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

Monopolium production from photon fusion at the Large Hadron Collider

Magnetic monopoles have attracted the attention of physicists since the founding of the electromagnetic theory. Their search has been a constant endeavor which was intensified when Dirac established the relation between the existence of monopoles and charge quantization. However, these searches have been unsuccessful. We have recently proposed that monopolium, a monopole-antimonopole bound state, so strongly bound that it has a relatively small mass, could be easier to find and become an indirect but clear signature for the existence of magnetic monopoles. In here we extend our previous analysis for its production to two photon fusion at LHC energies

Production and Decay of D_1(2420)^0 and D_2^*(2460)^0

We have investigated $D^{+}\pi^{-}$ and $D^{*+}\pi^{-}$ final states and observed the two established $L=1$ charmed mesons, the $D_1(2420)^0$ with mass $2421^{+1+2}_{-2-2}$ MeV/c$^{2}$ and width $20^{+6+3}_{-5-3}$ MeV/c$^{2}$ and the $D_2^*(2460)^0$ with mass $2465 \pm 3 \pm 3$ MeV/c$^{2}$ and width $28^{+8+6}_{-7-6}$ MeV/c$^{2}$. Properties of these final states, including their decay angular distributions and spin-parity assignments, have been studied. We identify these two mesons as the $j_{light}=3/2$ doublet predicted by HQET. We also obtain constraints on {\footnotesize $\Gamma_S/(\Gamma_S + \Gamma_D)$} as a function of the cosine of the relative phase of the two amplitudes in the $D_1(2420)^0$ decay.Comment: 15 pages in REVTEX format. hardcopies with figures can be obtained by sending mail to: [email protected]

A measurement of B(D+S → φl+ν) B(D+S → φπ+)

Using the CLEO II detector at CESR, we have measured the ratio of branching fractions B (D + S → φl + ν) B (D + S → φπ + ) = 0.54 ± 0.05 ± 0.04 . We use this measurement to obtain a model dependent estimate of B (D + S → φπ + )

The estimating function bootstrap

Canadian Journal of Statistics283449-49

Aspects of analysis of multivariate failure time data

Multivariate failure time data arise in various forms including recurrent event data when individuals are followed to observe the sequence of occurrences of a certain type of event; correlated failure time when an individual is followed for the occurrence of two or more types of events for which the individual is simultaneously at risk, or when distinct individuals have depending event times; or more complicated multistate processes where individuals may move among a number of discrete states over the course of a follow-up study and the states and associated sojourn times are recorded. Here we provide a critical review of statistical models and data analysis methods for the analysis of recurrent event data and correlated failure time data. This review suggests a valuable role for partially marginalized intensity models for the analysis of recurrent event data, and points to the usefulness of marginal hazard rate models and nonparametric estimates of pairwise dependencies for the analysis of correlated failure times. Areas in need of further methodology development are indicate