Towards a theory of the credit-risk balance sheet

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a company¿s commercial credit, whose amount can represent a significant proportion of both its current and total assets.To construct it, we start from the duality observed in any credit transaction of this nature, whose basic identity can be summed up as Credit = Risk. ¿Credit¿ is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system) and ¿risk¿ can either be assumed (interiorised) by the company itself or transferred to third parties (exteriorised).What provides the approach that leads to us being able to talk with confidence of a real Credit-Risk Balance Sheet with its methodological robustness is that the dual vision of the credit transaction is not, as we demonstrate, merely a classificatory duality (a double risk-credit classification of reality) but rather a true causal relationship, that is, a risk-credit causal duality.Once said Credit-Risk Balance Sheet (which bears a certain structural similarity with the classic net asset balance sheet) has been built, and its methodological coherence demonstrated, its properties ¿static and dynamic¿ are studied.Analysis of the temporal evolution of the Credit-Risk Balance Sheet and of its applications will be the object of subsequent works.

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.

Diagnostic performance of CT-arthrography and 1.5T MR-arthrography for the assessment of glenohumeral joint cartilage: a comparative study with arthroscopic correlation.

PURPOSE: To compare the diagnostic performance of multi-detector CT arthrography (CTA) and 1.5-T MR arthrography (MRA) in detecting hyaline cartilage lesions of the shoulder, with arthroscopic correlation. PATIENTS AND METHODS: CTA and MRA prospectively obtained in 56 consecutive patients following the same arthrographic procedure were independently evaluated for glenohumeral cartilage lesions (modified Outerbridge grade ≥2 and grade 4) by two musculoskeletal radiologists. The cartilage surface was divided in 18 anatomical areas. Arthroscopy was taken as the reference standard. Diagnostic performance of CTA and MRA was compared using ROC analysis. Interobserver and intraobserver agreement was determined by κ statistics. RESULTS: Sensitivity and specificity of CTA varied from 46.4 to 82.4 % and from 89.0 to 95.9 % respectively; sensitivity and specificity of MRA varied from 31.9 to 66.2 % and from 91.1 to 97.5 % respectively. Diagnostic performance of CTA was statistically significantly better than MRA for both readers (all p ≤ 0.04). Interobserver agreement for the evaluation of cartilage lesions was substantial with CTA (κ = 0.63) and moderate with MRA (κ = 0.54). Intraobserver agreement was almost perfect with both CTA (κ = 0.94-0.95) and MRA (κ = 0.83-0.87). CONCLUSION: The diagnostic performance of CTA and MRA for the detection of glenohumeral cartilage lesions is moderate, although statistically significantly better with CTA. KEY POINTS: ? CTA has moderate diagnostic performance for detecting glenohumeral cartilage substance loss. ? MRA has moderate diagnostic performance for detecting glenohumeral cartilage substance loss. ? CTA is more accurate than MRA for detecting cartilage substance loss.

On the efficiency of recursive evaluations with applications to risk theory

On the efficiency of recursive evaluations with applications to risk theoryCette thèse est composée de trois essais qui portent sur l'efficacité des évaluations récursives de la distribution du montant total des sinistres d'un portefeuille de polices d'assurance au cours d'un période donnée. Le calcul de sa fonction de probabilité ou de quantités liées à cette distribution apparaît fréquemment dans la plupart des domaines de la pratique actuarielle.C'est le cas notamment pour le calcul du capital de solvabilité en Suisse ou pour modéliser la perte d'une assurance vie au cours d'une année. Le principal problème des évaluations récursives est que la propagation des erreurs provenant de la représentation des nombres réels par l'ordinateur peut être désastreuse. Mais, le gain de temps qu'elles procurent en réduisant le nombre d'opérations arithmétiques est substantiel par rapport à d'autres méthodes.Dans le premier essai, nous utilisons certaines propriétés d'un outil informatique performant afin d'optimiser le temps de calcul tout en garantissant une certaine qualité dans les résultats par rapport à la propagation de ces erreurs au cours de l'évaluation.Dans le second essai, nous dérivons des expressions exactes et des bornes pour les erreurs qui se produisent dans les fonctions de distribution cumulatives d'un ordre donné lorsque celles-ci sont évaluées récursivement à partir d'une approximation de la transformée de De Pril associée. Ces fonctions cumulatives permettent de calculer directement certaines quantités essentielles comme les primes stop-loss.Finalement, dans le troisième essai, nous étudions la stabilité des évaluations récursives de ces fonctions cumulatives par rapport à la propagation des erreurs citées ci-dessus et déterminons la précision nécessaire dans la représentation des nombres réels afin de garantir des résultats satisfaisants. Cette précision dépend en grande partie de la transformée de De Pril associée.

Micro-Raman study of stress distribution in local isolation structures and correlation with transmission electron microscopy

Stress in local isolation structures is studied by micro‐Raman spectroscopy. The results are correlated with predictions of an analytical model for the stress distribution and with cross‐sectional transmission electron microscopy observations. The measurements are performed on structures on which the Si3N4 oxidation mask is still present. The influence of the pitch of the periodic local isolation pattern, consisting of parallel lines, the thickness of the mask, and the length of the bird"s beak on the stress distribution are studied. It is found that compressive stress is present in the Si substrate under the center of the oxidation mask lines, with a magnitude dependent on the width of the lines. Large tensile stress is concentrated under the bird"s beak and is found to increase with decreasing length of the bird"s beak and with increasing thickness of the Si3N4 film.

