vr rq1 Ilqdoo|/ zh
rewdlqhg d sdqho ri 4:6 qdqfldo lqvwlwxwlrqv1 Wkh jhrjudsklf ghfrpsrvlwlrq ri rxu sdqho lv dv iroorzv=
Jhupdq| 55
Iudqfh 57
Xqlwhg Nlqjgrp 53
Lwdo| 48
Vsdlq ;
Qhwkhuodqgv 9
Vzlvv 8
Rwkhu hxurshdq frxqwulhv 4;
Xqlwhg Vwdwhv 88
Wkh iroorzlqj wdeoh h{klelwv wkh ryhudoo doorfdwlrq lq Hxursh dqg lq wkh Xqlwhg Vwdwhv=
7
517 Hfrqrphwulf uhvxowv
Lq rughu wr suhvhuyh wkh frqghqwldolw| ri rxu qglqjv/ zh gr qrw suhvhqw wkhp h{kdxvwlyho|1 Pruhryhu/ zh
uhqdphg udqgrpo| wkh exvlqhvv olqhv1
Vrph lqwhuhvwlqj uhvxowv frphv rxw ri wkh hvwlpdwhg ydoxhv1 Iru h{dpsoh/ wkh Hxurshdq fruuhodwlrq
pdwul{ suhvhqwv vrph frh!flhqwv wkdw duh yhu| glhuhqw iurp wkh Dphulfdq rqhv1 Wkxv/ wkh fruuhodwlrq
frh!flhqw ydoxh ehwzhhq wkh exvlqhvv olqhv EO &4 dqg EO &7 lv 31;6 iru wkh Xqlwhg Vwdwhv dqg 03167 iru
Hxursh $ Lw dovr dsshduv wkdw vrph Hxurshdq fruuhodwlrq frh!flhqwv duh qrq vljqlfdqw dv lw lv wkh fdvh iru
+EO &4> EO &5,1 Ilqdoo|/ zh pd| srlqw rxw wkdw wkh furvv0fruuhodwlrqv ehwzhhq exvlqhvv olqhv lq Hxursh
dqg lq wkh Xqlwhg Vwdwhv duh vpdoohu wkdq wkh fruuhodwlrqv revhuyhg vhsduhwho| lq erwk jhrjudsklf duhdv/ exw
rqo| rqh lv qhjdwlyh $
Dv dq looxvwudwlrq/ zh h{klelw wkh fruuhodwlrq pdwul{ ehwzhhq wkh ; Dphulfdq exvlqhvv olqhv=
Diwhu hvwlpdwlqj wkh zruogzlgh fruuhodwlrq pdwul{/ zh shuiruphg lwv sulqflsdo frpsrqhqw dqdo|vlv/ zklfk
ohdgv wr wkh iroorzlqj uhvxowv1 Zlwk wkh uvw vhyhq frpsrqhqwv/ zh rewdlq d fxpxodwlyh txdolw| ri derxw
<8(1 Wkh uvw frpsrqhqw uh hfwv d zruogzlgh wuhqg idfwru +zh pd| qrwlfh wkdw doprvw doo wkh exvlqhvv
olqhv duh uhsuhvhqwhg lq d vdph sursruwlrq,1 Wkh vhfrqg frpsrqhqw lv d jhrjudsklf frpsrqhqw= zh fohduo|
revhuyh dq rssrvlwlrq ehwzhhq Hxurshdq dqg Dphulfdq exvlqhvv olqhv1 Qrqhwkhohvv/ wkuhh exvlqhvv olqhv gr
qrw wdnh sduw lq wkh hoderudwlrq ri wklv d{lv +Hxurshdq EO &4 dqg Dphulfdq EO &5 dqg EO &6,1 Wkh
wklug frpsrqhqw vkrzv d olqn ehwzhhq wkh wkuhh Hxurshdq dfwlylwhv EO &4/ EO &5 dqg EO &71 Wkh irxuwk
frpsrqhqw lv dq dphulfdq d{lv dqg frqfhuqv wkh dfwlylwhv EO &5/ EO &6/ EO &7 dqg EO &81 Wkh uhpdlqlqj
frpsrqhqwv rssrvh vshflf Hxurshdq dfwlylwlhv wr rwkhu vshflf Dphulfdq dfwlylwlhv1
Pruhryhu/ wkh prgho suhvhqwhg khuh lv lqwhuhvwlqj ehfdxvh wkh htxdwlrq +9, jlyhv wkh ghfrpsrvlwlrq ri
wkh ulvn ri d edqn ehwzhhq d idfwru0pdunhw ulvn dqg d vshflf ulvn1 Zh fdq hydoxdwh wkh sursruwlrq q ri
wkh ulvn h{sodlqhg e| wkh idfwru0pdunhw ulvn1 Zlwk wkh PO hvwlpdwh/ q wdnhv wkh iroorzlqj ydoxh
A a q
q
q @ +46,
A a q.
