M.K. Francke and F.P.W. Schilder
This paper aims to study the data on losses on mortgage insurance in the Dutch housing market to find the key drivers of the probability of loss. In 2013, 25 per cent of all Dutch…
Abstract
Purpose
This paper aims to study the data on losses on mortgage insurance in the Dutch housing market to find the key drivers of the probability of loss. In 2013, 25 per cent of all Dutch homeowners were “under water”: selling the property will not cover the outstanding mortgage debt. The double-trigger theory predicts that being under water is a necessary but not sufficient condition to predict mortgage default. A loss for the mortgage insurer is the result of a default where the proceedings of sale and the accumulated savings for postponed repayment of the principal associated to the loan are not sufficient to repay the loan.
Design/methodology/approach
For this study, the authors use a data set on losses on mortgage insurance at a national aggregate level covering the period from 1976 to 2012. They apply a discrete time hazard model with calendar time- and duration-varying covariates to analyze the relationship between year of issue of the insurance, duration, equity, unfortunate events like unemployment and divorce and affordability measures to identify the main drivers of the probability of loss.
Findings
Although the number of losses increases over time, the number of losses relative to the active insurance is still low, despite the fact that the Dutch housing market is the world’s most strongly leveraged housing market. On average, the peak in loss probability lies around a duration of four years. The average loss probability is virtually zero for durations larger than 10 years. Mortgages initiated just prior to the beginning of the financial crisis have an increased loss probability. The most important drivers of the loss probability are home equity, unemployment and divorce. Affordability measures are less important.
Research limitations/implications
Mortgage insurance is available for the lower end of the market only and is intended to decrease the impact of risk selection by banks. The analysis is based on aggregate data; no information on individual households, like initial loan-to-value and price-to-income ratios; current home equity; and unfortunate events, like unemployment and divorce, is available. The research uses averages of these variables per calendar year and/or duration. Information on repayments of insured mortgages is missing.
Originality/value
This paper is the first to describe the main drivers of losses on insured mortgages in The Netherlands by using loss data covering two housing market crises, one in the early 1980s and the current crisis that started in 2008. Much has changed between the two crises. For instance, prices have risen steeply as has household indebtedness. Furthermore, alternative mortgage products have increased in popularity. Focusing a study on the drivers of mortgage losses exclusively on the current crisis could therefore be biased, given the time-specific circumstances on the housing market.
Details
Keywords
J.H.M. TEN THIJE BOONKKAMP and W.H.A. SCHILDERS
An extension of the Scharfetter‐Gummel discretization scheme is presented which is designed for electrothermal semiconductor device equations including avalanche generation terms…
Abstract
An extension of the Scharfetter‐Gummel discretization scheme is presented which is designed for electrothermal semiconductor device equations including avalanche generation terms. The scheme makes explicit use of the exponential character of solutions, and reduces to the standard Scharfetter‐Gummel scheme in the isothermal non‐avalanche case.
A. Heringa, M.M.A. Driessen, J.M.F. Peters and W.H.A. Schilders
The package CURRY offers a wide range of built‐in facilities for 2D device modelling of a large variety of structures such as MOS, bipolar and charge coupled devices. These…
Abstract
The package CURRY offers a wide range of built‐in facilities for 2D device modelling of a large variety of structures such as MOS, bipolar and charge coupled devices. These capabilities will be illustrated on the transport of a charge package in a charge coupled device and on the simulation of the ESD ( Electro‐Static Discharge) in an MOS transistor. The CURRY package can also be used as a high quality kernel to which the user may add his own extensions by adding small pieces of Fortran code. The flexibility of this setup will be shown in the computation of the threshold voltage of an MOS transistor, in the computation of the I‐V curve of a diode in avalanche breakdown and in the computation of the open collector voltage of a bipolar transistor.
