592 research outputs found
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Model risk: illuminating the black box
This paper presents latest thinking from the Institute and Faculty of Actuaries’ Model Risk Working Party and follows on from their Phase I work, Model Risk: Daring to Open the Black Box. This is a more practical paper and presents the contributors’ experiences of model risk gained from a wide range of financial and non-financial organisations with suggestions for good practice and proven methods to reduce model risk. After a recap of the Phase I work, examples of model risk communication are given covering communication: to the Board; to the regulator; and to external stakeholders. We present a practical framework for model risk management and quantification with examples of the key actors, processes and cultural challenge. Lessons learned are then presented from other industries that make extensive use of models and include the weather forecasting, software and aerospace industries. Finally, a series of case studies in practical model risk management and mitigation are presented from the contributors’ own experiences covering primarily financial services
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Model risk – daring to open up the black box
With the increasing use of complex quantitative models in applications throughout the financial world, model risk has become a major concern. Such risk is generated by the potential inaccuracy and inappropriate use of models in business applications, which can lead to substantial financial losses and reputational damage. In this paper we deal with the management and measurement of model risk.
First, a model risk framework is developed, adapting concepts such as risk appetite, monitoring, and mitigation to the particular case of model risk. The usefulness of such a framework for preventing losses associated with model risk is demonstrated through case studies. Second, we investigate the ways in which different ways of using and perceiving models within an organisation both lead to different model risks. We identify four distinct model cultures and argue that in conditions of deep model uncertainty, each of those cultures makes a valuable contribution to model risk governance. Thus the space of legitimate challenges to models is expanded, such that, in addition to a technical critique, operational and commercial concerns are also addressed. Third, we discuss through the examples of proxy modelling, longevity risk and investment advice, common methods and challenges for quantifying model risk. Difficulties arise in mapping model errors to actual financial impact. In the case of irreducible model uncertainty, it is necessary to employ a variety of measurement approaches, based on statistical inference, fitting multiple models, and stress and scenario analysis
Cognitive Performance in Centenarians and the Oldest Old: Norms from the Georgia Centenarian Study
We present normative data from a large population-based sample of centenarians for several brief, global neurocognitive tasks amenable for frail elders. Comparative data from octogenarians are included. A total of 244 centenarians and 80 octogenarians from Phase III of the Georgia Centenarian Study were administered the Mini-Mental Status Examination, Severe Impairment Battery, and Behavioral Dyscontrol Scale. Centenarians (age 98–107) were stratified into three age cohorts (98–99, 100–101, 102–107), octogenarians into two 5- year cohorts (80–84, 85–89). Highly significant differences were observed between groups on all measures, with greater variation and dispersion in performance among centenarians, as well as stronger associations between age and performance. Descriptive statistics and normative ranges (unweighted and population-weighted) are provided by age cohort. Additional statistics are provided by education level. While most previous centenarian studies have used convenience samples, ours is population-based and likely more valid for comparison in applied settings. Results suggest centenarians look different than do even the oldest age range of most normative aging datasets (e.g., 85–90). Results support using global measures of neurocognition to describe cognitive status in the oldest old, and we provide normative comparisons to do so
Rapid ocean acidification and protracted Earth system recovery followed the end-Cretaceous Chicxulub impact
