1,722,568 research outputs found
Fast Simulation of Multifactor Portfolio Credit Risk in the t-Copula Model
No full textWe present an importance sampling procedure for the estimation of multifactor portfolio credit risk for the t-copula model, i.e, the case where the risk factors have the multivariate t distribution. We use a version of the multivariate t that can be expressed as a ratio of a multivariate normal and a scaled chi-square random variable. The procedure consists of two steps. First, using the large deviations result for the Gaussian model in Glasserman, Kang, and Shahabuddin (2005a), we devise and apply a change of measure to the chi-square random variable. Then, conditional on the chi-square random variable, we apply the importance sampling procedure developed for the Gaussian copula model in Glasserman, Kang, Shahabuddin (2005b). We support our importance sampling procedure by numerical examples
What I learned from Shahabuddin Ahmed
Full text linkI am not very sure when Bangladesh will see another February 27, 1991 election that set a historic record of fairness under the watch of Shahabuddin Ahmed. In order to treasure the moment of democratic exhilaration that all of us experienced on that day, can’t we declare it the Day of Democracy in Bangladesh? I believe that will be a great way to pay tribute to Shahabuddin Ahmad for what he contributed to our country and to our democratic life
Fast Simulation of Multifactor Portfolio Credit Risk
No full textThis paper develops rare-event simulation methods for the estimation of portfolio credit risk-the risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portfolio view of credit risk is a model of dependence between these sources of credit risk: large losses occur rarely and are most likely to result from systematic risk factors that affect multiple obligors. As a consequence, estimating portfolio credit risk poses a challenge both because of the rare-event property of large losses and the dependence between defaults. To address this problem, we develop an importance sampling technique within the widely used Gaussian copula model of dependence. We focus on difficulties arising in multifactor models-that is, models in which multiple factors may be common to multiple obligors, resulting in complex dependence between defaults. Our importance sampling procedure shifts the mean of the common factor to increase the frequency of large losses. In multifactor models, different combinations of factor outcomes and defaults can produce large losses, so our method combines multiple importance sampling distributions, each associated with a shift in the mean of common factors. We characterize "optimal" mean shifts. Finding these points is both a combinatorial problem and a convex optimization problem, so we address computational aspects of this step as well. We establish asymptotic optimality results for our method, showing that-unlike standard simulation-it remains efficient as the event of interest becomes rarer.The ¯rst two authors dedicate this work to the memory of Perwez Shahabuddin, who died after
the original submission of the paper. They thank the reviewers for their careful reading of the
paper and many constructive comments. The second author thanks Dr. Kyungsik Lee for a
discussion on the subset sum problem. This research was partially supported by National Science
Foundation grant DMI 03-00044.
Sayyid Abubakar bin Ali bin Abubakar Shahabuddin, Rihlatul Asfar : Otobiografi... (1287 H-1363 H)
No full textKaptein Nico J.G. Sayyid Abubakar bin Ali bin Abubakar Shahabuddin, Rihlatul Asfar : Otobiografi... (1287 H-1363 H). In: Archipel, volume 65, 2003. pp. 208-210
Minorities and the Making of Postcolonial States in International Law
No full textThe ideological function of the postcolonial 'national', 'liberal', and 'developmental' state inflicts various forms of marginalisation on minorities, but simultaneously justifies oppression in the name of national unity, equality and non-discrimination, and economic development. International law plays a central role in the ideological making of the postcolonial state in relation to postcolonial boundaries, the liberal-individualist architecture of rights, and the neoliberal economic vision of development. In this process, international law subjugates minority interests and in turn aggravates the problem of ethno-nationalism. Analysing the geneses of ethno-nationalism in postcolonial states, Mohammad Shahabuddin substantiates these arguments with in-depth case studies on the Rohingya and the hill people of the Chittagong Hill Tracts, against the historical backdrop of the minority question in Indian nationalist and constitutional discourse. Shahabuddin also proposes alternative international law frameworks for minorities
Rare event simulation techniques for models of computer and communication systems
No full textThis talk reviews some of the fast simulation techniques used for estimating probabilities of rare events and related quantities in stochastic models of computer and communication systems. It is by no means a complete survey of these rare event simulation techniques. However, an attempt will be made to give some of the basic concepts, intuitions, and algorithms used for different types of stochastic models. The reader is referred to Heidelberger (1995) and Shahabuddin (1995) for recent comprehensive surveys in this area, and the reference list of Boots and Shahabuddin (2000) for some of the later papers in this area. Estimations of the small probabilities of rare events are required in the design and operation of many engineering systems. Consider the case of a telecommunication network. It is customary to model such systems as network of queues, with each queue having a buffer of finite capacity. Information packets that arrive to a queue when its buffer is full are lost. The rare event of interest may be the event of a packet being lost. Current regulations stipulate that the probability of packet loss should not exceed 10 to the power-9. Or in a reliability model of a space craft computer, we may be interested in estimating the probability of the event that th
The amphibians and reptiles of the Lore Lindu National Park area, Central Sulawesi, Indonesia
No full textThomas Cherico Wanger, Iris Motzke, Shahabuddin Saleh and Djoko T. Iskandarhttp://www.salamandra-journal.com/index.php?option=com_docman&Itemid=7
Diversity and body size of dung beetles attracted to different dung types along a tropical land-use gradient in Sulawesi, Indonesia
No full textDung beetles are a functionally important component of most terrestrial ecosystems. but communities change with habitat disturbance and deforestation. In this study, we tested if dung beetle ensembles on dung of introduced cattle and of the endemic anoa, a small buffalo. are affected differentially by habitat disturbance. Therefore, we exposed 10 pitfall traps, five baited with anoa and live baited with cattle dung, per site in six habitat types ranging from natural and selectively logged rain forest to three types of agroforestry system (characterized by different management intensity) and open areas (n = 4 replicate sites per habitat type) at the margin of Lore Lindu National Park. Central Sulawesi, Indonesia. We found 28 species. 43%, of which were endemic to Sulawesi. Species richness. abundance and biomass declined from natural forest towards open area. Large-bodied species appeared to be more sensitive to habitat disturbance and the ratio of large to small-sized dung beetles declined with land-use intensity. Although selectively logged forest and cocoa agroforestry systems had lower species richness compared with natural forest. they appeared to maintain it high portion of species originally inhabiting forest sites. The similarity of dung beetle ensembles recorded at forest and agroforestry sites reflects the high similarity of some habitat variables (e.g. vegetation structure and microclimate) between both habitat types compared with open areas. Species richness and abundances as well as species Composition, Which was characterized by decreases in mean body size. changed with land-use intensity. indicating that, dung type is less important than habitat type for determining ensemble structure of these Indonesian dung beetles
Reflections on: "Indigenous Rights and Interests in WildCountry in Australia" by Ghazala Shahabuddin
Full text linkGhazala is co-editor with Mahesh Rangarajan, of Making Conservation Work, Permanent Black, 2007, reviewed in this volume. She is commenting here after reading the interview with Anthony Esposito (National Manager of the Indigenous Conservation Program, The Wilderness Society) recorded by Heather Goodall, January 2007
Changes of dung beetle communities from rainforests towards agroforestry systems and annual cultures in Sulawesi (Indonesia)
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