q a 5q
Wkxv/ lw lv srvvleoh wr fodvvli| wkh qdqfldo lqvwlwxwlrqv dffruglqj wr q 1 Wkh judsklf +4, uhsuhvhqwv wkh
klvwrjudp ri q 1 Zh revhuyh wkdw lq jhqhudo/ Hxurshdq edqnv kdyh d vpdoohu wkdq Dphulfdq edqnv1 Wkdw
suredeo| lqglfdwhv wkdw vwrfn uhwxuqv frqwdlqv pruh lqirupdwlrq lq Dphulfdq pdunhwv wkdq lq Hxurshdq
rqhv1
Xqwlo qrz/ zh rqo| frqvlghuhg wkh fruuhodwlrq pdwul{ ehwzhhq wkh glhuhqw exvlqhvv olqhv* uhwxuqv1 Ohw*v
srlqw rxw wkdw wkh prgho dovr shuplwv wr hvwlpdwh wkh h{shfwhg uhwxuqv dqg ulvnv1 Lq dq lqwhuqdo dssurdfk ri
fdslwdo doorfdwlrq/ wkhvh lqirupdwlrqv grhv qrw vhhp yhu| xvhixo1 Lqwhuqdo h{shfwhg uhwxuqv dqg ulvnv ri hyhu|
exvlqhvv olqh zrxog eh pruh uhohydqw1 Qhwkhuwkhohvv/ wkh hvwlpdwhv edvhg rq rxu sdqho vwuhvv rxw Hxurshdq
dqg Dphulfdq vshflf ehkdylrxuv1 Lq wkh jxuh +5,/ zh shuiruphg d phdq0yduldqfh dqdo|vlv1 Hxurshdq
exvlqhvv olqhv duh jhqhudoo| ohvv ulvn| wkdw Dphulfdq rqhv/ exw lq wkh vdph wlph kdyh vpdoohu h{shfwhg
uhwxuqv1 Zh frpsxwhg wkh h!flhqw sruwirolrv wkdw duh jlyhq e| wkh wudglwlrqdo phdq0yduldqfh rswlplvdwlrq
8
Iljxuh 4= Sursruwlrq ri ulvn h{sodlqhg e| wkh idfwru0pdunhw ulvn
9
surjudp4 +Pdunrzlw} ^4<;:`,=
vxs A
A v +47,
A 4 @ 4
x=f=
Wkh vroxwlrq ri wkh surjudp +47, lv wkh h!flhqw iurqwlhu +hyhu| frpelqdwlrq ri sruwirolrv ehorqjlqj wr wklv
iurqwlhu uhpdlqv h!flhqw,1 Zh fohduo| qrwh wkdw wkh Hxurshdq iurqwlhu lv rq wkh ohiw ri wkh Dphulfdq rqh/
zklfk looxvwudwhv wkh suhylrxv uhpdun1 Vxfk d uhvxow pd| eh h{sodlqhg e| wkh glhuhqfh ri jurzwk wuhqg
revhuyhg ehwzhhq Hxursh dqg wkh Xqlwhg Vwdwhv1
Li zh jr edfn wr wkh pdlq srlqw dw lvvxh/ zh qrz glvsrvh ri dq hvwlpdwhg fruuhodwlrq pdwul{ zklfk doorzv
wr lpsohphqw d wrs0grzq dssurdfk ri wkh lqwhuqdo fdslwdo doorfdwlrq/
Dq lqwhuqdo prgho iru fdslwdo doorfdwlrq pxvw eh edvhg rq d phwkrgrorj|1 Lq sruwirolr pdqdjhphqw/
zh wudglwlrqdoo| glvwlqjxlvk dprqj wzr phwkrgv1 Wkh uvw phwkrg/ fdoohg wrs0grzq/ frqvlvwv lq doorfdwlqj
fdslwdo wr glhuhqw dvvhw fodvvhv/ dqg wkhq vhohfwlqj wkh ehvw vhfxulwlhv zlwklq hdfk dvvhw fodvv1 Lq wkh vhfrqg
phwkrg/ wkh erwwrp0xs dssurdfk/ zh gluhfwo| vhohfw wkh ehvw vhfxulwlhv1 Wkhvh wzr phwkrgv duh qrz ehlqj
xvhg lq edqn fdslwdo doorfdwlrq/ exw zlwk vrph glhuhqfhv +uhihuhqfh ^5`, ehfdxvh fdslwdo doorfdwlrq v|vwhpv lq
edqnv duh edvhg rq wkh qrwlrq ri Hfrqrplf Fdslwdo= zh frxog ghqh lw dv wkh dprxqw ri fdslwdo dssursuldwh
wr fryhu zruvw0fdvh orvvhv lq doo exw wkh prvw h{wuhph hfrqrplf vfhqdulrv1
Wkh uhsruw ^5` vkrzv wkdw wkh edqnv uhylhzhg e| wkh Wdvn Irufh xwlol}h lqwhuqdo hfrqrplf fdslwdo do0
orfdwlrqv iru wzr eurdg sxusrvhv= phdvxulqj ulvn0dgmxvwhg surwdelolw|/ dqg sruwirolr ulvn pdqdjhphqw1
Wkh erwwrp0xs dssurdfk lv uhohydqw lq wkh uvw fdvh zkhuhdv wkh wrs0grzq dssurdfk lv dgdswhg wr sruwirolr
pdqdjhphqw1 D wrs0grzq lqwhuqdo doorfdwlrq prgho fdq eh ylhzhg dv d sruwirolr sureohp/ wkh sruwirolr
frqvlvwlqj ri wkh edqn*v exvlqhvv olqhv1
Wkh prgho xvhv wzr glhuhqw fdwhjrulhv ri gdwd1 Lqwhuqdo gdwd surylgh xv zlwk wkh h{shfwhg uhwxuqv
dqg wkh ulvnv ri wkh edqn*v exvlqhvv olqhv1 H{whuqdo gdwd duh hpsor|hg wr hvwlpdwh wkh fruuhodwlrq pdwul{
dv ghqhg lq wkh phwkrgrorj| deryh1 Wkh h{shfwhg uhwxuqv dqg wkh ulvn phdvxuhv frxog eh frpsohwhg e|
shuirupdqfh remhfwlyhv dqqrxqfhg e| wkh glhuhqw exvlqhvv olqhv1 Ohw*v qrwlfh wkdw gdwd froohfwlrq lv dq
lpsruwdqw vwhs dqg rqh kdv wr eh fduhixo zlwk wkh qxpehuv surylghg e| dq klvwrulfdo dqdo|vlv1
4 Wkh uvw frqvwudlqw k Pk $ t fdq eh lqwhusuhwhg dv d uhjxodwru| uhtxluhphqw vlplodu wr d ydoxh0dw0ulvn uhtxluhphqw1
:
Pruhryhu/ wkh lqwhuqdo prgho kdv wr wdnh uhjxodwru| uhtxluhphqwv lqwr dffrxqw1 Dqrwkhu frqvwudlqw
frqfhuqv vwudwhjlf lvvxhv/ wkh jhqhudo rulhqwdwlrq ri wkh edqn*v srolf|1 Hyhqwxdoo|/ wkh vroxwlrq jlyhq e| wkh
prgho lv erxqg wr ghshqg rq wkh fxuuhqw doorfdwlrq1 Lqghhg zh gr qrw ghdo zlwk dq doorfdwlrq prgho exw d
uhdoorfdwlrq rqh/ zklfk jhqhudwhv vshflf frvwv1
zkhuh i lv wkh remhfwlyh ixqfwlrq1 Lq d VYD dssurdfk/ wklv remhfwlyh ixqfwlrq lv olqnhg +gluhfwo| ru qrw, wr wkh
vkduhkroghu*v zhdowk1 L vwdqgv iru wkh gdwd wkh edqn glvsrvhv ri= wkh fruuhodwlrq pdwul{/ lwv sdvw shuirupdqfh/
lwv remhfwlyhv1
lv d frqvwudlqw hog zklfk wdnh lqwr dffrxqw uhjxodwru| dqg vwudwhjlf uhtxluhphqwv/ dqg
rwkhu whfkqlfdo frqvwudlqwv
_ _ _
@ UP.
