The New Basel Capital Framework and its implementation in the European Union

Following the adoption by the Basel Committee of new capital rules for banks, a process is now taking place in the EU to transpose the rules into Community law and, ultimately, into national legislation. This paper gives an overview of the main issues that relate to the EU implementation, mainly from the perspectives of financial stability and financial integration. Although the EU rules are to a large extent based on the texts of the Basel Committee, modifications have been introduced to account for the specific legal and institutional setting, as well as for some features of the European financial system. The paper gives an overview of these modifications and deals in greater detail with a number of selected topics: the monitoring of procyclicality, the role of the consolidating supervisor and the treatment of real estate lending and covered bonds. The paper concludes with an outlook for the future.Banks, Basel II, capital requirements, financial regulation, financial stability, financial supervision, risk management.

A New Metric for Lumpy and Intermittent Demand Forecasts: Stock-keeping-oriented Prediction Error Costs

Forecasts of product demand are essential for short- and long-term optimization of logistics and production. Thus, the most accurate prediction possible is desirable. In order to optimally train predictive models, the deviation of the forecast compared to the actual demand needs to be assessed by a proper metric. However, if a metric does not represent the actual prediction error, predictive models are insufficiently optimized and, consequently, will yield inaccurate predictions. The most common metrics such as MAPE or RMSE, however, are not suitable for the evaluation of forecasting errors, especially for lumpy and intermittent demand patterns, as they do not sufficiently account for, e.g., temporal shifts (prediction before or after actual demand) or cost-related aspects. Therefore, we propose a novel metric that, in addition to statistical considerations, also addresses business aspects. Additionally, we evaluate the metric based on simulated and real demand time series from the automotive aftermarket

Типоморфизм хлоритов Сухаринского рудного поля

Изучены хлориты из руд и метасоматитов скарново-магнетитового, с наложенной золото-сульфидной минерализацией, Сухаринского рудного поля (Горная Шория). Выделены две разновидности хлоритов: метасоматические и прожилковые, приведены данные об их типоморфных особенностях; установлена зависимость железистости метасоматического хлорита от состава замещаемых минералов; установлено возрастание железистости всех типов хлоритов по мере удаления от Тельбесского гранитоидного массива, что указывает на парагенетическую связь гидротермальной минерализации с гранитоидным магматизмом

IMPROVED ESTIMATES OF CORRELATION AND THEIR IMPACT ON THE OPTIMUM PORTFOLIOS

To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pairwise correlations and individual pair-wise differences from the average improves forecasting accuracy. Furthermore, forming homogenous groups of firms on the basis of industry membership or firm attributes (eg. Size) improves forecast accuracy. Accuracy is evaluated in two ways: First, in terms of the error in estimating future correlation coefficients. Second, in the characteristics of portfolios formed on the basis of each forecasting technique. The ranking of forecasting techniques is robust across both methods of evaluation and the better techniques outperform prior suggestions in the literature of financial economics

Optimized Integration of Electric Vehicles in Low Voltage Distribution Grids

All over the world the reduction of greenhouse gas (GHG) emissions, especially in the transportation sector, becomes more and more important. Electric vehicles will be one of the key factors to mitigate GHG emissions due to their higher efficiency in contrast to internal combustion engine vehicles. On the other hand, uncoordinated charging will put more strain on electrical distribution grids and possible congestions in the grid become more likely. In this paper, we analyze the impact of uncoordinated charging, as well as optimization-based coordination strategies on the voltage stability and phase unbalances of a representative European semi-urban low voltage grid. Therefore, we model the low voltage grid as a three-phase system and take realistic arrival and departure times of the electric vehicle fleet into account. Subsequently, we compare different coordinated charging strategies with regard to their optimization objectives, e.g., cost reduction or GHG emissions reduction. Results show that possible congestion problems can be solved by coordinated charging. Additionally, depending on the objective, the costs can be reduced by more than 50% and the GHG emissions by around 40%

The Origin and Kinematics of Cold Gas in Galactic Winds: Insight from Numerical Simulations

We study the origin of Na I absorbing gas in ultraluminous infrared galaxies motivated by the recent observations by Martin of extremely superthermal linewidths in this cool gas. We model the effects of repeated supernova explosions driving supershells in the central regions of molecular disks with M_d=10^10 M_\sun, using cylindrically symmetric gas dynamical simulations run with ZEUS-3D. The shocked swept-up shells quickly cool and fragment by Rayleigh-Taylor instability as they accelerate out of the dense, stratified disks. The numerical resolution of the cooling and compression at the shock fronts determines the peak shell density, and so the speed of Rayleigh-Taylor fragmentation. We identify cooled shells and shell fragments as Na I absorbing gas and study its kinematics. We find that simulations with a numerical resolution of \le 0.2 pc produce multiple Rayleigh-Taylor fragmented shells in a given line of sight. We suggest that the observed wide Na I absorption lines, = 320 \pm 120 km s^-1 are produced by these multiple fragmented shells traveling at different velocities. We also suggest that some shell fragments can be accelerated above the observed average terminal velocity of 750 km s^-1 by the same energy-driven wind with an instantaneous starburst of \sim 10^9 M_\sun. The bulk of mass is traveling with the observed average shell velocity 330 \pm 100 km s^-1. Our results show that an energy-driven bubble causing Rayleigh-Taylor instabilities can explain the kinematics of cool gas seen in the Na I observations without invoking additional physics relying primarily on momentum conservation, such as entrainment of gas by Kelvin-Helmholtz instabilities, ram pressure driving of cold clouds by a hot wind, or radiation pressure acting on dust. (abridged)Comment: 65 pages, 22 figures, accepted by Astrophys. J. Changes during refereeing focused on context and comparison to observation

A Lagrangian Integrator for Planetary Accretion and Dynamics (LIPAD)

We presented the first particle based, Lagrangian code that can follow the collisional/accretional/dynamical evolution of a large number of km-sized planetesimals through the entire growth process to become planets. We refer to it as the 'Lagrangian Integrator for Planetary Accretion and Dynamics' or LIPAD. LIPAD is built on top of SyMBA, which is a symplectic $N$-body integrator. In order to handle the very large number of planetesimals required by planet formation simulations, we introduce the concept of a `tracer' particle. Each tracer is intended to represent a large number of disk particles on roughly the same orbit and size as one another, and is characterized by three numbers: the physical radius, the bulk density, and the total mass of the disk particles represented by the tracer. We developed statistical algorithms that follow the dynamical and collisional evolution of the tracers due to the presence of one another. The tracers mainly dynamically interact with the larger objects (`planetary embryos') in the normal N-body way. LIPAD's greatest strength is that it can accurately model the wholesale redistribution of planetesimals due to gravitational interaction with the embryos, which has recently been shown to significantly affect the growth rate of planetary embryos . We verify the code via a comprehensive set of tests which compare our results with those of Eulerian and/or direct N-body codes.Comment: Accepted to the Astronomical Journal. See http://www.boulder.swri.edu/~hal/LIPAD.html for more detail including animation