926 resultados para Tatge, David B
Resumo:
I explore and analyze a problem of finding the socially optimal capital requirements for financial institutions considering two distinct channels of contagion: direct exposures among the institutions, as represented by a network and fire sales externalities, which reflect the negative price impact of massive liquidation of assets.These two channels amplify shocks from individual financial institutions to the financial system as a whole and thus increase the risk of joint defaults amongst the interconnected financial institutions; this is often referred to as systemic risk. In the model, there is a trade-off between reducing systemic risk and raising the capital requirements of the financial institutions. The policymaker considers this trade-off and determines the optimal capital requirements for individual financial institutions. I provide a method for finding and analyzing the optimal capital requirements that can be applied to arbitrary network structures and arbitrary distributions of investment returns.
In particular, I first consider a network model consisting only of direct exposures and show that the optimal capital requirements can be found by solving a stochastic linear programming problem. I then extend the analysis to financial networks with default costs and show the optimal capital requirements can be found by solving a stochastic mixed integer programming problem. The computational complexity of this problem poses a challenge, and I develop an iterative algorithm that can be efficiently executed. I show that the iterative algorithm leads to solutions that are nearly optimal by comparing it with lower bounds based on a dual approach. I also show that the iterative algorithm converges to the optimal solution.
Finally, I incorporate fire sales externalities into the model. In particular, I am able to extend the analysis of systemic risk and the optimal capital requirements with a single illiquid asset to a model with multiple illiquid assets. The model with multiple illiquid assets incorporates liquidation rules used by the banks. I provide an optimization formulation whose solution provides the equilibrium payments for a given liquidation rule.
I further show that the socially optimal capital problem using the ``socially optimal liquidation" and prioritized liquidation rules can be formulated as a convex and convex mixed integer problem, respectively. Finally, I illustrate the results of the methodology on numerical examples and
discuss some implications for capital regulation policy and stress testing.
Resumo:
Fitting statistical models is computationally challenging when the sample size or the dimension of the dataset is huge. An attractive approach for down-scaling the problem size is to first partition the dataset into subsets and then fit using distributed algorithms. The dataset can be partitioned either horizontally (in the sample space) or vertically (in the feature space), and the challenge arise in defining an algorithm with low communication, theoretical guarantees and excellent practical performance in general settings. For sample space partitioning, I propose a MEdian Selection Subset AGgregation Estimator ({\em message}) algorithm for solving these issues. The algorithm applies feature selection in parallel for each subset using regularized regression or Bayesian variable selection method, calculates the `median' feature inclusion index, estimates coefficients for the selected features in parallel for each subset, and then averages these estimates. The algorithm is simple, involves very minimal communication, scales efficiently in sample size, and has theoretical guarantees. I provide extensive experiments to show excellent performance in feature selection, estimation, prediction, and computation time relative to usual competitors.
While sample space partitioning is useful in handling datasets with large sample size, feature space partitioning is more effective when the data dimension is high. Existing methods for partitioning features, however, are either vulnerable to high correlations or inefficient in reducing the model dimension. In the thesis, I propose a new embarrassingly parallel framework named {\em DECO} for distributed variable selection and parameter estimation. In {\em DECO}, variables are first partitioned and allocated to m distributed workers. The decorrelated subset data within each worker are then fitted via any algorithm designed for high-dimensional problems. We show that by incorporating the decorrelation step, DECO can achieve consistent variable selection and parameter estimation on each subset with (almost) no assumptions. In addition, the convergence rate is nearly minimax optimal for both sparse and weakly sparse models and does NOT depend on the partition number m. Extensive numerical experiments are provided to illustrate the performance of the new framework.
For datasets with both large sample sizes and high dimensionality, I propose a new "divided-and-conquer" framework {\em DEME} (DECO-message) by leveraging both the {\em DECO} and the {\em message} algorithm. The new framework first partitions the dataset in the sample space into row cubes using {\em message} and then partition the feature space of the cubes using {\em DECO}. This procedure is equivalent to partitioning the original data matrix into multiple small blocks, each with a feasible size that can be stored and fitted in a computer in parallel. The results are then synthezied via the {\em DECO} and {\em message} algorithm in a reverse order to produce the final output. The whole framework is extremely scalable.
Resumo:
The dominant processes determining biological structure in lakes at millennial timescales are complex. In this study, we used a multi-proxy approach to determine the relative importance of in-lake versus indirect processes on the Holocene development of an oligotrophic lake in SW Greenland (66.99°N, 50.97°W). A 14C and 210Pb-dated sediment core covering approximately 8500 years BP was analyzed for organic-inorganic carbon content, pigments, diatoms, chironomids, cladocerans, and stable isotopes (d13C, d18O). Relationships among the different proxies and a number of independent controlling variables (Holocene temperature, an isotope-inferred cooling period, and immigration of Betula nana into the catchment) were explored using redundancy analysis (RDA) independent of time. The main ecological trajectories in the lake biota were captured by ordination first axis sample scores (18-32% variance explained). The importance of the arrival of Betula (ca. 6500 years BP) into the catchment was indicated by a series of partial-constrained ordinations, uniquely explaining 12-17% of the variance in chironomids and up to 9% in pigments. Climate influences on lake biota were strongest during a short-lived cooling period (identified by altered stable isotopes) early in the development of the lake when all proxies changed rapidly, although only chironomids had a unique component (8% in a partial-RDA) explained by the cooling event. Holocene climate explained less variance than either catchment changes or biotic relationships. The sediment record at this site indicates the importance of catchment factors for lake development, the complexity of community trends even in relatively simple systems (invertebrates are the top predators in the lake) and the challenges of deriving palaeoclimate inferences from sediment records in low-Arctic freshwater lakes.
