The effect of moisture on significant mechanical characteristics of masonry

Experimental and laboratory research into residual physical and mechanical characteristics of historical masonry structures (GAČR 2008; Witzany 2008), in particular the determination of residual strength and modulus of elasticity in compression, included research oriented towards the effect of moisture and porosity on the respective characteristics of masonry units – bricks, sandstone and arenaceous marl. Partial results published in (Witzany et al. 2008) and in this paper testify to the need for further research into the effects of porosity, moisture and chemism on the development of characteristics of building materials applied on historical structures. Drėgmės įtaka svarbiausioms mechaninėms mūro charakteristikoms Santrauka Straipsnyje pateikti eksperimentiniai ir laboratoriniai tyrimai nustatant tokias fizines ir mechanines istorinių pastatų mūro charakteristikas (GAČR 2008; Witzany, Čejka, Zigler 2008), kaip faktinis (liekamasis) mūro gniuždomasis stipris bei gniuždomojo tamprumo modulis, įvertinant drėgmės ir poringumo įtaką mūrui (plytoms, smiltainiui ir mergeliui). Dalis rezultatų publikuota Witzany, Čejka, Zigler (2008) straipsnyje. Jame aiškiai parodytas tolesnių tyrimų tikslingumas siekiant išplėtoti istorinių pastatų mūro svarbiausių charakteristikų nustatymo metodus, įvertinant drėgmės, cheminių medžagų (pvz., druskų kristalizacijos) ir poringumo įtaką. First Published Online: 16 May 2013 Reikšminiai žodžiai: mūrinės konstrukcijos, drėgmė, poringumas, faktinis (liekamasis) gniuždomasis stipris, tamprumo modulis, plytos, smiltainis, mergeli

Definition of Default and Quality of Scoring Functions

A retail bank consumer loan dataset is used to develop logistic regression based scoring functions with different definitions of default from a very broad to a narrow or hard. The performance of the scoring functions is compared with respect to the hard definition of default which indicates real losses suffered by the bank. The results confirm the hypothesis that the scoring functions developed on softer definitions of default perform worse than those developed on harder definitions of default. The conclusion is put into contrast with the observation that the Basel II regulation gives an incentive to use a rather soft definition of default in the rating and scoring process.credit risk, regulatory capital, default, scoring

Valuation of volatility sensitive interest rate derivatives in an emerging market

We investigate valuation of volatility sensitive interest rate derivatives like the derivatives involving LIBOR or swap rates in arrears. The paper studies several alternatives of the standard convexity adjustment formula, in particular, a precise analytical formula based on an assumption of log-normality of the underlying assets applicable to a wide class of derivatives. The second problem is estimation of interest rate volatilities and correlations that are used by the formulas. We analyse possible estimation methods including an application of the HJM, LIBOR market model and the swap market model. We argue that the latter is the best in a market where swap quotes are the primary source of market information on the term structure of interest rates dynamics. We illustrate the techniques and different results on a case study of a real life controversial exotic swap.interest rates; LIBOR; London Interbank Offered Rate; arrears; constant maturity swaps; convexity adjustments; swap market models; volatility valuation; emerging markets; swap rates; log-normality; underlying assets; David Heath; Robert Jarrow; Andrew Morton; HJM framework; swap quotes; market information; Prague; Deutsche Bank; Czech Republic; financial markets; derivatives; applied financial economics.

A Two Factor Model for PD and LGD Correlation

The paper proposes a two systematic factor model to capture a retail portfolio probability of default (PD) and loss given default (LGD) parameters, in particular their mutual correlation. We argue that the standard one factor models standing behind the Basel II formula and used by a number of studies cannot capture well the correlation between PD and LGD on a large (asymptotic) portfolio. The proposed model is implemented on real banking data giving an estimate of a positive PD and LGD correlation implied by the model slightly above 10%.credit risk, recovery rate, loss given default, correlation, regulatory capital

Reliability and failure resistance of the stone bridge structure of Charles bridge during floods

