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...

Authors’ addresses: C. Jauffret, Université Sud Toulon-Var, CNRS, IM2NP (UMR 6242), Bâtiment X, BP 132, 83957 La Garde Cedex, France, Email: ([email protected]); D. Pillon, Thales Underwater Systems, 525 Route des Dolines, 06903 Sophia-Antipolis, France, Email: ([email protected]); A. C. Pignol, Université Sud Toulon-Var, CNRS, IM2NP (UMR 6242), Bâtiment X, BP 132, 83957 La Gar...

II HEE& OF Ol&zll HIERARCHIES We h i g h l i g h t the growing body of systems in AI and outs ide where IS-A h ie ra rch ies of procedures co-occur w i th more t r a d i t i o n a l onea of ob jec t s , and we c l a s s i f y the var ious types of s p e c i a l i s a t i o n s . We then g ive formal d e f i n i t i o n s which approximate t h e i r intended meanings and, f i n a l l y , examine...

The subalpine zones on the mountains south of the Tohoku mountains in the Japanese Islands are normally occupied by coniferous forests dominated by Abies mariesii, A. veitchii, Picea jezoensis var. hondoensis and Tsuga diversifolia. But there are many mountains where the subalpine coniferous forest does not exist; the thermometrical subalpine zones on such mountains are replaced by subalpine an...

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...

We consider the impact of “large” changes in asset prices on intra-market correlations in domestic and international markets. Assuming normally distributed asset returns, we show that the absolute magnitude of the correlation, conditional on a change greater than or equal to a given absolute size of one of the variables, is monotonically increasing in the magnitude of that absolute change. Empi...

According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008–2009, in particular, the excessive procyclicality of the capital...

The purpose of this research study was to identify potential signature pedagogies in the field of CTE as well as specific disciplines within CTE, and to explain instructional strategy use by faculty’s demographic characteristics, course delivery modes, and academic discipline. Based on a national survey of CTE faculty teaching at the postsecondary level, this study found faculty which teach in ...