Robust quantification of the exposure to operational risk: Bringing economic sense to economic capital

Operational risk is commonly analyzed in terms of the distribution of aggregate yearly losses. Risk measures can then be computed as statistics of this distribution that focus on the region of extreme losses. Assuming independence among the operational risk events and between the likelihood that they occur and their magnitude, separate models are made for the frequency and for the severity of the losses. These are then combined to estimate the distribution of aggregate losses. While the detailed form of the frequency distribution does not significantly affect the risk analysis, the choice of model for the severity often has a significant impact on operational risk measures. For heavy-tailed distributions these measures are dominated by extreme losses, whose probability cannot be reliably extrapolated from the available data. With limited empirical evidence, it is difficult to distinguish among alternative models that produce very different values of the risk measures. Furthermore, the estimates obtained can be unstable and overly sensitive to the presence or absence of single extreme events. Setting a bound on the maximum amount that can be lost in a single event reduces the dependence on the distributional assumptions and improves the robustness and stability of the risk measures, while preserving their sensitivity to changes in the risk profile. This bound should be determined by expert assessment on the basis of economic arguments and validated by the regulator, so that it can be used as a control parameter in the risk analysis.     

Acoustic scattering solver based on single level FMM for multi-GPU systems

In this paper, we present a heterogeneous parallel solver of a high frequency single level Fast Multipole Method (FMM) for the Helmholtz equation applied to acoustic scattering. The developed solution uses multiple GPUs to tackle the compute bound steps of the FMM (aggregation, disaggregation, and near interactions) while the CPU handles a memory bound step (translation) using OpenMP. The proposed solver performance is measured on a workstation with two GPUs (NVIDIA GTX 480) and is compared with that of a distributed memory solver run on a cluster of 32 nodes (HP BL465c) with an Infiniband network. Some energy efficiency results are also presented in this work.     

A collaborative platform for cognitive decision making in the Knowledge Society

Two key aspects of the Knowledge Society are the interconnection between the actors involved in the decision making processes and the importance of the human factor, particularly the citizen’s continuous learning and education. This paper presents a new module devoted to knowledge extraction and diffusion that has been incorporated into a previously developed decision making tool concerning the Internet and related with the multicriteria selection of a discrete number of alternatives (PRIOR-Web). Quantitative and qualitative procedures using data and text mining methods have been employed in the extraction of knowledge. Graphical visualisation tools have been incorporated in the diffusion stage of the methodological approach suggested when dealing with decision making in the Knowledge Society. The resulting collaborative platform is being used as the methodological support for the cognitive democracy known as e-cognocracy.     

A Java simulator of Rescorla and Wagner's prediction error model and configural cue extensions

In this paper we present the "R&W Simulator" (version 3.0), a Java simulator of Rescorla and Wagner's prediction error model of learning. It is able to run whole experimental designs, and compute and display the associative values of elemental and compound stimuli simultaneously, as well as use extra configural cues in generating compound values; it also permits change of the US parameters across phases. The simulator produces both numerical and graphical outputs, and includes a functionality to export the results to a data processor spreadsheet. It is user-friendly, and built with a graphical interface designed to allow neuroscience researchers to input the data in their own "language". It is a cross-platform simulator, so it does not require any special equipment, operative system or support program, and does not need installation. The "R&W Simulator" (version 3.0) is available free.     

Petri net-based engine for adaptive learning

In this paper, an IMS LD engine based on a Petri net model that represents the operational semantics of units of learning based on this specification is presented. The Petri nets of this engine, which is called OPENET4LD, verify the structural properties that are desirable for a learning flow and also facilitate the adaptation of the engine if potential changes in the IMS LD specification were proposed. Furthermore, OPENET4LD has an open and flexible architecture based on a set of ontologies that describe both the semantics of the Petri nets execution and the semantics of each learning flow component of IMS LD. Furthermore, the implementation of this architecture has been exhaustively validated with a number of UoLs that are compliant with the levels A and B of IMS LD.     

Model of Precipitation Kinetics Induced by Strain for Microalloyed Steels

In microalloyed steels, static recrystallisation is temporarily inhibited by precipitation which is occurring at the same time. A high number of microalloyed steels containing various combinations of carbon, nitrogen and precipitate forming elements like V, Nb and Ti were recrystallised at different temperatures and strain rates. From these results recrystallisation‐precipitation–time‐temperature (RPTT) diagrams were established. The influence of grain size and strain rate on the RPTT diagrams was studied. The precipitation kinetics were mathematically described for isothermal conditions and converted to cooling conditions, which enables an application to hot rolling. Under cooling conditions, completion of recrystallisation is prevented, especially for Nb alloyed steels.     

Design and Calibration of an Opto-mechanical Appliance for 3D Non-contact Orthopedic Measurements Part II: Calibration Methodology and Experimental Results

A multistep iterative calibration methodology for the opto-mechanical system introduced in Part I is proposed. The methodology makes use of a monoview coplanar set of control points, whose number has been determined on the basis of both geometrical considerations and the results of a statistical analysis aiming at assessing the procedure stability in the case of noisy image data. The calibration procedure is carried out comparing the theoretical and observed images of the calibration pattern. Both synthetic and real data have been employed to test the calibration procedure, which proved to be accurate and efficient. The experimental results achieved by the calibrated system are satisfactory in terms of measurement precision.     

A random set approach to the optimization of uncertain structures

The single-objective optimization of structures, whose parameters are assigned as fuzzy numbers or fuzzy relations, is presented in this paper as a particular case of the random set theory and evidence theory approach to uncertainty. Some basic concepts concerning these theories are reviewed and the relationships among interval analysis, convex modeling, possibility theory and probability theory are pointed out. In this context a frequentistic view of fuzzy sets makes sense and it is possible to calculate bounds on the probability that the solution satisfies the constraints. Some special but useful cases illustrate in detail the meaning of the approach proposed and its links with a recent formulation conceived within the context of convex modeling. Some theorems allow a very efficient computational procedure to be set up in many real design situations. Two numerical examples illustrate the model presented.     

Merging Results for Distributed Content Based Image Retrieval

Searching information through the Internet often requires users to separately contact several digital libraries, use each library interface to author the query, analyze retrieval results and merge them with results returned by other libraries. Such a solution could be simplified by using a centralized server that acts as a gateway between the user and several distributed repositories: The centralized server receives the user query, forwards the user query to federated repositories—possibly translating the query in the specific format required by each repository—and fuses retrieved documents for presentation to the user. To accomplish these tasks efficiently, the centralized server should perform some major operations such as: resource selection, query transformation and data fusion. In this paper we report on some aspects of MIND, a system for managing distributed, heterogeneous multimedia libraries (MIND, 2001, http://www.mind-project.org). In particular, this paper focusses on the issue of fusing results returned by different image repositories. The proposed approach is based on normalization of matching scores assigned to retrieved images by individual libraries. Experimental results on a prototype system show the potential of the proposed approach with respect to traditional solutions.