Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Empirical Orthogonal Functions: The Medium is the Message

Empirical orthogonal function (EOF) analysis is a powerful tool for data compression and dimensionality reduction used broadly in meteorology and oceanography. Often in the literature, EOF modes are interpreted individually, independent of other modes. In fact, it can be shown that no such attribution can generally be made. This review demonstrates that in general individual EOF modes (i) will not correspond to individual dynamical modes, (ii) will not correspond to individual kinematic degrees of freedom, (iii) will not be statistically independent of other EOF modes, and (iv) will be strongly influenced by the nonlocal requirement that modes maximize variance over the entire domain. The goal of this review is not to argue against the use of EOF analysis in meteorology and oceanography; rather, it is to demonstrate the care that must be taken in the interpretation of individual modes in order to distinguish the medium from the message.

A new study on the power distribution of OFDMA, SC-FDMA and CP-CDMA signals

This paper explores a new technique to calculate and plot the distribution of instantaneous transmit envelope power of OFDMA and SC-FDMA signals from the equation of Probability Density Function (PDF) solved numerically. The Complementary Cumulative Distribution Function (CCDF) of Instantaneous Power to Average Power Ratio (IPAPR) is computed from the structure of the transmit system matrix. This helps intuitively understand the distribution of output signal power if the structure of the transmit system matrix and the constellation used are known. The distribution obtained for OFDMA signal matches complex normal distribution. The results indicate why the CCDF of IPAPR in case of SC-FDMA is better than OFDMA for a given constellation. Finally, with this method it is shown again that cyclic prefixed DS-CDMA system is one case with optimum IPAPR. The insight that this technique provides may be useful in designing area optimised digital and power efficient analogue modules.

Wave height analysis from 10 years of observations in the Norwegian Sea

Large waves pose risks to ships, offshore structures, coastal infrastructure and ecosystems. This paper analyses 10 years of in-situ measurements of significant wave height (Hs) and maximum wave height (Hmax) from the ocean weather ship Polarfront in the Norwegian Sea. During the period 2000 to 2009, surface elevation was recorded every 0.59 s during sampling periods of 30 min. The Hmax observations scale linearly with Hs on average. A widely-used empirical Weibull distribution is found to estimate average values of Hmax/Hs and Hmax better than a Rayleigh distribution, but tends to underestimate both for all but the smallest waves. In this paper we propose a modified Rayleigh distribution which compensates for the heterogeneity of the observed dataset: the distribution is fitted to the whole dataset and improves the estimate of the largest waves. Over the 10-year period, the Weibull distribution approximates the observed Hs and Hmax well, and an exponential function can be used to predict the probability distribution function of the ratio Hmax/Hs. However, the Weibull distribution tends to underestimate the occurrence of extremely large values of Hs and Hmax. The persistence of Hs and Hmax in winter is also examined. Wave fields with Hs>12 m and Hmax>16 m do not last longer than 3 h. Low-to-moderate wave heights that persist for more than 12 h dominate the relationship of the wave field with the winter NAO index over 2000–2009. In contrast, the inter-annual variability of wave fields with Hs>5.5 m or Hmax>8.5 m and wave fields persisting over ~2.5 days is not associated with the winter NAO index.

Moisture transport and intraseasonal variability in the South America monsoon system

This paper examines moisture transport on intraseasonal timescales over the continent and over the South Atlantic convergence zone (SACZ) during the South America (SA) summer monsoon. Combined Empirical Orthogonal Function analysis (EOFc) of Global Precipitation Climatology Project pentad precipitation, specific humidity, air temperature, zonal and meridional winds at 850 hPa (NCEP/NCAR reanalysis) are performed to identify the large-scale variability of the South America monsoon system and the SACZ. The first EOFc was used as a large-scale index for the South American monsoon (LISAM), whereas the second EOFc characterized the SACZ. LISAM (SACZ) index showed spectral variance on 30-90 (15-20) days and were both band filtered (10-100 days). Intraseasonal wet anomalies were defined when LISAM and SACZ anomalies were above the 75th percentile of their respective distribution. LISAM and SACZ wet events were examined independently of each other and when they occur simultaneously. LISAM wet events were observed with the amplification of wave activity in the Northern Hemisphere and the enhancement of northwesterly cross-equatorial moisture transport over tropical continental SA. Enhanced SACZ was observed with moisture transport from the extratropics of the Southern Hemisphere. Simultaneous LISAM and SACZ wet events are associated with cross-equatorial moisture transport along with moisture transport from Subtropical Southwestern Atlantic.

An analysis of the composite stellar population in M32

We obtained long-slit spectra of high signal-to-noise ratio of the galaxy M32 with the Gemini Multi-Object Spectrograph at the Gemini-North telescope. We analysed the integrated spectra by means of full spectral fitting in order to extract the mixture of stellar populations that best represents its composite nature. Three different galactic radii were analysed, from the nuclear region out to 2 arcmin from the centre. This allows us to compare, for the first time, the results of integrated light spectroscopy with those of resolved colour-magnitude diagrams from the literature. As a main result we propose that an ancient and an intermediate-age population co-exist in M32, and that the balance between these two populations change between the nucleus and outside one effective radius (1r(eff)) in the sense that the contribution from the intermediate population is larger at the nuclear region. We retrieve a smaller signal of a young population at all radii whose origin is unclear and may be a contamination from horizontal branch stars, such as the ones identified by Brown et al. in the nuclear region. We compare our metallicity distribution function for a region 1 to 2 arcmin from the centre to the one obtained with photometric data by Grillmair et al. Both distributions are broad, but our spectroscopically derived distribution has a significant component with [Z/Z(circle dot)] <= -1, which is not found by Grillmair et al.

