CVaR sensitivity with respect to tail thickness

We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student's t, and generalized Gaussian laws and discuss implications for the modeling of daily returns and marginal rebalancing decisions. Finally, we explore empirically the impact on the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency for risk estimation. --fat-tailed distributions,regularly varying tails,conditional value-at-risk,marginal rebalancing,asymptotic variability

Fat-tailed models for risk estimation

In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory. --

Fabrication of salt–hydrogel marbles and hollow-shell microcapsules by an aerosol gelation technique

We designed a new method for preparation of liquid marbles by using hydrophilic particles. Salt–hydrogel marbles were prepared by atomising droplets of hydrogel solution in a cold air column followed by rolling of the collected hydrogel microbeads in a bed of micrometre sized salt particles. Evaporation of the water from the resulting salt marbles with a hydrogel core yielded hollow-shell salt microcapsules. The method is not limited to hydrophilic particles and could potentially be also applied to particles of other materials, such as graphite, carbon black, silica and others. The structure and morphology of the salt–hydrogel marbles were analysed by SEM and their particle size distributions were measured. We also tested the dissolution times of the dried salt marbles and compared them with those of table salt samples under the same conditions. The high accessible surface area of the shell of salt microcrystals allows a faster initial release of salt from the hollow-shell salt capsules upon their dissolution in water than from the same amount of table salt. The results suggest that such hollow-shell particles could find applications as a table salt substitute in dry food products and salt seasoning formulations with reduced salt content without the loss of saltiness

Scaling properties of step bunches induced by sublimation and related mechanisms: A unified perspective

This work provides a ground for a quantitative interpretation of experiments on step bunching during sublimation of crystals with a pronounced Ehrlich-Schwoebel (ES) barrier in the regime of weak desorption. A strong step bunching instability takes place when the kinetic length is larger than the average distance between the steps on the vicinal surface. In the opposite limit the instability is weak and step bunching can occur only when the magnitude of step-step repulsion is small. The central result are power law relations of the between the width, the height, and the minimum interstep distance of a bunch. These relations are obtained from a continuum evolution equation for the surface profile, which is derived from the discrete step dynamical equations for. The analysis of the continuum equation reveals the existence of two types of stationary bunch profiles with different scaling properties. Through a mathematical equivalence on the level of the discrete step equations as well as on the continuum level, our results carry over to the problems of step bunching induced by growth with a strong inverse ES effect, and by electromigration in the attachment/detachment limited regime. Thus our work provides support for the existence of universality classes of step bunching instabilities [A. Pimpinelli et al., Phys. Rev. Lett. 88, 206103 (2002)], but some aspects of the universality scenario need to be revised.Comment: 21 pages, 8 figure

Spectral imaging of thermal damage induced during microwave ablation in the liver

Induction of thermal damage to tissue through delivery of microwave energy is frequently applied in surgery to destroy diseased tissue such as cancer cells. Minimization of unwanted harm to healthy tissue is still achieved subjectively, and the surgeon has few tools at their disposal to monitor the spread of the induced damage. This work describes the use of optical methods to monitor the time course of changes to the tissue during delivery of microwave energy in the porcine liver. Multispectral imaging and diffuse reflectance spectroscopy are used to monitor temporal changes in optical properties in parallel with thermal imaging. The results demonstrate the ability to monitor the spatial extent of thermal damage on a whole organ, including possible secondary effects due to vascular damage. Future applications of this type of imaging may see the multispectral data used as a feedback mechanism to avoid collateral damage to critical healthy structures and to potentially verify sufficient application of energy to the diseased tissue.Comment: 4pg,6fig. Copyright 2018 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other work

Numerical analysis of droplet deposition in inkjet printed electronics assembly

In this paper, a computational approach for the analysis of microscale droplet impact dynamics is presented. The approach is intended to support a condition based monitoring system to enhance quality and reliability of inkjet printed electronics components. The Smoothed Particle Hydrodynamics (SPH) approach of Lucy and Gingold and Monaghan has been used as the basis for the model, with the δ-SPH terms of Marrone et al used to improve handling of the dynamic impact events and the gradient correction terms of Belytschko used to improve the accuracy of interface dynamics. Model validation has been performed through comparison against a macroscale dam break problem and through a microscale analysis designed to determine accurate surface tension-pressure behaviour based on the Young-Laplace relation. The model is used to assess impact of a single drop on a uniform surface and the three dimensional formation of multi-drop layers

Modelling methodologies for quality assessment of 3D inkjet printed electronic products

Purpose of the Fraunhofer Direct Digital Manufacturing Conference is an intellectual exchange between researchers, enterprises and users of Additive Manufacturing technologies in order to gather the latest information about trends, progress, importance and the future potential of these technologies for industrial applications. The range of topics covers Product Development (incl. simulation, co-design, mass customization), Technologies (incl. bio-printing, hybrid processes, novel developments/visionary concepts, process chains for industrial production), Materials (incl. ceramics, bio-materials, multi-material approaches), Quality (incl. process/ part quality management) as well as further innovative and visionary approaches not fitting the range of topics above. Renowned international keynote speakers give insight into the latest trends and challenges in additive manufacturing in a variety of industry sectors, including biomedical, aerospace and automotive