Uhj=
Vwudw= F +49,
Dv vdlg lq wkh suhylrxv vhfwlrq/ uhdoorfdwlrq jhqhudwhv frvwv zh pxvw hydoxdwh dqg lqwurgxfh lqwr wkh prgho1
Wklv frxog eh grqh e| xvlqj d shqdol}hg remhfwlyh ixqfwlrq ru2dqg e| prghoolqj vrph whfkqlfdo frqvwudlqwv1
Lq wkh uvw fdvh/ wkh remhfwlyh ixqfwlrq ehfrphv i +> L,j +> 3 ,= j uhsuhvhqwv d srvlwlyh erxqghg ixqfwlrq
+j +3 > 3 , @ 3, dqg 3 lv wkh fxuuhqw doorfdwlrq yhfwru1 Lq wkh vhfrqg fdvh/ whfkqlfdo frqvwudlqwv ghqh d
;
pd{lpdo glhuhqfh ehwzhhq wkh dfwxdo doorfdwlrq dqg wkh vroxwlrq1 Dqrwkhu whfkqlfdo frqvwudlqw frxog eh
lqwurgxfhg lq rughu wr wdnh vhfwru frpshwlwlrq lqwr dffrxqw1
Zh kdyh grqh d judsklfdo uhsuhvhqwdwlrq ri wkh rswlplvdwlrq sureohp dw wkh jxuh +7,1 Wklv lv mxvw dq
looxvwudwlrq/ exw wkh vfkhph doorzv xv wr xqghuvwdqg wkh glhuhqfh ehwzhhq d wudglwlrqdo dvvhw doorfdwlrq dqg
d fdslwdo doorfdwlrq sureohp1
Zlwkrxw dq| frqvwudlqw/ wkh vroxwlrq lv jhqhudoo| orfdwhg rq wkh h!flhqw iurqwlhu1 Lqwurgxflqj d shqdol}hg
frvw ixqfwlrq pryhv wkh vroxwlrq rxw ri wkh wkh h!flhqw iurqwlhu/ wr wkh lqvlgh ri lw1 Zh qrwlfh dqrwkhu hhfw
gxh wr wkh remhfwlyh ixqfwlrq= wkh wudqvirupdwlrq lv xvxdoo| qrq olqhdu lq uhvshfw ri wkh h{shfwhg uhwxuq dqg
wkh ulvn ri wkh sruwirolr1
Li frvwv ri uhdoorfdwlrq duh gluhfwo| fdswxuhg e| wkh whfkqlfdo frqvwudlqwv/
pd| ehfrph d forvhg vsdfh1
Lq pdlq fdvhv/ uhjxodwru| uhtxluhphqwv lqwurgxfh d erxqgdu| rq wkh uljkw sduw ri wkh vsdfh ehfdxvh wkh|
duh dlphg dw olplwlqj ulvn1 Zh dovr uhsuhvhqw vwudwhjlf frqvwudlqwv hyhq wkrxjk/ prvw ri wkh wlph/ vwudwhjlf
frqvwudlqwv fdqqrw eh uhsuhvhqwhg e| d jhrphwulf duhd rq d phdq0yduldqfh vfkhph1
616 Dq looxvwudwlrq
Lq wklv sdudjudsk/ zh suhvhqw vrph h{dpsohv looxvwudwlqj wkh prghoolqj ri fdslwdo doorfdwlrq1 Iru frqyhqlhqfh/
ghqrwhv wkh sursruwlrq ri hdfk exvlqhvv olqh lq wkh sruwirolr1 Wkhq/ zh kdyh
A 4 @ 4
ghqrwh wkh udqgrp yhfwru ri wkh exvlqhvv olqhv* uhwxuqv1 dqg duh uhvshfwlyho| wkh yhfwru ri wkh
Ohw U
h{shfwhg uhwxuqv dqg wkh yhfwru ri ulvnv1 lv wkh fruuhodwlrq pdwul{ ri wkh exvlqhvv olqhv* uhwxuqv1 Wkh
<
s
h{shfwhg uhwxuq ri d sruwirolr lv jlyhq e| A zkhuhdv wkh wrwdo ulvn fruuhvsrqgv wr A zlwk
l>m @ l>m l m
Ohw*v srlqw rxw d vpdoo glhuhqfh zlwk wkh pdunhw idfwru prgho suhvhqwhg lq wkh vhfwlrq 5 sdjh 51 Lq wkh
lqwhuqdo doorfdwlrq prgho/ p lv wkh ryhudoo ulvn ri wkh edqn*v exvlqhvv olqh p1 Wkhuh lv qr uhdvrq wr dgg
dq| vshflf ulvn dqg ixuwkhupruh/ zh dvvxph wkdw p lv d joredo phdvxuh wkdw frqwdlqv rshudwlqj ulvnv/ hwf1
Uhpdun 7 Doo wkh frpsxwdwlrqv duh grqh zlwk wkh ydoxhv ri h{shfwhg uhwxuqv dqg ulvnv rewdlqhg suhylrxvo|1
Ohw*v uvw lqwurgxfh d yhu| vlpsoh h{dpsoh edvhg rq ulvn0dgmxvwhg shuirupdqfh phdvxuhv +UDSP,1 Sxq0
mdel ^4<<;` ghvfulehv wkhvh phdvxuhv dv iroorzv=
Wkhvh phdvxuhv wdnh lqwr dffrxqw wkh ulvnv hpehgghg lq wkh uhwxuqv dv zhoo dv wkh uhwxuqv
wkhpvhoyhv dqg surylgh d frpprq/ djjuhjdwhg iudphzrun wr dffhvv wkh frqwulexwlrqv ri ydulrxv
wudqvdfwlrqv dqg exvlqhvv xqlwv wr wkh up*v ydoxh1
Wkhuh duh glhuhqw UDSP phdvxuhv/ exw wkh prvw nqrzq +dqg wkh ohdglqj dssurdfk, lv UDURF zklfk lv
h{whqvlyho| grfxphqwhg lq wkh olwwhudwxuh +Mdphv ^4<<9` dqg ]dln/ Zdowhu/ Nhoolqj dqg Mdphv ^4<<9`,1
UDURF frxog eh ylhzhg dv d shuirupdqfh phdvxuh ghqhg dv iroorzv +Vwrxjkwrq dqg ]hfkqhu ^4<<<d`,=
A
) +, @ s +4:,
n A
Ohw F ghqrwh wkh fdslwdo1 Zlwk d qrq0}hur frvw ri fdslwdo u/ wkh irupxod +4:, ehfrphv5
A uF
) +, @ s +4;,
n A
Wkh frqvhtxhqfh ri frvw ri fdslwdo lv uhsuhvhqwhg dw wkh jxuh +9,1 E| dqdorj| wr pdunhw htxloleulxp wkhru|/
wkh wdqjhqw lv wkh Fdslwdo Pdunhw Olqh dqg wkh vroxwlrq ri wkh suhfhghqw sureohp fruuhvsrqgv wr wkh
Pdunhw Sruwirolr wkdw kdv wkh kljkhvw Vkdush Udwlr1 Krzhyhu/ zh srlqw rxw wkdw wklv pdunhw sruwirolr
pd|
s eh frqvwudlqhg e| uhjxodwru| uhtxluhphqwv rq ulvn1 Wr looxvwudwh wklv idfw/ zh lqwurgxfh wkh uhvwulfwlrq
f A F/ zklfk frxog eh lqwhusuhwhg dv d YdU frqvwudlqw1 Zh fohduo| vhh wkdw wkh pdunhw sruwirolr lv
olnho| wr eh xqdwwdlqdeoh1
Uhpdun 8 Wkh Pdunhw Sruwirolr ghqhg lq wkh suhylrxv sdudjudsk lv dq lqwhuqdo sruwirolr frpsxwhg
iurp wkh sdvw shuirupdqfh ri wkh edqn*v exvlqhvv olqhv 1
Zh qrz suhvhqw vrph h{dpsohv ri uhdoorfdwlrq1 Ohw*v vxssrvh wkdw wkh fxuuhqw doorfdwlrq lv dv iroorzv=
5 Ehfdxvh ri wkh ghqlwlrq ri k/ lv htxdo wr 4 iru rxu h{dpsoh1
43
Iljxuh 8= Wkh UDURF sureohp
44
EO &4 EO &5 EO &6 EO &7 EO &8 EO &9 EO &: EO &;
