Towards a theory of the credit-risk balance sheet (II). The evolution of its structure

This article has an immediate predecessor, upon which it is based and with which readers must necessarily be familiar: Towards a Theory of the Credit-Risk Balance Sheet (Vallverdú, Somoza and Moya, 2006). The Balance Sheet is conceptualised on the basis of the duality of a credit-based transaction; it deals with its theoretical foundations, providing evidence of a causal credit-risk duality, that is, a true causal relationship; its characteristics, properties and its static and dynamic characteristics are analyzed. This article, which provides a logical continuation to the previous one, studies the evolution of the structure of the Credit-Risk Balance Sheet as a consequence of a business¿s dynamics in the credit area. Given the Credit-Risk Balance Sheet of a company at any given time, it attempts to estimate, by means of sequential analysis, its structural evolution, showing its usefulness in the management and control of credit and risk. To do this, it bases itself, with the necessary adaptations, on the by-now classic works of Palomba and Cutolo. The establishment of the corresponding transformation matrices allows one to move from an initial balance sheet structure to a final, future one, to understand its credit-risk situation trends, as well as to make possible its monitoring and control, basic elements in providing support for risk management.

The generalized index of maximum and minimum level and its application in decision making

[spa] El índice del máximo y el mínimo nivel es una técnica muy útil, especialmente para toma de decisiones, que usa la distancia de Hamming y el coeficiente de adecuación en el mismo problema. En este trabajo, se propone una generalización a través de utilizar medias generalizadas y cuasi aritméticas. A estos operadores de agregación, se les denominará el índice del máximo y el mínimo nivel medio ponderado ordenado generalizado (GOWAIMAM) y cuasi aritmético (Quasi-OWAIMAM). Estos nuevos operadores generalizan una amplia gama de casos particulares como el índice del máximo y el mínimo nivel generalizado (GIMAM), el OWAIMAM, y otros. También se desarrolla una aplicación en la toma de decisiones sobre selección de productos.

Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Triathlon event distance specialization: training and injury effects.

We conducted a preliminary, questionnaire-based, retrospective analysis of training and injury in British National Squad Olympic distance (OD) and Ironman distance (IR) triathletes. The main outcome measures were training duration and training frequency and injury frequency and severity. The number of overuse injuries sustained over a 5-year period did not differ between OD and IR. However, the proportions of OD and IR athletes who were affected by injury to particular anatomical sites differed (p < 0.05). Also, fewer OD athletes (16.7 vs. 36.8%, p < 0.05) reported that their injury recurred. Although OD sustained fewer running injuries than IR (1.6 +/- 0.5 vs. 1.9 +/- 0.3, p < 0.05), more subsequently stopped running (41.7 vs. 15.8%) and for longer (33.5 +/- 43.0 vs. 16.7 +/- 16.6 days, p < 0.01). In OD, the number of overuse injuries sustained inversely correlated with percentage training time, and number of sessions, doing bike hill repetitions (r = -0.44 and -0.39, respectively, both p < 0.05). The IR overuse injury number correlated with the amount of intensive sessions done (r = 0.67, p < 0.01 and r = 0.56, p < 0.05 for duration of "speed run" and "speed bike" sessions). Coaches should note that training differences between triathletes who specialize in OD or IR competition may lead to their exhibiting differential risk for injury to specific anatomical sites. It is also important to note that cycle and run training may have a "cumulative stress" influence on injury risk. Therefore, the tendency of some triathletes to modify rather than stop training when injured-usually by increasing load in another discipline from that in which the injury first occurred-may increase both their risk of injury recurrence and time to full rehabilitation.

Auction theory, sequential local service privatization, and the effects of geographical scale economies on effective competition

A sequential weakly efficient two-auction game with entry costs, interdependence between objects, two potential bidders and IPV assumption is presented here in order to give some theoretical predictions on the effects of geographical scale economies on local service privatization performance. It is shown that the first object seller takes profit of this interdependence. The interdependence externality rises effective competition for the first object, expressed as the probability of having more than one final bidder. Besides, if there is more than one final bidder in the first auction, seller extracts the entire bidder¿s expected future surplus differential between having won the first auction and having lost. Consequences for second object seller are less clear, reflecting the contradictory nature of the two main effects of object interdependence. On the one hand, first auction winner becomes ¿stronger¿, so that expected payments rise in a competitive environment. On the other hand, first auction loser becomes relatively ¿weaker¿, hence (probably) reducing effective competition for the second object. Additionally, some contributions to static auction theory with entry cost and asymmetric bidders are presented in the appendix

