Stochastic models for risk estimation in volatile markets: a survey

Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and risk capital allocation with the average value-at-risk measure (AVaR). AVaR is the average loss provided that the loss is larger than a predefined value-at-risk level. We consider in some detail the AVaR calculation and estimation and investigate the stochastic stability.     

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student’s t or a stable distribution for portfolio returns. We also carry out an empirical study with the constituents of DAX30, CAC40, and SMI. Our analysis leads to practical implications for institutional investors and regulators.     

The Synergistic Effect of a Mixture of the Oligomer of 2,2,4-Trimethyl-1,2-Digidrochinoline and Polymeric Petroleum Resin on the Adhesion of Chlorobutyl Rubber to Steel

Studies have been carried out to increase the adhesion and heat resistance of insulating tape coatings based on chlorobutyl rubber applied on pipelines. It is shown that the synergistic effect of the growth of adhesion of chlorobutyl rubber to steel by the co-administration of the oligomer of 2,2,4-trimethyl-1,2-dihydroquinoline and polymeric petroleum resin is due to the increased interaction of the oligomer with chlorobutyl rubber under the action of a polymeric petroleum resin and the high adhesion of the oligomer to steel.     

The aggregation of the merocyanine dyes, depending of the type of the counterions

Counterions affect on the substructures formation in the case of the merocyanine dye, 1-methyl-4-[2-(4-hydroxyphenyl)ethenyl)]piridinium] hydrogensquarate both in gas and condense phase. Spectroscopically and structural elucidation of these aggregates have been performed, using solid-state conventional and linear-polarized IR-spectroscopy of oriented colloids as a nematic liquid crystal suspension, UV-vis spectroscopy, HPLC tandem ESI mass spectrometry, (1)H and (13)C NMR, TGV and DSC. Quantum chemical DFT calculations have been carried out as well. Experimental and theoretical data are compared with analogous ones of corresponding iodide salt of dye studied.     

Enhanced photocatalytic activity of thin TiO2 films dotted with ZnS nanoparticles

The effect of Ni loading on the catalytic activity of Ni/ZrO₂ catalyst for methane steam reforming was investigated. The sample containing 15 wt.% Ni exhibited the highest activity as well as stability at 600°C. An erratum to this article is available at .     

The basicity of unsaturated hydrocarbons as probed by hydrogen-bond-acceptor ability: bifurcated N-H+ ...pi hydrogen bonding

The competitive substitution of the anion (A(-)) in contact ion pairs of the type [Oct3NH+]B(C6F5)4 (-) by unsaturated hydrocarbons (L) in accordance with the equilibrium Oct3NH+...A(-) + nL right arrow over left arrow [Oct3NH+...Ln]A(-) has been studied in CCl4. On the basis of equilibrium constants, K, and shifts of nuNH to low frequency, it has been established that complexed Oct3NH...+Ln cations with n=1 and 2 are formed and have unidentate and bifurcated N--H+...pi hydrogen bonds, respectively. Bifurcated hydrogen bonds to unsaturated hydrocarbons have not been observed previously. The unsaturated hydrocarbons studied include benzene and methylbenzenes, fused-ring aromatics, alkenes, conjugated dienes, and alkynes. From the magnitude of the redshifts in the N--H stretching frequencies, Delta nuNH, a new scale for ranking the pi basicity of unsaturated hydrocarbons is proposed: fused-ring aromatics相似文献   

Preparation and properties of wooden fiberboards with phenol cardanol formaldehyde adhesives

The results of a study of wooden fiberboards, for which phenol cardanol formaldehyde resins with different cardanol content were used as binders, are shown. The influence of technological factors on the bending strength of fiberboards and their water absorption in the case of the use of such binders is shown.     

The Skyrme-TQRPA calculations of electron capture on hot nuclei in pre-supernova environment

We combine the thermal QRPA approach with the Skyrme energy density functional theory (Skyrme–TQRPA) for modelling the process of electron capture on nuclei in supernova environment. For a sample nucleus, ⁵⁶Fe, the Skyrme–TQRPA approach is applied to analyze thermal effects on the strength function of GT₊ transitions which dominate electron capture at E _e ≤ 30 MeV. Several Skyrme interactions are used in order to verify the sensitivity of the obtained results to the Skyrme force parameters. Finite-temperature cross sections are calculated and the results are comparedwith those of the other model calculations.     

Polarization interferometer as a proximity sensor

A simple interferometric phasemeter which can be used as a proximity sensor is described. It is based on the measurement of the phase shift between the p- and s- components of a field caused by the processes of attenuation in total internal reflection. The role of the interferometer is to restore the p- and the s- components from the resultant totally reflected field, with minimum amplitude and phase distortions and to let them interfere. The phase shift as a function of the attenuation of the total internal reflection can be determined from the interference signal. The interferometer is of a common path polarization shearing type, consisting of Rochon beamsplitter and a linear polarizer. An experiment for measuring the distance between glass plane surface and a plane attenuater made of Si mono-crystal is described. A good agreement between theory and experiment for separations less than 300 nm is observed. This device can be applied in research and metrology. After further modifications, the optical system could be used for proximity sensing, surface geometry control, variable optical retarders, contamination monitoring, etc.