Managing sovereign credit risk in bond portfolios

With the recent development of the European debt crisis, traditional index bond management has been severely called into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We then consider two alternative weighting methods which are fundamental indexation and risk-based indexation. Fundamental indexation is based on GDP indexation whereas risk-based indexation uses a risk budgeting approach based on our sovereign credit risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk budgeting approach is the most appropriate scheme to manage sovereign credit risk in bond portfolios and gives very appealing results with respect to active management of bond portfolios.sovereign credit risk, credit spread, convex risk measure, sabr model, CDS, bond indices, fundamental indexation, risk-based indexation, risk budgeting

Managing sovereign credit risk in bond portfolios

With the recent development of the European debt crisis, traditional index bond management has been severely called into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We then consider two alternative weighting methods which are fundamental indexation and risk-based indexation. Fundamental indexation is based on GDP indexation whereas risk-based indexation uses a risk budgeting approach based on our sovereign credit risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk budgeting approach is the most appropriate scheme to manage sovereign credit risk in bond portfolios and gives very appealing results with respect to active management of bond portfolios

Vulnerability analysis of a pressurized aluminum composite vessel against hypervelocity impacts

Vulnerability of high pressure vessels subjected to high velocity impact of space debris is analyzed with the response of pressurized vessels to hypervelocity impact of aluminum sphere. Investigated tanks are CFRP (carbon fiber reinforced plastics) overwrapped Al vessels. Explored internal pressure of nitrogen ranges from 1 bar to 300 bar and impact velocity are around 4400 m/s. Data obtained from Xrays radiographies and particle velocity measurements show the evolution of debris cloud and shock wave propagation in pressurized nitrogen. Observation of recovered vessels leads to the damage pattern and to its evolution as a function of the internal pressure. It is shown that the rupture mode is not a bursting mode but rather a catastrophic damage of the external carbon composite part of the vessel

Strain rate sensitivity of autoclaved aerated concrete from quasi-static regime to shock loading

The quasi-static mechanical behavior of autoclaved aerated concrete is well-known and can be expressed as a function of its density. There are however not much studies dealing with its dynamic behavior and its damping ability when subjected to a mechanical shock or a blast. This study presents experimental results obtained at the Shock Physics Laboratory of THIOT INGENIERIE company. The test specimens are made of YTONG(TM ) cellular concrete with porosity in the range of 75 to 80%. Experimental tests cover a large strain rate amplitude (higher than 104 s−1) for specimens up to 250 mm. They were carried out with a small compression press and with two facilities dedicated to dynamic material characterization: JUPITER dynamic large press (2 MN, 3 ms rising time) and TITAN multi-caliber single-stage gas gun. Results in un-confined conditions show an increase of the compressive strength when strain rate increases (45% increase at 5.102 s−1) but dynamic tests induce damage early in the experiment. This competition between dynamic strength raise and specimen fracture makes the complete compaction curve determination not to be done in unconfined dynamic condition. A 25% increase of the compressive strength has been observed between unconfined and confined condition in Q.S. regime

Numerical investigations on pressurized AL-composite vessel response to hypervelocity impacts: Comparison between experimental works and a numerical code

Response of pressurized composite-Al vessels to hypervelocity impact of aluminum spheres have been numerically investigated to evaluate the influence of initial pressure on the vulnerability of these vessels. Investigated tanks are carbon-fiber overwrapped prestressed Al vessels. Explored internal air pressure ranges from 1 bar to 300 bar and impact velocity are around 4400 m/s. Data obtained from experiments (Xray radiographies, particle velocity measurement and post-mortem vessels) have been compared to numerical results given from LS-DYNA ALE-Lagrange-SPH full coupling models. Simulations exhibit an under estimation in term of debris cloud evolution and shock wave propagation in pressurized air but main modes of damage/rupture on the vessels given by simulations are coherent with post-mortem recovered vessels from experiments. First results of this numerical work are promising and further simulation investigations with additional experimental data will be done to increase the reliability of the simulation model. The final aim of this crossed work is to numerically explore a wide range of impact conditions (impact angle, projectile weight, impact velocity, initial pressure) that cannot be explore experimentally. Those whole results will define a rule of thumbs for the definition of a vulnerability analytical model for a given pressurized vessel

Strain rate sensitivity of autoclaved aerated concrete from quasi-static regime to shock loading

The quasi-static mechanical behavior of autoclaved aerated concrete is well-known and can be expressed as a function of its density. There are however not much studies dealing with its dynamic behavior and its damping ability when subjected to a mechanical shock or a blast. This study presents experimental results obtained at the Shock Physics Laboratory of THIOT INGENIERIE company. The test specimens are made of YTONG(TM ) cellular concrete with porosity in the range of 75 to 80%. Experimental tests cover a large strain rate amplitude (higher than 104 s−1) for specimens up to 250 mm. They were carried out with a small compression press and with two facilities dedicated to dynamic material characterization: JUPITER dynamic large press (2 MN, 3 ms rising time) and TITAN multi-caliber single-stage gas gun. Results in un-confined conditions show an increase of the compressive strength when strain rate increases (45% increase at 5.102 s−1) but dynamic tests induce damage early in the experiment. This competition between dynamic strength raise and specimen fracture makes the complete compaction curve determination not to be done in unconfined dynamic condition. A 25% increase of the compressive strength has been observed between unconfined and confined condition in Q.S. regime

