Top-down approaches for integrated risk management: How accurate are they?

Banks and other financial institutions try to compute the necessary amount of total capital that they need for absorbing stochastically dependent losses from different risk types (e.g., credit risk and market risk). Two sophisticated procedures of this so-called integrated risk management are the top-down and the bottom-up approaches. When banks apply a more sophisticated risk integration approach at all, it is usually the top-down approach where copula functions are employed for linking the marginal distributions of profit and losses resulting from different risk types. However, it is not clear at all how accurate this approach is. Assuming that the bottom-up approach corresponds to the real-word data-generating process and using a comprehensive simulation study, it is shown that the top-down approach can underestimate the necessary amount of total capital for lower credit qualities. Furthermore, the direction and strength of the stochastic dependence between the risk types, the copula function employed, and the loss definitions all have an impact on the performance of the top-down approach. In addition, a goodness-of-fit test shows that, based on time series of loss data with realistic length, it is rather difficult to decide which copula function is the right one.     

School mathematics and creativity at the elementary and middle-grade levels: how are they related?

In this study, we evaluated students’ creativity, as expressed in the solution methods of three problems for groups of students in different grades. Posing the same problems to students of similar (advanced) mathematical abilities in different grades allowed us to look for possible connections between creativity and mathematical knowledge. The findings indicate that at the elementary school level, the number of solution methods and creativity scores increased with age. The collective methods space of the eighth graders seemed to narrow almost exclusively to algebraic methods, but the increase in the number of solutions was renewed in the ninth grade.     

Moral Sensitivity and Desire Attachment: In What Sense are they Constituents of One’s Rational Profile?

A quantitative interpretation is given of the (in)coherence that moral agents experience as a tension between their ordered moral judgments over n physically incompatible actions, and the competitive ordering of motivating intensities (or, desires). Then a model describing one’s tendency to reduce the experienced in-coherence is constructed. In this model, moral sensitivity (S) and desire attachment (e) function as primitives that motivate from opposing perspectives the reduction of incoherence. Two distinct sub-processes of this reduction are therefore initiated by (S) and (e) co-ordinated (more or less efficiently) by the agent’s degree of rationality (R) characteristic of her capacity to handle such internal tensions. This process ends when a new equilibrium between what motivates and what resists (further) reduction has been reached. A macro-equilibrium is described involving (R) constrained by weakness-of-will (W _w ). A reinterpretation of the Aristotelian characters (enkratês, akratês, etc.) and an exegesis of Hume’s ‘Calm Passions’ follow as applications.

When are Homogeneous Functions Linear?

An R-module V is a ray if for every R-module W, the R-homogeneous functions from V to W are additive. We use properties of the lattice of submodules of $ V, {\cal L}(V) $ , to determine conditions for V to be a ray. We also use the lattice structure of $ {\cal L}(V) $ to further study those rings such that every R-module V is a ray. As a result, we can characterize all semisimple modules which are rays.     

How Topological are Topological Groups?

Abstract

A Characterization of the category of topological groups is provided which does not refer to the category of topological spaces at all, but only to the category of uniform spaces. Similarly, the category of SIN-groups is characterized in a purely uniform way.     

Controllability and synchronizability: Are they related?

In the two last decades the concept of observability has been formally linked to that of embedding in the context of nonlinear dynamics. Such a concept has been shown to play an important role in global modeling, data analysis and filtering, to mention a few examples. Preliminary results suggested that observability, at least in some cases, has some influence in synchronization problems. Could the dual concept of controllability also be important in such problems? In the context of synchronization, in general, the role played by controllability properties may not be as relevant as observability is for data analysis. In this work we compute controllability coefficients analogous to the observability ones, now established in the literature, and evaluate their importance in synchronization problems. Two benchmarks have been used in the simulations: the Rössler and the cord systems. The following schemes were investigated: synchronization to external sinusoidal force, complete replacement, uni- and bi-directional coupling of identical oscillators. The results discussed in this work show that controllability and synchronizability are not related in general.     

