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

Modélisation des échanges nappe-rivière et du processus de dénitrification dans les plaines alluviales à l'échelle du bassin versant

Nitrate pollution in surface water and groundwater systems has attracted worldwide attention in recent decades. Recharged groundwater infiltrating through cultivated fields is an important source of the nitrate contamination of surface water. As alluvial plains support intensive agricultural activities, they often suffer from groundwater nitrate pollution. The exchanges between surface water and groundwater (SW-GW) were proved contributing to nitrate retention and/or transformation in the land-surface water continuum. The understanding and quantifying of nitrate attenuation processes occurring at the surface-groundwater interface would enhance understanding of nitrogen cycling at the catchment scale. The objectives of this thesis were: 1) quantifying the exchanged SW-GW volume in the floodplain area at the catchment scale and 2) quantifying the shallow aquifer denitrification rate in the floodplain area at the catchment scale and evaluating its influence on the nitrate flux in the river. Field sampling and modelling study were conducted to achieve these objectives. Monthly field work campaigns were carried out from April 2013 to March 2014 at the Monbéqui site in the Garonne river floodplain. The Soil and Water Assessment Tool (SWAT) which has been successfully applied all over the world was chosen to simulate the hydrologic processes and nitrogen cycle. However, the simulation of the water exchange between river and groundwater occurring in the floodplain area was not simulated in the original SWAT model. Firstly, the Darcy’s equation was implemented to simulate SW-GW exchanges based on the Landscape Unit (LU) structure in the floodplain area. The influence of flooding on the water exchange was also introduced to the model. The modified model was called SWAT-LUD and was applied to a meander of Garonne floodplain – Monbéqui (around 25 km2). Then, another module representing the denitrification processes in the floodplain shallow aquifer was developed and added to the SWAT-LUD model. The nitrate flux and shallow aquifer denitrification rates in Monbéqui was then quantified. Afterwards, the SWAT-LUD model was applied to the middle floodplain section of the Garonne River (around 4 600 km2) and the influence of shallow aquifer denitrification on the nitrate flux in the river was quantified. Lastly, the model was applied to the entire Garonne catchment (around 51 500 km2) and the hydrologic influence of SW-GW exchanges was evaluated. The results showed that the SWAT-LUD model could satisfactorily represent the SW-GW exchanges and shallow aquifer denitrification rate at different spatial scales. The main water flow direction is from the shallow aquifer to the river, with water flowing in this direction accounted for around 65% of the total exchanged water volume. In the Garonne catchment, the annual total exchanged water volume represented around 5% of the total discharge volume of the Garonne river. For the Monbéqui site, the simulated annual denitrification rate in the riparian zone was around 130 kg N-NO3-ha-1y-1. Around 40% of the nitrate input in this zone was degraded through denitrification. In the middle floodplain section, the annual denitrification rate in the near bank zone ranges from 55 to 120 kg N-NO3-ha-1y-1.La pollution par les nitrates des eaux de surface et des eaux souterraines a suscité une attention mondiale ces dernières années. La recharge des eaux souterraines via d’infiltraiton dans les zones cultivées est une source importante de la contamination des eaux de surfaces. Les plaines alluviales supportent une activité agricole intensive et subissent une pollution aux nitrates importante. Il a été démontré que les échanges entre les eaux de nappes et la rivière contribuent à la rétention et/ou transformation de l’azote dans le continuum eaux de surface-eaux souterrains. La compréhension et la quantification des processus d’atténuation des concentrations en nitrates se produisant à l’interface nappe-rivière permettraient d’améliorer la connaissance du cycle de l’azote à l’échelle du bassin versant. Les objectifs de cette thèse sont : 1) quantifier les volumes d’eau échangés entre la rivière et l’aquifère alluvial dans les zones de plaine alluviale à l’échelle du bassin versant et 2) quantifier les taux de dénitrification dans les nappes alluviales à l’échelle du bassin versant et évaluer leurs influences sur les flux de nitrates de la rivière. Un échantillonnage sur le terrain ainsi qu’un travail de modélisation ont été effectués pour atteindre ces objectifs. Les campagnes d’échantillonnages sur le terrain ont eu lieu d’avril 2013 à mars 2014 sur le site d’étude de Monbéqui dans la plaine alluviale de la Garonne. Le modèle Soil and Water Assessment Tool (SWAT) qui est largement utilisé à travers le monde a été choisi pour simuler les processus hydrologiques et le cycle de l’azote. Cependant, la simulation des échanges nappe-rivière qui se produisent dans la plaine alluviale n’est pas prise en compte dans la version originale de SWAT. Premièrement, l’équation de Darcy a été introduite pour simuler les échanges nappe-rivière à partir de la structure Landscape Unit (LU). L’influence des crues débordantes sur ces échanges a également été ajoutée dans le modèle. Le modèle modifié, SWAT-LUD, a d’abord été appliqué à un méandre de la plaine alluviale de la Garonne- Monbéqui (25 km²). Ensuite, un module supplémentaire représentant les processus de dénitrification dans les aquifères peu profonds des nappes alluviales a été développé et ajouté au modèle SWAT-LUD. Les flux de nitrates ainsi que les taux de dénitrification de l’aquifère alluvial de Monbéqui ont alors été quantifiés. Dans un deuxième temps, le modèle SWAT-LUD a été appliqué à l’échelle de la plaine alluviale de la Garonne dans son cours moyen (environ 4600 km²) et l’influence de la dénitrification de l’aquifère alluvial sur les flux de nitrates de la rivière a été quantifiée. Finalement, le modèle a été appliqué sur l’ensemble du bassin versant de la Garonne (environ 51 500 km²) et l’influence des échanges nappes-rivières sur le cycle hydrologique du bassin versant a été évaluée. Les résultats ont montré que le modèle SWAT-LUD pouvait représenter de façon réaliste les échanges nappe-rivière ainsi que les taux de dénitrification dans les aquifères alluviaux à différentes échelles. Les flux échangés vont majoritairement de l’aquifère vers la rivière et contribuent pour 65% du volume total échangé. À l’échelle du bassin versant de la Garonne, le volume annuel échangé entre la nappe et la rivière représente environ 5% du débit annuel de la Garonne. A l'échelle du méandre, le taux annuel de dénitrification dans la zone riparienne a été estimé à environ 130 N-NO3-.ha-1.an-1. Près de 40% des nitrates arrivant dans cette zone ont été dégradés via les processus de dénitrification. Dans le cours moyen de la Garonne, les taux de dénitrification annuels dans ces mêmes zones varient entre 55 et 120 kg N-NO3- .ha-1.an-1

