Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates

Is there something special, with respect to risk and capital, about a financial conglomerate that combines banking, insurance and potentially other financial and non-financial activities? To what degree is the risk of the whole less than the sum of its parts? This paper seeks to address these questions by evaluating the risk profile of a typical banking-insurance conglomerate, highlighting the key analytical issues relating to risk aggregation, and raising policy considerations. Risk aggregation is the main analytical hurdle to arriving at a composite risk picture. We propose a "building block" approach that aggregates risk at three successive levels in an organization, (corresponding to the levels at which risk is typically managed). Empirically, diversification effects are greatest within a single risk factor (Level I), decrease at the business line level (Level II), and are smallest across business lines (Level III). Our estimates suggest that the incremental diversification benefits achievable at Level III are modest, around 5-10% reduction in capital requirements, depending on business mix.Economic capital, financial regulation, risk aggregation

Fast Characterization of Dispersion and Dispersion Slope of Optical Fiber Links using Spectral Interferometry with Frequency Combs

We demonstrate fast characterization (~1.4 microseconds) of both the dispersion and dispersion slope of long optical fiber links (~25 km) using dual quadrature spectral interferometry with an optical frequency comb. Compared to previous spectral interferometry experiments limited to fiber lengths of meters, the long coherence length and the periodic delay properties of frequency combs, coupled with fast data acquisition, enable spectral interferometric characterization of fibers longer by several orders of magnitude. We expect that our method will be useful to recently proposed lightwave techniques like coherent WDM and to coherent modulation formats by providing a real time monitoring capability for the link dispersion. Another area of application would be in stabilization of systems which perform frequency and timing distribution over long fiber links using stabilized optical frequency combs.Comment: 3 pages, 3 figures, Minor changes to tex

Bandwidth scaling and spectral flatness enhancement of optical frequency combs from phase-modulated continuous-wave lasers using cascaded four-wave mixing

Optics LettersThe article of record as published may be found at http://dx.doi.org/10.1364/ol.37.003066We introduce a new cascaded four-wave mixing technique that scales up the bandwidth of frequency combs generated by phase modulation of a continuous-wave (CW) laser while simultaneously enhancing the spectral flatness. As a result, we demonstrate a 10 GHz frequency comb with over 100 lines in a 10 dB bandwidth in which a record 75 lines are within a flatness of 1 dB. The cascaded four-wave mixing process increases the bandwidth of the initial comb generated by the modulation of a CW laser by a factor of five. The broadband comb has approximately quad- ratic spectral phase, which is compensated upon propagation in single-mode fiber, resulting in a 10 GHz train of 940 fs pulses.Funded by Naval Postgraduate SchoolNaval Postgraduate School under grant N00244-09- 1-0068 under the National Security Science and Engineering Faculty Fellowship program

Dispersion requirements in coherent frequency-to-time mapping

The article of record as published may be located at https://doi.org/10.1364/OE.19.024718Funded by Naval Postgraduate SchoolThe frequency-to-time mapping technique (also known as the temporal far-field phenomenon) usually requires a significant amount of dispersion to stretch an ultrashort optical pulse so that the intensity profile becomes a scaled replica of its optical spectrum. In this work, we study the near-to-far-field transition and find that the far-field condition can be relaxed in some cases relevant for radio-frequency (RF) waveform generation. This observation has allowed us to achieve intensity signals with an ultrabroad RF bandwidth content.This project was supported in part by the Naval Postgraduate School under grant N00244-09- 1-0068 under the National Security Science and Engineering Faculty Fellowship program.This project was supported in part by the Naval Postgraduate School under grant N00244-09- 1-0068 under the National Security Science and Engineering Faculty Fellowship program