Resumo:
Mid-Cretaceous sediments recovered during Ocean Drilling Program Leg 183 (Cores 183-1138A-69R to 73R) on the central Kerguelen Plateau have been analyzed palynologically and paleobotanically to determine the age of the strata and to reconstruct vegetational development and paleoecology. The lower strata (Cores 183-1138A-71R to 73R), a dark, organic-rich silty claystone with many wood fragments and fern remains (sedimentary Unit VI), certainly of terrestrial origin, directly overlies the volcanic basement, which is dated as latest Albian (~95 to 103 Ma) to earliest Cenomanian. The age of the terrestrial strata can be determined by sporomorphs as late Albian to earliest Cenomanian as well. This shows that parts of the central Kerguelen Plateau must have been subaerial at least until the late Albian and were covered with a diverse high-latitude flora, probably dense conifer forest with various fern taxa in the undergrowth. Early angiosperms are also present. The vegetational character represented in Unit VI did not change significantly through time. However, varying percentages of several sporomorph groups seem to show recurring abundance variations, which might possibly be cyclic, caused by Milankovitch-type cyclic events. Cores 183-1138A-67R through 69R, of open marine origin, contain medium- to high-diversity dinocyst assemblages. Based on previous stratigraphic zonation schemes, the ages of these strata range within the Heterosphaeridium Superzone, from the Palaeohystrichophora infusorioides Zone to the Conosphaeridium striatoconus Zone, which correlates to the latest Cenomanian to Coniacian.
Resumo:
A plasma gas bubble-in-liquid method for high production of selectable reactive species using a nanosecond pulse generator has been developed. The gas of choice is fed through a hollow needle in a point-to-plate bubble discharge, enabling improved selection of reactive species. The increased interface reactions, between the gas-plasma and water through bubbles, give higher productivity. H
Resumo:
Many studies have observed the precipitous decline in American shipping following the Second World War. Most focus on changes in maritime policy and the upsurge of flags of convenience. Yet this interpretation relegates mariners to a footnote. This thesis argues that America abandoned its seamen years before it abandoned its merchant marine, and that the labor story is an integral and largely overlooked dimension of the industry’s broader decline. It explores how the status and makeup of American seamen underwent monumental shifts from 1935 to 1955. Increased nationalization, improved conditions, and a patriotic cause boosted the standing of the industry, but federal and union intervention also changed the composition of the workforce and even eroded seamen’s status. These greater controls on mariners negatively affected the industry and this work contends that labor played a role in the transformation, and even decline, of the overall American Merchant Marine.
Resumo:
Phytochemical analyses as well as antimicrobial and antioxidant activities of the extracts of C. sumatrensis aerial parts were investigated in this study. METHODS: The aerial parts of C. sumatrensis were air dried, weighed and exhaustively extracted with hexane, ethyl acetate and methanol successively. The crude extracts were screened for metabolites. These extracts of the plant were evaluated for antimicrobial and antioxidant activities using agar diffusion and DPPH method respectively. The extracts were also analysed using Gas chromatography – Mass spectrometry, and the chromatogram coupled with mass spectra of the compounds were matched with a standard library. RESULTS: Preliminary phytochemical investigation of crude n-hexane, ethyl acetate and methanol extracts of the aerial parts of Conyza sumatrensis revealed the presence of anthraquinones, flavonoids, terpenoids, phenolics, tannin, glycosides and carbohydrate. All the crude extracts gave a clear zone of inhibition against the growth of the test bacteria ( Staphylococcus aureus , Escherichia coli , Bacillus subtilis , Pseudomona aeruginosa, Salmonella typhi , Klebsiellae pneumonae ) at moderate to high concentrations, as well as test fungi ( Candida albicans , Aspergillus niger , penicillium notatum and Rhizopus stolonifer ) at high concentration. Methanolic extract exhibited significant radical scavenging property with IC50 of 17.08 μg/mL while n-hexane and ethyl acetate extracts showed no significant antioxidant activity. GC-MS of N-hexane extract showed a total number of eleven chemical constituents with α-Farnesene and spathulenol being the most abundance compounds constituting 20.27 and 22.28% of the extract respectively. Ethyl acetate extract revealed thirteen compounds with two most abundant compounds, cis-β-farnesene (16.64 %) and cis-pinane (21.09 %). While methanolic extract affords seventeen compounds with Ephytol being the most abundant compound (19.36 %).
Resumo:
Annually, the association publishes a journal, The Proceedings, which consists of papers presented at the annual meeting. The Horizontal Axis: Italo-Yugoslav Relations as Affected by the Anschluss 1937-1938 by David B. McElroy The South Carolina Public Records as Sources for the Revisionist Interpretation of the American Revolution by Wylma Wates The Opinions of Editor William Gilmore Simms of the Southern Quarterly Review, 1849-1854 by Frank W. Ryan The Up-Country Academies of Moses Waddel by Hugh C. Bailey
Resumo:
6
Resumo:
2
Resumo:
Heinrich Gross
Resumo:
Heinrich Gross