Modeling water movement in horizontal columns using fractal theory

Fractal mathematics has been used to characterize water and solute transport in porous media and also to characterize and simulate porous media properties. The objective of this study was to evaluate the correlation between the soil infiltration parameters sorptivity (S) and time exponent (n) and the parameters dimension (D) and the Hurst exponent (H). For this purpose, ten horizontal columns with pure (either clay or loam) and heterogeneous porous media (clay and loam distributed in layers in the column) were simulated following the distribution of a deterministic Cantor Bar with fractal dimension H" 0.63. Horizontal water infiltration experiments were then simulated using Hydrus 2D software. The sorptivity (S) and time exponent (n) parameters of the Philip equation were estimated for each simulation, using the nonlinear regression procedure of the statistical software package SAS®. Sorptivity increased in the columns with the loam content, which was attributed to the relation of S with the capillary radius. The time exponent estimated by nonlinear regression was found to be less than the traditional value of 0.5. The fractal dimension estimated from the Hurst exponent was 17.5 % lower than the fractal dimension of the Cantor Bar used to generate the columns.

Freezing of 4He and its liquid-solid interface from density functional theory

We show that, at high densities, fully variational solutions of solidlike types can be obtained from a density functional formalism originally designed for liquid 4He . Motivated by this finding, we propose an extension of the method that accurately describes the solid phase and the freezing transition of liquid 4He at zero temperature. The density profile of the interface between liquid and the (0001) surface of the 4He crystal is also investigated, and its surface energy evaluated. The interfacial tension is found to be in semiquantitative agreement with experiments and with other microscopic calculations. This opens the possibility to use unbiased density functional (DF) methods to study highly nonhomogeneous systems, like 4He interacting with strongly attractive impurities and/or substrates, or the nucleation of the solid phase in the metastable liquid.

Vertically coupled double quantum rings at zero magnetic field

Within local-spin-density functional theory, we have investigated the ¿dissociation¿ of few-electron circular vertical semiconductor double quantum ring artificial molecules at zero magnetic field as a function of interring distance. In a first step, the molecules are constituted by two identical quantum rings. When the rings are quantum mechanically strongly coupled, the electronic states are substantially delocalized, and the addition energy spectra of the artificial molecule resemble those of a single quantum ring in the few-electron limit. When the rings are quantum mechanically weakly coupled, the electronic states in the molecule are substantially localized in one ring or the other, although the rings can be electrostatically coupled. The effect of a slight mismatch introduced in the molecules from nominally identical quantum wells, or from changes in the inner radius of the constituent rings, induces localization by offsetting the energy levels in the quantum rings. This plays a crucial role in the appearance of the addition spectra as a function of coupling strength particularly in the weak coupling limit.

Optical response of two-dimensional few-electron concentric double quantum rings: A local-spin-density-functional theory study

We have investigated the dipole charge- and spin-density response of few-electron two-dimensional concentric nanorings as a function of the intensity of a erpendicularly applied magnetic field. We show that the dipole response displays signatures associated with the localization of electron states in the inner and outer ring favored by the perpendicularly applied magnetic field. Electron localization produces a more fragmented spectrum due to the appearance of additional edge excitations in the inner and outer ring.

Helium in polygonal nanopores at zero temperature: Density functional theory calculations

We investigate adsorption of helium in nanoscopic polygonal pores at zero temperature using a finite-range density functional theory. The adsorption potential is computed by means of a technique denoted as the elementary source method. We analyze a rhombic pore with Cs walls, where we show the existence of multiple interfacial configurations at some linear densities, which correspond to metastable states. Shape transitions and hysterectic loops appear in patterns which are richer and more complex than in a cylindrical tube with the same transverse area.

Variational Wigner-Kirkwood approach to relativistic mean field theory

The recently developed variational Wigner-Kirkwood approach is extended to the relativistic mean field theory for finite nuclei. A numerical application to the calculation of the surface energy coefficient in semi-infinite nuclear matter is presented. The new method is contrasted with the standard density functional theory and the fully quantal approach.