A New Framework for Measuring the Credit Risk of a Portfolio: The "ExVaR" Model

This paper proposes a new framework for the quantitative evaluation of the credit risk of a portfolio by extending the concept of value at risk. In practice, the risk evaluation period is set individually for each transaction in the portfolio and a simulation is carried out on the movements of default probabilities, interest rates, and collateral asset prices as well as on the realization of defaults of counter parties. The result fixes the cash flow along the simulated path and leads to the present value of the total cash flows. By repeating this procedure many times, we obtain the probability distribution of the present value, by which we can evaluate the price and the risk of the portfolio. This framework enables us comprehensively and objectively to measure the risk taking into account the diversification/concentration effect, the collateral effect, and the correlation between credit risk factors and market risk factors. After presenting the methodology, the paper calculates the risk of hypothetical test portfolios. They are used to discuss the applicability of the framework to practical uses.

Transport properties of Andreev polarons in superconductor-semiconductor-superconductor junction with superlattice structure

Transport properties of a superconductor-semiconductor-superconductor (S-Sm-S) junction with superlattice structure are investigated. Differential resistance as a function of voltage shows oscillatory behavior under the irradiation of radio-frequency (RF) waves with the specific frequency of 1.77 GHz regardless of the superconducting materials and the junction lengths. Experimental data are quantitatively explained in terms of the coupling of superconducting quasiparticles with long-wavelength acoustic phonons indirectly excited by the RF waves. We propose that the strong coupling causes the formation of novel composite particles, Andreev polarons.Comment: 4 pages, 4 figure

A Study on the Islanders of Koshikijima, from the Viewpoint of their Fingerprint and Blood Type Part I. Frequency of Fingerprint emerging in the Islanders of Koshikijima

The auther, as a research result of our department intent on the anthropological and esnological investigation to make comparisons between the fingerprint frequency found in those Southern people of which Indonesians of Java consists the center, and that found in Japanese people living in Kyushu and people living in the continent over there to say more properly, having studied in detail the afore-said frequency, in regard to the inhabitants of Koshikijima, which, lying southwest of Kyushu, and against China Continent, Kyushu, or southern island, has a very significant relation anthropologically; as to this, he has investigated as well as compared those results obtained among the inhabitants, dividing them into three group, the east coast and west coast as well as that of Kashima; then, all the results have been considered minutely in contrast to the surrounding tribes, until he arrived at the following somewhat marked purport; 1) Frequency of fingerprints found among those of east-coasters and west-coasters of Koshikijima, and villagers of Kashima; all these groups prove difference in the frequency; easteners and Kashima villagers proved higher frequency in U-type compared to west-coasters, besides, between the former two, the latter proved higher. Whereas, the west-coasters proved higher in W-type frequency, compared to east-coasters or Kashima villagers. Altogether, these group seen to differ racially. 2) The frequency of fingerprints between southerners and northerners of Kyushu and islanders of Koshikijima; east-coaster as well as Kashima villagers, in their privalence in U-type fingerprints, tends to islanders of Tanegashima, or inhabitants of southern Kyushu, i.e., to the local inhabitants of southern Kyushu; while, the west-coasters, in most points, resembles the northern Kyushuist; also, as for south-Kyushu people and Kashima villagers, the latter may be said to resemble more to the southern people, in their prevalence of U-type fingerprints. 3) The frequency of fingerprints found in Koshikijima people, compared to those of various neighbour tribes or races; The east-shore people and Kashima villagers, who are found to be superior in U-type fingerprint, proved to resemble to the Indonesians of Java; while, west-coasters who have proved prevalent in W-type fingerprints, tend to the so-called continentals, i. e., Manchurians, Mongolians (Mongola), Chinese or Koreans (Chosenese). On the other hand, in case we contrast East-coasters with Kashima islanders, the latter, as they prove more frequent in U-type fingerprint, may be justly considered to tend to southern race