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.     

Trust on a Nationwide Scale

Singapore is a small island nation with roughly 4.5 million inhabitants, but it has a highly developed international economy based on trade, services, and knowledge management. Singapore launched its lofty goals by defining the nationpsilas e-security. Current research in the Singaporean telecommunications and IT security community attempts to model such peer-to-peer ad hoc transactions and leverage the existing standard infrastructure described in this article.     

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.     

Etching behavior of CVD zinc selenide in inorganic acid solutions

Chemical interaction between polished surfaces of polycrystalline zinc selenide and inorganic acid solutions of various concentrations has been studied.     

Electromagnetic wave reflection from Fe/Cr nanostructures

The reflection of electromagnetic waves in the millimeter wave band from Fe/Cr nanostructures has been studied. It is established that the giant magnetoresistance (GMR) in the nanostructure leads to an increase in the reflection and a decrease in the transmission of microwaves, while the magnetic resonance leads to a decrease in both the reflection and transmission coefficients.     

High-temperature oxidation of intermetallics formed by group IV transition metals with chromium

We have studied the oxidation resistance of chromium intermetallics: TiCr₂, HfCr₂, and ZrCr₂, in the temperature interval 873–1473 K with isothermal holding of the specimens for up to 20 h. We have shown that the intermetallics TiCr₂ and HfCr₂ are oxidized 2–3 times more slowly than pure titanium and hafnium, but more than 1–2 orders of magnitude faster than chromium at T≤1273 K and 4–6 times faster at 1473 K. In this temperature interval, the intermetallic ZrCr₂ is rapidly oxidized at an increasing rate as the heating temperature rises. The scaling resistance of intermetallics of Group IV d metals with chromium is determined by formation of scales in which the major role is played by the oxides TiO₂, HfO₂, and ZrO₂, with weak protective properties.