BPSK to ASK signal conversion using injection-locked oscillators-Part I: theory

This paper presents a new method and circuit for the conversion of binary phase-shift keying (BPSK) signals into amplitude shift keying signals. The basic principles of the conversion method are the superharmonic injection and locking of oscillator circuits, and interference phenomena. The first one is used to synchronize the oscillators, while the second is used to generate an amplitude interference pattern that reproduces the original phase modulation. When combined with an envelope detector, the proposed converter circuit allows the coherent demodulation of BPSK signals without need of any explicit carrier recovery system. The time response of the converter circuit to phase changes of the input signal, as well as the conversion limits, are discussed in detail.

Semiclassical theory of shot noise in ballistic n+in+ semiconductor structures: relevance of Pauli and long range Coulomb interactions

We work out a semiclassical theory of shot noise in ballistic n+-i-n+ semiconductor structures aiming at studying two fundamental physical correlations coming from Pauli exclusion principle and long-range Coulomb interaction. The theory provides a unifying scheme which, in addition to the current-voltage characteristics, describes the suppression of shot noise due to Pauli and Coulomb correlations in the whole range of system parameters and applied bias. The whole scenario is summarized by a phase diagram in the plane of two dimensionless variables related to the sample length and contact chemical potential. Here different regions of physical interest can be identified where only Coulomb or only Pauli correlations are active, or where both are present with different relevance. The predictions of the theory are proven to be fully corroborated by Monte Carlo simulations.

Towards a theory of the credit-risk balance sheet

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a company¿s commercial credit, whose amount can represent a significant proportion of both its current and total assets.To construct it, we start from the duality observed in any credit transaction of this nature, whose basic identity can be summed up as Credit = Risk. ¿Credit¿ is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system) and ¿risk¿ can either be assumed (interiorised) by the company itself or transferred to third parties (exteriorised).What provides the approach that leads to us being able to talk with confidence of a real Credit-Risk Balance Sheet with its methodological robustness is that the dual vision of the credit transaction is not, as we demonstrate, merely a classificatory duality (a double risk-credit classification of reality) but rather a true causal relationship, that is, a risk-credit causal duality.Once said Credit-Risk Balance Sheet (which bears a certain structural similarity with the classic net asset balance sheet) has been built, and its methodological coherence demonstrated, its properties ¿static and dynamic¿ are studied.Analysis of the temporal evolution of the Credit-Risk Balance Sheet and of its applications will be the object of subsequent works.

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.

Precise U-Pb age constraints for end-Triassic mass extinction, its correlation to volcanism and Hettangian post-extinction recovery

New precise zircon U-Pb ages are proposed for the Triassic-Jurassic (Rhetian-Hettangian) and the Hettangian-Sinemurian boundaries, The ages were obtained by ID-TIMS dating of single chemical-abraded zircons from volcanic ash layers within the Pucara Group, Aramachay Formation in the Utcubamba valley, northern Peru. Ash layers situated between last and first occurrences of boundary-defining ammonites yielded Pb-206/U-238 ages of 201.58 +/- 0.17/0.28 Ma (95% c.l., uncertainties without/with decay constant errors, respectively) for the Triassic-Jurassic and of 199.53 +/- 0.19/0.29 Ma for the Hettangian-Sinemurian boundaries. The former is established on a tuff located 1 m above the last local occurrence of the topmost Triassic genus Choristoceras, and 5 m below the Hettangian genus Psiloceras. The latter sample was obtained from a tuff collected within the Badouxia canadensis beds. Our new ages document total duration of the Hettagian of no more than c. 2 m.y., which has fundamental implications for the interpretation and significance of the ammonite recovery after the topmost Triassic extinction. The U-Pb age is about 0.8 +/- 0.5% older than Ar-40-Ar-39 dates determined on flood basalts of the Central Atlantic Magmatic Province (CAMP). Given the widely accepted hypothesis that inaccuracies in the K-40 decay constants or physical constants create a similar bias between the two dating methods, our new U-Pb zircon age determination for the T/J boundary corroborates the hypothesis that the CAMP was emplaced at the same time and may be responsible for a major climatic turnover and mass extinction. The zircon Pb-206/U-238 age for the T/J boundary is marginally older than the North Mountain Basalt (Newark Supergroup, Nova Scotia, Canada), which has been dated at 201.27 +/- 0.06 Ma [Schoene et al., 2006. Geochim. Cosmochim. Acta 70, 426-445]. It will be important to look for older eruptions of the CAMP and date them precisely by U-Pb techniques while addressing all sources of systematic uncertainty to further test the hypothesis of volcanic induced climate change leading to extinction. Such high-precision, high-accuracy data will be instrumental for constraining the contemporaneity of geological events at a 100 kyr level. (C) 2007 Elsevier B.V. All rights reserved.

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.

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

Synchronizability of EEG-Based Functional Networks in Early Alzheimer's Disease.

Recently graph theory and complex networks have been widely used as a mean to model functionality of the brain. Among different neuroimaging techniques available for constructing the brain functional networks, electroencephalography (EEG) with its high temporal resolution is a useful instrument of the analysis of functional interdependencies between different brain regions. Alzheimer's disease (AD) is a neurodegenerative disease, which leads to substantial cognitive decline, and eventually, dementia in aged people. To achieve a deeper insight into the behavior of functional cerebral networks in AD, here we study their synchronizability in 17 newly diagnosed AD patients compared to 17 healthy control subjects at no-task, eyes-closed condition. The cross-correlation of artifact-free EEGs was used to construct brain functional networks. The extracted networks were then tested for their synchronization properties by calculating the eigenratio of the Laplacian matrix of the connection graph, i.e., the largest eigenvalue divided by the second smallest one. In AD patients, we found an increase in the eigenratio, i.e., a decrease in the synchronizability of brain networks across delta, alpha, beta, and gamma EEG frequencies within the wide range of network costs. The finding indicates the destruction of functional brain networks in early AD.