Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Distribution line models analysis for loss calculation within three-phase three-wire power flow algorithms

Three-phase three-wire power flow algorithms, as any tool for power systems analysis, require reliable impedances and models in order to obtain accurate results. Kron's reduction procedure, which embeds neutral wire influence into phase wires, has shown good results when three-phase three-wire power flow algorithms based on current summation method were used. However, Kron's reduction can harm reliabilities of some algorithms whose iterative processes need loss calculation (power summation method). In this work, three three-phase three-wire power flow algorithms based on power summation method, will be compared with a three-phase four-wire approach based on backward-forward technique and current summation. Two four-wire unbalanced medium-voltage distribution networks will be analyzed and results will be presented and discussed. © 2004 IEEE.

Loss Modelling of Three-Level Inverters controlled with Space Vector Modulation Technique

The objective of this master’s thesis is to investigate the loss behavior of three-level ANPC inverter and compare it with conventional NPC inverter. The both inverters are controlled with mature space vector modulation strategy. In order to provide the comparison both accurate and detailed enough NPC and ANPC simulation models should be obtained. The similar control model of SVM is utilized for both NPC and ANPC inverter models. The principles of control algorithms, the structure and description of models are clarified. The power loss calculation model is based on practical calculation approaches with certain assumptions. The comparison between NPC and ANPC topologies is presented based on results obtained for each semiconductor device, their switching and conduction losses and efficiency of the inverters. Alternative switching states of ANPC topology allow distributing losses among the switches more evenly, than in NPC inverter. Obviously, the losses of a switching device depend on its position in the topology. Losses distribution among the components in ANPC topology allows reducing the stress on certain switches, thus losses are equally distributed among the semiconductors, however the efficiency of the inverters is the same. As a new contribution to earlier studies, the obtained models of SVM control, NPC and ANPC inverters have been built. Thus, this thesis can be used in further more complicated modelling of full-power converters for modern multi-megawatt wind energy conversion systems.

Investigation of the relationship between load and loss factors for a Brazilian electric utility

With the considerable increase of the losses in electric utilities of developing countries, such as Brazil, there is an investigation for loss calculation methodologies, considering both technical (inherent of the system) and non-technical (usually associated to the electricity theft) losses. In general, all distribution networks know the load factor, obtained by measuring parameters directly from the network. However, the loss factor, important for the energy loss cost calculation, can only be obtained in a laborious way. Consequently, several formulas have been developed for obtaining the loss factor. Generally, it is used the expression that relates both factors, through the use of a coefficient k. Last reviews introduce a range of factor k within 0.04 - 0.30. In this work, an analysis with real life load curves is presented, determining new values for the coefficient k in a Brazilian electric utility. © 2006 IEEE.

A statistical analysis of loss factor to determine the energy losses

Given that the total amount of losses in a distribution system is known, with a reliable methodology for the technical loss calculation, the non-technical losses can be obtained by subtraction. A usual method of calculation technical losses in the electric utilities uses two important factors: load factor and the loss factor. The load factor is usually obtained with energy and demand measurements, whereas, to compute the loss factor it is necessary the learning of demand and energy loss, which are not, in general, prone of direct measurements. In this work, a statistical analysis of this relationship using the curves of a sampling of consumers in a specific company is presented. These curves will be summarized in different bands of coefficient k. Then, it will be possible determine where each group of consumer has its major concentration of points. ©2008 IEEE.