Which algebraic groups are Picard varieties?

We show that every connected commutative algebraic group over an algebraically closed field of characteristic 0 is the Picard variety of some projective variety having only finitely many non-normal points.In contrast,no Witt group of dimension at least 3 over a perfect field of prime characteristic is isogenous to a Picard variety obtained by this construction.     

How accessible are categories of algebras?

For locally finitely presentable categories it is well known that categories of F-algebras, where F is a finitary endofunctor, are also locally finitely presentable. We prove that this generalizes to locally finitely multipresentable categories. But it fails, in general, for finitely accessible categories: we even present an example of a strongly finitary functor F (one that preserves finitely presentable objects) whose category of F-algebras is not finitely accessible. On the other hand, categories of F-algebras are proved to be ω₁-accessible for all strongly finitary functors—and it is an open problem whether this holds for all finitary functors.     

Which Real Lie Groups are Reductive?

The present author introduced in [4] the following version of reductivity: a real Lie group G with reductive Lie algebra g should be called reductive if its each irreducible continuous unitary representation is admissible. Furthermore, he showed there that his really reductive groups are reductive. Here we show the converse: each reductive real Lie group is really reductive, i.e., contains an open normal subgroup G1 of finite index such that G1 = Z(G1)G0, where G0 is the connected component of G containing 1, and Z(G1) is the center of G1.     

When are Fredholm triples operator homotopic?

Fredholm triples are used in the study of Kasparov's -groups, and in Connes's noncommutative geometry. We define an absorption property for Fredholm triples, and give an if and only if condition for a Fredholm triple to be absorbing. We study the interaction of the absorption property with several of the more common equivalence relations for Fredholm triples. In general these relations are coarser than homotopy in the norm topology. We give simple conditions for an equivalence of triples to be implemented by an operator homotopy (i.e. a homotopy with respect to the norm topology). This can be expected to have applications in index theory, as we illustrate by proving two theorems of Pimsner-Popa-Voiculescu type. We show that there is some relationship with the interesting Toms-Winter characterization of -absorbing algebras, recently obtained as part of Elliott's classification program.

     

How quadratic are the natural numbers?

Abstract. For natural numbers n we inspect all factorizations n = ab of n with a ￡ ba \le b in \Bbb N\Bbb N and denote by n=a_n b_nn=a_n b_n the most quadratic one, i.e. such that b_n - a_nb_n - a_n is minimal. Then the quotient k(n) : = a_n/b_n\kappa (n) := a_n/b_n is a measure for the quadraticity of n. The best general estimate for k(n)\kappa (n) is of course very poor: 1/n ￡ k(n) ￡ 11/n \le \kappa (n)\le 1. But a Theorem of Hall and Tenenbaum [1, p. 29], implies(logn)^-d-e ￡ k(n) ￡ (logn)^-d(\log n)^{-\delta -\varepsilon } \le \kappa (n) \le (\log n)^{-\delta } on average, with d = 1 - (1+log₂  2)/log2=0,08607 ?\delta = 1 - (1+\log _2 \,2)/\log 2=0,08607 \ldots and for every e > 0\varepsilon >0. Hence the natural numbers are fairly quadratic.¶k(n)\kappa (n) characterizes a specific optimal factorization of n. A quadraticity measure, which is more global with respect to the prime factorization of n, is k^*(n): = ?_{1 ￡ a ￡ b, ab=n} a/b\kappa ^*(n):= \textstyle\sum\limits \limits _{1\le a \le b, ab=n} a/b. We show k^*(n) ~ \frac 12\kappa ^*(n) \sim \frac {1}{2} on average, and k^*(n)=W(2^{\frac 12(1-e) log n/log ₂n})\kappa ^*(n)=\Omega (2^{\frac {1}{2}(1-\varepsilon ) {\log}\, n/{\log} _2n})for every e > 0\varepsilon>0.