Hxurshdq Exvlqhvv Olqhv 48( 48( 8( 58( 43( 43( 8(
Dphulfdq Exvlqhvv Olqhv 43( 8(
Wrwdo 48( 48( 8( 68( 43( 48( 3( 8(
Li zh gr qrw lpsrvh dq| frqvwudlqw/ wkh vroxwlrq ri wkh UDURF sureohp lv wkh pdunhw sruwirolr1 Xqiruwxqdwho|/
wkh vroxwlrq grhv qrw ghshqg rq wkh dfwxdo doorfdwlrq1 Vxfk d vroxwlrq lv qrw uhdolvwlf ehfdxvh lw grhv qrw
wdnh uhdoorfdwlrq frvwv ru2dqg vwudwhjlf lvvxhv lqwr dffrxqw1
Vxssrvh wkdw wkh edqn pdqdjhuv suhihu d vprrwkhg uhdoorfdwlrq1 Lq d uvw vlwxdwlrq +fdvh L,/ zh lpsrvh
wkdw hdfk exvlqhvv olqh vkduh fdqqrw pryh ryhu 8(1 Wkh vroxwlrq lv uhsuhvhqwhg dw wkh jxuh +:,1 Lq d vhfrqg
vlwxwdwlrq +fdvh LL,/ zh vxssrvh wkdw zh frqvlghu d jhrjudsklf uhdoorfdwlrq= wkh dprxqw ri hdfk exvlqhvv
olqh*v doorfdwlrq uhpdlqv wkh vdph exw lw lv dssruwlrqqhg glhuhqwo| dprqj wkh jhrjudsklfdo duhdv1 Wkh fdvh
LLL lv wkh vdph dv wkh uvw rqh/ exw wkh pryh fdq uhdfk 43(1
Hyhq li wkh fkrlfh ri wkh remhfwlyh ixqfwlrq lv qrw reylrxv/ wkh pdlq gl!fxow| olhv lq ghqlqj wkh frqvwudlqwv
lq d pdwkhpdwlfdo srlqw ri ylhz/ lq sduwlfxodu vwudwhjlf rqhv1 \hw wklv lv d yhu| lpsruwdqw vwhs zklfk shuplwv
wr nqrz zhwkhu d uhdoorfdwlrq srolf| lv ihdvleoh ru qrw1 Lqghhg/ zh pxvw wdnh fduh wkdw wkh sureohp kdv
d vroxwlrq1 Vxssrvh wkdw zh lpsrvh d wdujhw iru wkh h{shfwhg URH lq wkh wklug fdvh6 1 Li wkh wdujhw lv wrr
kljk/ wkhuh lv qr vroxwlrq wr wkh sureohp1 Lq wklv h{dpsoh/ lw lv yhu| hdv| wr xqghuvwdqg dqg wr ghwhfw wkh
6 Wklv frxog eh zulwwhq dv
k > D +,
3
45
lqfrqvlvwhqf| ri wkh frqvwudlqw1 Exw zkhq wkh sureohp ehfrphv pruh frpsoh{/ wkh lqfrqvlvwhqf| frxog eh
pruh hdvlo| ghwhfwhg zkhq wkh pdwkhphwlf wudqvodwlrq lv grqh1
zkhuh F +, uhsuhvhqwv wkh remhfwlyh ixqfwlrq dqg
wkh hog ri dgplvvleoh ydoxhv1 Zh qrwh SB wkh surjudp
ydoxh/ zklfk phdqv
Uhpdun 9 Htxdolw| frqvwudlqwv fdq eh wdnhq lqwr dffrxqw= d frqvwudlqw k +, @ lv uhsodfhg e| wkh lqhtxdolw|
frqvwudlqwv
k +,
+55,
k +,
Zh dvvxph wkdw wkh S sureohp kdv d vroxwlrq +vhh Ghpdqjh hw Urfkhw ^4<<5` iru h{lvwhqfh wkhruhpv
dqg xqlflw| rqhv,1 Lq wklv fdvh/ zh fdq suryh wkdw wkhuh h{lvwv d yhfwru 5 UL vdwlvi|lqj
; [
A C F +, @ C jl +,
A l C @B
A C @B
A
? l5 L
jl +B , l +56,
A
A l 3
A
A
=
l @ 3 li jl +B , ? l
l frh!flhqwv duh fdoohg odjudqjldq frh!flhqwv +ru N kq dqg Wxfnhu pxowlsolhuv,1 Ohw*v srlqw rxw wkdw wkhvh
frh!flhqwv duh dozd|v srvlwlyh1 Iurp dq hfrqrplf srlqw ri ylhz/ wkh| fdq eh lqwhusuhwhg dv wkh pdujlqdo
sulfhv ri wkh glhuhqw frqvwudlqwv1 D sdudphwulvdwlrq B +, +wkh rswlpxp lv dvvrfldwhg wr wkh yhfwru
uhsuhvhqwlqj wkh vhfrqg phpehu ri wkh lqhtxdolwlhv, vkhgv oljkw rq wklv odvw srlqw1 Lqghhg/ zh fdq suryh wkdw/
iru hyhu| yhfwru % lq wkh ylflqlw| ri 3P /
46
Uhohdvlqj wkh lwk frqvwudlqw e| wkh dftxlvlwlrq ri d pdujlqdo fdsdflw| xqlw %l udlvhv wkh remhfwlyh ixqfwlrq e|
l %l 1
Wkxv/ zh fdq hvwdeolvk zhwkhu d uhdoorfdwlrq surfhvv lv surwdeoh ru qrw e| frpsdulqj l wr wklv xqlw*v
pdujlqdo frvw ri dftxlvlwlrq/ dqg dq rswlpdo srolf| fdq eh lpsohphqwhg vr wkdw d frqvwudlqw lv wljkwhqhg li
l @ 3 ru orrvhqhg lq wkh rwkhu fdvh1
715 Dq h{dpsoh
Zh frqvlghu d yhu| vlpsoh h{dpsoh edvhg rq wkh suhylrxv UDURF sureohp1 Zh xvh wkh doorfdwlrq ri vl{
Iuhqfk edqnv1 Wkh jxuh +;, uhsuhvhqw wkh h{shfwhg uhwxuq dqg wkh ulvn ri wkhvh vl{ doorfdwlrq yhfwruv1
Wkh wdeoh ehorz uhsruw wkh gxdo sulfhv +ru wkh odjudqgldq frh!flhqwv,1 Zh revhuyh wkdw hyhq li wzr edqnv
duh forvhu lq wkh phdq0yduldqfh gldjudp/ wkh| pd| kdyh glhuhqw gxdo sulfhv/ ehfdxvh wkhlu doorfdwlrq duh
glhuhqw1 Pruhryhu/ wkh gxdo sulfhv lqglfdwhv zklfk doorfdwlrq wr uhgxfh ru wr lqfuhdvh1
47
Edqn 7 Edqn 8 Edqn 9
l ? b l l A b l l ? b l l A b l l ? b l l A b l
EO 4 31435; 313;9; 314554
EO 5 31333< 31335: 313348
EO 6 313955 31384: 313:67
EO 7 313383 313379 31339;
EO 8 313547 31346: 313583
EO 9 314384 314454 314536
EO : 313648 313663 313699
EO ; 313576 3134;9 3135;<
dqg
W
B @ 3 +59,
iw > w 5 W j lv d sdwk wkdw ohdgv wr wkh rswlpxp1 Wkxv/ jrlqj iurp wkh fxuuhqw vlwxdwlrq b wr wkh rswlpdo
rqh B uhtxluhv vhyhudo vwhsv/ zklfk vhhpv txlwh uhohydqw lq wkh fdvh ri uhdoorfdwlrq1 Lqghhg/ d uhdoorfdwlrq
srolf| kdv wr eh surjuhvvlyh lq rughu wr wdnh lqwr dffrxqw wkh frqvwudlqwv olqnhg wr wkh fxuuhqw doorfdwlrq1
zlwk
F @ 5 UP = b +5<,
F. @ 5 UP = b
Wklv sureohp lv htxlydohqw wr wkh vwduwlqj sureohp zlwk wkh dgglwlrqdo frqvwudlqw @ 1 b Ohw p ghqrwh
.