N. Banagaaya, W.H.A. Schilders, G. Alì and C. Tischendorf
Model order reduction (MOR) has been widely used in the electric networks but little has been done to reduce higher index differential algebraic equations (DAEs). The paper aims…
Abstract
Purpose
Model order reduction (MOR) has been widely used in the electric networks but little has been done to reduce higher index differential algebraic equations (DAEs). The paper aims to discuss these issues.
Design/methodology/approach
Most methods first do an index reduction before reducing a higher DAE but this can lead to a loss of physical properties of the system.
Findings
The paper presents a MOR method for DAEs called the index-aware MOR (IMOR) which can reduce a DAE while preserving its physical properties such as the index. The feasibility of this method is tested on real-life electric networks.
Originality/value
MOR has been widely used to reduce large systems from electric networks but little has been done to reduce higher index DAEs. Most methods first do an index reduction before reducing a large system of DAEs but this can lead to a loss of physical properties of the system. The paper presents a MOR method for DAEs called the IMOR which can reduce a DAE while preserving its physical properties such as the index. The feasibility of this method is tested on real-life electric networks.
Details
Keywords
In the past decade, very effective techniques for the solution of the drift‐diffusion equations have been developed. This has enabled the simulation of a large variety of…
Abstract
In the past decade, very effective techniques for the solution of the drift‐diffusion equations have been developed. This has enabled the simulation of a large variety of semiconductor devices in a robust and efficient way. However, the rapid development and miniaturization of devices necessitate the use of extended physical models in order to still provide an accurate description of device performance. In order to guarantee a similar degree of robustness and efficiency for these extended models, new algorithms have to be developed. In this paper we will present a number of advanced numerical techniques which have been developed for this purpose.
Petko Kitanov, Odile Marcotte, Wil H.A. Schilders and Suzanne M. Shontz
To simulate large parasitic resistive networks, one must reduce the size of the circuit models through methods that are accurate and preserve terminal connectivity and network…
Abstract
Purpose
To simulate large parasitic resistive networks, one must reduce the size of the circuit models through methods that are accurate and preserve terminal connectivity and network sparsity. The purpose here is to present such a method, which exploits concepts from graph theory in a systematic fashion.
Design/methodology/approach
The model order reduction problem is formulated for parasitic resistive networks through graph theory concepts and algorithms are presented based on the notion of vertex cut in order to reduce the size of electronic circuit models. Four variants of the basic method are proposed and their respective merits discussed.
Findings
The algorithms proposed enable the production of networks that are significantly smaller than those produced by earlier methods, in particular the method described in the report by Lenaers entitled “Model order reduction for large resistive networks”. The reduction in the number of resistors achieved through the algorithms is even more pronounced in the case of large networks.
Originality/value
The paper seems to be the first to make a systematic use of vertex cuts in order to reduce a parasitic resistive network.
Details
Keywords
Larissa Statsenko, Ruchini Senarath Jayasinghe and Claudine Soosay
This study aims to investigate supply network (SN) resilience capabilities across the organizational, supply chain (SC) and industry levels by drawing on the complex adaptive…
Abstract
Purpose
This study aims to investigate supply network (SN) resilience capabilities across the organizational, supply chain (SC) and industry levels by drawing on the complex adaptive systems (CASs) theory and the social–ecological perspective of resilience. An empirically grounded framework operationalizes the concept of social–ecological resilience by expounding resilience capabilities across phases of the CAS adaptive cycle.
Design/methodology/approach
This research uses a qualitative multiple case study approach. It draws on the case of the Australian Defence Manufacturing SN (ADM SN) during COVID-19 disruptions. A total of 28 interviews with senior decision makers from 17 companies, complemented by 5 interviews with the Australian Defence SC organizations and secondary data analysis, support the findings.
