This paper considers two types of n-bit adders, ripple carry adders and cascaded carry look-ahead adders, with minimum tests for stuck-at fault models. In the first part, we present two types of full adders consisting of five gates, and show their minimality. We also prove that one of the full adders can be tested by only three test patterns for single stuck-at faults. We also present two types...

This paper uses copula functions in order to evaluate tail probabilities and market risk trade-offs at a given confidence level, dropping the joint normality assumption on returns. Copulas enable to represent distribution functions separating the marginal distributions from the association structure. We present an application to two stock market indices: for each market we recover the marginal ...

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian (i.e. non-fat-tailed) risk factors and explore the potential for (and limit of) risk diversification. Where...

The puzzle is that spreads on corporate bonds are about twice as large as can be explained by defaults, taxes and illiquidity. The higher a bond’s rating and the shorter its maturity, the greater is the puzzle. We use a large dataset of bonds to identify the relevant risk factors. Systematic factors fail to generate large spreads, regardless of whether they are conventional (market covariance, ...

anks have ent of VaR lio return. set returns are typically found to be fat-tail distributed. The VaR estimators based on the normal f the risk. ted power ibution of Taiwan, ment of a dress the ing results demonstrate that, due to the flexibility of the power parameters of the conditional tailedness the asset return distributions. Most of the family of EWMA estimators based on power exponential ...

A safety-first investor maximizes expected return subject to a downside risk constraint. w Arzac and Bawa Arzac, E.R., Bawa, V.S., 1977. Portfolio choice and equilibrium in capital x markets with safety-first investors. Journal of Financial Economics 4, 277–288. use the Value at Risk as the downside risk measure. The paper by Gourieroux, Laurent and Scaillet estimates the optimal safety-first p...