Contribution à la mesure de température des matériaux sous choc modéré par pyrométrie optique

Le cadre de ces travaux concerne la mesure de température sous choc à l'interface d'un matériau (plomb ou cuivre) et d'une fenêtre en LiF à une pression proche de 8 GPa et à une température inférieure à 550 K maintenues pendant une microseconde. Parmi les différents diagnostics de mesure de température existants, la pyrométrie optique infrarouge est la plus adaptée. La détermination précise de la température réelle de l'interface et celle du matériau étudié reste un problème entier. Il concerne à la fois l'évaluation de l'émissivité de la surface de mesure, mais aussi le rôle de l'interface entre le matériau d'étude et le matériau fenêtre transparent tenus mécaniquement par collage. Pour répondre au critère de précision, l'utilisation des dépôts émissifs à l'interface matériau/fenêtre a été la solution retenue. La complexité de cette nouvelle interface nécessite de comprendre l'origine du rayonnement thermique détecté par le pyromètre et d'analyser les transferts thermiques au sein de différentes couches minces. La confrontation de l'étude numérique et expérimentale a mis en évidence que seule la conduction thermique intervient dans les transferts de chaleur entre le matériau, le dépôt émissif, la colle et la fenêtre. Le dépôt émissif doit donc être caractérisé par une bonne conductivité thermique et déposé sur une faible épaisseur tout en garantissant des critères optiques de bonne émissivité et d opacité. L'emploi d'un dépôt de ReSi2 en tant que dépôt émissif donne de premiers résultats prometteurs. Inversement, la peinture graphitée, utilisée dans un premier temps, est inappropriée pour cette étude : son épaisseur est trop importante et elle n'est pas opaque.This work investigates the temperature measurement under shock-wave compression at the interface between a material target (lead or copper) and a LiF window at pressure and temperature values at about 8 GPa and below 550 K during a microsecond. Among the common diagnostic to determine temperature, infrared optical pyrometry is the most effective. To obtain an accurate measurement of the true interface temperature and therefore the true material temperature, the emissivity of the surface must be evaluated and the interface between the studied material and the window must be analysed. The use of an emissive layer at the interface is the selected solution to perform accurate temperature measurement. Nevertheless, the complexity of this interface needs to identify the origin of the detected thermal radiance and to analyze heat transfer phenomena in thin layers. The comparison between experimental results and theoretical predictions bring out that only thermal conduction allows thermal energy exchanges between the material, the emissive layer, the glue and the window. So, the emissive layer must have an excellent thermal conductivity and must be very thin while guarantying opacity and emissivity close to unity. The use of an emissive ReSi2 layer gives promising results. Conversely, the emissive paint is inappropriate to play the role of an emissive layer: its thickness is too important and its opacity is not achieved.POITIERS-BU Sciences (861942102) / SudocSudocFranceF

Additively manufactured penetrating warheads

Penetrating warheads have to both defeat thick and high strength targets and have high blast effects. Lattice structures could help to enhance blast effect and reduce the weight of the penetrators. Additive manufacture provides a method to produce this concept. This paper details a programme to evaluate the perforation performance of such a penetrator. This study implemented an approach based on the integration of virtual and physical tests. A mesoscale numerical approach based on explicit high order finite element (HOFEM) was first developed to optimize the lattice pattern. The dynamic behaviour of this material was then determined using the Split Hopkinson Pressure Bar (SHPB) technique and this was then used to fit a constitutive model in Impetus Afea Solver®. The modelling of the concrete penetration of small scale warhead was based on the advanced meshless approach coupled with HOFEM. The models developed enabled the determination, simultaneously, of the homogenised behaviour of the lattice material and also the global behaviour of the penetrators during and after the penetration. Seven ballistic tests against concrete targets were performed at Thiot Ingenierie to investigate the penetration capabilities of the additively manufactured penetrating warhead concept and especially when using a lattice pattern

Experimental and numerical study of a bird strike against a windshield

This paper describes a bird strike study performed at THIOT-INGENIERIE laboratory. For aeronautic requirements, the 220 mm version of the gas gun TITAN is used to perform bird strike on instrumented structures. This paper shows a bird strike on a polycarbonate windshield instrumented with high speed cameras, velocity and force sensors. A crossed work with numerical simulation has been performed to design target support and diagnostic tools. It permits also to demonstrate reliability of the numerical tools