The role of model risk in extreme value theory for capital adequacy

© 2016 Incisive Risk Information (IP) Limited. In the recent literature, methods from extreme value theory (EVT) have frequently been applied to the estimation of tail risk measures. While previous analyses show that EVT methods often lead to accurate estimates for risk measures, a potential drawback lies in large standard errors of the point estimates in these methods, as only a fraction of the data set is used. Thus, we comprehensively study the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall. We distinguish between first-order effects of model risk, which consist of misspecification and estimation risk, and second-order effects of model risk, which refer to the dispersion of risk measure estimates, and show that EVT methods are less prone to first-order effects. However, they show a greater sensitivity toward secondorder effects.We find that this can lead to severe value-at-risk and expected shortfall underestimations and should be reflected in regulatory capital models

Photoemission kinks and phonons in cuprates

One of the possible mechanisms of high Tc superconductivity is Cooper pairing with the help of bosons, which change the slope of the electronic dispersion as observed by photoemission. Giustino et al. calculated that in the high temperature superconductor La1.85Sr0.15CuO4 crystal lattice vibrations (phonons) should have a negligible effect on photoemission spectra and concluded that phonons do not play an important role. We show that the calculations employed by Giustino et al. fail to reproduce huge influence of electron-phonon coupling on important phonons observed in experiments. Thus one would expect these calculations to similarly fail in explaining the role of electron-phonon coupling for the electronic dispersion.Comment: To appear in Nature as a Brief Communiction Arisin

Finite-Temperature Transition in the Spin-Dimer Antiferromagnet BaCuSi2O6

We consider a classical XY-like Hamiltonian on a body-centered tetragonal lattice, focusing on the role of interlayer frustration. A three-dimensional (3D) ordered phase is realized via thermal fluctuations, breaking the mirror-image reflection symmetry in addition to the XY symmetry. A heuristic field-theoretical model of the transition has a decoupled fixed point in the 3D XY universality, and our Monte Carlo simulation suggests that there is such a temperature region where long-wavelength fluctuations can be described by this fixed point. However, it is shown using scaling arguments that the decoupled fixed point is unstable against a fluctuation-induced biquadratic interaction, indicating that a crossover to nontrivial critical phenomena with different exponents appears as one approaches the critical point beyond the transient temperature region. This new scenario clearly contradicts the previous notion of the 3D XY universality.Comment: 16 pages, 7 figure

Identification of nonlinear heat transfer laws from boundary observations

We consider the problem of identifying a nonlinear heat transfer law at the boundary, or of the temperature-dependent heat transfer coefficient in a parabolic equation from boundary observations. As a practical example, this model applies to the heat transfer coefficient that describes the intensity of heat exchange between a hot wire and the cooling water in which it is placed. We reformulate the inverse problem as a variational one which aims to minimize a misfit functional and prove that it has a solution. We provide a gradient formula for the misfit functional and then use some iterative methods for solving the variational problem. Thorough investigations are made with respect to several initial guesses and amounts of noise in the input data. Numerical results show that the methods are robust, stable and accurate

Kinetika Adsorpsi pada Penjerapan Ion Timbal Pb2+ Terlarut dalam Air Menggunakan Partikel Tricalcium Phosphate

One of the heavy metals can pollute the water is metal ion of Pb2+. Concentration of ions Pb2+ can be removed by adsorption method. The purposes of tihis research are to observe the effect of temperature and adsorbent dosage on the adsorption of metal ion Pb2+ using tricalcium phosphate (TCP) adsorben and determine a suitable adsorption kinetic model. Five hundred mililiter Pb2+ solution with of 3mg/L were added 0,5 gr, 1 gr and 1,5 gr of TCP in a glass beaker and stirred with rate of 300 rpm at a temperature of 30 oC. Pb solution was taken at a certain time, the solution centrifuged and supernatant analyzed by AAS. The result Showed that rate of adsorption increased with temperature and adsorbent dosage. Minimum constant value of adsorption kinetic of adsorption kinetic was 1,720 g/mg.min obtained at temperature 30oC and adsorbent dosage 0,5 gr. Where as maximun value adsorption kinetic constant 8,479 g/mg.min obtained at temperature 30oC adsorbent dosage 1,5 gr. The appropiate model for kinetic followed pseudo second order

Electron-phonon anomaly related to charge stripes: static stripe phase versus optimally-doped superconducting La1.85Sr0.15CuO4

Inelastic neutron scattering was used to study the Cu-O bond-stretching vibrations in optimally doped La1.85Sr0.15CuO4 (Tc = 35 K) and in two other cuprates showing static stripe order at low temperatures, i.e. La1.48Nd0.4Sr0.12CuO4 and La1.875Ba0.125CuO4. All three compounds exhibit a very similar phonon anomaly, which is not predicted by conventional band theory. It is argued that the phonon anomaly reflects a coupling to charge inhomogeneities in the form of stripes, which remain dynamic in superconducting La1.85Sr0.15CuO4 down to the lowest temperatures. These results show that the phonon effect indicating stripe formation is not restricted to a narrow region of the phase diagram around the so-called 1/8 anomaly but occurs in optimally doped samples as well.Comment: to appear in J. Low Temp. Phy