Capital allocation for credit portfolios with kernel estimators

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.Comment: 22 pages, 12 tables, 1 figure, some amendment

Magnetic properties and microstructure of Sm-Co/α-Fe nanocomposite thick film-magnets composed of multi-layers over 700 layers

We synthesized Sm-Co/α-Fe nanocomposite film-magnets, approximately 10μm in thickness, composed of 780 layers by the pulse laser deposition method. Transmission electron microscopic observations revealed that the synthesized film is composed of Sm-Co and α-Fe layers with the well-controlled α-Fe thickness of approximately 10-20 nm, which is suitable one predicted by the micromagnetic simulation. In spite of the enhanced interlayer diffusion of Fe and Co by annealing for crystallization, the (BH)max value of 100 kJ/m3 was obtained at the averaged compositions of Sm/(Sm + Co) = 0.16 and Fe/(Sm + Co + Fe) = 0.47. The α-Fe fraction for obtaining the highest (BH)max value was smaller than that expected from the micromagnetic simulation. Although the annealing for crystallization lay the easy direction of magnetization in the plane, the film is not expected to have strong crystallographic texture

Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization

We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters.<br /

Processing second-order stochastic dominance models using cutting-plane representations

This is the post-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2011 Springer-VerlagSecond-order stochastic dominance (SSD) is widely recognised as an important decision criterion in portfolio selection. Unfortunately, stochastic dominance models are known to be very demanding from a computational point of view. In this paper we consider two classes of models which use SSD as a choice criterion. The first, proposed by Dentcheva and Ruszczyński (J Bank Finance 30:433–451, 2006), uses a SSD constraint, which can be expressed as integrated chance constraints (ICCs). The second, proposed by Roman et al. (Math Program, Ser B 108:541–569, 2006) uses SSD through a multi-objective formulation with CVaR objectives. Cutting plane representations and algorithms were proposed by Klein Haneveld and Van der Vlerk (Comput Manage Sci 3:245–269, 2006) for ICCs, and by Künzi-Bay and Mayer (Comput Manage Sci 3:3–27, 2006) for CVaR minimization. These concepts are taken into consideration to propose representations and solution methods for the above class of SSD based models. We describe a cutting plane based solution algorithm and outline implementation details. A computational study is presented, which demonstrates the effectiveness and the scale-up properties of the solution algorithm, as applied to the SSD model of Roman et al. (Math Program, Ser B 108:541–569, 2006).This study was funded by OTKA, Hungarian National Fund for Scientific Research, project 47340; by Mobile Innovation Centre, Budapest University of Technology, project 2.2; Optirisk Systems, Uxbridge, UK and by BRIEF (Brunel University Research Innovation and Enterprise Fund)

OGLE-2013-BLG-0102LA,B: Microlensing binary with components at star/brown-dwarf and brown-dwarf/planet boundaries

We present the analysis of the gravitational microlensing event OGLE-2013-BLG-0102. The light curve of the event is characterized by a strong short-term anomaly superposed on a smoothly varying lensing curve with a moderate magnification $A_{\rm max}\sim 1.5$. It is found that the event was produced by a binary lens with a mass ratio between the components of $q = 0.13$ and the anomaly was caused by the passage of the source trajectory over a caustic located away from the barycenter of the binary. From the analysis of the effects on the light curve due to the finite size of the source and the parallactic motion of the Earth, the physical parameters of the lens system are determined. The measured masses of the lens components are $M_{1} = 0.096 \pm 0.013~M_{\odot}$ and $M_{2} = 0.012 \pm 0.002~M_{\odot}$, which correspond to near the hydrogen-burning and deuterium-burning mass limits, respectively. The distance to the lens is $3.04 \pm 0.31~{\rm kpc}$ and the projected separation between the lens components is $0.80 \pm 0.08~{\rm AU}$.Comment: 6 figures, 2 tables, ApJ submitte

OGLE-2012-BLG-0455/MOA-2012-BLG-206: Microlensing event with ambiguity in planetary interpretations caused by incomplete coverage of planetary signal

