A multiperiod model for estimating the cost of deposit insurance under the Basel III minimum capital requirement

Under the Basel III regime, a commercial bank is considered adequately capitalized if it maintains a ratio of capital to total risk-weighted assets or capital adequacy ratio (CAR) of at least 8%. We model a commercial bank that complies with Basel III's minimum capital requirement on an interval $[0,T]$ for $T>0$. The bank model is achieved via a specific rate of capital influx that fixes the bank's CAR at the minimum prescribed level of 8%. On the basis of this capital influx rate, we derive models for the bank's asset portfolio and capital dynamics required for maintaining the CAR at the minimum prescribed level. For the aforementioned bank, we further study a deposit insurance (DI) pricing problem with a coverage horizon equal to $T$ years. More specifically, we employ a multiperiod DI pricing model to approximate the cost of DI for the bank on the interval $[0,T]$, where the constant (minimum) CAR is maintained. We study the behaviours of the models leading to the constant (minimum) CAR, and the behaviour of the DI premium estimate by means of numerical simulations. In the simulation study pertaining to the DI premium estimate specifically, we determine the effects of changes in the bank's initial leverage level (deposit-to-asset ratio), the DI coverage horizon, and the volatility of the asset portfolio on the DI premium estimate.     

Acid/Base‐Triggered Switching of Circularly Polarized Luminescence and Electronic Circular Dichroism in Organic and Organometallic Helicenes

Electronic circular dichroism and circularly polarized luminescence acid/base switching activity has been demonstrated in helicene‐bipyridine proligand 1 a and in its “rollover” cycloplatinated derivative 2 a . Whereas proligand 1 a displays a strong bathochromic shift (>160 nm) of the nonpolarized and circularly polarized luminescence upon protonation, complex 2 a displays slightly stronger emission. This strikingly different behavior between singlet emission in the organic helicene and triplet emission in the organometallic derivative has been rationalized by using quantum‐chemical calculations. The very large bathochromic shift of the emission observed upon protonation of azahelicene‐bipyridine 1 a has been attributed to the decrease in aromaticity (promoting a charge‐transfer‐type transition rather than a π–π* transition) as well as an increase in the HOMO–LUMO character of the transition and stabilization of the LUMO level upon protonation.     

Effect of the External Mirror Feedback Strength in the Dynamics and Spectrum of the Injected Semiconductor Lasers

We analytically investigate the effect of an external mirror on the stability of an injected semiconductor laser, the latter treated as injected damped oscillators. In the studied configuration, the injected semiconductor laser with an external mirror is under the influence of a chaotic oscillating optical signal that is generated by a similar semiconductor master laser. We derive our results in terms of the damping rate and resonance frequency. We show that the external mirror can eliminate the unstable modes of the injected laser at low frequencies. Furthermore, the mirror can enhance the damping of the oscillation modes of the injected semiconductor laser; consequently, the driven response of the injected laser may have a broad spectrum, even wider than that of the chaotic driving signal. We also show results for the bandwidths of the injection amplitude and phase increment as functions of the injection rate and feedback strength of the external mirror. In addition, we use bifurcation and time-series curves to describe the dynamical behavior of the injected laser. We identify the feedback strength of injected laser, relative to that of the master laser, which induces synchronization between the injected-laser oscillation modes and the master laser.     

Diliberto–Straus algorithm for the uniform approximation by a sum of two algebras

In 1951, Diliberto and Straus [5] proposed a levelling algorithm for the uniform approximation of a bivariate function, defined on a rectangle with sides parallel to the coordinate axes, by sums of univariate functions. In the current paper, we consider the problem of approximation of a continuous function defined on a compact Hausdorff space by a sum of two closed algebras containing constants. Under reasonable assumptions, we show the convergence of the Diliberto–Straus algorithm. For the approximation by sums of univariate functions, it follows that Diliberto–Straus’s original result holds for a large class of compact convex sets.     

