64 research outputs found
Determination of Shape Errors During Polygonal Turning of Polyhedrons with an Odd Number of Faces
No full textAbstractIn this article, the authors dwell upon the questions of shaping the outer surfaces of polyhedrons by polygonal turning. It has been found out that in the process of manufacturing polyhedrons with an odd number of faces, the calculated and the actual profile of the resultant polyhedrons differ as a result of machining errors. Based on their analysis, the authors propose a mathematical relation to determine the shape errors occurring during polygonal turning of polyhedrons with an odd number of faces
Sector Concentration in Loan Portfolios and Economic Capital
Get PDFThe purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for portfolios with increasing sector concentration. The sector composition is based on credit information from the German central credit register. Finding that business sector concentration can substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input parameters show that the analytic approximation formulae perform well in approximating economic capital for portfolios which are homogeneous on a sector level in terms of PD and exposure size. Furthermore, we explore the robustness of our results for portfolios which are heterogeneous in terms of these two characteristics. We find that low granularity ceteris paribus causes the analytic approximation formulae to underestimate economic capital, whereas heterogeneity in individual PDs causes overestimation. Indicative results imply that in typical credit portfolios, PD heterogeneity will at least compensate for the granularity effect. This suggests that the analytic approximations estimate economic capital reasonably well and/or err on the conservative side.sector concentration risk, economic capital
Sector concentration in loan portfolios and economic capital
Get PDFThe purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for portfolios with increasing sector concentration. The sector composition is based on credit information from the German central credit register. Finding that business sector concentration can substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input parameters show that the analytic approximation formulae perform well in approximating economic capital for portfolios which are homogeneous on a sector level in terms of PD and exposure size. Furthermore, we explore the robustness of our results for portfolios which are heterogeneous in terms of these two characteristics. We find that low granularity ceteris paribus causes the analytic approximation formulae to underestimate economic capital, whereas heterogeneity in individual PDs causes overestimation. Indicative results imply that in typical credit portfolios, PD heterogeneity will at least compensate for the granularity effect. This suggests that the analytic approximations estimate economic capital reasonably well and/or err on the conservative side. --sector concentration risk,economic capital
TECHNOLOGICAL PROPERTIES OF NANODISPERSIONS BASED ON DER-330 EPOXY RESIN AND BS-50 FUMED SILICA
Get PDFThe influence of silica dioxide nanoparticles in the form of fumed silica BS-50 on the rheological properties, residual shrinkage and shrinkage stresses upon curing an epoxy resin is considered. It is shown that the introduction of BS-50 in the optimum concentration of nanoparticles into DER-330 epoxy resin results in agglomeration, which is accompanied by an abnormal behavior of the disperse system with a decrease in viscosity by ~ 25%, ultimate shrinkage by ~ 15% and the level of residual stresses by a factor of ~ 4-10. These properties are manifested when the concentration of fumed silica is 0.05 vol. % The introduction of fumed silica slows the rise of residual stresses and increases the induction period from 2 to 4 hours. Depending on the mode of curing the minimum residual stress is observed at different concentrations of BS-50. At temperatures of 30ºC and 50°C concentration was 0.5 vol. %, and at 70°C - 0.05 vol. %. Curing at 30°C and 50°C result in a fall of residual stress by a factor of 12 and 4, respectively, at 70°C, by a factor of 4
Sector concentration in loan portfolios and economic capital
Get PDFThe purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for portfolios with increasing sector concentration. The sector composition is based on credit information from the German central credit register. Finding that business sector concentration can substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input parameters show that the analytic approximation formulae perform well in approximating economic capital for portfolios which are homogeneous on a sector level in terms of PD and exposure size. Furthermore, we explore the robustness of our results for portfolios which are heterogeneous in terms of these two characteristics. We find that low granularity ceteris paribus causes the analytic approximation formulae to underestimate economic capital, whereas heterogeneity in individual PDs causes overestimation. Indicative results imply that in typical credit portfolios, PD heterogeneity will at least compensate for the granularity effect. This suggests that the analytic approximations estimate economic capital reasonably well and/or err on the conservative side
SETTING OF THE MULTI-CRITERIA OPTIMIZATION TASK FOR THE EFFECTIVENESS IMPROVEMENT OF A UNIVERSITY EDUCATIONAL ACTIVITY
No full textProjection of structure and compositions of resistance to burning polymer composite materials with flame retardants based on magnesium hydroxide
No full textObjectives. To identify general principles for the design of dispersed-filled polymer composite materials (DFPCMs) with different generalized and reduced parameters, as well as types of disperse structure with high fire resistance; to develop an algorithm for the creation of non-combustible polymer composites with flame-retardant fillers.Methods. Scanning electron microscopy and laser diffraction were used to assess the shape, size, and particle size distribution of flame retardants. According to the presented classification of DFPCMs by structural principle, standard bar samples were obtained to determine the oxygen index (OI) and the fire resistance category.Results. For the MFS-2 (medium filled system) and HFS (high filled system) structure types, the maximum resistance to burning (category V-0) is achieved with a generalized parameter of ® ≤ 0.40 volume fractions; the OI value increases in 2 times (up to ~40%) in relation to the polymer matrix.Conclusions. In order to obtain a flame retardant DFPCMs (OI = 40%, category V-0) based on ethylene vinyl acetate with OI = 20% and magnesium hydroxide (brucite), the amount of water vapor released during the decomposition of the flame-retardant filler should be at least ~250 mL/g with a coke residue ~32%. A developed algorithm for calculating compositions and generalized parameters for the creation of DFPCMs having a predetermined type of disperse structure and high resistance to burning is presented
Concentration Risk in the Credit Portfolio
No full textThe essay provides a complete framework – based on the works by Gordy, Pykhtin, Martin and Wilde and others – to bridge the gap between Pillar 1 capital against credit risk and the true amount of economic capital that a bank needs when the actual characteristics of its loan portfolio (in terms of correlation, name concentration, industry concentration, etc.) are measured and accounted for. In fact, while it is comparatively easy for a bank to set up a VaR model on its credit portfolio and to estimate the losses associated with some worst-case scenario (in order to decide how much capital has to be held), a much more difficult step is to reconcile this economic capital with the regulatory capital dictated by Pillar 1. The essay, using a step by step example, shows how the gap between those two measures of capital can be quantified and explained; the last paragraph also shows how this methodology can be used to spot “regulatory arbitrages” based on name and industry correlation, that would otherwise go unnoticed if banks and supervisors were to rely exclusively on Pillar 1 capital requirements
An information model of a centralized admission campaign in Russian higher education institutions
Get PDFThe aim of the work is to structure individual application environments of the information model of a centralized admission campaign in higher education institutions in Russia by modifying the corresponding structure of the Federal information system supporting state final examination and admission procedures. , The IDEF1X modeling methodology was used as research tool. The main result of the work is the formation of such information model subject areas as Educational programs , Entrance exams , Applicant’s Priorities and Physical persons. Practical implementation of this model will reduce the costs of universities to support their own information systems, strengthen controls over the compliance with Russian legislation requirements in the field of higher education, ensure the most open and transparent way of applicants’ competitive selection. Identified are the blocks of the model of the Federal information system that have already been implemented but require certain modification. The information model can be used in other countries with similar state final examination and state information systems.Keywords: admission to universities, information model, applican
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