187,416 research outputs found
Modeling a Distribution of Mortgage Credit Losses
No full textOne of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers’ assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than the one assuming the normal distribution of the risk factors. We point out how the assumption that risk factors follow a normal distribution can be dangerous. Especially during volatile periods comparable to the current crisis, the normal distribution based methodology can underestimate the impact of change in tail losses caused by underlying risk factors.Credit Risk, Mortgage, Delinquency Rate, Generalized Hyperbolic Distribution, Normal Distribution
Spatially explicit farming system modelling for an efficient agri-environmental policy design
No full textA mathematical programming model is developed and associated to a spatial pattern index (Ripley L function) to analyse the optimal reserve design and implementation for the Little Bustard conservation in Plaine de Niort. The model structure corresponds to three spatial levels, fields, farm and landscape. Simple in terms of area representation, it is detailed in terms of farm behaviour and spatially explicit. The model is applied in a normative and in a positive way. The major findings of the normative approach relate to the trade-offs between the reserve pattern and its cost. It was found that the environmentally optimal reserve, which is randomly dispersed across the zone, is the most costly one. Within the positive approach, it is illustrated that the various reserve patterns generated within the normative approach can be obtained through relatively simple uniform contract structures. The most effective contract structure is a degressive set of two payments enabling the farms to enroll at least a small share of their land.Biodiversity, spatial optimization, mathematical programming, Environmental Economics and Policy, Farm Management,
Main Flaws of The Collateralized Debt Obligation‘s: Valuation Before And During The 2008/2009 Global Turmoil
No full textAs a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as collateralized debt obligations (CDOs). The aim of the paper is to contribute to the understanding of CDOs and shed light on CDO valuation based on data before and during the current financial upheaval. We present the One Factor Model based on a Gaussian Copula and test five hypothesizes. Based on the results we discovered four main deficiencies of the CDO market. For our modelling we used data of the CDX NA IG 5Y V3 index from 20 September 2007 until 27 February 2009 and its quotes we appropriately transform into CDO quotes. Based on the results we discovered four main deficiencies of the CDO market: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) the valuation model was usually based only on expected cash-flows when neglecting other factors such mark-to-market losses or correlation risk; iii) mispriced correlation; and finally iv) the mark-to-market valuation obligation for financial institutions should be reviewed. Based on the mentioned recommendations we conclude that the CDO market has a chance to be regenerated. However, the future CDO market would then be more conscious, driven by smarter motives rather than by poor understanding of risks involved in CDOs.collateralized debt obligations, Gaussian Copula, valuation, securitization
Synthesis of Zinc (II) Aryloxy Tetraquinoxalinoporphyrazines
No full textA B S T R A C T Charles University in Prague Faculty of Pharmacy in Hradec Kralové Department of Pharmaceutical Chemistry and Drug Control Candidate: Mgr. Petr Vůjtěch Consultant: PharmDr. Petr Zimčík Ph.D. Title of Thesis: Synthesis of Zinc (II) Aryloxy Tetraquinoxalinoporphyrazines The aim of my master thesis was synthesis of tetra[6,7]quinoxalinoporhyrazine derivative (TQP). Advantage of TQP is bathochromic shift when compared to azaphthalocyanines (AzaPc), which is more appropriate for PDT. AzaPc and TQP derivatives are large planar and conjugated systems, which tend to form aggregates. The aggregation is unfavorable property of TQP derivatives that reduces the singlet oxygen quantum yield. The most effective strategy to increase the ratio monomer/aggregates involves the use of bulky substituents attached to the TQP periphery. That is the reason why I focused on synthesis of 2,3,11,12,20,21,29,30-octa(2,6-diisopropyphenoxy)-tetra [6,7]qinoxalinoporphyrazinato zinc(II). Alkoxides cannot be used for cycloteramerization of aryloxy derivatives due to the well-described transetherification problems. As was shown in my diploma thesis the best way to synthesis of aryloxy derivatives of AzaPc is reaction with Zn(quinoline)2Cl2 in a melt. That is why this method was applied also for TQP derivatives. Kinetic of..
Appropriate Similarity Measures for Author Cocitation Analysis
No full textWe 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
AUTOMATION BY B&R LOGIC CONTROLLERS
No full textBakalářská práce se zabývá programovatelnými logickými automaty. Popisuje základní problematiku rozdělení a programování průmyslových logických automatů. Seznamuje s produkty společnosti B&R a vývojovým prostředím Automation Studio. Představuje zkonstruovaný laboratorní model a sestavené laboratorní úlohy.The bachelor thesis is about programmable logic controllers. The thesis describes the basic issue of distribution and programming of programmable logic controllers. It familiarizes the reader with B&R Automation products and development environment, Automation Studio. The work also introduces a constructed laboratory model and proposed laboratory tasks.Fakulta elektrotechniky a informatikyCíle bakalářské práce byly naplněny komplexně, náročnost práce byla mírně nadprůměrná. Využití výstupů práce je bez dalších úprav široké. Vytvořený laboratorní model i návody k laboratorním úlohám je možno aplikovat při zaškolování nových zaměstnanců. Teoretická část práce je použitelná jako úvod do prvků automatizace poskytovaných výrobcem B&R Automation.Dokončená práce s úspěšnou obhajobo
Empirical Risk Factors in Realized Stock Returns
No full textMeasuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk factors to predict Swedish stock returns. We consider the sensitivity of an asset returns to the variation in market returns, the market value of equity, the ratio of market value of equity to book value of equity and the short-term historical stock returns. We conclude that none of these factors is clearly significant for explaining stock returns at the Stockholm Stock Exchange, which casts doubt on their use as universal risk factors in various corporate governance contexts. It seems that the previously documented relationship is contingent on the data sample used and on the time period.stock returns, asset pricing, risk, multifactor models, CAPM, size, book-to-market, momentum, Sweden
"Closing the R&D Gap, Evaluating the Sources of R&D Spending"
No full textBoth spending and tax policies have been implemented in the United States with the goal of stimulating private sector research and development (R&D). Karier questions whether current R&D policy, especially the research and experimentation tax credit, can contribute to closing the gap between nondefense expenditures on R&D in the United States and such expenditures in other countries, such as Japan and Germany. He also explores possible changes to our current R&D policy to make it more effective.
Numerical analysis of a relaxed variational model of hysteresis in two-phase solids
No full textThis paper presents the numerical analysis for a variational formulation of rate-independent phase transformations in elastic solids due to Mielke et al. The new model itself suggests an implicit time-discretization which is combined with the finite element method in space. A priori error estimates are established for the quasioptimal spatial approximation of the stress field within one time-step. A posteriori error estimates motivate an adaptive mesh-refining algorithm for efficient discretization. The proposed scheme enables numerical simulations which show that the model allows for hysteresis
Finanční analýza Huperz CZ. s. r. o.
No full textPráce hodnotí finanční situaci v podniku Huperz CZ. s. r. o. Po představení společnosti následuje teoretická část, kde je nastíněn postup pro jednotlivé výpočty a hodnocení. Druhá část bakalářské práce je zaměřena na jednotlivé výpočty ukazatelů a indexů s jejich stručnými komentáři. Na závěr je připojeno srovnání a hodnocení celého oboru, ve kterém se podnik pohybuje. Práce je zakončena závěrem, kde jsou všechny poznatky shrnuty a nastíněna doporučení pro management společnosti
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