Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II (and III). Here L describes the loss amount of the present risk profile and S describes the loss amount caused by an additional loss factor. We obtain different types of results according to the relative magnitudes of the thicknesses of the tails of L and S. In particular, if the tail of S is sufficiently thinner than the tail of L, then the difference between prior and posterior risk amounts VaR(L+S) - VaR(L) is asymptotically equivalent to the expectation (expected loss) of S.Comment: 21 pages, 1 figure, 4 tables, forthcoming in International Journal of Theoretical and Applied Finance (IJTAF

Exploring Zeptosecond Quantum Equilibration Dynamics: From Deep-Inelastic to Fusion-Fission Outcomes in 58^{58}Ni+60^{60}Ni Reactions

Energy dissipative processes play a key role in how quantum many-body systems dynamically evolve towards equilibrium. In closed quantum systems, such processes are attributed to the transfer of energy from collective motion to single-particle degrees of freedom; however, the quantum many-body dynamics of this evolutionary process are poorly understood. To explore energy dissipative phenomena and equilibration dynamics in one such system, an experimental investigation of deep-inelastic and fusion-fission outcomes in the $^{58}$Ni+$^{60}$Ni reaction has been carried out. Experimental outcomes have been compared to theoretical predictions using Time Dependent Hartree Fock and Time Dependent Random Phase Approximation approaches, which respectively incorporate one-body energy dissipation and fluctuations. Excellent quantitative agreement has been found between experiment and calculations, indicating that microscopic models incorporating one-body dissipation and fluctuations provide a potential tool for exploring dissipation in low-energy heavy ion collisions.Comment: 11 pages, 9 figures, 1 table, including Supplemental Material - Version accepted for publication in Physical Review Letter

Capital allocation for credit portfolios with kernel estimators

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.Comment: 22 pages, 12 tables, 1 figure, some amendment

Reduced quasifission competition in fusion reactions forming neutron-rich heavy elements

Measurements of mass-angle distributions (MADs) for Cr + W reactions, providing a wide range in the neutron-to-proton ratio of the compound system, (N/Z)CN, have allowed for the dependence of quasifission on the (N/Z)CN to be determined in a model-independent way. Previous experimental and theoretical studies had produced conflicting conclusions. The experimental MADs reveal an increase in contact time and mass evolution of the quasifission fragments with increasing (N/Z)CN, which is indicative of an increase in the fusion probability. The experimental results are in agreement with microscopic time-dependent Hartree-Fock calculations of the quasifission process. The experimental and theoretical results favor the use of the most neutron-rich projectiles and targets for the production of heavy and superheavy nuclei.Comment: Accepted to PRC as a Rapid Communicatio

Optimizing Yield and Quality of Orchardgrass Pasture in Temperate Silvipastoral Systems

The objective of this study was to provide grazing management recommendations for a silvipastoral system by determining the effects of shade and nitrogen (N) on the pattern of dry matter accumulation and nutritive value of orchardgrass (Dactylis glomerata) in a subhumid temperate environment. Orchardgrass in open pasture (100% transmittance) and under 10 year old Pinus radiata tree shade (60% transmittance) at 200 stems/ha was used as the main plot and nitrogen (0 and 300 kg N/ha as synthetic urine) was the subplot factor. Dry matter (DM) production of orchardgrass in the first 60-day spring rotation was similar in open and shade conditions (2.6 t/ha) but approximately doubled by the application of N. In the 60- day summer rotation, DM production was about 22% lower in the shaded plots and was increased by about 60% by the addition of N. Crude protein and organic matter digestibility declined with herbage age and the onset of reproductive tiller growth. It was concluded that to maximise DM production without compromising pasture quality, grazing management of orchardgrass should be similar in open and shaded pastures in spring (30-35 day regrowth) but a shorter regrowth length used for open (20 days) than silvipastoral (25-30 days) systems in summer