J.W.B.R. was supported by ERC Starting Grant 805246 OldCO2NewArchives.Mass extinction at the Cretaceous–Paleogene (K-Pg) boundary coincides with the Chicxulub bolide impact and also falls within the broader time frame of Deccan trap emplacement. Critically, though, empirical evidence as to how either of these factors could have driven observed extinction patterns and carbon cycle perturbations is still lacking. Here, using boron isotopes in foraminifera, we document a geologically rapid surface-ocean pH drop following the Chicxulub impact, supporting impact-induced ocean acidification as a mechanism for ecological collapse in the marine realm. Subsequently, surface water pH rebounded sharply with the extinction of marine calcifiers and the associated imbalance in the global carbon cycle. Our reconstructed water-column pH gradients, combined with Earth system modeling, indicate that a partial ∼50% reduction in global marine primary productivity is sufficient to explain observed marine carbon isotope patterns at the K-Pg, due to the underlying action of the solubility pump. While primary productivity recovered within a few tens of thousands of years, inefficiency in carbon export to the deep sea lasted much longer. This phased recovery scenario reconciles competing hypotheses previously put forward to explain the K-Pg carbon isotope records, and explains both spatially variable patterns of change in marine productivity across the event and a lack of extinction at the deep sea floor. In sum, we provide insights into the drivers of the last mass extinction, the recovery of marine carbon cycling in a postextinction world, and the way in which marine life imprints its isotopic signal onto the geological record.Publisher PDFPeer reviewe
Macrofossil evidence for a rapid and severe Cretaceous–Paleogene mass extinction in Antarctica
Debate continues about the nature of the Cretaceous–Paleogene (K–Pg) mass extinction event. An abrupt crisis triggered by a bolide impact contrasts with ideas of a more gradual extinction involving flood volcanism or climatic changes. Evidence from high latitudes has also been used to suggest that the severity of the extinction decreased from low latitudes towards the poles. Here we present a record of the K–Pg extinction based on extensive assemblages of marine macrofossils (primarily new data from benthic molluscs) from a highly expanded Cretaceous–Paleogene succession: the López de Bertodano Formation of Seymour Island, Antarctica. We show that the extinction was rapid and severe in Antarctica, with no significant biotic decline during the latest Cretaceous, contrary to previous studies. These data are consistent with a catastrophic driver for the extinction, such as bolide impact, rather than a significant contribution from Deccan Traps volcanism during the late Maastrichtian
Modelling of the effect of ELMs on fuel retention at the bulk W divertor of JET
Effect of ELMs on fuel retention at the bulk W target of JET ITER-Like Wall was studied with multi-scale calculations. Plasma input parameters were taken from ELMy H-mode plasma experiment. The energetic intra-ELM fuel particles get implanted and create near-surface defects up to depths of few tens of nm, which act as the main fuel trapping sites during ELMs. Clustering of implantation-induced vacancies were found to take place. The incoming flux of inter-ELM plasma particles increases the different filling levels of trapped fuel in defects. The temperature increase of the W target during the pulse increases the fuel detrapping rate. The inter-ELM fuel particle flux refills the partially emptied trapping sites and fills new sites. This leads to a competing effect on the retention and release rates of the implanted particles. At high temperatures the main retention appeared in larger vacancy clusters due to increased clustering rate
Tritium distributions on W-coated divertor tiles used in the third JET ITER-like wall campaign
Tritium (T) distributions on tungsten (W)-coated plasma-facing tiles used in the third ITER-like wall campaign (2015–2016) of the Joint European Torus (JET) were examined by means of an imaging plate technique and β-ray induced x-ray spectrometry, and they were compared with the distributions after the second (2013–2014) campaign. Strong enrichment of T in beryllium (Be) deposition layers was observed after the second campaign. In contrast, T distributions after the third campaign was more uniform though Be deposition layers were visually recognized. The one of the possible explanations is enhanced desorption of T from Be deposition layers due to higher tile temperatures caused by higher energy input in the third campaign
Determination of tungsten sources in the JET-ILW divertor by spectroscopic imaging in the presence of a strong plasma continuum
The identification of the sources of atomic tungsten and the measurement of their radiation distribution in front of all plasma-facing components has been performed in JET with the help of two digital cameras with the same two-dimensional view, equipped with interference filters of different bandwidths centred on theW I (400.88 nm) emission line. A new algorithm for the subtraction of the continuum radiation was successfully developed and is now used to evaluate the W erosion even in the inner divertor region where the strong recombination emission is dominating over the tungsten emission. Analysis of W sputtering and W redistribution in the divertor by video imaging spectroscopy with high spatial resolution for three different magnetic configurations was performed. A strong variation of the emission of the neutral tungsten in toroidal direction and corresponding W erosion has been observed. It correlates strongly with the wetted area with a maximal W erosion at the edge of the divertor tile
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