Chiral-at-Molybdenum – A Computational Study on N-Substituted cis-MoO2(nacnac)2

Cis-MoO₂(nacnac)₂ (nacnac=β-diketiminate) can be a viable chiral-at-metal catalyst when its two β-diketiminate (nacnac) ligands are N-substituted to prevent Λ⇌Δ racemization. Even simple methyl groups raise the barriers for racemization significantly for the Bailar, Rây-Dutt, Conte-Hippler, and Dhimba-Muller-Lammertsma (DML) twists to a respectable 28.5, 37.8, 30.5, and 25.1 kcal/mol, respectively, at ωB97X-D/6-311+G(2d,p) (LANL2DZ for Mo) including acetonitrile solvation. The lowest energy DML barrier increases to ΔG^o=27.4 kcal/mol with N-substituted t-butyl groups. The nacnac ligands’ electronic and steric components to the racemization barriers are discussed.     

A purely elastic transition in Taylor-Couette flow

Experimental evidence of a non-inertial, cellular instability in the Taylor-Couette flow of a viscoelastic fluid is presented. A linear stability analysis for an Oldroyd-B fluid, which is successful in describing many features of the experimental fluid, predicts the critical Deborah number,De _c , at which the instability is observed. The dependence ofDe _c on the value of the dimensionless gap between the cylinders is also determined.This paper is dedicated to Professor Hanswalter Giesekus on the occasion of his retirement as Editor of Rheologica Acta.     

Mean field calculation of effective permeability based on fractal pore space

Effective permeability for porous rocks is calculated using mean field theory. We make two simplifying assumptions about the internal conductances in a network representation of the porous rock: (i) Pore space is characterized by a uniform fractal scaling; (ii) the internal conductances depend only on the characteristic pore sizes. Within these approximations, it is possible to derive a simple probability density for the internal conductances which is used for calculating effective permeability. Good agreement between calculations and experimental data of permeability vs. porosity is achieved.     

Rheology/morphology/flow conditions relationships for polymethylmethacrylate/rubber blend

Viscoelastic behavior, phase morphology and flow conditions relationships in polymer/rubber blends have been investigated. The importance of such correlations is illustrated on polymethylmethacrylate (PMMA)/rubber blends subjected to different flow conditions both under small and large deformations. In small-amplitude oscillatory shear (the morphology does not change during the flow) the elastic modulus G of the concentrated blends shows a secondary plateau, G _p , in the low frequency region. This solid-like behavior appears for rubber particle contents beyond the percolation threshold concentration (15%). Morphological observations revealed that for concentrations higher than 15%, the particles are dispersed in a three-dimensional network-type structure.In capillary flow it was found that the network-type structure was destroyed and replaced by an alignment of particles in the flow direction. This morphological modification resulted in a decrease in both viscosity and post-extrusion swell of the blends. Morphological observations revealed that the ordered structure in the flow direction was concentrated only in the skin region of the extrudate, where the shear stress is higher than the secondary plateau, G _p . A simple kinetic mechanism is proposed to explain the observed morphology.Similarly, steady shear measurements performed in the cone-and-plate geometry revealed alignment of particles in the flow direction for shear stress values higher than G_p.Presented in part at the Symposium Recent Developments in Structured Continua Montréal (Canada) 26–28 May 1993 and at the 45th Canadian Chemical Engineering Conference, Quebec, October 15–18 (1995)     

Volatilization of Pesticides from Plant and Soil Surfaces—Field Versus Laboratory Experiments

Abstract

Comparative volatilization experiments were carried out using isoproturon and parathion-methyl sprayed on French beans in field experiments and on plant stands (0.5 m²) in the volatilization chamber developed by the SLFA Neustadt using both compounds ¹⁴C-labelled. The experimental conditions in the field experiments concerning wind speed, temperature and humidity fluctuations were simulated in the volatilization chamber. The laboratory experiment reflected the actual outdoor situation, showing only a negligible amount of volatile isoproturon directly measured in air samples, and providing no reduction of the A.I. residues in plants compared with the initial value in the corresponding field experiment. 77.2% of the parathion-methyl applied to the plants were volatilized and measured directly in air samples in the volatilization chamber while a reduction by 74.7% was found for the corresponding field experiment by residue analysis of the plants after 24 h. No details could be given concerning the nature of the evaporated portions in the field experiment.