Home About us Contact
|
Home About us Contact | ||
|
|
||
Maximum Loss (maximum + loss)
Selected AbstractsMeasuring and Optimizing Portfolio Credit Risk: A Copula-based Approach,ECONOMIC NOTES, Issue 3 2004Annalisa Di Clemente In this work, we present a methodology for measuring and optimizing the credit risk of a loan portfolio taking into account the non-normality of the credit loss distribution. In particular, we aim at modelling accurately joint default events for credit assets. In order to achieve this goal, we build the loss distribution of the loan portfolio by Monte Carlo simulation. The times until default of each obligor in portfolio are simulated following a copula-based approach. In particular, we study four different types of dependence structure for the credit assets in portfolio: the Gaussian copula, the Student's t-copula, the grouped t-copula and the Clayton n-copula (or Cook,Johnson copula). Our aim is to assess the impact of each type of copula on the value of different portfolio risk measures, such as expected loss, maximum loss, credit value at risk and expected shortfall. In addition, we want to verify whether and how the optimal portfolio composition may change utilizing various types of copula for describing the default dependence structure. In order to optimize portfolio credit risk, we minimize the conditional value at risk, a risk measure both relevant and tractable, by solving a simple linear programming problem subject to the traditional constraints of balance, portfolio expected return and trading. The outcomes, in terms of optimal portfolio compositions, obtained assuming different default dependence structures are compared with each other. The solution of the risk minimization problem may suggest us how to restructure the inefficient loan portfolios in order to obtain their best risk/return profile. In the absence of a developed secondary market for loans, we may follow the investment strategies indicated by the solution vector by utilizing credit default swaps. [source] Changes in body mass and organ size during wing moult in non-breeding greylag geese Anser anserJOURNAL OF AVIAN BIOLOGY, Issue 6 2005Anthony D. Fox The "cost-benefit" hypothesis states that specific body organs show mass changes consistent with a trade-off between the importance of their function and cost of their maintenance. We tested four predictions from this hypothesis using data on non-breeding greylag geese Anser anser during the course of remigial moult: namely that (i) pectoral muscles and heart would atrophy followed by hypertrophy, (ii) leg muscles would hypertrophy followed by atrophy, (iii) that digestive organs and liver would atrophy followed by hypertrophy and (iv) fat depots be depleted. Dissection of geese captured on three different dates during wing moult on the Danish island of Saltholm provided data on locomotory muscles and digestive organ size that confirmed these predictions. Locomotory organs associated with flight showed initial atrophy (a maximum loss of 23% of the initial pectoral muscle mass and 37% heart tissue) followed by hypertrophy as birds regained the powers of flight. Locomotory organs associated with running (leg muscles, since geese habitually run to the safety of water from predator-type stimuli) showed initial hypertrophy (a maximum gain of 37% over initial mass) followed by atrophy. The intestines and liver showed initial atrophy (41% and 37% respectively), consistent with observed reductions in daily time spent feeding during moult, followed by hypertrophy. The majority of the 22% loss in overall body mass (mean 760 g) during the flightless period involved fat utilisation, apparently consumed to meet shortfalls between daily energetic needs and observed rates of exogenous intake. The results support the hypothesis that such phenotypic plasticity in size of fat stores, locomotor and digestive organs can be interpreted as an evolutionary adaptation to meet the conflicting needs of the wing moult. [source] Experimental susceptibility of different life-stages of the giant freshwater prawn, Macrobrachium rosenbergii (de Man), to white spot syndrome virus (WSSV)JOURNAL OF FISH DISEASES, Issue 4 2002R B Pramod Kiran Studies were conducted by injecting/feeding white spot syndrome virus (WSSV) derived from infected shrimp, Penaeus monodon (Fabricius), to different life-stages, namely post-larvae, juveniles, sub-adults and adults of Macrobrachium rosenbergii (de Man). The disease was also induced in brood stock, and the eggs and larvae derived from these animals were subsequently tested for WSSV infection. All the stages except egg used for the experiment were found WSSV positive in histopathology, cross infection bioassay and polymerase chain reaction (PCR) analysis. Experimentally infected post-larvae and juveniles showed a high percentage of mortality and an increased rate of cannibalism. The cumulative mortality in post-larvae was up to 28%; with 28,40% cannibalism resulting in a maximum loss of up to 68%. In juveniles, observed mortality and cannibalism were 10,20% and 6.7,30.0%, respectively, and the maximum loss recorded was 50%. In sub-adults, mortality ranged from 2.8 to 6.7%, cannibalism was up to 20% and the total loss was up to 26.7%. Sub-adults and adults were found to be more tolerant to the infection as evidenced by the mortality pattern. A nested (two-step) PCR resulted in a 570-bp product specific to WSSV in all stages, except the eggs. [source] Flexible Spending Accounts as InsuranceJOURNAL OF RISK AND INSURANCE, Issue 1 2003James H. Cardon We model flexible spending accounts (FSAs) as a special type of insurance policy. We prove the following results given losses drawn from a continuous distribution: (1) the optimal election amount, F*, is increasing in the consumer's level of risk aversion; (2) F* is increasing in the level of the maximum loss; If utility is decreasing in absolute risk aversion (DARA), then F* is (3) decreasing in income and (4) increasing in the marginal tax rate. [source] Improvement in the dyeability of viscoseCOLORATION TECHNOLOGY, Issue 5 2009D P Chattopadhyay The effect of alkaline pretreatment with sodium hydroxide and sodium zincate on the dyeability of viscose has been studied. Both agents could enhance the dye accessibility to viscose, but sodium hydroxide was found to be more effective compared with sodium zincate. The maximum exhaustion of different reactive dyes was found with 7.5% w/v sodium hydroxide pretreated samples. Both the rate of dyeing and final dyebath exhaustion of viscose was significantly improved after such pretreatment. The pretreatment could also effectively replace the electrolyte requirement for some reactive dyes. The alkaline pretreatment also generated higher colour depth on the printed fabric. The change in surface morphology of the fibre as a result of sodium hydroxide treatment was examined through scanning electron microphotography. The weight loss as a result of this treatment was critically studied. 10% w/v sodium hydroxide was found to cause maximum loss in weight of the viscose fibre. [source] | ||||||||||