Extreme Moves in Foreign Exchange Rates and Risk Limit Setting

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign currencies. Usually, these limits are determined by using a normal ("Gaussian") model for the daily fluctuations. In our study we illustrate how this common model sometimes quite strongly underestimates the actual extreme risks and, based on methods from the Extreme Value Theory (EVT), we propose and justify a more accurate model.extreme value theory, risk management, foreign exchange, time series analysis

Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance

The changing business environment in non-life insurance and reinsurance has raised the need for new quantitative methods to analyze the impact of various types of strategic decisions on a company’s bottom line. Dynamic Financial Analysis («DFA») has become popular among practitioners as a means of addressing these new requirements. It is a systematic approach based on large-scale computer simulations for the integrated financial modeling of non-life insurance and reinsurance companies aimed at assessing the risks and the benefits associated with strategic decisions. DFA allows decision makers to understand and quantify the impact and interplay of the various risks that their company is exposed to, and – ultimately – to make better informed strategic decisions. In this brochure, we provide an overview and assessment of the state of the industry related to DFA. We investigate the DFA value proposition, we explain its elements and we explore its potential and limitations.reinsurance, dynamic financial analysis, insurance

The Ionizing Stars of the Galactic Ultra-Compact HII Region G45.45+0.06

Using the NIFS near-infrared integral-field spectrograph behind the facility adaptive optics module, ALTAIR, on Gemini North, we have identified several massive O-type stars that are responsible for the ionization of the Galactic Ultra-Compact HII region G45.45+0.06. The sources ``m'' and ``n'' from the imaging study of Feldt et a. 1998 are classified as hot, massive O-type stars based on their K-band spectra. Other bright point sources show red and/or nebular spectra and one appears to have cool star features that we suggest are due to a young, low-mass pre-main sequence component. Still two other embedded sources (``k'' and ``o'' from Feldt et al.) exhibit CO bandhead emission that may arise in circumstellar disks which are possibly still accreting. Finally, nebular lines previously identified only in higher excitation planetary nebulae and associated with KrIII and SeIV ions are detected in G45.45+0.06.Comment: Latex, 28 pages, 10 figure

Forging and extrusion of powder metallurgy preforms

Investigators have shown that properties of materials made by powder metallurgy techniques may vary considerably for the same level of density depending on the combination of processing variables. In particular, the nature of and amount of plastic flow which takes place has been shown to be significant

Is the gamma risk of options insurable?

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small.Option; Insurance; Risk

Control of electron spin and orbital resonance in quantum dots through spin-orbit interactions

Influence of resonant oscillating electromagnetic field on a single electron in coupled lateral quantum dots in the presence of phonon-induced relaxation and decoherence is investigated. Using symmetry arguments it is shown that spin and orbital resonance can be efficiently controlled by spin-orbit interactions. The control is possible due to the strong sensitivity of Rabi frequency to the dot configuration (orientation of the dot and a static magnetic field) as a result of the anisotropy of the spin-orbit interactions. The so called easy passage configuration is shown to be particularly suitable for magnetic manipulation of spin qubits, ensuring long spin relaxation time and protecting the spin qubit from electric field disturbances accompanying on-chip manipulations.Comment: 11 pages, 5 figures; v2: introduction and conclusions broadened, moderate structure and content change