Bounds on functionals of the distribution treatment effects

Bounds on the distribution function of the sum of two random variables with known marginal distributions obtained by Makarov (1981) can be used to bound the cumulative distribution function (c.d.f.) of individual treatment effects. Identification of the distribution of individual treatment effects is important for policy purposes if we are interested in functionals of that distribution, such as the proportion of individuals who gain from the treatment and the expected gain from the treatment for these individuals. Makarov bounds on the c.d.f. of the individual treatment effect distribution are pointwise sharp, i.e. they cannot be improved in any single point of the distribution. We show that the Makarov bounds are not uniformly sharp. Specifically, we show that the Makarov bounds on the region that contains the c.d.f. of the treatment effect distribution in two (or more) points can be improved, and we derive the smallest set for the c.d.f. of the treatment effect distribution in two (or more) points. An implication is that the Makarov bounds on a functional of the c.d.f. of the individual treatment effect distribution are not best possible.

Robustness and stabilization properties of monetary policy rules in Brazil

Based on three versions of a small macroeconomic model for Brazil, this paper presents empirical evidence on the effects of parameter uncertainty on monetary policy rules and on the robustness of optimal and simple rules over different model specifications. By comparing the optimal policy rule under parameter uncertainty with the rule calculated under purely additive uncertainty, we find that parameter uncertainty should make policymakers react less aggressively to the economy's state variables, as suggested by Brainard's "conservatism principIe", although this effect seems to be relatively small. We then informally investigate each rule's robustness by analyzing the performance of policy rules derived from each model under each one of the alternative models. We find that optimal rules derived from each model perform very poorly under alternative models, whereas a simple Taylor rule is relatively robusto We also fmd that even within a specific model, the Taylor rule may perform better than the optimal rule under particularly unfavorable realizations from the policymaker' s loss distribution function.

The small x behavior of the gluon strucutre function from total cross-sections

Within a QCD-based eikonal model with a dynamical infrared gluon mass scale we discuss how the small x behavior of the gluon distribution function at moderate Q(2) is directly related to the rise of total hadronic cross-sections. In this model the rise of total cross-sections is driven by gluon-gluon semihard scattering processes, where the behavior of the small x gluon distribtuion function exhibits the power law xg(x, Q(2)) = h(Q(2))x(-epsilon). Assuming that the Q(2) scale is proportional to the dynamical gluon mass one, we show that the values of h(Q(2)) obtained in this model are compatible with an earlier result based on a specific nonperturbative Pomeron model. We discuss the implications of this picture for the behavior of input valence-like gluon distributions at low resolution scales.

CLASSICAL DISTRIBUTION-FUNCTIONS DERIVED FROM WIGNER DISTRIBUTION-FUNCTIONS

A mapping which relates the Wigner phase-space distribution function associated with a given stationary quantum-mechanical wavefunction to a specific solution of the time-independent Liouville transport equation is obtained. Two examples are studied.

Mapping Wigner distribution functions into semiclassical distribution functions

A mapping that relates the Wigner phase-space distribution function of a given stationary quantum mechani-cal wave function, a solution of the Schrödinger equation, to a specific solution of the Liouville equation, both subject to the same potential, is studied. By making this mapping, bound states are described by semiclassical distribution functions still depending on Planck's constant, whereas for elastic scattering of a particle by a potential they do not depend on it, the classical limit being reached in this case. Following this method, the mapped distributions of a particle bound in the Pöschl-Teller potential and also in a modified oscillator potential are obtained.

Pion structure function within the instanton model

The leading-twist valence-quark distribution function in the pion is obtained at a low normalization scale of an order of the inverse average size of an instanton pc. The momentum dependent quark mass and the quark-pion vertex are constructed in the framework of the instanton liquid model, using a gauge invariant approach. The parameters of instanton vacuum, the effective instanton radius and quark mass, are related to the vacuum expectation values of the lowest dimension quark-gluon operators and to the pion low energy observables. An analytic expression for the quark distribution function in the pion for a general vertex function is derived. The results are QCD evolved to higher momentum-transfer values, and reasonable agreement with phenomenological analyses of the data on parton distributions for the pion is found. ©2000 The American Physical Society.

The small x behavior of the gluon structure function from total cross-sections

Within a QCD-based eikonal model with a dynamical infrared gluon mass scale we discuss how the small x behavior of the gluon distribution function at moderate Q 2 is directly related to the rise of total hadronic cross-sections. In this model the rise of total cross-sections is driven by gluon-gluon semihard scattering processes, where the behavior of the small x gluon distribution function exhibits the power law xg(x, Q 2) = h(Q 2)x( -∈). Assuming that the Q 2 scale is proportional to the dynamical gluon mass one, we show that the values of h(Q 2) obtained in this model are compatible with an earlier result based on a specific nonperturbative Pomeron model. We discuss the implications of this picture for the behavior of input valence-like gluon distributions at low resolution scales. © 2008 World Scientific Publishing Company.

A new approach to soil classification mapping based on the spatial distribution of soil properties

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A new sampling strategy to reduce the effect of autocorrelation on a control chart

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)