On the Correlation between Globalization and Vulnerability in Times of Economic Crisis — A Statistical Analysis for Europe

In this paper, we test the hypothesis that more globalized countries in Europe are equally vulnerable to the current crisis as less globalized European countries. To determine the level of globalization, we use the Maastricht Globalization Index (MGI). We measure the severity of the economic crisis with five key economic indicators. The results seem to suggest that the rising level of globalization increases vulnerability to economic crises on the one hand, while, on the other, higher levels of globalization increase the opportunities to deal with a crisi

Multiport VNA Measurements

This article presents some of the most recent multiport VNA measurement methodologies used to characterize these highspeed digital networks for signal integrity. There will be a discussion of the trends and measurement challenges of high-speed digital systems, followed by a presentation of the multiport VNA measurement system details, calibration, and measurement techniques, as well as some examples of interconnect device measurements. The intent here is to present some general concepts and trends for multiport VNA measurements as applied to computer system board-level interconnect structures, and not to promote any particular brand or produc

Quasiclassical and Quantum Systems of Angular Momentum. Part II. Quantum Mechanics on Lie Groups and Methods of Group Algebras

In Part I of this series we presented the general ideas of applying group-algebraic methods for describing quantum systems. The treatment was there very "ascetic" in that only the structure of a locally compact topological group was used. Below we explicitly make use of the Lie group structure. Basing on differential geometry enables one to introduce explicitly representation of important physical quantities and formulate the general ideas of quasiclassical representation and classical analogy

On the Hyperbolicity of Lorenz Renormalization

We consider infinitely renormalizable Lorenz maps with real critical exponent $\alpha>1$ and combinatorial type which is monotone and satisfies a long return condition. For these combinatorial types we prove the existence of periodic points of the renormalization operator, and that each map in the limit set of renormalization has an associated unstable manifold. An unstable manifold defines a family of Lorenz maps and we prove that each infinitely renormalizable combinatorial type (satisfying the above conditions) has a unique representative within such a family. We also prove that each infinitely renormalizable map has no wandering intervals and that the closure of the forward orbits of its critical values is a Cantor attractor of measure zero.Comment: 63 pages; 10 figure

Quantitative Validation: An Overview and Framework for PD Backtesting and Benchmarking.

The aim of credit risk models is to identify and quantify future outcomes of a set of risk measurements. In other words, the model's purpose is to provide as good an approximation as possible of what constitutes the true underlying risk relationship between a set of inputs and a target variable. These parameters are used for regulatory capital calculations to determine the capital needed that serves a buffer to protect depositors in adverse economic conditions. In order to manage model risk, financial institutions need to set up validation processes so as to monitor the quality of the models on an ongoing basis. Validation is important to inform all stakeholders (e.g. board of directors, senior management, regulators, investors, borrowers, …) and as such allow them to make better decisions. Validation can be considered from both a quantitative and qualitative point of view. Backtesting and benchmarking are key quantitative validation tools. In backtesting, the predicted risk measurements (PD, LGD, CCF) will be contrasted with observed measurements using a workbench of available test statistics to evaluate the calibration, discrimination and stability of the model. A timely detection of reduced performance is crucial since it directly impacts profitability and risk management strategies. The aim of benchmarking is to compare internal risk measurements with external risk measurements so to allow to better gauge the quality of the internal rating system. This paper will focus on the quantitative PD validation process within a Basel II context. We will set forth a traffic light indicator approach that employs all relevant statistical tests to quantitatively validate the used PD model, and document this complete approach with a reallife case-study.Framework; Benchmarking; Credit; Credit scoring; Control;