The most frequent damage and collapse of some of the spans of Charles Bridge during floods occurred namely in its central part which was exposed to an intense flow of backwater and erosion of the bridge pier footing bottom, which the originally relatively shallow foundations of the piers on boxes were not able to resist for a longer time (the floods of 1432, 1496, 1784, 1890). The stone vault bridge structure was damaged due to scouring of the bridge piers foundations, their successive tilting and settlement accompanied by degradation, and finally collapse of the adjoining bridge vaults. The foundation of piers on caissons and execution of caisson rings in 1892 and 1902 to 1904 in this part of the bridge, together with measures avoiding the piling up of objects in front of the bridge, enabled the bridge to withstand the impact of more than a hundred‐year flood during the events of August 2002. The numerical analysis proved an extreme sensitivity of the stone vault bridge structure to the effects of changes in the footing bottom shape. Due to the changes in the footing bottom (angular rotation, subsidence, shifting), normal and shear stresses arise in the stone vault bridge structure, and exceed the load‐bearing capacity of the masonry causing its disintegration. The fundamental measure to prevent the bridge vaults from failure due to the changes in the footing bottom shape is to secure reliably the bridge piers foundations. The increased rigidity of the stone bridge structure achieved by the interaction with the additionally inserted reinforcing structure and by bracing the bridge body filler does not ensure the reliability and safety of the bridge structure from flood‐related failures. Karolio tilto mūrinių konstrukcijų patikimumas ir atsparumas per potvynius Santrauka Potvynių metu Karolio (angl. Charles) tilte Čekijoje didžiausios pažaidos ir suirimai atsirado centrinėje dalyje, kuri buvo paveikta intensyvia vandens tėkme. Potvynių metu taip pat vyko pagrindo po tilto tarpine atrama erozija, dėl kurios atramos pamato tolesnė eksploatacija buvo negalima (1432, 1496, 1784, 1890 metų potvyniai). Arkinė mūrinė tilto konstrukcija buvo pažeista dėl pagrindų po atramų pamatais išplovimo. Dėl to atsirado pamato posvyris bei nuosėdis, o tai, sukėlė tilto mūrinių skliautų pažaidas, o vėliau – ir suirimą. Šioje tilto dalyje 1892 m. ir 1902–1904 metais įrengti kesoniniai pamatai sustiprino tilto konstrukciją, kuri atlaikė 2002 m. rugpjūtį vykusį potvynį. Atliktas skaitinis eksperimentas parodė, kad arkinė mūrinio tilto konstrukcija yra labai jautri pagrindo deformacijoms. Dėl pagrindo deformacijų (pasisukimo, nuosėdžio, pasislinkimo) padidėja normaliniai ir tangentiniai įtempiai arkų konstrukcijose. Kritiniais atvejais šie įtempiai viršija mūro stiprumo ribą, o tai sukelia mūro suirimą. Klasikinė mūrinių arkinių tiltų apsaugos nuo suirimo dėl pamato deformacijų priemonė, yra patikimas pamatų po tarpinėmis tilto atramomis stiprinimas. Bendrasis tilto standumas buvo padidintas įrengus papildomą laikančiąją gelžbetoninę konstrukciją bei sutvirtinus anstato užpildymą, tačiau tai neužtikrino tilto konstrukcijų patikimumo ir saugos potvynių metu. First Published Online: 14 Oct 2010 Reikšminiai žodžiai: potvyniai, arkinis mūrinis tiltas, pažaida, horizontalusis ir vertikalusis poslinkis, pamato pagrindas, pasisukimas, nuosėdis, poslinkis, tilto skliautų suirimas, antstato užpildymas, normaliniai ir tangentiniai tempimo įtempiai, standumas, antstatas, klimatiniai poveikiai, sąveika

Full reflection at a measurable cardinal

Abstract. A stationary subset S of a regular uncountable cardinal re ects fully at regular cardinals if for every stationary set T of higher order consisting of regular cardinals there exists an 2 T such that S \ is a stationary subset of. Full Re ection states that every stationary set re ects fully at regular cardinals. We will prove that under a slightly weaker assumption than having Mitchell order ++ it is consistent thatFull Re ection holds at every and is measurable. 1. De nitions and results. It has been proved in [M82] that re ection of stationary sets is a large cardinal property. Re ection of stationary subsets of!n (n 2) and!!+1 has been investigated in [M82] and [JS90] and consistency strength of Full Re ection at regular cardinals at a Mahlo cardinal has been characterized in [JS92]. In this paper we address the question of Full Re ection at a measurable cardinal. If S is a stationary subset of a regular uncountable cardinal then the trace ofS is the set Tr(S) =f <; S \ is stationary in g (and we say that S re ects at). If S and T are both stationary, we de ne S<T if for almost all 2 T; 2 Tr(S) and say that S re ects fully in T. (Throughout the paper, \for almost all " means \except for a nonstationary set of points")