PMV model is insufficient to capture subjective thermal response from Indians

A controlled laboratory experiment was carried out on forty Indian male college students for evaluating the effect of indoor thermal environment on occupants' response and thermal comfort. During experiment, indoor temperature varied from 21 degrees C to 33 degrees C, and the variables like relative humidity, airflow, air temperature and radiant temperature were recorded along with subject's physiological parameters (skin (T-sk) and oral temperature (T-c)) and subjective thermal sensation responses (TSV). From T-sk and T-c, body temperature (T-b) was evaluated. Subjective Thermal Sensation Vote (TSV) was recorded using ASHRAE 7-point scale. In PMV model, Fanger's T-sk equation was used to accommodate adaptive response. Step-wise regression analysis result showed T-b was better predictor of TSV than T-sk and T-c. Regional skin temperature response, suppressed sweating without dipping, lower sweating threshold temperature and higher cutaneous threshold for sweating were observed as thermal adaptive responses. These adaptive responses cannot be considered in PMV model. To incorporate subjective adaptive response, mean skin temperature (T-sk) is considered in dry heat loss calculation. Along with these, PMV-model and other two methodologies are adopted to calculate PMV values and results are compared. However, recent literature is limited to measure the sweat rate in Indians and consideration of constant Ersw in PMV model needs to be corrected. Using measured T-sk in PMV model (Method(1)), thermal comfort zone corresponding to 0.5 <= PMV <= 0.5 was evaluated as (22.46-25.41) degrees C with neutral temperature of 23.91 degrees C, similarly while using TSV response, wider comfort zone was estimated as (23.25-26.32) degrees C with neutral temperature at 24.83 degrees C, which was further increased to with TSV-PPDnew, relation. It was observed that PMV-model overestimated the actual thermal response. Interestingly, these subjects were found to be less sensitive to hot but more sensitive to cold. A new TSV-PPD relation (PPDnew) was obtained from the population distribution of TSV response with an asymmetric distribution of hot-cold thermal sensation response from Indians. The calculations of human thermal stress according to steady state energy balance models used on PMV model seem to be inadequate to evaluate human thermal sensation of Indians. Relevance to industry: The purpose of this paper is to estimate thermal comfort zone and optimum temperature for Indians. It also highlights that PMV model seems to be inadequate to evaluate subjective thermal perception in Indians. These results can be used in feedback control of HVAC systems in residential and industrial buildings. (C) 2014 Elsevier B.V. All rights reserved.

Design of a lab scale direct-filtration system and its application in process lab

The Environmental Process and Simulation Center (EPSC) at Michigan Technological University started accommodating laboratories for an Environmental Engineering senior level class CEE 4509 Environmental Process and Simulation Laboratory since 2004. Even though the five units that exist in EPSC provide the students opportunities to have hands-on experiences with a wide range of water/wastewater treatment technologies, a key module was still missing for the student to experience a full cycle of treatment. This project fabricated a direct-filtration pilot system in EPSC and generated a laboratory manual for education purpose. Engineering applications such as clean bed head loss calculation, backwash flowrate determination, multimedia density calculation and run length prediction are included in the laboratory manual. The system was tested for one semester and modifications have been made both to the direct filtration unit and the laboratory manual. Future work is also proposed to further refine the module.

Calculation of the electronic structure of carbon films using electron energy loss spectroscopy.

The detailed understanding of the electronic properties of carbon-based materials requires the determination of their electronic structure and more precisely the calculation of their joint density of states (JDOS) and dielectric constant. Low electron energy loss spectroscopy (EELS) provides a continuous spectrum which represents all the excitations of the electrons within the material with energies ranging between zero and about 100 eV. Therefore, EELS is potentially more powerful than conventional optical spectroscopy which has an intrinsic upper information limit of about 6 eV due to absorption of light from the optical components of the system or the ambient. However, when analysing EELS data, the extraction of the single scattered data needed for Kramers Kronig calculations is subject to the deconvolution of the zero loss peak from the raw data. This procedure is particularly critical when attempting to study the near-bandgap region of materials with a bandgap below 1.5 eV. In this paper, we have calculated the electronic properties of three widely studied carbon materials; namely amorphous carbon (a-C), tetrahedral amorphous carbon (ta-C) and C60 fullerite crystal. The JDOS curve starts from zero for energy values below the bandgap and then starts to rise with a rate depending on whether the material has a direct or an indirect bandgap. Extrapolating a fit to the data immediately above the bandgap in the stronger energy loss region was used to get an accurate value for the bandgap energy and to determine whether the bandgap is direct or indirect in character. Particular problems relating to the extraction of the single scattered data for these materials are also addressed. The ta-C and C60 fullerite materials are found to be direct bandgap-like semiconductors having a bandgaps of 2.63 and 1.59eV, respectively. On the other hand, the electronic structure of a-C was unobtainable because it had such a small bandgap that most of the information is contained in the first 1.2 eV of the spectrum, which is a region removed during the zero loss deconvolution.

