Quantile regression for modelling distributions of profit and loss

Quantile regression is applied in two retail credit risk assessment exercises exemplifying the power of the technique to account for the diverse distributions that arise in the financial service industry. The first application is to predict loss given default for secured loans, in particular retail mortgages. This is an asymmetric process since where the security (such as a property) value exceeds the loan balance the banks cannot retain the profit, whereas when the security does not cover the value of the defaulting loan then the bank realises a loss. In the light of this asymmetry it becomes apparent that estimating the low tail of the house value is much more relevant for estimating likely losses than estimates of the average value where in most cases no loss is realised. In our application quantile regression is used to estimate the distribution of property values realised on repossession that is then used to calculate loss given default estimates. An illustration is given for a mortgage portfolio from a European mortgage lender. A second application is to revenue modelling. While credit issuing organisations have access to large databases, they also build models to assess the likely effects of new strategies for which, by definition, there is no existing data. Certain strategies are aimed at increasing the revenue stream or decreasing the risk in specific market segments. Using a simple artificial revenue model, quantile regression is applied to elucidate the details of subsets of accounts, such as the least profitable, as predicted from their covariates. The application uses standard linear and kernel smoothed quantile regression.     

4O6.7～415.4nm和632.8nm辐射在人肺组织中的穿透深度

在对作者原有工作改进的基础上，应用自行研制的“光纤探针深度计”首次精确测定了Kr+紫激光406．7～415．4um和He-Ne激光632．8nm波长处新鲜离休人肺组织中光能流率分布，获得这两种重要波长处人肺正常组织和人肺腺鳞癌组织中光能流率的分布规律及光穿透深度的数值：（1）δnormal=0.08mm,δtumour=0.32mm(λ=406.7～415.4nm);(2)δnormal=1.19mm,δturmour=1.70mm(λ=632.8nm),并对现有人肺组织的光穿透深度数据作了总结和讨论．     

非对称相异性矩阵的一种非度量多维尺度变换

本文将Okada ＆ Imaizumi等的模型加以推广,提出了一种用于处理非对称相异性矩阵的非度量多维尺度变换新方法.在模型中,我们假定每个研究对象可以表示为Minkowski度量空间中的一个点和一个超球面,超球面的半径揭示了相应研究对象的非对称性.文中我们给出了一种计算点坐标及球半径的算法.该算法使用了代数方法,比原来的方法收敛速度快,节省计算时间.最后给出了一个数值例子.     

The Projection onto a Direct Product of Convex Cones

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Reliability of calculating the cepstral peak without linear regression analysis

Measures of cepstral peak prominence, using the smoothing algorithm and linear regression analysis software developed by Hillenbrand, have been shown to be reliable predictors of dysphonia in voice samples.(1-4) Recently, the Computerized Speech Laboratory [(CSL) Kay Elemetrics, Pinebrook, New Jersey] has introduced cepstral analysis as a component of that software package. The cepstral peak, in this instance, is calculated by the voice clinician analyzing the phonatory sample by subtracting the value of the peak from the apparent baseline signal. This study compares the ability of cepstral peak values calculated from the CSL software to predict dysphonia reliably with that of the values produced by the smoothing algorithm and linear regression analysis of Hillenbrand. The results of this study show that linear regression analysis is an important step in calculating the cepstral peak prominence, thus limiting the usefulness of software programs that do not employ this step.     

Methods for wave equation prestack depth migration and numerical experiments

In this paper the methods of wave theory based prestack depth migration and their implementation are studied. Using the splitting of wave operator, the wavefield extrapolation equations are deduced and the numerical schemes are presented. The numerical tests for SEG/EAEG model with MPI are performed on the PC-cluster. The numerical re-     

Study of laser carving three-dimensional structures on ceramics: Quality controlling and mechanisms

Three-dimensional (3D) laser carving is a new, very flexible process and is very useful for machining the hard and/or brittle materials such as ceramics, carbide and hardened steel with high precision, excellent productivity and surface quality. In this paper, the effects of laser processing parameters on single-layer carving depth and surface quality are analyzed by laser carving on an Al₂O₃ ceramic with different processing parameters. The mechanisms of laser carving are also studied. A mathematical model of the relationship between the laser processing parameters and the laser carving depth is established, which is useful in obtaining the best machining parameters with the shortest time. Finally, a 3D pattern is successfully carved using the optimum parameters.     

On the Water Depth in the Breach during a Partial Dam Break

Theoretical and experimental data which make it possible to find the flow-rate, momentum and energy of the fluid that enters the lower pool after a discontinuity breakdown (dam break) in a rectangular channel with an even bottom, a step (sharp downstream rise in the bottom), a shelf (sharp drop in the bottom), and a threshold on the bottom are presented.     

阵不变量匹配主动声呐目标深度辨识

水面/水下目标深度辨识可以在主动声呐探测过程中快速筛选感兴趣目标。根据目标多径返回信号到达时间与目标深度的关联性,该文提出了基于水平线阵的主动脉冲响应匹配目标深度辨识方法,该方法利用主动信号传播特性结合阵不变量理论提取脉冲响应,并与拷贝声场匹配实现目标深度估计。在校正了目标多径回波的方位变化后,该方法提取的时域特征较为稳定,并且只在时延估计距离处进行深度搜索。通过水平阵收集的宽带实验数据,在连续的多次回波中实现了对水面/水下目标92%的辨识成功率,验证了该方法在浅海环境下的目标深度估计能力。     

结构可靠度计算中的描述性抽样法

本文提出描述性抽样方法的实质，即利用更少的时间抽取更多的服从要求概率分布的样本点，讨论了该方法的计算步骤和适用范围，并将描述性抽样方法与重要抽样方法结合起来计算多变量多模式的结构失效概率，比较了描述性抽样方法与一般抽样法的方差，算例结果表明描述性抽样方法具有较好的收敛性．