VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

In this paper, we generalize the Linear VaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a mixture of multivariate t-distributions. This is a part of J. SADEFO-KAMDEM PhD Thesis[12] of the Université de Reims, France . It has been presented at the workshop on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate professor at the Department of mathematics, université d’Evry Val d’Essonne.     

Applications of the discrete element method in mechanical engineering

Compared to other fields of engineering, in mechanical engineering, the Discrete Element Method (DEM) is not yet a well known method. Nevertheless, there is a variety of simulation problems where the method has obvious advantages due to its meshless nature. For problems where several free bodies can collide and break after having been largely deformed, the DEM is the method of choice. Neighborhood search and collision detection between bodies as well as the separation of large solids into smaller particles are naturally incorporated in the method. The main DEM algorithm consists of a relatively simple loop that basically contains the three substeps contact detection, force computation and integration. However, there exists a large variety of different algorithms to choose the substeps to compose the optimal method for a given problem. In this contribution, we describe the dynamics of particle systems together with appropriate numerical integration schemes and give an overview over different types of particle interactions that can be composed to adapt the method to fit to a given simulation problem. Surface triangulations are used to model complicated, non-convex bodies in contact with particle systems. The capabilities of the method are finally demonstrated by means of application examples. Commemorative Contribution.     

Beyond Boundary Objects: Collaborative Reuse in Aircraft Technical Support

Boundary objects are a critical, but understudied, theoretical construct in CSCW. Through a field study of aircraft technical support, we examined the role of boundary objects in the practical achievement of safety by service engineers. Their resolution of repair requests was preserved in the organization’s memory via three compound boundary objects. These crystallizations did not manifest a static interpretation, but instead were continually reinterpreted in light of meta-negotiations. This suggests design implications for organizational memory systems which can more fluidly represent the meta-negotiations surrounding boundary objects.     

Probing stress effects in HfO2 gate stacks with time dependent measurements

Effects of constant voltage stress (CVS) on gate stacks consisting of an ALD HfO₂ dielectric with various interfacial layers were studied with time dependent sensing measurements: DC I–V, pulse I–V, and charge pumping (CP) at different frequencies. The process of injected electron trapping/de-trapping on pre-existing defects in the bulk of the high-κ film was found to constitute the major contribution to the time dependence of the threshold voltage (V_t) shift during stress. The trap generation observed with the low frequency CP measurements is suggested to occur within the interfacial oxide layer or the interfacial layer/high-κ interface, with only a minor effect on V_t.