Loss Distribution Generation in Credit Portfolio Modeling

In the current paper we analyze several methods for generation of loss distribution for credit portfolios. Loss distributions play an important role in pricing of credit derivatives and in credit portfolio optimization. A loss distribution is a function of the number of entities in the portfolio, their credit ratings, the notional amount and recovery of each entity, default probabilities, loss given defaults, and the correlation/dependence structure between entities incorporated in the portfolio. Direct generation of loss distribution may require Monte Carlo simulation which is time consuming and is not effective when applied for credit portfolio optimization. To overcome computational complexity a number of approaches were undertaken based on assumptions imposed on the input parameters, goals of loss distributions generation, and the accepted level of tolerance and computational errors

Macroturbulence fluctuations of air impurities concentration and refractive index in the bottom layer

Spatial variability of impurity concentration and refraction index in the bottom layer for the turbulence scales interval 16 km is investigated in the work. This work based on the data of continues monitoring of urban air parameters. Structural functions of impurity concentrations and that of calculated refraction index were plotted to measuring. Approximation of the obtained structural functions by power-behaved dependence showed that in the researched range the exponent has the value (0,4-0,6) and decreases with increasing of the distance. Experimentally obtained results correspond well with theory of large-scale turbulence. The separate research has shown, that in scales range 1-3.5 kms exponent located in the range [0.6-1], and in the range 3,5-6 kms - [0.01-0.22]. Thus the impurities with the horizontal scales of 1-6 km in the bottom layer are located in the boundary of buoyancy range and of the large-scale turbulence range

Shot Noise in Mesoscopic Transport Through Localised States

We show that shot noise can be used for studies of hopping and resonant tunnelling between localised electron states. In hopping via several states, shot noise is seen to be suppressed compared with its classical Poisson value $S_I=2eI$ ($I$ is the average current) and the suppression depends on the distribution of the barriers between the localised states. In resonant tunnelling through a single impurity an enhancement of shot noise is observed. It has been established, both theoretically and experimentally, that a considerable increase of noise occurs due to Coulomb interaction between two resonant tunnelling channels.Comment: 7 pages, 5 figures; Proceedings of the 10th Conference on Hopping and Related Phenomena (Trieste 2003); requires Wiley style files (included

Statistics of Transmission Eigenvalues for a Disordered Quantum Point Contact

We study the distribution of transmission eigenvalues of a quantum point contact with nearby impurities. In the semi-classical case (the chemical potential lies at the conductance plateau) we find that the transmission properties of this system are obtained from the ensemble of Gaussian random reflection matrices. The distribution only depends on the number of open transport channels and the average reflection eigenvalue and crosses over from the Poissonian for one open channel to the form predicted by the circuit theory in the limit of large number of open channels.Comment: 8 pages, 3 figure

Enhanced shot noise in resonant tunnelling via interacting localised states

In a variety of mesoscopic systems shot noise is seen to be suppressed in comparison with its Poisson value. In this work we observe a considerable enhancement of shot noise in the case of resonant tunnelling via localised states. We present a model of correlated transport through two localised states which provides both a qualitative and quantitative description of this effect.Comment: 4 pages, 4 figure

GPS-Derived zenith tropospheric delay assimilation into numeric atmosphere model

© 2014 SPIE. The total zenith tropospheric delay (ZTD) is an important parameter of the atmosphere and directly or indirectly reflects the weather processes and variations. This paper presents a hardware and software complex for continuous measurements and prediction of atmospheric thermodynamics and radiowaves refraction index. The main part is a network of ground-based spatially separated GPS-GLONASS receivers, which allows the remote sensing zenith tropospheric delay. GPS-Derived Zenith Tropospheric Delay shows the day to day variation and mesoscale spatial and temporal variability. Comparison with the numerical weather reanalysis fields and solar photometer measurements showed agreement with the relative deviation of less than 10%. Hardware-software complex includes the numerical model of the atmosphere on a computational cluster. A variational assimilation system was used to examine the comparative impact of including satellite derived total zenith tropospheric delay from GPS and GLONASS ground observations. Preliminary results show that the initial field of radiowaves refraction index was improved by assimilating the satellite derived ZTD

Driven coherent oscillations of a single electron spin in a quantum dot

The ability to control the quantum state of a single electron spin in a quantum dot is at the heart of recent developments towards a scalable spin-based quantum computer. In combination with the recently demonstrated exchange gate between two neighbouring spins, driven coherent single spin rotations would permit universal quantum operations. Here, we report the experimental realization of single electron spin rotations in a double quantum dot. First, we apply a continuous-wave oscillating magnetic field, generated on-chip, and observe electron spin resonance in spin-dependent transport measurements through the two dots. Next, we coherently control the quantum state of the electron spin by applying short bursts of the oscillating magnetic field and observe about eight oscillations of the spin state (so-called Rabi oscillations) during a microsecond burst. These results demonstrate the feasibility of operating single-electron spins in a quantum dot as quantum bits.Comment: Total 25 pages. 11 pages main text, 5 figures, 9 pages supplementary materia

First Measurement of the Transverse Spin Asymmetries of the Deuteron in Semi-Inclusive Deep Inelastic Scattering

First measurements of the Collins and Sivers asymmetries of charged hadrons produced in deep-inelastic scattering of muons on a transversely polarized 6-LiD target are presented. The data were taken in 2002 with the COMPASS spectrometer using the muon beam of the CERN SPS at 160 GeV/c. The Collins asymmetry turns out to be compatible with zero, as does the measured Sivers asymmetry within the present statistical errors.Comment: 6 pages, 2 figure

The Polarised Valence Quark Distribution from semi-inclusive DIS

The semi-inclusive difference asymmetry A^{h^{+}-h^{-}} for hadrons of opposite charge has been measured by the COMPASS experiment at CERN. The data were collected in the years 2002-2004 using a 160 GeV polarised muon beam scattered off a large polarised ^6LiD target and cover the range 0.006 < x < 0.7 and 1 < Q^2 < 100 (GeV/c)^2. In leading order QCD (LO) the asymmetry A_d^{h^{+}-h^{-}} measures the valence quark polarisation and provides an evaluation of the first moment of Delta u_v + Delta d_v which is found to be equal to 0.40 +- 0.07 (stat.) +- 0.05 (syst.) over the measured range of x at Q^2 = 10 (GeV/c)^2. When combined with the first moment of g_1^d previously measured on the same data, this result favours a non-symmetric polarisation of light quarks Delta u-bar = - Delta d-bar at a confidence level of two standard deviations, in contrast to the often assumed symmetric scenario Delta u-bar = Delta d-bar = Delta s-bar = Delta s.Comment: 7 pages, 3 figures, COMPASS, revised: details added, author list update