Calculation of propagation loss in photonic crystal waveguides by FDTD technique and Pade approximation

The propagation losses in single-line defect waveguides in a two-dimensional (2D) square-lattice photonic crystal (PC) consisted of infinite dielectric rods and a triangular-lattice photonic crystal slab with air holes are studied by finite-difference time-domain (FDTD) technique and a Pade approximation. The decaying constant beta of the fundamental guided mode is calculated from the mode frequency, the quality factor (Q-factor) and the group velocity v(g) as beta = omega/(2Qv(g)). In the 2D square-lattice photonic crystal waveguide (PCW), the decaying rate ranged from 10(3) to 10(-4) cm(-1) can be reliably obtained from 8 x 10(3)-item FDTD output with the FDTD computing time of 0.386 ps. And at most 1 ps is required for the mode with the Q-factor of 4 x 10(11) and the decaying rate of 10(-7) cm(-1). In the triangular-lattice photonic crystal slab, a 10(4)-item FDTD output is required to obtain a reliable spectrum with the Q-factor of 2.5 x 10(8) and the decaying rate of 0.05 cm(-1). (c) 2004 Elsevier B.V. All rights reserved.

Calculation of loss in conductors of a superconducting shielded slotted line and a coplanar waveguide

Finite conductivity in superconductors is taken into account by approximate boundary conditions imposed directly when deriving pair summatory equations, which are solved using the Galerkin method and the basis describing the edge singularity.

The calculation of Afρ and mass loss rate for comets

Ab initio calculations of Afρ are presented using Mie scattering theory and a Direct Simulation Monte Carlo (DSMC) dust outflow model in support of the Rosetta mission and its target 67P/Churyumov-Gerasimenko (CG). These calculations are performed for particle sizes ranging from 0.010 μm to 1.0 cm. The present status of our knowledge of various differential particle size distributions is reviewed and a variety of particle size distributions is used to explore their effect on Afρ , and the dust mass production View the MathML sourcem˙. A new simple two parameter particle size distribution that curtails the effect of particles below 1 μm is developed. The contributions of all particle sizes are summed to get a resulting overall Afρ. The resultant Afρ could not easily be predicted a priori and turned out to be considerably more constraining regarding the mass loss rate than expected. It is found that a proper calculation of Afρ combined with a good Afρ measurement can constrain the dust/gas ratio in the coma of comets as well as other methods presently available. Phase curves of Afρ versus scattering angle are calculated and produce good agreement with observational data. The major conclusions of our calculations are: – The original definition of A in Afρ is problematical and Afρ should be: qsca(n,λ)×p(g)×f×ρqsca(n,λ)×p(g)×f×ρ. Nevertheless, we keep the present nomenclature of Afρ as a measured quantity for an ensemble of coma particles.– The ratio between Afρ and the dust mass loss rate View the MathML sourcem˙ is dominated by the particle size distribution. – For most particle size distributions presently in use, small particles in the range from 0.10 to 1.0 μm contribute a large fraction to Afρ. – Simplifying the calculation of Afρ by considering only large particles and approximating qsca does not represent a realistic model. Mie scattering theory or if necessary, more complex scattering calculations must be used. – For the commonly used particle size distribution, dn/da ∼ a−3.5 to a−4, there is a natural cut off in Afρ contribution for both small and large particles. – The scattering phase function must be taken into account for each particle size; otherwise the contribution of large particles can be over-estimated by a factor of 10. – Using an imaginary index of refraction of i = 0.10 does not produce sufficient backscattering to match observational data. – A mixture of dark particles with i ⩾ 0.10 and brighter silicate particles with i ⩽ 0.04 matches the observed phase curves quite well. – Using current observational constraints, we find the dust/gas mass-production ratio of CG at 1.3 AU is confined to a range of 0.03–0.5 with a reasonably likely value around 0.1.

