Asset Allocation under the Basel Accord Risk Measures

Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary for banks to take into account the constraint of capital requirement when they make asset allocation decisions. In this paper, we propose a new asset allocation model that incorporates the regulatory capital requirements under both the Basel 2.5 Accord, which is currently in effect, and the Basel III Accord, which was recently proposed and is currently under discussion. We propose an unified algorithm based on the alternating direction augmented Lagrangian method to solve the model; we also establish the first-order optimality of the limit points of the sequence generated by the algorithm under some mild conditions. The algorithm is simple and easy to implement; each step of the algorithm consists of solving convex quadratic programming or one-dimensional subproblems. Numerical experiments on simulated and real market data show that the algorithm compares favorably with other existing methods, especially in cases in which the model is non-convex

Design of temperature insurance index and risk zonation for single-season rice in response to high-temperature and low-temperature damage: a case study of Jiangsu Province, China.

Disaster insurance is an important tool for achieving sustainable development in modern agriculture. However, in China, the design of such insurance indexes is far from sufficient. In this paper, the single-season rice in Jiangsu Province of China is taken as an example to design the high-temperature damage index in summer and the low-temperature damage index in autumn to constructtheformulacalculatingtheweatheroutputandsingle-seasonriceyieldreduction. Thedaily highest, lowest and average temperatures between 1999 and 2015 are selected as main variables for the temperature disaster index to quantitatively analyze the relationship between the temperature indexandtheyieldreductionrateofthesingle-seasonrice. Thetemperaturedisasterindexcanbeput into the relevant model to obtain the yield reduction rate of the year and determine whether to pay the indemnity. Then, the burn analysis is used to determine the insurance premium rate for all cities in Jiangsu Province under four-level deductibles, and the insurance premium rate can be used for the risk division of the Province. The research provides some insights for the design of agricultural weather insurance products, and the empirical results provide a reference for the design of similar single-season rice temperature index insurance products

Measurement of distal intramural spread and the optimal distal resection by naked eyes after neoadjuvant radiation for rectal cancers

BACKGROUND: The safe distance between the intraoperative resection line and the visible margin of the distal rectal tumor after preoperative radiotherapy is unclear. We aimed to investigate the furthest tumor intramural spread distance in fresh tissue to determine a safe distal intraoperative resection margin length. METHODS: Twenty rectal cancer specimens were collected after preoperative radiotherapy. Tumor intramural spread distances were defined as the distance between the tumor’s visible and microscopic margins. Visible tumor margins in fresh specimens were identified during the operation and were labeled with 5 - 0 sutures under the naked eye at the distal 5, 6, and 7 o’clock directions of visible margins immediately after removal of the tumor. After fixation with formalin, the sutures were injected with nanocarbon particles. Longitudinal tissues were collected along three labels and stained with hematoxylin and eosin. The spread distance after formalin fixation was measured between the furthest intramural spread of tumor cells and the nanocarbon under a microscope. A positive intramural spread distance indicated that the furthest tumor cell was distal to the nanocarbon, and a negative value indicated that the tumor cell was proximal to the nanocarbon. The tumor intramural spread distance in fresh tissue during the operation was 1.75 times the tumor intramural spread distance after formalin fixation according to the literature. RESULTS: At the distal 5, 6, and 7 o’clock direction, seven (35%), five (25%), and six (30%) patients, respectively, had distal tumor cell intramural spread distance > 0 mm. The mean and 95% confidence interval of tumor cell intramural spread distance in fresh tissue during operation was − 0.3 (95%CI − 4.0 ~ 3.4) mm, − 0.9 (95%CI − 3.4 ~ 1.7) mm, and − 0.4 (95%CI − 3.5 ~ 2.8) mm, respectively. The maximal intraoperative intramural spread distances in fresh tissue were 8.8, 7, and 7 mm, respectively. CONCLUSIONS: The intraoperative distance between the distal resection line and the visible margin of the rectal tumor after radiotherapy should not be less than 1 cm to ensure oncological safety

Research on the Corrosion Damage Mechanism of Concrete in Two Freeze–Thaw Environments

This study aims to investigate the effects of two freeze–thaw environments (i.e., maintenance freeze-thaw (MFT) environment and immersion freeze-thaw (IFT) environment) on the durability performance, deterioration rules, and mechanisms of concrete. In MFT, the concrete specimens were firstly cured in the standard curing environment (temperature, 20 ± 3, humidity, not less than 95%, and ages, 28 d) and then were carried out in freeze–thaw environment, while in IFT, the concrete specimens were firstly cured in the salt (NaHCO3, NaCl, and Na2SO4) immersion environment for 90 d and then were carried out in freeze–thaw environment. In this study, the damage features, relative dynamic elastic modulus, mass changes, and erosion-resistance coefficient of concrete have been measured. Thereafter, using the scanning electron microscopy (SEM) and the mercury intrusion porosimetry (MIP), the air-void structure parameters and the microstructures have been measured, respectively. The results show that the relative dynamic elastic modulus and the erosion-resistance coefficient of the compressive strength of the concrete in the IFT environment are, respectively, 14.3% and 21.0% higher than those of the concrete in the MFT environment. In addition, the results of the microstructure analyses show that the corrosion damages of the concrete are mainly caused by the combined action of the corrosion products of ettringite and freeze–thaw environment. However, the damage to the concrete in the MFT environment is more serious than that in the IFT environment. The results of the MIP analysis show that the harmful pore value for the concrete in the MFT environment is almost two times larger than that for the concrete in the IFT environment

Synthesis of mesoporous Fe3Si aerogel as a photothermal material for highly efficient and stable corrosive- water evaporation

