(a) Perform a principal components analysis of this dataset on both the covariance and correlation matrices, reporting both estimated variances and loadings. Why are the results different? Why does PCA on the correlation matrix make more sense for this data? The remaining parts assume that you use PCA on the correlation matrix. Solution: The results are different because PCA is not scale invari...

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 effects of collisions are often neglected in theoretical analyses of low collisionality plasmas where the collision rate ν is smaller than the frequency of waves or other physical processes being considered. However, small angle Coulomb collisions scatter the velocity vector v of charged particles and produce slightly probabilistic rather than fully deterministic charged particle trajectori...

Eight Mong Cai castrate male pigs of mean initial weight 12.3 kg were fed diets containing sugar palm (Borassus flabellifer) syrup and dry fish substituted or not with ensiled cassava leaves (0 and 50% of the daily ration in dry basis) according to a change over design. The silage was made from sun-dried, wilted, chopped leaves and petioles in a single batch of cassava foliage harvested after 8...

Serological analysis of recombinant cDNA expression libraries (SEREX) has led to the identification of many of the antigens recognized by the immune system of cancer patients, which are collectively referred to as the cancer immunome. We used SEREX to screen a testicular cDNA expression library with sera obtained from non-small cell lung cancer patients and isolated cDNA clones for 82 antigens....