Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures

We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs. This framework permits us to quantify the potential impact on the portfolio returns of systemic events that change, or 'break down', the historical comovement structure, imposing an adverse extreme dependence.We illustrate our framework using securities pledged as collateral in the Canadian securities clearing and settlement system.Econometric and statistical methods; Financial markets; Financial stability

Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. In particular, they study the risk and cost attributes of market risk measures by constructing a risk-cost frontier for the collateral pledged to cover exposures in a securities settlement system. The frontier can be used as a diagnostic tool to understand the risk-cost trade-off of different methodologies to calculate collateral value (haircuts) and select the most efficient alternative in a variety of settings.Financial stability; Payment, clearing, and settlement systems; Econometric and statistical methods

Synthesis of unsymmetrical N-heterocyclic carbene complexes and their catalytic properties

N-heterosiklik karbenler; (NHCs) güçlü '-sunucu, zayıf '-alıcı, düşük toksisite, hava ve neme karşı kararlılık gibi özelliklerinden dolayı metal komplekslerinde fosfinlere karşı alternatif olarak düşünülmektedir. Geçiş metal karben kompleksleri bu özelliklerinden dolayı pek çok organik tepkimede katalizör olarak kullanılmaktadır. N-heterosiklik metal karben kompleksleri, C-C ve C-N eşleşme reaksiyonları, transfer hidrojenasyonu, olefin metatezi, hidrosilasyon, hidroformilasyon gibi pek çok kullanışlı dönüşüm tepkimesinde etkin katalizörlerdir. Bu çalışmada bir seri simetrik olmayan N,N'-disübstitüye imidazolyum tuzu, N-heterosiklik karben öncülü olarak sentezlenmiştir. Sentezlenen bu bileşikler N-heterosiklik metal (Pd, Ru) karben komplekslerinin sentezinde kullanılmıştır. Bu bileşikler, donör-fonksiyonelli NHC-Pd (6a,b) kompleksleri, NHC ligandlı paladasiklik kompleksler (7a-c) ve NHC-Ru kompleksleri (8a-c) olarak üç grupta sınıflandırılmıştır. Komplekslerin kelat yeteneğinde olmaları beklendiğinden, bu çalışmada simetrik olmayan NHC-metal komplekslerinin üzerinde durulmuştur. Sentezlenen NHC-metal komplekslerinin katalitik özellikleri, Suzuki-Miyaura çapraz-eşleşme ve asetofenonun transfer hidrojenasyonu reaksiyonlarında incelenmiştir. Bu yeni bileşiklerin yapıları analitik yöntemler, elementel analiz, 1H- ve 13C-NMR spekroskopisi ile karakterize edilmiştir. Ayrıca 6a ile gösterilen bileşiğin yapısı X-ışını kırınımı yöntemiyle de aydınlatılmıştır.N-heterocyclic carbenes (NHCs) are considered alternatives to phosphine ligand in metal complexes due to strong '-donor but poor '-acceptor abilities, low toxicity and their stability to air and moisture. Because of these properties of transition metal carbene complexes used as catalyst in many organic reaction. N-heterocyclic metal carbene complexes are effective catalysts in many useful transformations, such as C-C and C-N coupling reactions, transfer hydrogenation, olefin metathesis, hydrosilylation, hydroformylation e.t.c. In this study, a series of unsymmetrical N,N'-disubstituted imidazolium salts were synthesized as N-heterocyclic carbene precursors. These compounds were used to synthesize of N-heterocyclic metal (Pd, Ru) complexes. These complexes are classified into three groups, which are donor-functionalized NHC-Pd (6a,b) complexes, NHC ligated palladacyclic complexes (7a-c) and NHC-Ru complexes (8a-c). Due to hemilabil behavior, this study focused on the synthesis of NHC-metal complexes. Catalytic properties of synthesized complexes were investigated in Suzuki-Miyaura cross-coupling reaction and transfer hydrogenation of acetophenone. These new compounds were characterized by analytical method, elemental analysis, 1H- and 13C-NMR spectroscopy. In addition, 6a numbered structures of the compound has also been characterized by X-ray diffraction

Examination of Loneliness and Peer Relations of Physical Education Teacher Candidates

The behavior of the physical education teacher in the classroom or in the gym also affects the students' achievement and personality development. It is important to examine different aspects of loneliness and peer relations, which are thought to be one of the indicators of the level of sociability, in the profession of physical education teacher. Therefore, this research was conducted to determine the loneliness and peer relations of physical education and sports teacher candidates. In the section of physical education and sport teachers 229 students were administered the UCLA Loneliness Scale and the Peer Relations Scale. According to the gender, while differences were found in peer relations, there was no difference in loneliness levels. There were differences in peer relations in terms of classes. It was found that the level of loneliness was different according to the number of close friends, the level of loneliness increased as the number of friends decreased, and the level of loneliness decreased as the peer relations increased. It was found that the highest level of loneliness was in students who spent 5-7 hours on social networks. As a result, it can be said that the inclusion of sportive game-like practices in school education is effective in strengthening friendship and reducing loneliness. Keywords: loneliness, peer relations, physical education teache

Marrubium vulcanicum (Lamiaceae), a topotype from northeastern Anatolia, Turkey

Marrubium vulcanicum is an endemic plant to northeast Anatolia and known by two locations around Ağrı Province. It was collected again by the author from its type locality. This species has little branched and stems dark green, stem leaves ovate to orbicular, rounded at apex, cordate at base and coarsely doubly serrate at margines. Lower and upper lobes of corolla are nearly equal. After recollecting, it has decided as VU in IUCN (2001) because of intensive grazing and cultivation. Collected plant materials were deposited in the Herbarium of Ankara University Faculty of Science. The comparison of the type and photo of the habitus, drawing of the flower parts and distribution map of the species are given. And also, its pollen characteristics were examined by SEM and seed morphology by LM. In addition, the absence of some characters of the species descriptions in the Flora of Turkey was corrected and extended with this stud

Intraday dynamics of stock market returns and volatility

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial “earthquake”, aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism

Gladiolus osmaniyensis (Iridaceae), a new species from south anatolia, Turkey

A new species, Gladiolus osmaniyensis Sağıroğlu (Iridaceae), is described and illustrated from South Anatolia, Turkey. G. osmaniyensis is morphologically close to G. attilae and G. atroviolaceus. The ecology and phenology of the new species as well as its etymology, conservation status, and diagnostic morphological features are discussed. In addition, the seed surfaces of the G. osmaniyensis, G. attilae, and G. atroviolaceus are examined by SEM. The geographical distribution of the new species and the morphologically related species are mapped as well

Crash of '87 - Was it expected?: Aggregate market fears and long-range dependence

We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our findings indicate that the October 19th, 1987 crash was predictable from the study of the skewness premium of deepest out-of-the-money options about two months prior to the crash

Errors-in-Variables Estimation with Wavelets

This paper proposes a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields unbiased estimates for the intercept and the slope parameters. Our Monte Carlo results also show that the wavelet approach is particularly effective when measurement errors for the regressand and the regressor are serially correlated. With this paper, we hope to bring a fresh perspective and stimulate further theoretical research in this area

Overnight interest rates and aggregate market expectations

This paper introduces an entropy approach to measuring market expectations with respect to overnight interest rates in an inter-bank money market. The findings for the Turkish 2000-2001 borrowing crisis suggest that a dynamic, non-extensive entropy framework provides a valuable insight into the degree of aggregate market concerns during the crisis