Risk measurement: an introduction to value at risk

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly describe some alternative measures of market risk.Risk and Uncertainty,

The effects of pressure, nozzle diameter and meteorological conditions on the performance of agricultural impact sprinklers

19 Pags. The definitive version, with Figs. y Tabls., is available at: http://www.sciencedirect.com/science/journal/03783774This study evaluates agricultural impact sprinklers under different combinations of pressure (p), nozzle diameter (D) and meteorological conditions. The radial curve (Rad) of an isolated sprinkler, i.e., the water distribution along the wetted radius, was evaluated through 25 tests. Christiansen's uniformity coefficient (CUC) and the wind drift and evaporation losses (WDEL) were evaluated for a solid-set system using 52 tests. The Rad constitutes the footprint of a sprinkler. The CUC is intimately connected to the Rad. The Rad must be characterized under calm conditions. Very low winds, especially prevailing winds, significantly distort the water distribution. The vector average of the wind velocity (V’) is recommended as a better explanatory variable than the more popular arithmetic average (V). We recommend characterizing the Rad under indoor conditions or under conditions that meet V’ < 0.6 m s−1 in open-air conditions. The Rad was mostly affected by the sprinkler model. V’ was the main explanatory variable for the CUC; p was significant as well. V was the main variable explaining the WDEL; the air temperature (T) was significant, too. Sprinkler irrigation simulators simplify the selection of a solid-set system for farmers, designers and advisors. However, the quality of the simulations greatly depends on the characterization of the Rad. This work provides useful recommendations in this area.This research was funded by the Government of Spain through grants AGL2004-06675-C03-03/AGR, AGL2007-66716-C03 and AGL2010-21681, by the Government of Aragón through grant PIP090/2005, and by the INIA and CITA through the PhD grants program.Peer reviewe

Chemical vapor deposition and infiltration for the production of tungsten fiber reinforced tungsten composite material

Contribution submission to the conference Regensburg 2016Chemical vapor deposition and infiltration for the productionof tungsten fiber reinforced tungsten composite material —∙Martin Aumann1, Jan Willem Coenen1, Hanns Gietl2, TillHoeschen2, Johann Riesch2, Klaus Schmid2, Rudolf Neu2, andChristian Linsmeier1 — 1Forschungszentrum Juelich GmbH, Institutfür Energie- und Klimaforschung, 52425 Juelich — 2Max-Planck-Institut für Plasmaphysik, 85748 GarchingDue to its high melting point, high corrosion resistance and its preferableproperties in terms of hydrogen retention, tungsten is a promisingcandidate in future nuclear fusion devices. However, the mechanicalbehavior of tungsten is crucial, as it is inherently brittle at room temperature.As possibility to overcome this brittleness, a composite materialcan be formed, which shows pseudo-ductility and therefore avoidscatastrophic failure of the material. A possibility to produce such aWf/W-composite is chemical vapor deposition and chemical vapor infiltration,where tungsten is deposited on small tungsten wires throughthe reaction of WF6 and H2. With ongoing infiltration time, pores areformed between the fibers, which decrease in size through the chemicalreaction. For better process understanding, a pore model was established,which solves the mass balance inside the pore and the resultingpore diameter simultaneously. It shows a significant difference in diameterfor longer infiltration times. This behavior shall be proved inexperiments with an experimental pore, which is similar to the simulatedone. Furthermore also kinetic investigations on the chemicalsurface reaction are carried out to increase the process understanding.Part: MMType: Vortrag;TalkTopic: Transport (Diffusion, Leitfähigkeit,Wärme)/ Transport (Diffusion,conductivity, heat)Email: [email protected]

Optimization of single crystal mirrors for ITER diagnostics

Diagnostic mirrors are planned to be used in all optical diagnostics in ITER. Degradation of mirrors due to e.g. deposition of plasma impurities will hamper the entire performance of affected diagnostics. in situ mirror cleaning by plasma sputtering is presently envisaged for the recovery of contaminated mirrors. There are observations showing a signature of sputtering dependence on crystal orientation. Should such a dependence exist, the sputtering of single crystal mirrors could be minimized, thus prolonging a mirror lifetime. Four single crystal molybdenum mirrors with different orientations were produced to study the effect of crystal orientation on sputtering. Mirrors were exposed to argon plasma under identical plasma conditions relevant to those expected in the mirror cleaning systems of ITER. The energy of impinging ions was about 60 eV. The amount of sputtered material corresponded to about a hundred mirror cleaning cycles in argon. Plasma exposures did not affect the mirror reflectivity. The maximum decrease of specular reflectivity did not exceed 5% at 250 nm. The mirrors with orientations [110]/[101] demonstrated up to 42% less sputtering than the mirrors with other crystal orientations. These findings outline the advantage of a favorable crystal orientation for a cleaning of heavy contaminants from ITER mirrors.Peer reviewe