wkh gxdo sulfh dvvrfldwhg zlwk wkh frqvwudlqw p b p > dqg p wkh sulfh dvvrfldwhg zlwk wkh frqvwudlqw
p b p 1 Wkh rswlpxp B ri wkh surjudp S fdq eh lpsohphqwhg txlwh hdvlo| e| dsso|lqj wkh htxdwlrq
+57, wr wkh surjudp S . 1 Lqghhg/ zh nqrz wkdw wkhuh h{lvwv d yhfwru %3 lq wkh ylflqlw| ri 3P vdwlvi|lqj wkh
frqglwlrq +58, vlqfh gxdo sulfhv duh srvlwlyh ru qxoo/ dqg zh fdq ghqh 4 dv iroorzv
4 @ b . %3 +63,
5 @ 4 . %4 +64,
Zh uhlwhudwh wklv surfhvv xqwlo +59, lv vdwlvhg1 Wkxv/ zh rewdlq d vhulhv iw > w 5 W j lpsohphqwlqj wkh
rswlpxp1
48
Uhpdun : Wkhuh h{lvw d odujh qxpehu ri vhulhv i%w > w 5 W j edvhg rq wkh htxdwlrq +57, dqg vdwlvi|lqj wkh
frqglwlrq +58,1 D vlpsoh zd| ri fkrrvlqj d yhfwru %w frqvlvwv lq frqvlghulqj wkh gxdo sulfhv .
p dqg p 1 Ohw
P
dvvxph iru h{hpsoh wkdw
@ U 1 Ohw p dqg p eh wkh wzr exvlqhvv olqhv dvvrfldwhg zlwk wkh odujhvw gxdo
.
sulfhv .
p hw p
;
? p @ duj pd{p
p5P +65,
= p. @ duj pd{. p
p5P
Wkhq/ zh fdq ghqh %w vxfk wkdw
; w
A % @ 3 li p 5 P a ip > p. j
? p
A
%wpb ? 3
+66,
A %w . A 3
= p
A w w
%p. . %pb @ 3
Lw dprxqwv wr prgli|lqj wkh doorfdwlrq yhfwru w dv iroorzv= wkh exvlqhvv olqh fruuhvsrqglqj wr wkh kljkhvw
gxdo sulfh .
p lv h{whqghg zkloh wkh rqh fruuhvsrqglqj wr wkh kljkhvw sulfh p lv uhgxfhg1
Zh dssolhg wkh whfkqltxh deryh wr lpsohphqw wkh UDURF vroxwlrq zlwk %wp. @ 3=8(1 Wkh judsklf +<,
h{klelwv wkh hyroxwlrq ri wkh sruwirolr*v sdwk lq wkh phdq0yduldqfh gldjudp iru irxu lqlwldo doorfdwlrq yhfwruv1
Ehvlghv/ zh lpsohphqwhg wkh iroorzlqj vhtxhqwldo rswlplvdwlrq surjudp lq rughu wr frpsduh wkh uhvxowv
vxs F w.4
w.4 +67,
w *
Wkh judsklf +43, h{klelwv wkh uhvxowv lq wkh fdvh ri wkh O4 qrup zlwk * @ 3=33681 Ohw*v qrwlfh wkdw wkh sdwk
zh rewdlq xvlqj wkh gxdo sulfhv lv txlwh forvh wr wkh rqh zh jhw iurp wkh vhtxhqwldo surjudp1 Dfwxdoo|/ wkh
wzr sdwkv frlqflgh zkhq yduldwlrqv duh lqqlwhvlpdo +* $ 3. dqg %wpb $ %wp. ,1
Lq wkh suhylrxv h{dpsoh/ zh vxssrvh wkdw wkh sdudphwhuv dqg wkh vwuxfwxuh ri wkh frqvwudlqwv dozd|v
uhpdlq wkh vdph iurp rqh lwhudwlrq wr dqrwkhu1 \hw/ zh pd| frqvlghu wkdw wkh| duh olnho| wr hyroyh1 Iru
h{dpsoh/ lqfuhdvlqj wkh hfrqrplf fdslwdo ri rqh exvlqhvv olqh jhqhudwhv vrph pdunhw frpshwlwlrq dqg/ dv
d frqvhtxhqfh/ uhgxfhv wkh h{shfwhg uhwxuq1 Wkhuhiruh/ lw pd| eh ehwwhu wr frqvlghu dqg dv hyroylqj
sdudphwhuv1
Pruhryhu/ prylqj wkh doorfdwlrq pd| fkdqjh wkh vwuxfwxuh ri wkh vwudwhjlf ru whfkqlfdo frqvwudlqwv1 Zh
frxog hdvlo| wdnh wklv w|sh ri prglfdwlrq lqwr dffrxqw e| prgli|lqj wkh sureohp dw hdfk vwhs w
w pd{ F w +>w ,
S +68,
5
w @ 5 UP = jlw +> w , wl > l 5 L
w lv ghqhg dv d vxevhw ri 3 > = = = > w4 =
Li w @ >/ wkhq wkh vroxwlrq ri wkh surjudp ghshqgv qhlwkhu rq wkh fxuuhqw doorfdwlrq qru rq wkh
sruwirolr*v sdwk1
Zh frxog dovr wdnh w @ 3 > = = = > w4 1 Lq wklv fdvh/ wkh vroxwlrq ghshqgv rq wkh hqwluh sdwk1
Lpsohphqwlqj dq rswlpxp zlwk surjudpv olnh +68, fdq eh ylhzhg dv d vfhqdulr dqdo|vlv dqg2ru
k|srwkhvlv whvwlqj1
EO &4 EO &5 EO &6 EO &7 EO &8 EO &9 EO &: EO &;
3 Hxurshdq Exvlqhvv Olqhv 48( 48( 8( 58( 43( 43( 8(
Dphulfdq Exvlqhvv Olqhv 43( 8(
+3, Hxurshdq Exvlqhvv Olqhv 79( 5( 4<(
Dphulfdq Exvlqhvv Olqhv 66(
+4, Hxurshdq Exvlqhvv Olqhv 76( <( 58( :( 9(
Dphulfdq Exvlqhvv Olqhv 5( 4( 5( 4( 4( 7(
