2016 INFORMS Annual Meeting Program

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INFORMS Nashville – 2016
108
SD42
207D-MCC
The OTC Derivatives Market Reform and the
Subsequent Interplay betwen Banks and CCPs
Sponsored: Financial Services
Sponsored Session
Chair: Ghamami Samim, Federal Reserve Board, 20th St and
Constitution Ave NW, Washington, DC, 20551, United States,
1 - OTC Derivatives Reform and the Subsequent Interplay Between
Banks and Central Counterparties
Samim Ghamami, Federal Reserve Board,
We first discuss the G-20 reform program in the over-the-counter (OTC)
derivatives markets and the subsequent Basel risk capital, collateral, liquidity, and
leverage regulation. Next and after a brief review of derivatives central
counterparties (CCPs), we present the paper “Does OTC derivatives reform
incentivize central clearing?” Ghamami and Glasserman [2016].
SD43
208A-MCC
Values and Decision-Making
Sponsored: Decision Analysis
Sponsored Session
Chair: Johannes Siebert, University of Bayreuth, Universitätsstr. 30,
Bayreuth, 95440, Germany,
1 - Identifying, Structuring, And Using Personal Strategic
Life Objectives
Ralph L. Keeney, Duke University, San Francisco, CA,
United States,
Most individuals desire a quality life, but have not articulated the objectives
necessary to pursue and reasonably achieve such a life. This presentation
discusses how to identify your personal strategic life objectives and how to use
them to enhance the quality of your life.
2 - Identifying, Structuring, And Comparing Objectives Of Terrorists
Detlof von Winterfeldt, Center for Risk and Economic Analysis of
Terrorism Events (CREATE), University of Southern California, Los
Angeles, CA, CA 90089, United States,
Johannes Siebert, Richard S John, Gregory Keeney, Heather Rosoff
The risk of terrorism is of great concern to many countries and significant
resources are spent to counter this threat. A better understanding of the
motivation of terrorists and their reasons for selecting certain modes and targets
of attack can help improve the decisions to allocate resources in the fight against
terrorism. We develop methods using principles of decision analysis and value-
focused thinking to identify, structure, and compare objectives of terrorists. We
use our methods to provide the key decision makers in the Pentagon with a
sound basis for fighting the terrorist groups.
3 - Enhancing Life Satisfaction By Improving Proactive
Cognitve Skills
Johannes Siebert, University of Bayreuth,
, Reinhard Kunz
The Proactive Decision Making scale, which is based on the concepts of value-
focused thinking and decision quality, measures proactive personality traits and
cognitive skills in decision-making. We show that proactive cognitive skills can
explain up to 36% of life satisfaction, i.e. proactive decision makers are more
satisfied with their decisions and with their lives. Furthermore, we provide
empirical evidence that proactive cognitive skills can be trained in a course on
decision-making. We recommend schools, colleges, and universities to offer more
courses on decision-making to enhance student`s proactive cognitive skills and
satisfaction with their decisions and lives.
SD44
208B-MCC
Robust Decision Analysis
Sponsored: Decision Analysis
Sponsored Session
Chair: Erin Baker, Univ of Massachusetts-Amherst, Amherst, MA,
United States,
1 - Robust Sensitivity Analysis In Climate Change Modelling
Emanuele Borgonovo, Bocconi University,
Max D. Morris,
Elmar Plischke
In several situations, analysts are not able to assign a unique distributions to the
inputs of a computer code. Especially when alternative opinions are received by
experts, analysts may combine alternative assessments using a mixture. The
removal of the unique distribution assumption creates several issues in global
sensitivity analysis, which we address systematically in this work.
2 - Climate Informed Decision Analysis: Do We Need Probabilities?
Casey Brown, University of Massachusetts, Amherst,
The projected impacts of climate change often include untenable implications for
many infrastructure systems. Planners and policy makers seek the best possible
sources of climate change projections and information to assist their decision
making needs. However, the dominance of climate science oriented toward
mitigation of greenhouse gas emission questions leads to a disorientation of
research focused on adaptation to climate change impacts. A break from “impact
analysis” methods is needed, and a climate informed decision analysis is proposed
in response. The question of use of probabilities, in particular, is analyzed. <!—
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3 - Finding Common Ground When Experts Disagree:
Robust Portfolio Decision Analysis
Erin Baker, Univ. of Massachusetts - Amherst,
Valentina Bosetti, Ahti Salo
We address the problem of choosing a portfolio of policies under “deep
uncertainty.” We introduce the idea of belief dominance as a way to derive a set
of non-dominated portfolios and robust individual alternatives. The belief
dominance concept allows us to synthesize multiple expert - or model - based
beliefs by uncovering the range of alternatives that are intelligent responses to the
range of beliefs. We illustrate our approach using an important problem in the
climate change and energy policy context: choosing among clean energy
technology R&D portfolios.
SD45
209A-MCC
Quantitative Methods in Risk Management
Invited: Risk and Compliance
Invited Session
Chair: Agostino Capponi, Columbia University, 500 West 120th Street,
New York, NY, 10027, United States,
1 - Managing Systemic Risk In Inhomogeneous Financial Networks
Nils Detering, University of California Santa Barbara, Santa
Barbara, CA, 93106, United States, ,
Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter
To quantify and manage systemic risk in the interbank market, we propose a
weighted, directed random network model. The vertices in the network are
financial institutions and the weighted edges represent credit exposures between
them. Our model resembles the strong degree of heterogeneity observed in
empirical data and generalizes earlier work based on the configuration model to
inhomogeneous random graphs with unbounded variance of the degree
sequence. We study the networks resilience to local shocks (only a few initially
defaulted institutions) and derive capital charges, which ensure the networks
resilience.
2 - Information Relaxation Bounds And The Dynamic Assortment
Problem
David Brown, Duke University, , Jim Smith
n this talk, we discuss the use of information relaxation bounds to generate
performance bounds for dynamic programming problems. We focus on the
dynamic assortment problem (Caro and Gallien 2007) and show how the
information relaxation bounds improve upon Lagrangian relaxation bounds.
SD42