Dry Matter Production and Nutritive Value of Alfalfa (\u3ci\u3eMedicago sativa\u3c/i\u3e L.) and Orchardgrass (\u3ci\u3eDactylis glomerata\u3c/i\u3e L.) under Different Light Regimes

Spring and summer alfalfa dry matter and nitrogen production rates were greater than orchardgrass in open pasture and under three shade levels. Ten years old Pinus radiata allowed 60% light transmissivity. The addition of artificial shade resulted in 45% and 25% transmissivity. Orchardgrass pastures were nitrogen deficient and water stressed. In contrast, alfalfa was not stressed and it was more light responsive than orchardgrass. Differences in nutritive value were relatively small between species and between light regimes. Sheep liveweight gain on alfalfa was greater than on orchardgrass. Orchardgrass demonstrated shade tolerance, but alfalfa was more productive even at 25% transmissivity. Conventional concepts of shade tolerance may not be appropriate when screening pasture species for silvipastoral systems

Fc-receptor-mediated phagocytosis occurs in macrophages without an increase in average [Ca++]i

The calcium ion has been implicated as a cytosolic signal or regulator in phagocytosis. Using the Ca++-sensitive photoprotein aequorin we have measured intracellular free Ca++ ion concentration ([Ca++]i) in thioglycolate-elicited mouse peritoneal macrophages during phagocytosis and IgG-induced spreading. Macrophages plated on glass were loaded with aequorin and [Ca++]i was then measured from cell populations, both as previously described (McNeil, P. L., and D. L. Taylor, 1985, Cell Calcium, 6:83-92). Aequorin indicated a resting [Ca++]i in adherent macrophages of 84 nM and was responsive to changes in [Ca++]i induced by the addition of Mg-ATP (0.1 mM) or serum to medium. However, during the 15 min required for phagocytosis of seven or eight IgG-coated erythrocytes per macrophage loaded with aequorin, we measured no change in [Ca++]i. Similarly, the ligation of Fc-receptors that occurs when macrophages spread on immune complex-coated coverslips did not change macrophage [Ca++]i. In contrast, a rise in [Ca++]i of macrophages was measured during phagocytosis occurring in a serum-free saline of pH 7.85, and as a consequence of incubation with quin2 A/M. We estimate that had a change in [Ca++]i occurred during phagocytosis, aequorin would have detected a rise from 0.1 to 1.0 microM taking place in as little as 2% of the macrophage's cytoplasmic volume. We therefore suggest that either Ca++ is not involved as a cytoplasmic signal for phagocytosis or that increases in [Ca++]i during phagocytosis are confined to such small regions of cytoplasm as to be below the limits of detection by our cellular averaging method. Our data emphasizes, moreover, the need for well-defined, nonperturbing conditions in such measurements of [Ca++]i

Nuclear medium modifications of the NN interaction via quasielastic (p⃗,p⃗′\vec p,\vec p ') and (p⃗,n⃗\vec{p},\vec{n}) scattering

Within the relativistic PWIA, spin observables have been recalculated for quasielastic ($\vec p,\vec p '$) and ($\vec p,\vec n$) reactions on a $^{40}$Ca target. The incident proton energy ranges from 135 to 300 MeV while the transferred momentum is kept fixed at 1.97 fm^{-1}. In the present calculations, new Horowitz-Love--Franey relativistic NN amplitudes have been generated in order to yield improved and more quantitative spin observable values than before. The sensitivities of the various spin observables to the NN interaction parameters, such as (1) the presence of the surrounding nuclear medium, (2) a pseudoscalar versus a pseudovector interaction term, and (3) exchange effects, point to spin observables which should preferably be measured at certain laboratory proton energies, in order to test current nuclear models. This study also shows that nuclear medium effects become more important at lower proton energies ($\leq$ 200 MeV). A comparison to the limited available data indicates that the relativistic parametrization of the NN scattering amplitudes in terms of only the five Fermi invariants (the SVPAT form) is questionable.Comment: 10 pages, 6 Postscript figures, uses psfig.sty and article.sty, submitted to Phys. Rev.