The Gaussian factor copula model is the market standard model for multi-name credit derivatives. Its main drawback is that factor copula models exhibit correlation smiles when calibrating against market tranche quotes. To overcome the calibration deficiency, we introduce a multi-period factor copula model by chaining one-period factor copula models. The correlation coefficients in our model are...

The Gaussian factor copula model is the market standard model for multi-name credit derivatives. Its main drawback is that factor copula models exhibit correlation smiles when calibrating against market tranche quotes. To overcome the calibration deficiency, we introduce a multi-period factor copula model by chaining one-period factor copula models. The correlation coefficients in our model are...

Integrated general models of approximate approaches of complex multi-state series and parallel systems, linking their reliability and availability improvement models and their operation processes models caused changing reliability and safety structures and components reliability characteristics in different operation states, are constructed. These joint models are applied to determining improve...

looking back into the past shows that iran has always been faced with water shortages, and this has not been a problem confined to a certain period or generation. therefore, proper attention to optimal use of water resources and a move towards sustainable use of extant water resources is indispensable. in this study, using multi period mathematical programming model, the effects of the two goal...

this paper presents an innovative active power filter design method to simultaneously compensate the current harmonics and reactive power of a nonlinear load. the power filter integrates a passive power filter which is a rl low-pass filter placed in series with the load, and an active power filter which comprises an rl in series with an igbt based voltage source converter. the filter is assumed...

Toward the end of Pleistocene, archaic humans in Eurasia such as Neanderthals and Denisovans were completely replaced by anatomically modern dispersing from Africa. The causes underlying replacement extinction processes remain controversial, especially regarding relative importance random events, anthropogenic environmental factors. Here, we use most comprehensive agent-based modeling framework...