1,720,966 research outputs found
An extended generalized Markov model for the spread risk and its calibration by using filtering techniques in Solvency II framework
Full text linkThe Solvency II regulatory regime requires the calculation of a capital requirement, the Solvency Capital Requirement (SCR), for the insurance and reinsurance companies, that is based on a market-consistent evaluation of the Basic Own Funds probability distribution forecast over a one-year time horizon. This work proposes an extended generalized Markov model for rating-based pricing of risky securities for spread risk assessment and management within the Solvency II framework, under an internal model or partial internal model. This model is based on Jarrow, Lando and Turnbull (1997), Lando (1998) and Gambaro et al. (2018) and models the credit rating transitions and the default process using an extension of a time-homogeneous Markov chain and two subordinator processes. This approach allows simultaneous modeling of credit spreads for different rating classes and credit spreads to fluctuate randomly even when the rating does not change.
The estimation methodologies used in this work are consistent with the scope of the work and the scope of the proposed model, i.e., pricing of defaultable bonds and calculation of SCR for the spread risk sub-module, and with the market-consistency principle required by Solvency II. For this purpose, estimation techniques on time series known as filtering techniques are used, which allow the model parameters to be jointly estimated under both the real-world probability measure (necessary for risk assessment) and the risk-neutral probability measure (necessary for pricing). Specifically, an appropriate set of time series of credit spread term structures, differentiated by economic sector and rating class, is used.
The proposed model, in its final version, returns excellent results in terms of goodness of fit to historical data, and the projected data are consistent with historical data and the Solvency II framework.
The filtering techniques, in the different configurations used in this work (particle filtering with Gauss-Legendre quadrature techniques, particle filtering with
Sequential Importance Resampling algorithm, Kalman filter), were found to be an effective and flexible tool for estimating the models proposed, able to handle the high computational complexity of the problem addressed
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
“Die Sage des Seyns” nei Beiträge. La ricerca del dire originario tra parola e silenzio
No full textVariations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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