Analytical Estimation of Value at Risk Under Thick Tails and Fast Volatility Updating

Despite its recent advent, value at risk (VaR) became the most widely used technique for measuring future expected risk for both financial and non-financial institutions. VaR, the measure of the worst expected loss over a given horizon at a given confidence level, depends crucially on the distributional aspects of trading revenues. Existing VaR models do not capture adequately some empirical aspects of financial data such as the tail thickness, which is vital in VaR calculations. Tail thickness in financial variables results basically from stochastic volatility and event risk (jumps). Those two sources are not totally separated; under event risk, volatility updates faster than under normal market conditions. Generally, tail thickness is associated with hyper volatility updating. Existing VaR literature accounts partially for tail thickness either by including stochastic volatility or by including jump diffusion, but not both. Additionally, this literature does not account for fast updating of volatility associated with tail thickness. This dissertation fills the gap by developing analytical VaR models account for the total (maximum) tail thickness and the associated fast volatility updating. Those aspects are achieved by assuming that trading revenues are evolving according to a mixed non-affine stochastic volatility-jump diffusion process. The mixture of stochastic volatility and jumps diffusion accounts for the maximum tail thickness, whereas the nonaffine structure of stochastic volatility captures the fast volatility updating. The non-affine structure assumes that volatility dynamics are non-linearly related to the square root of current volatility rather than the traditional linear (affine) relationship. VaR estimates are obtained by deriving the conditional characteristic function, and then inverting it numerically via the Fourier Inversion technique to infer the cumulative distribution function. The application of the developed VaR models on a sample that contains six U.S banks during the period 1995-2002 shows that VaR models based on the non-affine stochastic volatility and jump diffusion process produce more reliable VaR estimates compared with the banks\u27 own VaR models. The developed VaR models could significantly predict the losses that those banks incurred during the Russian crisis and the near collapse of the LTCM in 1998 when the banks\u27 VaR models fail

Hidden impurities in transparent conducting oxides: study of vacancies-related defects and impurities in (Cu–Ni) co-doped ZnO films

The effect of hydrogen and nitrogen impurities on the physical properties of transparent conductive oxides is investigated in this study. Therefore, 5 wt.% of copper and 5 wt.% of nickel co-doped zinc oxide ((Cu–Ni)/ZnO) films were prepared using the sol–gel method. The (Cu–Ni)/ZnO films were annealed in an oven at 500 °C for 2 h under air, vacuum, nitrogen, and argon atmospheres. The synthesized zinc hydroxide film was transformed to zinc oxide film during the annealing by evaporating H 2O. Films annealed under the mentioned atmosphere including as-prepared one were characterized by analyzing with UV–Vis and FTIR spectra in addition to the 2D mapping electrical conductivity of the surface measured by the 4-point probe. The annealed films under air, vacuum, and argon atmospheres led to generate H-related impurities bounded to the oxygen vacancy (H O) which they act as shallow donor defects resulting in forming (Cu–Ni)/ZnO films into n-type materials. Whereas, the film annealed under a nitrogen atmosphere has N-related defects bounding to the zinc vacancy (N Zn) which they act as shallow acceptor defects resulting in transforming the film from n-type to p-type. These defects affect the optical, electrical, and optoelectronic properties of the (Cu–Ni)/ZnO films

E/Z reversible photoisomerization of methyl orange doped polyacrylic acid-based polyelectrolyte brush films

The photoswitching behavior of the polyacrylic acid (PAA) doped by methyl orange (MO) brush film was investigated using spectral analysis of UV-Vis absorbance, Fourier Transformation Infrared spectroscopy, 2D electrical conductivity mapping and Atomic Force Microscopy. The kinetics and time evolution of the photoisomerization of the PAA-MO PEBs film from E-state to Z-state by UV-light irradiation, and reverse thermal relaxation to E-state was explored. The results confirm that the photoisomerization kinetics of the overall peak is the superposition of the photoisomerization kinetics of (Formula presented.) transition, low- and high-frequency of the (Formula presented.) transition bands. The E–Z transformation led to transforming the azobenzene from flat with no dipole moment to 3.0 D dipole moment. Hence, the electrical conductivity escalated accordingly. The transformation of E-state to Z-state led to the collapse of the formed brushes because of the angular rotational momentum consequent to E–Z isomerization

Surface Plasmon Resonance Sensitivity Enhancement Based on Protonated Polyaniline Films Doped by Aluminum Nitrate

