Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries

Two models of dependent credit rating migrations governed by industry-specific Markovian matrices, are considered. Caused by macroeconomic factors, positive and negative unobserved tendencies, encoded as values "1" or "0" of the corresponding variables, modify the transition probabilities and render the evolutions dependent. They are neither synchronized across industry sectors, nor over credit classes: an upswing in some of them can coexist with a decline of the rest. The models are tested on Standard and Poor's data. MATLAB optimization software and maximum likelihood estimators are used. Obtained distributions of the hidden variables demonstrate that the considered industries migrate asynchronously trough credit classes. Since downgrading probabilities are less affected by the unobserved tendencies, estimated by Monte-Carlo simulations distributions of defaults, exhibit lighter, than for the known coupling models, tails for schemes with asynchronously moving industries. Moreover, the lightest tails were obtained in the case of industry-specific transition matrices

Portfolio Optimization Using SPEA2 with Resampling

Proceeding of: Intelligent Data Engineering and Automated Learning – IDEAL 2011: 12th International Conference, Norwich, UK, September 7-9, 2011The subject of financial portfolio optimization under real-world constraints is a difficult problem that can be tackled using multiobjective evolutionary algorithms. One of the most problematic issues is the dependence of the results on the estimates for a set of parameters, that is, the robustness of solutions. These estimates are often inaccurate and this may result on solutions that, in theory, offered an appropriate risk/return balance and, in practice, resulted being very poor. In this paper we suggest that using a resampling mechanism may filter out the most unstable. We test this idea on real data using SPEA2 as optimization algorithm and the results show that the use of resampling increases significantly the reliability of the resulting portfolios.The authors acknowledge financial support granted by the Spanish Ministry of Science under contract TIN2008-06491-C04-03 (MSTAR) and Comunidad de Madrid (CCG10- UC3M/TIC-5029).Publicad

Exhausting domains of the symmetrized bidisc

We show that the symmetrized bidisc may be exhausted by strongly linearly convex domains. It shows in particular the existence of a strongly linearly convex domain that cannot be exhausted by domains biholomorphic to convex ones.Comment: 6 page

Phenomenon of Cloning and specificity of its usage

Cloning is studied by different branches of science. Medicine is interested in cloning because of its ability to transplant special tissues and organs, genetics - with the purpose of studying heredity and succession, sociology deals with moral and ethic aspects of the phenomenon. The paper is devoted to the study of cloning, its special features and usage in different spheres of social life. The article represents main types of cloning, specificity of vegetative and animal cloning and problems of its expansion. The paper also demonstrates the actual topic of nowadays studies connected with human cloning and its aftereffects for science and society. The article may be useful for a wide audience and for people, who are interested in studies of cloning and problems of its realization

Entire curves avoiding given sets in C^n

Let $F\subset\Bbb C^n$ be a proper closed subset of $\Bbb C^n$ and $A\subset\Bbb C^n\setminus F$ at most countable ($n\geq 2$). We give conditions of $F$ and $A$, under which there exists a holomorphic immersion (or a proper holomorphic embedding) $\phi:\Bbb C\to\Bbb C^n$ with $A\subset\phi(\Bbb C)\subset\Bbb C^n\setminus F$.Comment: 10 page

Bergman kernel and complex singularity exponent

We give a precise estimate of the Bergman kernel for the model domain defined by $\Omega_F=\{(z,w)\in \mathbb{C}^{n+1}:{\rm Im}w-|F(z)|^2>0\},$ where $F=(f_1,...,f_m)$ is a holomorphic map from $\mathbb{C}^n$ to $\mathbb{C}^m$, in terms of the complex singularity exponent of $F$.Comment: to appear in Science in China, a special issue dedicated to Professor Zhong Tongde's 80th birthda

Perforating pancreatic injury: new approaches and unexpected complications

Perforating Pancreatic Injury (PPI) is an uncommon event in trauma centers. One of its uncommon complications is Pancreatic Fluid Collection (PFC), which was only studied in acute pancreatitis cases. Other of its rare, but most feared complications is the Major Pancreatic Duct (MPD) disconnection, that most authors recommend to be treated immediately. We report a successful case of PPI that was initially approached by videolaparoscopy, had a infected PFC formation that was drained by endoscopy and a posterior MPD disconnection. In conclusion, we suggest that videolaparoscopy is possible in patients with PPI and minimally invasive approaches in the acute phase may postpone more aggressive procedures to an elective and well planned approach