Incorporating prediction and estimation risk in point-in-time credit portfolio models

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the time the prediction is made, the prediction is prone to errors. The model parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and therefore to rising values of risk parameters such as Value at Risk or Expected Shortfall. The level of economic capital required may be strongly underestimated if prediction and estimation risk are ignored. --probability of default,PD,credit risk,default correlation,asset correlation,point in time,value at risk,estimation risk

An Investigation into the Development Process of Medical X-Ray Films

Correlation between the results of medical x-ray processing labs and the USA Standard for processing medical x-ray film is lacking at present. In order to correct this, a developer formulation will have to be devised to obtain in the experimental laboratory the same results that are obtained by the automatic x-ray processing machines that are presently being used. In an attempt to accomplish this, a factorial experiment was designed in which two levels of the following five factors were varied: metol, hydroquinone, potassium bromide, development time, and film (both rapid process types). The results from this factorial (tray processing) would be compared with the results obtained from samples of the same kind of film and exposure processed by nine different field labs. From an analysis of the data, either a new developer would be evident that would give the same results with either process or new levels of the afore mentioned factors would be indicated in a follow-up factorial experiment. In the experiment performed, the latter case was the result. Increased levels of hydroquinone, metol and development time were indicated with potassium bromide held constant at the low level

Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen

Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei us-amerikanischen Sektoren untersucht. Zum einen wird das Segment Industrieunternehmen und zum anderen das Retailsegment Kreditkarten betrachtet. Es wird gezeigt, wie unter Verwendung eines dynamischen Modells die Schuldnerbonität bzw. die Ausfallwahrscheinlichkeit unter Einbeziehung schuldnerspezifischer und makroökonomischer Faktoren geschätzt werden kann. Es stellt sich heraus, dass durch die Einbeziehung vor allem makroökonomischer Größen die Ausfallwahrscheinlichkeit Point in Time prognostiziert und sowohl die Assetkorrelation innerhalb eines Sektors bzw. Risikosegments als auch die intersektorale Korrelation verringert werden können. Dies führt im Allgemeinen zu präziseren Prognosen der Verlustverteilungen. In this paper we focus on the analysis of the effect of the asset correlation between two segments, its basic calculation and its impacts on the risk measures of loss distributions. For an empirical study we examine default histories of two American segments. One is the sector industry and the other is the (retail) segment credit cards. We show how the borrowers creditworthiness and the probability of default can be estimated using issuer-specific and macroeconomic variables in a dynamic approach. Using macroeconomic variables the probability of default can be predicted point in time. The asset correlation within a sector as well as the asset correlation between sectors can be reduced leading to a more precise prediction of loss distributions.Ausfallwahrscheinlichkeit ; Kreditrisiko; Probability of Default ; PD ; Assetkorrelation ; Ausfallkorrelation ; Kreditrisikomanagement; Probability of Default ; asset correlation ; default correlation ; credit risk ; credit risk management

Implementing Pairings at the 192-bit Security Level

We implement asymmetric pairings derived from Kachisa-Schaefer-Scott (KSS), Barreto-Naehrig (BN), and Barreto-Lynn-Scott (BLS) elliptic curves at the 192-bit security level. Somewhat surprisingly, we find pairings derived from BLS curves with embedding degree 12 to be the fastest for our serial as well as our parallel implementations. Our serial implementations provide a factor-3 speedup over the previous state-of-the-art, demonstrating that pairing computation at the 192-bit security level is not as expensive as previously thought. We also present a general framework for deriving a Weil-type pairing that is well-suited for computing a single pairing on a multi-processor machine

Interference effects in the photorecombination of argonlike Sc3+ ions: Storage-ring experiment and theory

Absolute total electron-ion recombination rate coefficients of argonlike Sc3+(3s2 3p6) ions have been measured for relative energies between electrons and ions ranging from 0 to 45 eV. This energy range comprises all dielectronic recombination resonances attached to 3p -> 3d and 3p -> 4s excitations. A broad resonance with an experimental width of 0.89 +- 0.07 eV due to the 3p5 3d2 2F intermediate state is found at 12.31 +- 0.03 eV with a small experimental evidence for an asymmetric line shape. From R-Matrix and perturbative calculations we infer that the asymmetric line shape may not only be due to quantum mechanical interference between direct and resonant recombination channels as predicted by Gorczyca et al. [Phys. Rev. A 56, 4742 (1997)], but may partly also be due to the interaction with an adjacent overlapping DR resonance of the same symmetry. The overall agreement between theory and experiment is poor. Differences between our experimental and our theoretical resonance positions are as large as 1.4 eV. This illustrates the difficulty to accurately describe the structure of an atomic system with an open 3d-shell with state-of-the-art theoretical methods. Furthermore, we find that a relativistic theoretical treatment of the system under study is mandatory since the existence of experimentally observed strong 3p5 3d2 2D and 3p5 3d 4s 2D resonances can only be explained when calculations beyond LS-coupling are carried out.Comment: 11 pages, 7 figures, 3 tables, Phys. Rev. A (in print), see also: http://www.strz.uni-giessen.de/~k