We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. For elliptically distributed asset variables, the asymptotic limits of default probabilities and default correlations depend on the max-domain of attraction of the asset variables. In the regularly varying case, we derive an integral r...

Studying Pukanszky's type III factor, M2, we show that it does not have the property of asymptotic abelianness and discuss how this property is related to property L. We also prove that there are no asymptotic abelian II factors. The extension (by ampliation) of central sequences in a finite factor, N, to M ® N is shown to be central. Also, we give two examples of the reduction (by equivalence)...

For a class of linear autonomous delay differential equations with parameter α we give upper bounds for the integral ∞ 0 |X (t, α)| dt of the fundamental solution X (·, α). The asymptotic estimations are sharp at a critical value α0 where x = 0 loses stability. We use these results to study the stability properties of perturbed equations.

In this paper, we show that there is no negative upper bound for the sectional curvature of Teichmüller space of Riemann surfaces with the Weil–Petersson metric. Mathematics Subject Classifications (2000). 32G15, 53C21, 30F60.

the normalized full gradient (nfg) method defined by berezkin (1967, 1973 and 1998) is used for downward continuation maps. analytical downward continuation is a method to estimate the field closer to the source and consequently results in a better resolution of underground rock distribution. however, the usefulness of this process is limited by the fact that the operation is extremely sensitiv...

In this paper, we show the uniqueness of smooth embedded selfshrinkers asymptotic to generalized cylinders of infinite order. Also, we construct non-rotationally symmetric self-shrinking ends asymptotic to generalized cylinders with rate as fast as any given polynomial.

This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced in [13], [14]. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the numéraire portfolios, related to small markets. The obtained criteria can be ex...

Far too many courts lack interest in either education or engineering. This also can be applied to the police departments. In too many in­ stances educators are indifferent to the courts, police and engineering. Not desiring to point an accusing finger, it is felt that traffic engineer­ ing falls as short of perfection in this regard as the other fields of re­ sponsibility in traffic safety. If,...

in common classical methods of cavity depth estimation through microgravity data, usually when a pre-geometrical model is considered for the cavity shape, the simple geometrical models of sphere, vertical cylinder and horizontal cylinder are commonly used. it is obviously an important fact that in real conditions the shapes of the cavities are not exactly sphere, horizontal cylinder or vertical...