Synthesis of photothermal materials with high efficiency and anti-corrosion stability is key for photothermal corrosive-water evaporation, but remains a great challenge. Herein, for the first time, we developed mesoporous Fe3Si aerogel as a new photothermal material for remarkably efficient and stable corrosive-water evaporation. The as-prepared Fe3Si aerogel presented narrow mesopores with a size of 2-3 nm that could greatly reduce the thermal conductivity to 0.04 W m(-1) K-1, which is the lowest reported value so far, and depressed the latent heat of water evaporation. The obtained Fe3Si aerogel supported on melamine foam demonstrated outstanding seawater evaporation rate of 2.08 kg m(-2) h(-1) and high solar-thermal utilization efficiency of 91.8% under one solar level irradiation, exceeding those of most of the photothermal materials. Notably, owing to the strong corrosion resistance, the support-free hydrophobic Fe3Si aerogel displayed utrastable solar-thermal water evaporation performance, with more than 1 kg m(-2) h(-1) of water evaporation and outstanding cycling stability in two highly corrosive solutions, namely, 0.5 M H2SO4 and 1 M NaOH. Therefore, we believe that the Fe3Si aerogels have great potential for wide industrial applications such as seawater desalination, salt production, brine management and water purification

Seeker-Azimuth Determination with Gyro Rotor and Optoelectronic Sensors

This paper presents an approach to seeker-azimuth determination using the gyro rotor and optoelectronic sensors. In the proposed method, the gyro rotor is designed with a set of black and white right spherical triangle patterns on its surface. Two pairs of optoelectronic sensors are located symmetrically around the gyro rotor. When there is an azimuth, the stripe width covering the black and white patterns changes. The optoelectronic sensors then capture the reflected optical signals from the different black and white pattern stripes on the gyro rotor and produce the duty ratio signal. The functional relationship between the measured duty ratio and the azimuth information is numerically derived, and, based on this relationship, the azimuth is determined from the measured duty ratio. Experimental results show that the proposed approach produces a large azimuth range and high measurement accuracy with the linearity error of less than 0.005

Cu-based high-entropy two-dimensional oxide as stable and active photothermal catalyst

Abstract Cu-based nanocatalysts are the cornerstone of various industrial catalytic processes. Synergistically strengthening the catalytic stability and activity of Cu-based nanocatalysts is an ongoing challenge. Herein, the high-entropy principle is applied to modify the structure of Cu-based nanocatalysts, and a PVP templated method is invented for generally synthesizing six-eleven dissimilar elements as high-entropy two-dimensional (2D) materials. Taking 2D Cu2Zn1Al0.5Ce5Zr0.5Ox as an example, the high-entropy structure not only enhances the sintering resistance from 400 °C to 800 °C but also improves its CO2 hydrogenation activity to a pure CO production rate of 417.2 mmol g−1 h−1 at 500 °C, 4 times higher than that of reported advanced catalysts. When 2D Cu2Zn1Al0.5Ce5Zr0.5Ox are applied to the photothermal CO2 hydrogenation, it exhibits a record photochemical energy conversion efficiency of 36.2%, with a CO generation rate of 248.5 mmol g−1 h−1 and 571 L of CO yield under ambient sunlight irradiation. The high-entropy 2D materials provide a new route to simultaneously achieve catalytic stability and activity, greatly expanding the application boundaries of photothermal catalysis

Seyrek doğrusal sistemleri çözmek için satır blok bölümlemeye dayalı paralel direkt ve hibrit metotlar

Cataloged from PDF version of article.Thesis (Ph.D.): Bilkent University, Department of Computer Engineering, İhsan Doğramacı Bilkent University, 2017.Includes bibliographical references (leaves 103-113).Solving system of linear equations is a kernel operation in many scienti c and industrial applications. These applications usually give rise to linear systems in which the coe cient matrix is very large and sparse. The need for solving these large and sparse systems within a reasonable time necessitates e cient and e ective parallel solution methods. In this thesis, three novel approaches are proposed for reducing the parallel solution time of linear systems. First, a new parallel algorithm, ParBaMiN, is proposed in order to nd the minimum 2-norm solution of underdetermined linear systems, where the coe cient matrix is in the form of column overlapping block diagonal. The conducted experiments demonstrate the scalability of ParBaMiN on both shared and distributed memory architectures. Secondly, a new graph theoretical partitioning method is introduced in order to reduce the number of iterations in block Cimmino algorithm. Experimental results validate the e ectiveness of the proposed partitioning method in terms of reducing the required number of iterations. Finally, we propose a new parallel hybrid method, BCDcols, which further reduces the number of iterations of block Cimmino algorithm for matrices with dense columns. BCDcols combines the block Cimmino iterative algorithm and a dense direct method for solving the system. Experimental results show that BCDcols signi cantly improves the convergence rate of block Cimmino method and hence reduces the parallel solution time.by Fahreddin Şükrü Torun.Ph. D

Efficient Synthesis of 3-<i>R</i>-Boc-amino-4-(2,4,5-trifluorophenyl)butyric Acid

<div><p></p><p>3-<i>R</i>-Boc-amino-4-(2,4,5-trifluorophenyl)butyric acid (<b>9</b>) was obtained from <i>L</i>-methionine in six steps with a total yield of 32%. The α-amino acid segment of <i>L</i>-methionine was transferred to chiral aziridine by amino protection, reduction, hydroxyl derivation, and cyclization. After ring opening of 2,4,5-trifluoro-phenyl magnesium bromide, the methylthiomethyl group was then hydrolyzed to β-amino alcohol and oxidized to the target β-amino acid.</p></div