Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of contemporary thoughts and attempts vis-à-vis asset market/liquidity risk management. Furthermore, this research focuses on the theoretical aspects of asset liquidity risk and presents critically two reciprocal approaches to measuring market liquidity risk for individual trading securities, and discusses the problems that arise in attempting to quantify asset market liquidity risk at a portfolio level. This paper extends research literature related to the assessment of asset market/liquidity risk by providing a generalized theoretical modeling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements, while the second component focuses on the risk of variation in transactions costs due to bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. We thereafter propose a concrete theoretical foundation and a new modeling framework that attempts to tackle the issue of market/liquidity risk at a portfolio level by combining two asset market/liquidity risk models. The first model is a re-engineered and robust liquidity horizon multiplier that can aid in producing realistic asset market liquidity losses during the unwinding period. The essence of the model is based on the concept of Liquidity-Adjusted Value-at-Risk (L-VaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading positions. Conversely, the second model is related to the transactions cost of liquidation due to bid-ask spreads and includes an improved technique that tackles the issue of bid-ask spread volatility. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk.Economic Capital; Emerging Markets; Financial Engineering; Financial Risk Management; Financial Markets; Liquidity Risk; Portfolio Management; Liquidity Adjusted Value at Risk

The service required quality ensure model of LTE technology downlink

У статті запропонована математична модель розподілу ресурсних блоків у низхідному каналі зв’яз- ку технології LTE. Запропонована модель спрямована на забезпечення гарантованої якості обслуговування користувачів безпроводової мережі шляхом виділення для користувацьких станцій необхідних швидкостей передачі. Проведено порівняльний аналіз отриманих рішень при використанні різних цільових функційВ статье представлена математическая модель распределения ресурсных блоков в нисходящем кана- ле связи технологии LTE. Предложенная модель направлена на обеспечение гарантированного каче- ства обслуживания пользователей беспроводной сети путем выделения пользовательским станциям требуемых скоростей передачи. Проведен сравни- тельный анализ получаемых решений при использова- нии различных целевых функци

Regional Boundary Gradient Strategic Sensors Characterizations

The purpose of this paper is to characterize regional boundary gradient strategic sensors notions for different cases of regional boundary gradient observation to be achieved. Then, the characterizations based on how to a cross from internal gradient region to the boundary gradient region. Thus, the obtained results are applied in two dimensional linear infinite distributed systems in Hilbert space where the dynamics are governed by strongly continuous semi-group. Moreover, we give the relation between the regional gradient observability on a subregion  of the spatial domain  with the regional boundary gradient observability on a subregion  of the boundary  of . Finally, sufficient conditions of regional boundary gradient strategic sensors notions are explored, analyzed and discussed in connection with the regional boundary gradient of exact (weak) observability, positive definite observability operator and rank conditions

EXPERIMENTAL INVESTIGATION OF CRYSTALLIZATION FOULING ON GROOVED STAINLESS STEEL SURFACES DURING CONVECTIVE HEAT TRANSFER

The beneficial aspects of enhanced or extended heat transfer surfaces may be off-set if operated under fouling conditions. In the present paper, preliminary experimental results for crystallization fouling of CaSO4 solutions onto surfaces with different structures are reported. Flat stainless steel plates (50 mm x 59 mm) with \u27V\u27 shaped grooves on the side of fluid flow were used as heat transfer surfaces. Experiments were carried out both under clean and fouling conditions to discern how the same surface structures perform under such circumstances. In addition, the impact of both, the direction of grooves with respect to fluid flow (crossed, longitudinal and mixed flow grooves) and the groove dimensions has also been investigated. Fouling trends are discussed in terms of delay time and fouling rate. Significant differences have been found for the various flow conditions

Heterochromatin Polymorphisms and Chromosomes Damage in Heavy Smoking Men

Objective: The goal of the study is to appraise the heterochromatin polymorphism and chromosomal abnormalities associated with chromosome in smoking men. Methods: During a 9-months period (January 2014 to September 2014) a total of 60 heavy smoking men (more than 20 cigarettes daily) together with 60 normal controls were subjected to the present investigation. A study of the variants heterochromatin of chromosomes1, 9 and 16 was performed on lymphocyte culture followed by C-banding from a total of 60 heavy smokers and 60 nonsmoker persons. Constitutive evaluation was based on qualitative method, blood culture, chromosomes harvesting and C-band technique were carry out according to the standard methods. Results: Study indicates smoking men had significantly increased frequency of larger C- band variants on chromosome 1 and 9 as compared with nonsmoking men (p˂0.05).  The frequency of inversions revealed significant differences for variants heterochromatin of chromosome 1, 9 and to less extent 16 between smokers and nonsmokers control group and significant association (p<0.05). Conclusion: These results confirm the positive correlation between the amount of heterochromatin on chromosomes 1 and 9 and susceptibility of the smoking men to early development of cancer. Keywords: Polymorphisms, Chromosomes, Heterochromatin, Smoking

REGIONAL GRADIENT STRATEGIC SENSORS CHARACTERIZATIONS

In the present paper, the characterizations of regional gradient strategic sensors notions have been given for different cases of regional gradient observability. The results obtained are applied to two dimensional linear infinite distributed system in Hilbert space where the dynamic is governed by strongly continuous semi-group. Various cases of regional strategic sensors are considered and analyzed in connection with regional gradient strategic sensors concepts. Also, we show that there is a various sensors which are not gradient strategic in usual sense for the considered systems, but may be regionally gradient strategic of this system