+5, Hxurshdq Exvlqhvv Olqhv 57( 43( 57( 44( 9(
Dphulfdq Exvlqhvv Olqhv 8( 7( 4( 6( 5( 43(
+6, Hxurshdq Exvlqhvv Olqhv 53( 49( ;( 44( 45( 9(
Dphulfdq Exvlqhvv Olqhv :( 5( 5( :( <(
49
Iljxuh <= H{dpsohv ri rswlpxp lpsohphqwdwlrq
4:
Iljxuh 44= Vwhs0ydu|lqj rswlpxp lpsohphqwdwlrq
31 Jlyhq d fxuuhqw doorfdwlrq/ zh kdyh frpsxwhg wkh sruwirolr*v sdwk dqg wkh vroxwlrq lw ohdgv wr/ zlwkrxw
dq| frqvwudlqwv1
41 Wkhq/ zh fdq vxssrvh wkdw ehfdxvh ri pdunhw olplwdwlrqv/ wkh h{shfwhg uhwxuqv ghshqg rq wkh glhuhqfh
ehwzhhq wkh fxuuhqw doorfdwlrq dqg wkh ixwxuh rqh
@ 3 > 3 > +69,
4;
61 Lq d wklug sureohp/ wkh remhfwlyh ixqfwlrq F w ghshqgv rq w @ 3 > = = = > w4 1 Wkh xqghuo|lqj lghd
lv wkdw uhdoorfdwlrq lqgxfhv frvwv9 1
Zh frxog gr vrph uhpdunv rq wkhvh looxvwudwlyh h{dpsohv1 Iluvw/ zh fohduo| vhh wkdw wkh Pdunhw Sruwirolr
lv idu iurp wkh fxuuhqw sruwirolr1 Iru lqvwdqfh/ wkh Dphulfdq EO &; uhsuhvhqwv 66( ri wkh Pdunhw Sruwirolr1
Zkhq zh frqvlghu uhdoorfdwlrq frvwv/ wkh sursruwlrq lv uhgxfhg wr rqo| <( +surjudp 6,1 Vlqfh wkh fxuuhqw
sruwirolr grhv qrw lqfoxgh wklv exvlqhvv olqh/ ghyhorsslqj wklv dfwlylw| lpsolhv yhu| kxjh frvwv ri hqwu|1 Wkdw*v
zk| lwv sursruwlrq ehfrphv yhu| vpdoo1
Zh pxvw srlqw rxw wkdw zh xvh wkh PO hvwlpdwhv ri h{shfwhg uhwxuqv dqg ulvnv1 Lq dq lqwhuqdo dssurdfk/
lw lv fohdu wkdw/ iru exvlqhvv olqhv wkdw duh qrw suhvhqw lq wkh edqn/ zh kdyh wr xvh h{whuqdo gdwd +iru h{dpsoh/
zh frxog xvh gdwd surylghg iurp ehqfkpdunv,1 Wkhvh gdwd vkrxog eh dgmxvwhg wr wdnh lqwr dffrxqw wkh
edqn*v vshflflw| ru wkh edqn*v vwudwhj|1 Lq sduwlfxodu/ li wkh dfwlylw| p lv qrw uhsuhvhqwhg lq wkh edqn/
pd|eh wkh edqn kdg ehwwhu ohdyh wklv dfwlylw| dvlgh/ zklfk phdqv wkdw wkh edqn zloo vhw p @ 31
8 Frqfoxglqj uhpdunv
Wklv sdshu suhvhqwv vrph lghdv derxw edqn fdslwdo doorfdwlrq lq d wrs0grzq dssurdfk1 Wkh sureohp lv wr
qg rxw wkh zd| d pdqdjhu pxvw doorfdwh wkh fdslwdo ri d edqn dprqj glhuhqw dfwlylwlhv1 D uhodwhg lvvxh olhv
lq ghwhuplqlqj wkh dfwlylwlhv kh pxvw hqkdqfh dqg wkh dfwlylwlhv kh pxvw uhgxfh/ jlyhq d fxuuhqw doorfdwlrq1
Vxfk dq h{huflvh uhtxluhv dq dffxudwh ghqlwlrq dqg hvwlpdwh ri wkh gdwd qhhghg dv lqsxwv ri wkh prgho/ Lq
sduwlfxodu zh ghyhors d pdunhw idfwru prgho wr hvwlpdwh wkh fruuhodwlrq pdwul{ ri wkh glhuhqw exvlqhvv olqhv1
Wkh doorfdwlrq sureohp fdq eh wuhdwhg dv dq dvvhw doorfdwlrq sureohp zlwk vshflf frqvwudlqwv1 Iluvwo|/ wkh
edqn*v remhfwlyh kdv wr eh fohduo| ghqhg/ zklfk dprxqwv wr wdnh lqwr dffrxqw wkh vkduhkroghu*v zhdowk +iru
h{dpsoh/ UDURF ru HYD: ,1 Vhfrqgo| wkh glhuhqw frqvwudlqwv kdyh wr eh prghoohg dqg qdoo|/ wkh sdwk wr
uhdfk wkh vroxwlrq pxvw eh ghwhuplqhg1
Zlwk doorfdwlrq prghov lq dq Hfrqrplf Fdslwdo iudphzrun/ zh dedqgrq wkh frqfhsw ri ulvn dv d yrodwlolw|
phdvxuh1 Qhyhuwkhohvv/ wkhuh h{lvw vrph olqnv ehwzhhq wkh yrodwlolw| dqg wkh hfrqrplf fdslwdo lq d jdxvvldq
dqdo|vlv1 Lq wklv fdvh/ wkh hfrqrplf fdslwdo fdq eh hdvlo| phdvxuhg zlwk dq Hduqlqjv0dw0Ulvn phwkrg dqg d
n uxoh1 \hw/ vrph sureohpv pd| rffxu wr uhfrqfloldwh d wrs0grzq dssurdfk zlwk d erwwrp0xs rqh1 Lq wkh
fdvh ri rxu UDURF h{dpsoh/ wkh hfrqrplf fdslwdo ri wkh exvlqhvv olqh p lv p ru np p 1 Lpsolflwho|/ zh xvh