Long term water integration in interconnected ramets of stoloniferous grass, buffalograss

Buffalograss (Buchloë dactyloides) is known for its drought resistant character. Natural resources are patchily distributed and resource sharing between interconnected ramets can enhance the performance of the whole genet. In order to examine whether there exists long term water integration between interconnected ramets of buffalograss, a greenhouse experiment was conducted. Interconnected ramet pairs of stoloniferous buffalograss were planted in two partitioned similar-sized containers and subjected to homogeneous (20 ml pot-1 d-1 or 100 - 150 ml pot-1 d-1) or heterogeneous (20 ml pot-1 d-1 vs. 100-150 ml pot-1 d-1) water supply; the whole experiment lasted for 91 days. In heterogeneous treatment, water translocation was equally effective in acropetal and basipetal directions. Elder ramet was more efficient in water use, but rooted ramet of elder ramet in moist condition experienced significant cost when it was connected to younger ramet in dry condition; whereas, no cost was found in any fragment of younger donor ramet. Ramet in dry condition produced more biomass than its connected ramet in moist condition and developed larger leaves. This “oversharing” phenomenon indicated that no net cost was involved in water integration, and water might not be the only resources transported within stolon xylem. Overall, long term water integration is an important strategy for buffalograss to cope with adverse natural drought conditions.Keywords: Water integration, interconnected ramets, heterogeneous treatment, Buchloë dactyloides, oversharingAfrican Journal of Biotechnology Vol. 9(34), pp. 5503-5510, 23 August, 201

Microgrid Stability Controller Based on Adaptive Robust Total SMC

This paper presents a microgrid stability controller (MSC) in order to provide existing distributed generation units (DGs) the additional functionality of working in islanding mode without changing their control strategies in grid-connected mode and to enhance the stability of the microgrid. Microgrid operating characteristics and mathematical models of the MSC indicate that the system is inherently nonlinear and time-variable. Therefore, this paper proposes an adaptive robust total sliding-mode control (ARTSMC) system for the MSC. It is proved that the ARTSMC system is insensitive to parametric uncertainties and external disturbances. The MSC provides fast dynamic response and robustness to the microgrid. When the system is operating in grid-connected mode, it is able to improve the controllability of the exchanged power between the microgrid and the utility grid, while smoothing the DGs’ output power. When the microgrid is operating in islanded mode, it provides voltage and frequency support, while guaranteeing seamless transition between the two operation modes. Simulation and experimental results show the effectiveness of the proposed approach

Three-Layered Atmospheric Structure in Accretion Disks Around Stellar-Mass Black Holes

Modeling of the x-ray spectra of the Galactic superluminal jet sources GRS 1915+105 and GRO J1655-40 reveal a three-layered atmospheric structure in the inner region of their accretion disks. Above the cold and optically thick disk of a temperature 0.2-0.5 keV, there is a warm layer with a temperature of 1.0-1.5 keV and an optical depth around 10. Sometimes there is also a much hotter, optically thin corona above the warm layer, with a temperature of 100 keV or higher and an optical depth around unity. The structural similarity between the accretion disks and the solar atmosphere suggest that similar physical processes may be operating in these different systems.Comment: 5 fives, 2 figures, 1 table. The online version of the paper in Science may be accessed through http://jet.uah.edu/~zhangsn/papers.htm

Printable magnesium ion quasi-solid-state asymmetric supercapacitors for flexible solar-charging integrated units.

Wearable and portable self-powered units have stimulated considerable attention in both the scientific and technological realms. However, their innovative development is still limited by inefficient bulky connections between functional modules, incompatible energy storage systems with poor cycling stability, and real safety concerns. Herein, we demonstrate a flexible solar-charging integrated unit based on the design of printed magnesium ion aqueous asymmetric supercapacitors. This power unit exhibits excellent mechanical robustness, high photo-charging cycling stability (98.7% capacitance retention after 100 cycles), excellent overall energy conversion and storage efficiency (ηoverall = 17.57%), and outstanding input current tolerance. In addition, the Mg ion quasi-solid-state asymmetric supercapacitors show high energy density up to 13.1 mWh cm-3 via pseudocapacitive ion storage as investigated by an operando X-ray diffraction technique. The findings pave a practical route toward the design of future self-powered systems affording favorable safety, long life, and high energy