Assessment of internal pressure effect, causing additional bending of the pipeline

Article justifies accounting for internal pressure effect in the pipeline, causing additional bending of the pipeline. According to some scientists, there is an erroneously used concept of the equivalent longitudinal axial force (ELAF) Sx, which depends on working pressure, temperature stresses, and joint deformations of pipelines with various types of soils. However, authors of the article use ELAF Sx concept at construction of mathematical model of stress-strain state (SSS) for complex section of the trunk pipeline, and also reveal it when analyzing the results of calculating the durability and stability of the pipeline. Analysis of SSS for calculated section of the pipeline was carried out for two statements of the problem for different values of operation parameters. In the first statement, effect of internal pressure causing bending of the pipeline is taken into account, and in the second it is neglected. It is shown that due to effect of ELAF Sx at p0 = 9.0 MPa, Dt = 29 °C extreme value of bend increases by 54 %, extreme values of bending stresses from span bending moment increase by 74 %, and extreme value of bending stresses from support bending moment double with regard to corresponding SSS characteristics of the pipeline. In case of neglecting the internal pressure effect causing additional bending of the pipeline (second statement of the problem), error in calculating the extreme value of bend is 35 %, extreme value of bending stresses from span bending moments is 44 %, and extreme value of bending stresses from support bending moments is 95 %

ОЦЕНКА РЫНОЧНЫХ РИСКОВ ПО (T+)-ОПЕРАЦИЯМ

Market risk analysis and estimation are presentedin T+ transactionsas they are used within the Moscow Exchange. There is a need to do so as a result of the cut-off of a new REPO product with Central Counterpartner (CCP). Here repurchase agreement goes through the National Clearing Center (NCC), the last being a bank and a clearing structure within the Moscow Exchange group.NCC actsas an intermediary (so called “Central Counterpartner”) between trading participants.REPOs with CCP raisecontractor claims and commitments to the CCP which takes the risk of default on commitments from unfair contract side. The REPO with CCP cut-off made ready a technological platform to implement T+2 trades at the Moscow Exchange. As a result of it there appeared the possibility to enter security purchase/sell contracts partially collateralized. All these transactions (the REPO with CCP, T+) made it a must determining security market risks. The paper is aimed at presenting VaR-like risk estimates. The methods used are from the computer fi nance. Unusual TS rate of return indicator is proposed and applied to find optimal portfolios under the Markowitz approach and their VaRs (losses) forecasts given the real “big” share price data and various horizons. Portfolio extreme rate and loss forecasting is our goal. To this end the forecasts are computed for three horizons (2, 5 and 10 days) and for three significance levels.There were developed R-, Excel- and Bloomberg-basedsoftware tools as needed. The whole range of proposed computing steps and the tables with charts may be considered as candidates to be included in the future market risk standards.Paper results permit capital market participants to choose the correct (as to the required risk level) common stocks.Рассматриваются вопросы анализа и оценки рыночных рисков операций Т+ в том их виде, в каком они реализуются на Московской Бирже. Необходимость решения этой задачи обусловлена запуском нового продукта РЕПО с Центральным контрагентом. В этом продукте сделка РЕПО осуществляется через Национальный клиринговый центр (НКЦ), являющийся банком и клиринговой организацией в составе группы Московская Биржа. НКЦ выступает в роли посредника, так называемого «центрального контрагента», между участниками торгов. У контрагентов по сделке «РЕПО с ЦК» появляются требования и обязательства перед центральным контрагентом, который берет на себя риск неисполнения обязательств недобросовестной стороной по сделке. Запуск РЕПО с центральным контрагентом подготовил технологическую базу для реализации торгов Т+2 на Московской Бирже, в результате которого появилась возможность заключать сделки купли/продажи ценных бумаг с частичным обеспечением. Все эти операции (РЕПО с ЦК, Т+) вызвали необходимость расчета рыночных рисков по ценным бумагам. Цель статьи заключается в обсуждении полученных ГП-подобных числовых оценок риска. Используемые методы относятся к области нового формируемого направления «компьютерных финансов». Предлагается оригинальный показатель доходности для временных рядов, который и используется для построения оптимальных портфелей Марковица. Портфели служат основой для прогноза потерь для заданных реальных рядов цен акций («больших данных») и горизонтов. Основным результатом работы является процедура прогнозирования предельных значений доходности и потерь портфеля. Для этого прогнозируемые значения рассчитываются для трех горизонтов прогноза (на 2, 5 и 10 дней) и трех уровней значимости. Для каждого случая разработаны программы, составленные на базе R-системы, электронной таблицы Excel и профессиональной сервисной системы Bloomberg. Все предложенные вычислительные этапы в совокупности, а также сопровождающие их таблицы вместе с графиками, могут трактоваться как потенциальные компоненты будущих стандартов по расчету рыночных рисков. Результаты работы позволяют участникам фондового рынка осуществлять подбор подходящих (с точки зрения минимизации риска) акций

MARKET RISK ESTIMATION IN (T+)-TRANSACTIONS

Market risk analysis and estimation are presentedin T+ transactionsas they are used within the Moscow Exchange. There is a need to do so as a result of the cut-off of a new REPO product with Central Counterpartner (CCP). Here repurchase agreement goes through the National Clearing Center (NCC), the last being a bank and a clearing structure within the Moscow Exchange group.NCC actsas an intermediary (so called “Central Counterpartner”) between trading participants.REPOs with CCP raisecontractor claims and commitments to the CCP which takes the risk of default on commitments from unfair contract side. The REPO with CCP cut-off made ready a technological platform to implement T+2 trades at the Moscow Exchange. As a result of it there appeared the possibility to enter security purchase/sell contracts partially collateralized. All these transactions (the REPO with CCP, T+) made it a must determining security market risks. The paper is aimed at presenting VaR-like risk estimates. The methods used are from the computer fi nance. Unusual TS rate of return indicator is proposed and applied to find optimal portfolios under the Markowitz approach and their VaRs (losses) forecasts given the real “big” share price data and various horizons. Portfolio extreme rate and loss forecasting is our goal. To this end the forecasts are computed for three horizons (2, 5 and 10 days) and for three significance levels.There were developed R-, Excel- and Bloomberg-basedsoftware tools as needed. The whole range of proposed computing steps and the tables with charts may be considered as candidates to be included in the future market risk standards.Paper results permit capital market participants to choose the correct (as to the required risk level) common stocks