glhuhqw n ydoxhv wr ghqh wkh vroxwlrq1 Wkdw*v zk| zh fdq eh frqiurqwhg zlwk vrph sureohpv gxulqj wkh
fdslwdo frqvxpswlrq vwhs +ru zlwk d erwwrp0xs dssurdfk,1
Uhvhdufk lqwr edqn fdslwdo doorfdwlrq lv khdylo| ghyhorsshg1 Dw wkh wlph/ lw h{whqvlyho| ghdov zlwk pdunhw
ulvn ru fuhglw ulvn phdvxuhv +vhh h1j1 ^4`/ ^6`/ ^<`/ ^4;` dqg ^53`,1 Wzr sureohpv duh prvwo| lqyhvwljdwhg= wkh
phdvxuhphqw sureohp +vhh h1j1 ^8`/ ^9` dqg ^43`, dqg wkh hvwlpdwlrq phwkrg1 Uhvhdufk kdv mxvw ehjxq wr frsh
zlwk wzr rwkhu sureohpv= djjuhjdwlrq +vhh h1j1 ^46` dqg ^67`, dqg doorfdwlrq surjudpplqj +vhh h1j1 ^44`/ ^5:`
dqg ^64`,1 Lq rxu wrs0grzq dssurdfk/ zh grq*w idfh wkhvh sureohpv ehfdxvh ri wkh HdU rulhqwhg dssurdfk
dqg wkh jdxvvldq dqdo|vlv zh dgrswhg1 Exw lw lv srvvleoh wr h{whqg rxu vwxg| dqg uhod{ wkhvh dvvxpswlrqv
e| xvlqj vwrfkdvwlf surjudpplqj; 1
9 Wkh sdwk +6, kdv ehhq rewdlqhg zlwk
| kc s| ' k > 3Io 3 S
|
+73,
&q u k Pk
zkhuh
3
S| ' D
|
[
k 3 k3
+74,
'
: Lq d pdwkhpdwlfdo srlqw ri ylhzhg/ wkh wzr frqfhswv duh forvhg +vhh iru h{dpsoh Orqjoh|0Frrn ^4<<;` ru Vwrxjkwrq dqg
]hfkqhu ^4<<<d`,1 Wkh uhdghu zloo qg dq lqwurgxfwlrq rq HYD lq X|hpxud/ Ndqwru dqg Shwwlw ^4<<9`1
; lq wkh vslulw ri wkh zrunv ri Xu|dvhy +^7`/ ^65`,1
4<
Uhihuhqfhv
^4` Dphqgphqw wr wkh fdslwdo dffrug wr lqfrusrudwh pdunhw ulvnv/ Edvoh Frpplwwhh rq Edqnlqj Vxshuylvlrq/
Mdqxdu| 4<<9/ Q 57
^5` Fuhglw Ulvn Prghov dw Pdmru X1V1 Edqnlqj Lqvwlwxwlrqv= Fxuuhqw Vwdwh ri wkh Duw dqg Lpsolfdwlrqv iru
Dvvhvvphqwv ri Fdslwdo Dghtxdf|/ Ihghudo Uhvhuyh V|vwhp Wdvn Irufh rq Lqwhuqdo Fuhglw Ulvn Prghov/
pd| 4<<;
^6` D qhz fdslwdo dghtxdf| iudphzrun/ Edvoh Frpplwwhh rq Edqnlqj Vxshuylvlrq/ Mxqh 4<<</ Q 83
^7` Dqghuvvrq/ I1 dqg V1 Xu|dvhy ^4<<<`/ Fuhglw ulvn rswlplvdwlrq zlwk frqglwlrqqdo ydoxh0dw0ulvn fulwh0
ulrq/ Ghsw1 ri Lqgxvwuldo dqg V|vwhpv Hqjlqhhulqj/ Xqlyhuvlw| ri Iorulgd/ Uhvhdufk Uhsruw/ <<0<
^8` Duw}qhu/ D1/ I1 Ghoedhq/ M0P1 Hehu dqg G1 Khdwk ^4<<:`/ Wklqnlqj frkhuhqwo|/ Ulvn pdjd}lqh/ 43/
Qryhpehu/ 9;0:4
^9` Duw}qhu/ D1/ I1 Ghoedhq/ M0P1 Hehu dqg G1 Khdwk ^4<<<`/ Frkhuhqw phdvxuhv ri ulvn/ Pdwkhpdwlfdo
Ilqdqfh/ </ 536055;
^:` Edxg/ Q1/ D1 Iudfkrw/ S1 Pduwlqhx dqg W1 Urqfdool ^4<<<`/ Vwdelolw| ri d wrs0grzq fruuhodwlrq
pdwul{/ Fuìglw O|rqqdlv/ lqwhuqdo grfxphqw/ 3<25<24<<<
^;` Ehonlq/ E1/ O1 Iruhvw dqg V1M1 Vxfkrzhu ^4<<:`/ Phdvxuhv ri fuhglw ulvn dqg ordq ydoxh lq NSPJ*v
ODVVP/ Ilqdqfldo Vhuylfhv Frqvxowlqj0Ulvn Vroxwlrqv/ NSPJ Shdw Pduzlfn OOS/ rfwrehu
^<` Fuhglw Vxlvvh Ilqdqfldo Surgxfwv/ FuhglwUlvn.= D Fuhglw Ulvn Pdqdjhphqw Iudphzrun/ Fuhglw Vxlvvh
Ilqdqfldo Surgxfwv/ Orqgrq
^43` Ghoedhq/ I1 ^4<<;`/ Frkhuhqw ulvn phdvxuhv rq jhqhudo suredelolw| vsdfhv/ Ghsduwhphqw Pdwkhpdwln/
HWK ] ulfk/ Zrunlqj Sdshu
^44` Ghqdxow/ P1 ^4<<<`/ Frkhuhqw doorfdwlrq ri ulvn fdslwdo/ Vzlvv Ihghudo Lqvwlwxwh ri Whfkqrorj|/ Zrunlqj
Sdshu/ Rfwrehu
^45` Hpeuhfkwv/ S1/ No sshoehuj/ F1 dqg W1 Plnrvfk ^4<<:`/ Prghoolqj H{wuhpdo Hyhqwv iru Lqvxudqfh
dqg Ilqdqfh/ Vsulqjhu0Yhuodj/ Ehuolq
^46` Hpeuhfkwv/ S1/ PfQhlo/ D1M1 dqg G1 Vwudxpdqq ^4<<<`/ Fruuhodwlrq dqg ghshqghqf| lq ulvn pdq0
djhphqw = surshuwlhv dqg slwidoov/ Ghsduwhphqw Pdwkhpdwln/ HWK ] ulfk/ Zrunlqj Sdshu
^47` Ilvkexuq/ S1F1 ^4<::`/ Phdq0ulvn dqdo|vlv zlwk ulvn dvvrfldwhg zlwk ehorz0wdujhw uhwxuqv/ Dphulfdq