Characterizing a microlensing planet is done from modeling an observed lensing light curve. In this process, it is often confronted that solutions of different lensing parameters result in similar light curves, causing difficulties in uniquely interpreting the lens system, and thus understanding the causes of different types of degeneracy is important. In this work, we show that incomplete coverage of a planetary perturbation can result in degenerate solutions even for events where the planetary signal is detected with a high level of statistical significance. We demonstrate the degeneracy for an actually observed event OGLE-2012-BLG-0455/MOA-2012-BLG-206. The peak of this high-magnification event $(A_{\rm max}\sim400)$ exhibits very strong deviation from a point-lens model with $\Delta\chi^{2}\gtrsim4000$ for data sets with a total number of measurement 6963. From detailed modeling of the light curve, we find that the deviation can be explained by four distinct solutions, i.e., two very different sets of solutions, each with a two-fold degeneracy. While the two-fold (so-called "close/wide") degeneracy is well-understood, the degeneracy between the radically different solutions is not previously known. The model light curves of this degeneracy differ substantially in the parts that were not covered by observation, indicating that the degeneracy is caused by the incomplete coverage of the perturbation. It is expected that the frequency of the degeneracy introduced in this work will be greatly reduced with the improvement of the current lensing survey and follow-up experiments and the advent of new surveys.Comment: 5 pages, 3 figures, ApJ accepte

Detection of Vibrio cholerae and Acanthamoeba species from same natural water samples collected from different cholera endemic areas in Sudan

<p>Abstract</p> <p>Background</p> <p><it>Vibrio cholerae </it>O1 and <it>V. cholerae </it>O139 infect humans, causing the diarrheal and waterborne disease cholera, which is a worldwide health problem. <it>V. cholerae </it>and the free-living amoebae <it>Acanthamoeba </it>species are present in aquatic environments, including drinking water and it has shown that <it>Acanthamoebae </it>support bacterial growth and survival. Recently it has shown that <it>Acanthamoeba </it>species enhanced growth and survival of <it>V. cholerae </it>O1 and O139. Water samples from different cholera endemic areas in Sudan were collected with the aim to detect both <it>V. cholerae </it>and <it>Acanthamoeba </it>species from same natural water samples by polymerase chain reaction (PCR).</p> <p>Findings</p> <p>For the first time both <it>V. cholerae </it>and <it>Acanthamoeba </it>species were detected in same natural water samples collected from different cholera endemic areas in Sudan. 89% of detected <it>V. cholerae </it>was found with <it>Acanthamoeba </it>in same water samples.</p> <p>Conclusions</p> <p>The current findings disclose <it>Acanthamoedae </it>as a biological factor enhancing survival of <it>V. cholerae </it>in nature.</p

A Natural Combination Extract of Viscum album L. Containing Both Triterpene Acids and Lectins Is Highly Effective against AML In Vivo

Aqueous Viscum album L. extracts are widely used in complementary cancer medicine. Hydrophobic triterpene acids also possess anti-cancer properties, but due to their low solubility they do not occur in significant amounts in aqueous extracts. Using cyclodextrins we solubilised mistletoe triterpenes (mainly oleanolic acid) and investigated the effect of a mistletoe whole plant extract on human acute myeloid leukaemia cells in vitro, ex vivo and in vivo. Single Viscum album L. extracts containing only solubilised triterpene acids (TT) or lectins (viscum) inhibited cell proliferation and induced apoptosis in a dose-dependent manner in vitro and ex vivo. The combination of viscum and TT extracts (viscumTT) enhanced the induction of apoptosis synergistically. The experiments demonstrated that all three extracts are able to induce apoptosis via caspase-8 and -9 dependent pathways with down-regulation of members of the inhibitor of apoptosis and Bcl-2 families of proteins. Finally, the acute myeloid leukaemia mouse model experiment confirmed the therapeutic effectiveness of viscumTT-treatment resulting in significant tumour weight reduction, comparable to the effect in cytarabine-treated mice. These results suggest that the combination viscumTT may have a potential therapeutic value for the treatment AML