Findings
Individual organizations’ SC visibility and flexibility enabled by effective risk management and collaboration enhance the ability of the SN to anticipate and prepare for disruption. At the same time, the strength of SC relationships reduces resilience. SN disruption response velocity is enabled by inventory redundancy, process flexibility at the organizational level and visibility and collaboration at the SC level. Institutional support at the national industry level, development of value-adding capabilities and manufacturing process flexibility at the organizational level enhances the SN’s ability to re-organize. The transition from hierarchical to decentralized collaborative governance enhances SN resilience.
Practical implications
From a practitioner’s perspective, the findings highlight the need to embrace a broader view of SC beyond immediate tiers. Decision-makers in multinational companies must recognize the long-term impact of their procurement decisions on the supplier ecosystem. Developing local supplier capabilities rather than relying on established global SCs will pay off with future resilience. It, however, demands substantial investment and radical changes across all SC tiers. The lesson for smaller firms is not to over-rely on the existing relationships with supply partners. Although trust-based relationships and collaboration are essential, over-commitment can be counterproductive during global disruptions. With a lack of visibility and control over the SC, operational flexibility is critical for small firms to adapt to shifts in supply and demand.
Originality/value
To the best of the authors’ knowledge, this empirical research is one of the first attempts to operationalize the social–ecological perspective of SN resilience. Evidence-based theoretical propositions contribute to the emerging conversation about the CAS nature of resilience by demonstrating the multi-level effects of resilience capabilities.
Details
Keywords
Prior studies have largely overlooked the potentially negative consequences of a buyer’s relational capital (RC) with a supplier for supply-side resilience, assuming a positive…
Abstract
Purpose
Prior studies have largely overlooked the potentially negative consequences of a buyer’s relational capital (RC) with a supplier for supply-side resilience, assuming a positive linear relationship between the constructs. Meanwhile, the focus of research has been at an organisational level without incorporating the role of boundary spanning individuals at the interface between buyer and supplier. Drawing on social capital and boundary spanning theory, the purpose of this paper is to: re-examine the relationship between RC and supply-side resilience, challenging the linear assumption; and investigate how both the strength and diversity of a boundary spanner’s ties moderate this relationship.
Design/methodology/approach
Survey data are collected from 248 firms and validated using a subset of 57 attentive secondary respondents and archival data. The latent moderated structural equation method is applied to analyse the data.
Findings
An inverted U-shaped relationship between RC and supply-side resilience is identified. Tie strength in particular has a positive moderating effect on the relationship. More specifically, the downward RC–supply-side resilience relationship flips into an upward curvilinear relationship when boundary spanning individuals develop stronger ties with supplier personnel.
Research limitations/implications
A deeper insight into the RC–supply-side resilience relationship is provided. Findings are based on Chinese manufacturing firms and cross-sectional data meaning further research is needed to determine their generalisability.
Practical implications
In evaluating how to enhance supply-side resilience, buying firms must decide whether the associated collaborative benefits of developing RC outweigh the potential costs. Managers also need to be concerned with the impact of developing RC between organisations and enhancing the tie strength of individuals simultaneously.
Originality/value
The paper goes beyond the linear relationship between RC and supply-side resilience. Incorporating the moderating role of boundary spanners identifies a novel phenomenon whereby the RC–resilience relationship flips from an inverted to a U-shaped curve.
Details
Keywords
R. VANKEMMEL, W. SCHOENMAKER and K. DE MEYER
This paper presents a new discretization technique of the hydrodynamic energy balance model based on a finite‐element formulation. The concept of heat source lumping is…
Abstract
This paper presents a new discretization technique of the hydrodynamic energy balance model based on a finite‐element formulation. The concept of heat source lumping is introduced, and the thermal conductivity model includes the effect of varying both carrier concentrations and temperatures. The energy balance equation is formulated to account for kinetic energy as a convective flow. The new discretization method has the advantage that it allows for assembling the functions out of elementary variables available over elements instead of along element links. Therefore, theoretically, calculation of the Jacobian should be three times faster than by the classic method. Results are given for three examples. The method suffers from mathematical instabilities, but provides a good basis for future work to solve these problems.