Modeling high-dimensional dependence is widely studied to explore deep relations in multiple variables particularly useful for financial risk assessment. Very often, strong restrictions are applied on a dependence structure by existing high-dimensional dependence models. These restrictions disabled the detection of sophisticated structures such as asymmetry, upper and lower tail dependence betw...

The new workplace is a key arena for learning in today’s society. The spiraling demand for knowledge in the workplace has increased interest in learning, especially team learning. Team learning can be viewed from multiple perspectives, making it difficult for career and technical educators (CTEs) to know how to prepare students for a team-based work environment, especially one that includes vir...

The waterchestnut (Trapa natans var. japonica Nakai) has been dominating the entire in Lake North Inbanuma, Chiba Prefecture, Japan. In order to investigate the seasonal variation of its surface coverage area, photographic recording of surface areas occupied by waterchestnuts in ten quadrats carried out from a boat every two weeks over a period of two years. In addition, the waterchestnuts were...

We discuss the CreditRisk+ methodology from the perspective of the moment generating function of the credit factors. This representation lends itself to a new recursion formula for the portfolio loss distribution that is more accurate and considerably faster, particularly for large portfolios. We discuss how the model can be extended to incorporate correlations between risk factors and derive t...

The views expressed in this paper are those of the authors and do not necessarily reflect those of the Reserve Bank of Australia. A number of people (both within the Reserve Bank and from other banks) provided useful comments. We are particularly grateful to Phil Lowe, Brian Gray and the bank that provided the data for testing.

We use the conditional distribution and conditional expectation of one random variable given the other one being large to capture the strength of dependence in the tails of a bivariate random vector. We study the tail behavior of the boundary conditional cumulative distribution function (cdf) and two forms of conditional tail expectation (CTE) for various bivariate copula families. In general, ...

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (V aR). The purpose of this paper is to analyse if a very tractable “infection model” can provide a meaningful estimate of the impact of concentration risk on the V aR. This would be achieved with quite parsimonious data requirements, which are c...

Using an “action at a distance” formulation we probe the possible classical interactions for tensionless strings, (the T → 0 limit of the ordinary bosonic string.) We find Gμν and Bμν type interactions but no dilaton interactions. e-mail address: [email protected] e-mail address: [email protected], [email protected]