Incorporating New Fixed Income Approaches into Commercial Loan Valuation

Growing competition, convergence of the loan and capital markets, and the greater complexity of commercial loan structure have heightened the need for banks to manage their loan portfolios in a more sophisticated way. This is true for the management of individual transactions and for the loan portfolio as a whole. In order to do so, each and every loan must be valued more accurately to account for the credit risk imbedded in the loan, loan migration, its structure and subsequent periodic fees and repricing agreements. In short, loans must be priced in a much more dynamic and complete way than is the case today. To do so, however, requires that banks acquire a deeper understanding of loan valuation and apply the newer techniques of the bond market to the loan market. Specifically, the new standards to credit analysis require the following steps to be taken: Loans must be accurately rated, monitored, and tracked through time. This history will prove important, not only for the existing loan, but also for all subsequent loans that can benefit from the migration pattern that is unique to the specific institution. A. The credit officer must more accurately value the underlying pricing conventions built into the loan market. These are often neglected when loans are priced as bonds. The existence of a repricing grid, a periodic fee structure and various repricing techniques are often neglected in favor of the assertion that loans are merely small bonds. B. Structure must be more accurately priced. Towards this end, it is necessary for the individual institution to recognize that structure has value. It should be quite apparent that the options imbedded in the loan portfolio have value; we have known the value of options imbedded in bonds for some time. As the derivative market has expanded, we trade these options that are part of the collective loan agreement in isolation. It is incumbent upon the banking community to more accurately price these options and to incorporate them into the pricing of loans that have imbedded options. To do all this would result in an improvement in the ability of banking institutions to value their loans, define their required spreads, and to both aggressively and accurately compete. It is often the case that structure and repricing are powerful tools to be employed in the competitive financial community. At the moment, however, structure is often given away and options are often neglected in competitive bidding. Banks can compete more effectively for their customers and have higher yielding loan portfolio to the extent that they have the ability to price the value of these options, to use the repricing of the credit spread and to know the migration of credit quality that is specific to the credit portfolio of their particular bank. There is no question that the market for credits is under severe competitive pressure. In such an environment, knowledge of the underlying portfolio and its value is the only true weapon for successful competition. Those that lag behind will be gamed by competitors and gamed by their customers. They will find they are subject to what academics call "the winner's curse." They will lose the good deals and win the bad ones. In today's world, information about the underlying lending relationship is the only adequate defense for a successful banking firm.

Macroscopic Finite Element for a Single Lap Joint

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/76219/1/AIAA-2009-2449-244.pd

Modeling physical and chemical climate of the northeastern United States for a geographic information system

A model of physical and chemical climate was developed for New York and New England that can be used in a GIs for integration with ecosystem models. The variables included are monthly average maximum and minimum daily temperatures, precipitation, humidity, and solar radiation, as well as annual atmospheric deposition of sulfur and nitrogen. Equations generated from regional data bases were combined with a digital elevation model of the region to generate digital coverages of each variable

Bonded Joint Elements for Structural Modeling and Failure Prediction

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/90652/1/AIAA-2011-1719-934.pd

The 21cm angular-power spectrum from the dark ages

At redshifts z >~ 30 neutral hydrogen gas absorbs CMB radiation at the 21cm spin-flip frequency. In principle this is observable and a high-precision probe of cosmology. We calculate the linear-theory angular power spectrum of this signal and cross-correlation between redshifts on scales much larger than the line width. In addition to the well known redshift-distortion and density perturbation sources a full linear analysis gives additional contributions to the power spectrum. On small scales there is a percent-level linear effect due to perturbations in the 21cm optical depth, and perturbed recombination modifies the gas temperature perturbation evolution (and hence spin temperature and 21cm power spectrum). On large scales there are several post-Newtonian and velocity effects; although negligible on small scales, these additional terms can be significant at l <~ 100 and can be non-zero even when there is no background signal. We also discuss the linear effect of reionization re-scattering, which damps the entire spectrum and gives a very small polarization signal on large scales. On small scales we also model the significant non-linear effects of evolution and gravitational lensing. We include full results for numerical calculation and also various approximate analytic results for the power spectrum and evolution of small scale perturbations.Comment: 29 pages; significant extensions including: self-absorption terms (i.e. change to background radiation due to 21cm absorption); ionization fraction perturbations; estimates of non-linear effects; approximate analytic results; results for sharp redshift window functions. Code available at http://camb.info/sources

The Analysis of Adhesively Bonded Advanced Composite Joints Using Joint Finite Elements