Complex composite films based on polyaniline (PANI) doped hydrochloric acid (HCl) incorporated with aluminum nitrate (Al(NO3)3) on Au-layer were designed and synthesized as a surface plasmon resonance (SPR) sensing device. The physicochemical properties of (PANI-HCl)/Al(NO3)3 complex composite films were studied for various Al(NO3)3 concentrations (0, 2, 4, 8, 16, and 32 wt.%). The refractive index of the (PANI-HCl)/Al(NO3)3 complex composite films increased continuously as Al(NO3)3 concentrations increased. The electrical conductivity values increased from 5.10 µS/cm to 10.00 µS/cm as Al(NO3)3 concentration increased to 32 wt.%. The sensitivity of the SPR sensing device was investigated using a theoretical approach and experimental measurements. The theoretical system of SPR measurement confirmed that increasing Al(NO3)3 in (PANI-HCl)/Al(NO3)3 complex composite films enhanced the sensitivity from about 114.5 [Deg/RIU] for Au-layer to 159.0 [Deg/RIU] for Au-((PANI-HCl)/Al(NO3)3 (32 wt.%)). In addition, the signal-to-noise ratio for Au-layer was 3.95, which increased after coating by (PANI-HCl)/Al(NO3)3 (32 wt.%) complex composite layer to 8.82. Finally, we conclude that coating Au-layer by (PANI-HCl)/Al(NO3)3 complex composite films enhances the sensitivity of the SPR sensing device

Optical, electrical and chemical properties of PEO:I2 complex composite films

Synthesized PEO:I2 complex composite films with different I2 concentrations were deposited onto fused silica substrates using a dip-coating method. Incorporation of PEO films with I2 increases the electrical conductivity of the composite, reaching a maximum of 46 mS/cm for 7 wt% I2. The optical and optoelectronic properties of the complex composite films were studied using the transmittance and reflectance spectra in the UV-Vis region. The transmittance of PEO decreases with increasing I2 content. From this study, the optical bandgap energy decreases from 4.42 to 3.28 eV as I2 content increases from 0 to 7 wt%. In addition, the refractive index for PEO films are in the range of 1.66 and 2.00.1H NMR spectra of pure PEO film shows two major peaks at 3.224 ppm and 1.038 ppm, with different widths assigned to the mobile polymer chains in the amorphous phase, whereas the broad component is assigned to the more rigid molecules in the crystalline phase, respectively. By adding I2 to the PEO, both peaks (amorphous and crystal) are shifted to lower NMR frequencies indicating that I2 is acting as a Lewis acid, and PEO is acting as Lewis base. Hence, molecular iodine reacts favorably with PEO molecules through a charge transfer mechanism, and the formation of triiodide (I3-), the iodite (IO2-) anion, I 2· · · PEO and I2+···PEO complexes. PEO:I2 complex composite films are expected to be suitable for optical, electrical, and optoelectronic applications

Measurement and ab initio Investigation of Structural, Electronic, Optical, and Mechanical Properties of Sputtered Aluminum Nitride Thin Films

We report our results on highly textured aluminum nitride (AlN) thin films deposited on glass substrates, oriented along the c-axis, using DC-magnetron sputtering technique for different values of back pressure. The structural, electronic, optical, piezoelectric, dielectric, and elastic properties of sputtered AlN thin films are measured and characterized. In particular, X-ray powder diffraction (XRD) technique shows that AlN thin films exhibit a hexagonal structure. Moreover, we employed ab initio simulations of AlN using the Vienna Ab Initio Simulation Package (VASP) to investigate the structural and the electronic properties of hexagonal AlN structures. The experimental lattice parameters of the as-prepared thin films agree well with those calculated using the total energy minimization approach. The optical parameters of AlN thin films, such as transmittance and refractive index, were measured using UV–vis measurements. Our measurements of refractive index, n, of AlN thin films yield a value of 2.2. Furthermore, the elastic, piezoelectric, and dielectric tensors of AlN crystal are calculated using VASP. The dynamical Born effective charge tensor is reported for all atoms in the unit cell of AlN. Interestingly, ab initio simulations indicate that AlN has a static dielectric constant approximately equal to 4.68, which is in good agreement with the reported experimental value. In addition, the clamped-ion piezoelectric tensor is calculated. The diagonal components of the piezoelectric tensor are found to be e33=1.79 C/m2 and e31=−0.80 C/m2. The large values of the piezoelectric coefficients show that a polar AlN crystal exhibits a strong microwave piezoelectric effect. Additionally, the components of the elastic moduli tensor are calculated. The extraordinary electronic, optical, piezoelectric, and elastic properties make AlN thin films potential candidates for several optoelectronic, elastic, dielectric, and piezoelectric applications

Surface atomic arrangement of aluminum ultra-thin layers grown on Si(111)

Surface atomic arrangement and physical properties of aluminum ultrathin layers on c-Si(111)-7 × 7 and hydrogen-terminated c-Si(111)-1 × 1 surfaces deposited using molecular beam epitaxy were investigated. X-ray photoelectron spectroscopy spectra were collected in two configurations (take-off angle of 0° and 45°) to precisely determine the surface species. Moreover, 3D atomic force microscopy (AFM) images of the air-exposed samples were acquired to investigate the clustering formations in film structure. The deposition of the Al layers was monitored in situ using a reflection high-energy electron diffraction (RHEED) experiments to confirm the surface crystalline structure of the c-Si(111). The analysis of the RHEED patterns during the growth process suggests the settlement of aluminum atoms in Al(111)-1 × 1 clustered formations on both types of surfaces. The surface electrical conductivity in both configurations was tested against atmospheric oxidation. The results indicate differences in conductivity based on the formation of various alloys on the surface.This research was partially funded by the German Jordanian University in Jordan through seed grant (SBSH 02/2021)