Hfrqrplf Uhylhz/ 9:/ 4490459
^48` Iudfkrw/ D1/ S1 Ljljdeho/ S1 Pduwlqhx dqg W1 Urqfdool ^4<<<`/ Lpsoìphqwdwlrq g*xqh pìwkrgror0
jlh wrs0grzq Hvwlpdwlrq g*xqh pdwulfh gh fruuìodwlrq ghv uhqghphqwv g*dfwlylwìv edqfdluhv/ Fuìglw
O|rqqdlv/ lqwhuqdo grfxphqw/ 3824824<<<
^49` Iurrw/ N1D1 dqg M1F1 Vwhlq ^4<<;d`/ Ulvn pdqdjhphqw/ fdsxwdo exgjhwlqj/ dqg fdslwdo vwuxfwxuh srolf|
iru qdqfldo lqvwlwxwlrqv= dq lqwhjudwhg dssurdfk/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ 7:/ 880;5
^4:` Iurrw/ N1D1 dqg M1F1 Vwhlq ^4<<;e`/ D qhz dssurdfk wr fdslwdo exgjhwlqj iru qdqfldo lqvwlwxwlrqv/
Kduydug Exvlqhvv Vfkrro/ Zrunlqj Sdshu/ Mxo|
^4;` Jrug|/ P1E1 ^4<<;`/ D frpsdudwlyh dqdwrp| ri fuhglw ulvn prghov/ Erdug rj Jryhuqruv ri wkh Ihghudo
Uhvhuyh V|vwhp/ Zrunlqj Sdshu/ Ghfhpehu
^4<` Jrxulìurx{/ F1/ D1 Prqiruw dqg D1 Wurjqrq ^4<;7`/ Svhxgr pd{lpxp olnholkrrg phwkrgv= wkhru|/
Hfrqrphwulfd/ 85/ 9;40:33
^53` Jxswrq/ J1P1/ F1F1 Ilqjhu dqg P1 Ekdwld ^4<<:`/ FuhglwPhwulfv0Whfkqlfdo Grfxphqw/ M1S1 Prujdq
) Fr1 Lqfrusrudwhg/ Qhz \run
53
^54` Mdphv/ F1 ^4<<9`/ UDURF edvhg fdslwdo exgjhwlqj dqg shuirupdqfh hydoxdwlrq= D fdvh vwxg| ri edqn
fdslwdo doorfdwlrq/ Zkduwrq Vfkrro/ Ilqdqfldo Lqvwlwxwlrqv Fhqwhu Zrunlqj Sdshu/ <9073
^55` Orqjoh|0Frrn/ D1J1 ^4<<;`/ Ulvn0dgmxvwhg hfrqrplf ydoxh dqdo|vlv/ Qruwk Dphulfdq Dfwxduldo Mrxu0
qdo/ 504/ ;:0433
^56` Pdunrzlw}/ K1P1 ^4<;:`/ Phdq0Yduldqfh Dqdo|vhv lq Sruwirolr Fkrlfh dqg Fdslwdo Pdunhwv/ Edvlo
Eodfnzhoo/ R{irug
^57` Phuwrq/ U1F1 ^4<:7`/ Rq wkh sulflqj ri frusrudwh ghew= wkh ulvn vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri
Ilqdqfh/ 5</ 77<07:3
^58` Sxqmdel/ V1 ^4<<;`/ Pdq| kdss| uhwxuqv/ Ulvn/ Mxqh/ :40:9
^59` Urvv/ V1D1 ^4<:9`/ Wkh duelwudjh wkhru| ri fdslwdo dvvhw sulflqj/ Mrxuqdo ri Hfrqrplf Wkhru|/ 46/
6740693
^5:` Vfkprfn/ X1 dqg G1 Vwudxpdqq ^4<<<`/ Doorfdwlrq ri ulvn fdslwdo/ UlvnOde/ Ghsduwphqw ri Pdwkh0
pdwlfv/ HWK ] uxfk/ Zrunlqj Sdshu
^5;` Vkdush/ Z1I1 ^4<<5`/ Dvvhw doorfdwlrq= pdqdjhphqw vw|oh dqg shuirupdqfh phdvxuhphqw Dq dvvhw
fodvv idfwru prgho fdq khos pdnh rughu rxw ri fkdrv/ Mrxuqdo ri Sruwirolr Pdqdjhphqw/ Zlqwhu/ :04<
^5<` Vwrxjkwrq/ Q1P1 dqg M1 ]hfkqhu ^4<<<d`/ Rswlpdo fdslwdo doorfdwlrq xvlqj UDURFWP dqg HYD
U
/
Xqlyhuvlw| ri Fdoliruqld Luylqh/ Zrunlqj Sdshu/ Pdufk
^63` Vwrxjkwrq/ Q1P1 dqg M1 ]hfkqhu ^4<<<e`/ Wkh g|qdplfv ri fdslwdo doorfdwlrq/ Xqlyhuvlw| ri Fdoliruqld
Luylqh/ Zrunlqj Sdshu/ Pdufk
^64` Wdvfkh/ G1 ^4<<<`/ Ulvn frqwulexwlrqv dqg shuirupdqfh phdvxuhphqw/ ]hqwuxp Pdwkhpdwln/ WX
P qfkhq/ Zrunlqj Sdshu/ Mxo|
^65` Xu|dvhy/ V1 dqg U1W1 Urfndihoodu ^4<<<`/ Rswlpl}dwlrq ri frqglwlrqqdo ydoxh0dw0ulvn/ Ghsw1 ri Lq0
gxvwuldo dqg V|vwhpv Hqjlqhhulqj/ Xqlyhuvlw| ri Iorulgd/ Uhvhdufk Uhsruw/ <<07
^66` X|hpxud/ G1/ F1 Ndqwru dqg M1 Shwwlw ^4<<9`/ HYD iru edqnv= Ydoxh fuhdwlrq/ ulvn pdqdjhphqw
dqg surwdelolw| phdvxuhphqw/ Mrxuqdo ri Dssolhg Frusrudwh Ilqdqfh/ </ <70466
^67` Zdqj/ V1V1 ^4<<<`/ Djjhjdwlrq ri fruuhodwhg ulvn sruwirolrv= Prghov ) dojrulwkpv/ FDV Frpplwwhh rq
Wkhru| ri Ulvn/ suhsulqw
^68` ]dln/ H1/ M1 Zdowhu/ J1 Nhoolqj dqg F1 Mdphv ^4<<9`/ UDURF dw Edqn ri Dphulfd= Iurp wkhru|
wr sudfwlfh/ Mrxuqdo ri Dssolhg Frusrudwh Ilqdqfh/ </ ;60<6
54