The design and sizing of adhesively bonded joints has always been a major bottleneck in the design of composite vehicles. Dense finite element (FE) meshes are required to capture the full behavior of a joint numerically, but these dense meshes are impractical in vehicle-scale models where a course mesh is more desirable to make quick assessments and comparisons of different joint geometries. Analytical models are often helpful in sizing, but difficulties arise in coupling these models with full-vehicle FE models. Therefore, a joint FE was created which can be used within structural FE models to make quick assessments of bonded composite joints. The shape functions of the joint FE were found by solving the governing equations for a structural model for a joint. By analytically determining the shape functions of the joint FE, the complex joint behavior can be captured with very few elements. This joint FE was modified and used to consider adhesives with functionally graded material properties to reduce the peel stress concentrations located near adherend discontinuities. Several practical concerns impede the actual use of such adhesives. These include increased manufacturing complications, alterations to the grading due to adhesive flow during manufacturing, and whether changing the loading conditions significantly impact the effectiveness of the grading. An analytical study is conducted to address these three concerns. Furthermore, proof-of-concept testing is conducted to show the potential advantages of functionally graded adhesives. In this study, grading is achieved by strategically placing glass beads within the adhesive layer at different densities along the joint. Furthermore, the capability to model non-linear adhesive constitutive behavior with large rotations was developed, and progressive failure of the adhesive was modeled by re-meshing the joint as the adhesive fails. Results predicted using the joint FE was compared with experimental results for various joint configurations, including double cantilever beam and single lap joints

Enabling Explainable Fusion in Deep Learning with Fuzzy Integral Neural Networks

Information fusion is an essential part of numerous engineering systems and biological functions, e.g., human cognition. Fusion occurs at many levels, ranging from the low-level combination of signals to the high-level aggregation of heterogeneous decision-making processes. While the last decade has witnessed an explosion of research in deep learning, fusion in neural networks has not observed the same revolution. Specifically, most neural fusion approaches are ad hoc, are not understood, are distributed versus localized, and/or explainability is low (if present at all). Herein, we prove that the fuzzy Choquet integral (ChI), a powerful nonlinear aggregation function, can be represented as a multi-layer network, referred to hereafter as ChIMP. We also put forth an improved ChIMP (iChIMP) that leads to a stochastic gradient descent-based optimization in light of the exponential number of ChI inequality constraints. An additional benefit of ChIMP/iChIMP is that it enables eXplainable AI (XAI). Synthetic validation experiments are provided and iChIMP is applied to the fusion of a set of heterogeneous architecture deep models in remote sensing. We show an improvement in model accuracy and our previously established XAI indices shed light on the quality of our data, model, and its decisions.Comment: IEEE Transactions on Fuzzy System

Sensitivity of IceCube-DeepCore to neutralino dark matter in the MSSM-25

We analyse the sensitivity of IceCube-DeepCore to annihilation of neutralino dark matter in the solar core, generated within a 25 parameter version of the minimally supersymmetric standard model (MSSM-25). We explore the 25-dimensional parameter space using scanning methods based on importance sampling and using DarkSUSY 5.0.6 to calculate observables. Our scans produced a database of 6.02 million parameter space points with neutralino dark matter consistent with the relic density implied by WMAP 7-year data, as well as with accelerator searches. We performed a model exclusion analysis upon these points using the expected capabilities of the IceCube-DeepCore Neutrino Telescope. We show that IceCube-DeepCore will be sensitive to a number of models that are not accessible to direct detection experiments such as SIMPLE, COUPP and XENON100, indirect detection using Fermi-LAT observations of dwarf spheroidal galaxies, nor to current LHC searches.Comment: 15 pages, 13 figures. V2: Additional comparisons are made to limits from Fermi-LAT observations of dwarf spheroidal galaxies and to the 125 GeV Higgs signal from the LHC. The spectral hardness section has been removed. Matches version accepted for publication in JCAP. V3: Typos correcte

Success And Failure Components Of Global Environmental Cooperation: The Making Of International Environmental Law

As this quotation suggests, international environmental problems have taken center stage since the end of the cold war, capturing the attention of scholars and diplomats alike. The number of scholarly articles devoted to the environment, particularly those focusing on international environmental problems, has increased dramatically in the past few years

Functionally Graded Adhesives for Composite Joints

Adhesives with functionally graded material properties are being considered for use in adhesively bonded joints to reduce the peel stress concentrations located near adherend discontinuities. Several practical concerns impede the actual use of such adhesives. These include increased manufacturing complications, alterations to the grading due to adhesive flow during manufacturing, and whether changing the loading conditions significantly impact the effectiveness of the grading. An analytical study is conducted to address these three concerns. An enhanced joint finite element, which uses an analytical formulation to obtain exact shape functions, is used to model the joint. Furthermore, proof of concept testing is conducted to show the potential advantages of functionally graded adhesives. In this study, grading is achieved by strategically placing glass beads within the adhesive layer at different densities along the joint