Comparative analysis of alternative credit risk models : an application on German middle market loan portfolios

In recent years new methods and models have been developed to quantify credit risk on a portfolio basis. CreditMetrics (tm), CreditRisk+, CreditPortfolio (tm) are among the best known and many others are similar to them. At first glance they are quite different in their approaches and methodologies. A comparison of these models especially with regard to their applicability on typical middle market loan portfolios is in the focus of this study. The analysis shows that differences in the results of an application of the models on a certain loan portfolio is mainly due to different approaches in approximating default correlations. That is especially true for typically non-rated medium-sized counterparties. On the other hand distributional assumptions or different solution techniques in the models are more or less compatible.Seit einigen Jahren finden sich in Wissenschaft und Bankpraxis neue Methoden und Modelle, um Risiken von Kreditportfolios zu messen. Zu den bekanntesten Vertretern gehören CreditMetrics(tm) , CreditRisk+ und CreditPortfolioView(tm) , welche sich auf den ersten Blick stark im Ansatz und in der Methodik unterscheiden. Im Mittelpunkt der vorliegenden Studie steht ein Vergleich dieser Modelle und zwar insbesondere hinsichtlich ihrer Anwendbarkeit auf ein typisches Portfolio aus mittelständischen Bankkrediten. Die Analyse zeigt, dass Unterschiede in den Ergebnissen zweier Modelle für ein und dasselbe Portfolio vor allem auf unterschiedliche Verfahren in der Approximation von Ausfallkorrelationen zurückzuführen sind. Dies gilt insbesondere für Kredite an nicht-geratete mittelständische Unternehmen

Managerial Effiency in German Top League Soccer

This study applies stochastic frontier analytic techniques in the estimation of sporting production functions. As ex ante input factors, we use pre-seasonal estimates of wage bills of players and coaches that are transformed during the production process of a season into ex post pecuniary revenues and sporting success. While in the case of athletic output we find a robust pattern of technical efficiency over subsequent seasons, the estimates based on economic output highlight the instability of the German soccer industry

A Polarimetric Phased Array Antenna for E-SAR in L-Band

The design of a new L-band antenna for DLR’s airborne synthetic aperture radar system (E-/F-SAR) is presented. Beside operations in L-band new components for a system upgrade were developed. These components are intro-duced. Special interest of this paper is the development of the dual-polarized L-Band antenna with enhanced bandwidth of 150MHz. The antenna feed network is equipped with 2bit hybrid phase shifters to steer the beam between 25° and 40° in elevation. For mounting the antenna at the fuselage of a Dornier Do 228-212 aircraft a rack is described to house several antenna configuration

Managerial Effiency in German Top League Soccer

This study applies stochastic frontier analytic techniques in the estimation of sporting production functions. As ex ante input factors, we use pre-seasonal estimates of wage bills of players and coaches that are transformed during the production process of a season into ex post pecuniary revenues and sporting success. While in the case of athletic output we find a robust pattern of technical efficiency over subsequent seasons, the estimates based on economic output highlight the instability of the German soccer industry.soccer economics ; sporting production function ; stochastic frontier

A Temporal Logic for Hyperproperties

Hyperproperties, as introduced by Clarkson and Schneider, characterize the correctness of a computer program as a condition on its set of computation paths. Standard temporal logics can only refer to a single path at a time, and therefore cannot express many hyperproperties of interest, including noninterference and other important properties in security and coding theory. In this paper, we investigate an extension of temporal logic with explicit path variables. We show that the quantification over paths naturally subsumes other extensions of temporal logic with operators for information flow and knowledge. The model checking problem for temporal logic with path quantification is decidable. For alternation depth 1, the complexity is PSPACE in the length of the formula and NLOGSPACE in the size of the system, as for linear-time temporal logic

Center Phase Transition from Fundamentally Charged Matter Propagators

The center phase transition at non-vanishing temperatures is investigated in Landau gauge Quantum Chromodynamics (QCD) and scalar QCD. For each theory novel order parameters for the transition are introduced. The matter-gluon vertex which occurs in the Dyson-Schwinger equations of the propagators has to be modeled in contemporary studies. It is found that the nature of the phase transition depends strongly on the detailed structure of this vertex. Our investigation motivates a precise determination of the matter-gluon vertex at non-vanishing temperatures.Comment: 8 pages, Confinement X proceeding

A novel method for spatio-temporal analysis of flows within the water-side viscous boundary layer

A novel measurement technique is developed for 3D reconstruction of Eulerian velocity vector fields and Lagrangian trajectories at water-side viscous boundary layers in wavy free surfaces. The presented approach makes use of spatiotemporal image processing algorithms. The method is applied to a falling film with a known velocity profile