Does metabolic compensation explain the majority of less-than-expected weight loss in obese adults during a short-term severe diet and exercise intervention?

Objective: We investigated to what extent changes in metabolic rate and composition of weight loss explained the less-than-expected weight loss in obese men and women during a diet-plus-exercise intervention. Design: 16 obese men and women (41 ± 9 years; BMI 39 ± 6 kg/m2) were investigated in energy balance before, after and twice during a 12-week VLED (565–650 kcal/day) plus exercise (aerobic plus resistance training) intervention. The relative energy deficit (EDef) from baseline requirements was severe (74-87%). Body composition was measured by deuterium dilution and DXA and resting metabolic rate (RMR) by indirect calorimetry. Fat mass (FM) and fat-free mass (FFM) were converted into energy equivalents using constants: 9.45 kcal/gFM and 1.13 kcal/gFFM. Predicted weight loss was calculated from the energy deficit using the '7700 kcal/kg rule'. Results: Changes in weight (-18.6 ± 5.0 kg), FM (-15.5 ± 4.3 kg), and FFM (-3.1 ± 1.9 kg) did not differ between genders. Measured weight loss was on average 67% of the predicted value, but ranged from 39 to 94%. Relative EDef was correlated with the decrease in RMR (R=0.70, P<0.01) and the decrease in RMR correlated with the difference between actual and expected weight loss (R=0.51, P<0.01). Changes in metabolic rate explained on average 67% of the less-than-expected weight loss, and variability in the proportion of weight lost as FM accounted for a further 5%. On average, after adjustment for changes in metabolic rate and body composition of weight lost, actual weight loss reached 90% of predicted values. Conclusion: Although weight loss was 33% lower than predicted at baseline from standard energy equivalents, the majority of this differential was explained by physiological variables. While lower-than-expected weight loss is often attributed to incomplete adherence to prescribed interventions, the influence of baseline calculation errors and metabolic down-regulation should not be discounted.

Full compensation no longer sacrosanct : reflections on the past and future economic loss ‘cap’ for high income earners

The civil liability provisions relating to the assessment of damages for past and future economic loss have abrogated the common law principle of full compensation by imposing restrictions on the damages award, most commonly by a “three times average weekly earnings” cap. This consideration of the impact of those provisions is informed by a case study of the Supreme Court of Victoria Court of Appeal decision, Tuohey v Freemasons Hospital (Tuohey) , which addressed the construction and arithmetic operation of the Victorian cap for high income earners. While conclusions as to operation of the cap outside of Victoria can be drawn from Tuohey, a number of issues await judicial determination. These issues, which include the impact of the damages caps on the calculation of damages for economic loss in the circumstances of fluctuating income; vicissitudes; contributory negligence; claims per quod servitum amisit; and claims by dependants, are identified and potential resolutions discussed.

Electron/ion energy loss to discharge walls revised : a case study in low-temperature, thermally nonequilibrium plasmas

Reliable calculations of the electron/ion energy losses in low-pressure thermally nonequilibrium low-temperature plasmas are indispensable for predictive modeling related to numerous applications of such discharges. The commonly used simplified approaches to calculation of electron/ion energy losses to the chamber walls use a number of simplifying assumptions that often do not account for the details of the prevailing electron energy distribution function (EEDF) and overestimate the contributions of the electron losses to the walls. By direct measurements of the EEDF and careful calculation of contributions of the plasma electrons in low-pressure inductively coupled plasmas, it is shown that the actual losses of kinetic energy of the electrons and ions strongly depend on the EEDF. It is revealed that the overestimates of the total electron/ion energy losses to the walls caused by improper assumptions about the prevailing EEDF and about the ability of the electrons to pass through the repulsive potential of the wall may lead to significant overestimates that are typically in the range between 9 and 32%. These results are particularly important for the development of power-saving strategies for operation of low-temperature, low-pressure gas discharges in diverse applications that require reasonably low power densities. © 2008 American Institute of Physics.