Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns

Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for risk exposure. Therefore, this study suggests a method for computing the parametric VaR based on goodness-of-fit tests using the empirical distribution function (EDF) for extreme returns, and compares the feasibility of this method for the banking sector in an emerging market and in a developed one. The paper also discusses possible theoretical contributions in related fields like enterprise risk management (ERM). © 2013 Elsevier Ltd.

Are fertility estimates from retrospective data biased by maternal mortality?: an assessment based on parametric models of family size distribution

Includes bibliography

Tm-afm nonlinear motion control with robustness analysis to parametric errors in the control signal determination

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Existence of solutions for a class of degenerate quasilinear elliptic equation in R-N with vanishing potentials

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Internal standard for amorphous pharmaceuticals products quantification and an application of Parametric Rietveld refinement using time, temperature and relative humidity as 'non-crystallographic' parameters

Pós-graduação em Química - IQ

Positive Solution for a Class of Degenerate Quasilinear Elliptic Equations in R-N

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Information-entropic measure of energy-degenerate kinks in two-field models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The dark matter profile of the Milky Way: a non-parametric reconstruction

We present the results of a new, non-parametric method to reconstruct the Galactic dark matter profile directly from observations. Using the latest kinematic data to track the total gravitational potential and the observed distribution of stars and gas to set the baryonic component, we infer the dark matter contribution to the circular velocity across the Galaxy. The radial derivative of this dynamical contribution is then estimated to extract the dark matter profile. The innovative feature of our approach is that it makes no assumption on the functional form or shape of the profile, thus allowing for a clean determination with no theoretical bias. We illustrate the power of the method by constraining the spherical dark matter profile between 2.5 and 25 kpc away from the Galactic center. The results show that the proposed method, free of widely used assumptions, can already be applied to pinpoint the dark matter distribution in the Milky Way with competitive accuracy, and paves the way for future developments.

Transmission coefficient and two-fold degenerate discrete spectrum of spin-1 bosons in a double-step potential

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Non-parametric identification of a non-linear buckled beam using discrete-time Volterra Series

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Nuclear magnetic relaxation for the spin-degenerate Anderson model

A renormalization-group calculation of the temperature-dependent nuclear spin relaxation rate for a magnetic impurity in a metallic host is reported. The calculation follows a simplified procedure, which produces accurate rates in the low-temperature Fermi-liquid regime, although yielding only qualitatively reliable results at higher temperatures. In all cases considered, as the temperature T diminishes, the rates peak before decaying linearly to zero in the Fermi-liquid range. For T → 0, the results agree very well with Shiba's expression relating the low-temperature coefficient of the relaxation rate to the squared zero-temperature susceptibility. In the Kondo limit, the enhanced susceptibility associated with the Kondo resonance produces a very sharp peak in the relaxation rate near the Kondo temperature. © 1991.

The dynamic behavior of a parametrically excited time-periodic MEMS taking into account parametric errors

Micro-electromechanical systems (MEMS) are micro scale devices that are able to convert electrical energy into mechanical energy or vice versa. In this paper, the mathematical model of an electronic circuit of a resonant MEMS mass sensor, with time-periodic parametric excitation, was analyzed and controlled by Chebyshev polynomial expansion of the Picard interaction and Lyapunov-Floquet transformation, and by Optimal Linear Feedback Control (OLFC). Both controls consider the union of feedback and feedforward controls. The feedback control obtained by Picard interaction and Lyapunov-Floquet transformation is the first strategy and the optimal control theory the second strategy. Numerical simulations show the efficiency of the two control methods, as well as the sensitivity of each control strategy to parametric errors. Without parametric errors, both control strategies were effective in maintaining the system in the desired orbit. On the other hand, in the presence of parametric errors, the OLFC technique was more robust.

Optimizing Amplifier Placements in a Multiwavelength Optical LAN/MAN: The Unequally Powered Wavelengths Case

Optical networks based on passive-star couplers and employing WDM have been proposed for deployment in local and metropolitan areas. These networks suffer from splitting, coupling, and attenuation losses. Since there is an upper bound on transmitter power and a lower bound on receiver sensitivity, optical amplifiers are usually required to compensate for the power losses mentioned above. Due to the high cost of amplifiers, it is desirable to minimize their total number in the network. However, an optical amplifier has constraints on the maximum gain and the maximum output power it can supply; thus, optical amplifier placement becomes a challenging problem. In fact, the general problem of minimizing the total amplifier count is a mixed-integer nonlinear problem. Previous studies have attacked the amplifier-placement problem by adding the “artificial” constraint that all wavelengths, which are present at a particular point in a fiber, be at the same power level. This constraint simplifies the problem into a solvable mixed integer linear program. Unfortunately, this artificial constraint can miss feasible solutions that have a lower amplifier count but do not have the equally powered wavelengths constraint. In this paper, we present a method to solve the minimum amplifier- placement problem, while avoiding the equally powered wavelength constraint. We demonstrate that, by allowing signals to operate at different power levels, our method can reduce the number of amplifiers required.

Optimization of Amplifier Placements in Switch-Based Optical Networks

Wavelength division multiplexing (WDM) offers a solution to the problem of exploiting the large bandwidth on optical links; it is the current favorite multiplexing technology for optical communication networks. Due to the high cost of an optical amplifier, it is desirable to strategically place the amplifiers throughout the network in a way that guarantees that all the signals are adequately amplified while minimizing the total number amplifiers being used. Previous studies all consider a star-based network. This paper demonstrates an original approach for solving the problem in switch-based WDM optical network assuming the traffic matrix is always the permutation of the nodes. First we formulate the problem by choosing typical permutations which can maximize traffic load on individual links; then a GA (Genetic Algorithm) is used to search for feasible amplifier placements. Finally, by setting up all the lightpaths without violating the power constaints we confirm the feasibility of the solution.

Scalar field description for parametric models of dark energy

We investigate theoretical and observational aspects of a time-dependent parameterization for the dark energy equation of state w(z), which is a well behaved function of the redshift z over the entire cosmological evolution, i.e., z is an element of [-1, infinity). By using a theoretical algorithm of constructing the quintes-sence potential directly from the w(z) function, we derive and discuss the general features of the resulting potential for the cases in which dark energy is separately conserved and when it is coupled to dark matter. Since the parameterization here discussed allows us to divide the parametric plane in defined regions associated to distinct classes of dark energy models, we use some of the most recent observations from type Ia supernovae, baryon acoustic oscillation peak and Cosmic Microwave Background shift parameter to check which class is observationally preferred. We show that the largest portion of the confidence contours lies into the region corresponding to a possible crossing of the so-called phantom divide line at some point of the cosmic evolution.