Estimation of loan portfolio risk on the basis of Markov chain model

A change of shares of credits portfolio is described by Markov chain with discrete time. A credit state is determined on as an accessory to some group of credits depending on presence of indebtedness and its terms. We use a model with discrete time and fix the system state through identical time intervals - once a month. It is obvious that the matrix of transitive probabilities is known incompletely. Various approaches to the matrix estimation are studied and methods of forecast the portfolio risk are proposed. The portfolio risk is set as a share of problematic loans. We propose a method to calculate necessary reserves on the base of the considered model. © 2013 IFIP International Federation for Information Processing.German Sci. Found. (DFG) Eur. Sci. Found. (ESF);Natl. Inst. Res. Comput. Sci. Control France (INRIA);DFG Research Center MATHEON;Weierstrass Institute for Applied Analysis and Stochastics (WIAS);European Patent Offic

Edaphic fauna in soil profile after three decades of different soil management and cover crops in a subtropical region

Abstract This research evaluated the effects of long-term (30 years) winter cover crops under conventional farming system and no-tillage system on edaphic fauna in a Rhodic Hapludox soil, from Paraná State, Brazil. We used three winter cover crops (black oat, hairy vetch and fallow), and as a reference a fragment of natural forest. Soil monoliths were collected at two times, one during the flowering of maize (April 2013) and the other during the flowering of soybean (January 2014). The extraction of the monoliths was carried out in three layers in the soil profile (0-10, 10-20 and 20-30 cm). Seventeen taxonomic groups were sampled. The density of the edaphic fauna is inversely related to soil depth. The winter crops associated with the no-tillage system in long-term resulted in fauna densities similar to the natural environment, with a higher density (density increase of 2.2x) at a depth of 10-20 cm in areas with black oat. At 0-10 cm depth, black oat and vetch under no-tillage systems resulted in an increase of 62% and 69% (April 2013) and 46 and 44% (January 2014), respectively, in the density of soil fauna, when compared to the same winter crops in conventional farming system

Search for direct production of charginos and neutralinos in events with three leptons and missing transverse momentum in √s = 7 TeV pp collisions with the ATLAS detector

A search for the direct production of charginos and neutralinos in final states with three electrons or muons and missing transverse momentum is presented. The analysis is based on 4.7 fb−1 of proton–proton collision data delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with Standard Model expectations in three signal regions that are either depleted or enriched in Z-boson decays. Upper limits at 95% confidence level are set in R-parity conserving phenomenological minimal supersymmetric models and in simplified models, significantly extending previous results

Jet size dependence of single jet suppression in lead-lead collisions at sqrt(s(NN)) = 2.76 TeV with the ATLAS detector at the LHC

Measurements of inclusive jet suppression in heavy ion collisions at the LHC provide direct sensitivity to the physics of jet quenching. In a sample of lead-lead collisions at sqrt(s) = 2.76 TeV corresponding to an integrated luminosity of approximately 7 inverse microbarns, ATLAS has measured jets with a calorimeter over the pseudorapidity interval |eta| < 2.1 and over the transverse momentum range 38 < pT < 210 GeV. Jets were reconstructed using the anti-kt algorithm with values for the distance parameter that determines the nominal jet radius of R = 0.2, 0.3, 0.4 and 0.5. The centrality dependence of the jet yield is characterized by the jet "central-to-peripheral ratio," Rcp. Jet production is found to be suppressed by approximately a factor of two in the 10% most central collisions relative to peripheral collisions. Rcp varies smoothly with centrality as characterized by the number of participating nucleons. The observed suppression is only weakly dependent on jet radius and transverse momentum. These results provide the first direct measurement of inclusive jet suppression in heavy ion collisions and complement previous measurements of dijet transverse energy imbalance at the LHC.Comment: 15 pages plus author list (30 pages total), 8 figures, 2 tables, submitted to Physics Letters B. All figures including auxiliary figures are available at http://atlas.web.cern.ch/Atlas/GROUPS/PHYSICS/PAPERS/HION-2011-02