introduction to ecological risk assessment

... Scale Risk Scale Default Risk only Default Risk only Mark-to-Model of Loan Value Mark-to-Model of Loan Value Distance to Default (DtD) Definition of Risk Intensity Process economic Factors Macro-Asset ... Implemented Stochastic, via Macrofactors Historic Rating Changes, e.g Down/Upgrade and Default Down/Upgrade and Default DtD on contin Scale Risk Scale Default Risk only Default Risk only Mark-to-Model ... sector as a “factor-inducing” entity, or – as theCreditRisk+ Technical Document [18] says it – every sector could bethought of as generated by a single underlying factor In this way, sec-tors...

Ngày tải lên: 10/08/2014, 07:20

... standard deviation) In pricing tools the CM is sometimesassumed to be constant for a portfolio, even when adding new deals to cap-it The contribution of the new deal to the total EC of the enlargedportfolio ... generally latent variable) models Sec-2.5.2 The CreditRisk+ One-Sector Model We already discussed CreditRisk+inSection 2.4.2and will come back to it in Chapter 4 Therefore this paragraph is just ... pa-pers providing the reader with a good introduction as well as with avaluable source of ideas how to apply the copula concept to standardproblems in credit risk is Li [78,79], Frey and McNeil [45],...

Ngày tải lên: 10/08/2014, 07:20

... be assumed to carry more systematic risk, and that ©2003 CRC Press LLC FIGURE 2.10 Estimated economic cycle (top) compared to Moody’s average historic default frequencies (bottom). Factor Y (Interpretation: ... TherootsoftheAVMaretheseminalpapersbyMerton[86]and BlackandScholes[10],wherethecontingentclaimsapproachtorisky debt valuation by option pricing theory is e laborated. 3.1 Introduction and a Small Guide to the Literature ... underlying stochastic calculus is the one byLambertonandLapeyre[76].Forreaderswithoutanyknowledge ofstochasticcalculuswerecommendthebookbyMikosch[87],which gives an introduction to the basic...

Ngày tải lên: 10/08/2014, 07:20

... structuring.Before going into the details of the CreditRisk+ model, we like topresent a quotation from the CreditRisk+ Technical Document [18] onpage 8 There we find that CreditRisk+ focuses on modeling ... such background factor is a so-called sector, such that everyobligor i admits a breakdown into sector weights wis≥ 0,PmS un-s=1wis= 1,expressing for every s = 1, , mS that sector s contributes ... frac-tion wis to the default intensity of obligor i Here mS denotes the num-ber of involved sectors Obviously the calibration of sectors and sectorweights is the crucial challenge in CreditRisk+ For...

Ngày tải lên: 10/08/2014, 07:20

... securities Here we have to model underthe risk-neutral probability measure In a risk-neutral world all indi-viduals are indifferent to risk They require no compensation for risk,and the expected ... theprice the investor is to pay should exactly off set the expected loss due to a possible default Instead, it is natural to assume that investors Trang 12are concerned about default risk and have ... simulation it is straightforward to evaluate riskcontributions based on expected shortfall The resulting risk contribu-tions and its comparison to the analytically calculated risk contribu-tions based...

Ngày tải lên: 10/08/2014, 07:20

... investor cannot be exposed to Latin America market for various reasons, he or she is able to do so by doing a total return swap with a counterparty thathas easy access to this market Investors ... isolate specificaspects of credit risk from an underlying instrument and transfer thatrisk between two counterparties By allowing credit risk to be freelytraded, risk management becomes far more ... the bonds have to be from the same credit quality) with different maturities and agiven recovery rate one now has to back out the credit curve To thisend we have to specify also a riskless discount...

Ngày tải lên: 10/08/2014, 07:20

... interest, including some premium for the default risk, to the investor In case the reference asset experiences a credit event,the issuer pays to the investor the recovery proceeds of the referenceasset ... the bank has to carry the referenceasset’s default risk; see Figure 7.8 The bank can now issue a CLN to some investor who pays the exposure of the reference asset upfront in cash to the bank and ... upfrontfrom the CLN investor As a consequence, the bank is not exposed tothe counterparty risk of the protection selling investor Therefore, thecredit quality of the investor is of no relevance2...

Ngày tải lên: 10/08/2014, 07:20

... Scale Risk Scale Default Risk only Default Risk only Mark-to-Model of Loan Value Mark-to-Model of Loan Value Distance to Default (DtD) Definition of Risk Intensity Process economic Factors Macro-Asset ... Implemented Stochastic, via Macrofactors Historic Rating Changes, e.g Down/Upgrade and Default Down/Upgrade and Default DtD on contin Scale Risk Scale Default Risk only Default Risk only Mark-to-Model ... sector as a “factor-inducing” entity, or – as theCreditRisk+ Technical Document [18] says it – every sector could bethought of as generated by a single underlying factor In this way, sec-tors...

Ngày tải lên: 10/08/2014, 07:21

... could be assumed to carry more systematic risk, and that Trang 3decreas-FIGURE 2.10Estimated economic cycle (top) compared to Moody’s averagehistoric default frequencies (bottom) Factor Y (Interpretation: ... by Merton [86] andBlack and Scholes [10], where the contingent claims approach to riskydebt valuation by option pricing theory is elaborated The AVM in its original form goes back to Merton [86] ... try to keep our course as self-contained as possible,but refer to the book by Hull [57] for a practitioner’s approach and tothe book by Baxter and Rennie [8] for a highly readable introduction to...

Ngày tải lên: 10/08/2014, 07:21

... securities Here we have to model underthe risk-neutral probability measure In a risk-neutral world all indi-viduals are indifferent to risk They require no compensation for risk,and the expected ... theprice the investor is to pay should exactly off set the expected loss due to a possible default Instead, it is natural to assume that investors Trang 12are concerned about default risk and have ... simulation it is straightforward to evaluate riskcontributions based on expected shortfall The resulting risk contribu-tions and its comparison to the analytically calculated risk contribu-tions based...

Ngày tải lên: 10/08/2014, 07:21

... investor cannot be exposed to Latin America market for various reasons, he or she is able to do so by doing a total return swap with a counterparty thathas easy access to this market Investors ... isolate specificaspects of credit risk from an underlying instrument and transfer thatrisk between two counterparties By allowing credit risk to be freelytraded, risk management becomes far more ... the bonds have to be from the same credit quality) with different maturities and agiven recovery rate one now has to back out the credit curve To thisend we have to specify also a riskless discount...

Ngày tải lên: 10/08/2014, 07:21

... interest, including some premium for the default risk, to the investor In case the reference asset experiences a credit event,the issuer pays to the investor the recovery proceeds of the referenceasset ... the bank has to carry the referenceasset’s default risk; see Figure 7.8 The bank can now issue a CLN to some investor who pays the exposure of the reference asset upfront in cash to the bank and ... upfrontfrom the CLN investor As a consequence, the bank is not exposed tothe counterparty risk of the protection selling investor Therefore, thecredit quality of the investor is of no relevance2...

Ngày tải lên: 10/08/2014, 07:21

... spreadspaid to notes investors are much lower than the spreads earned on thebonds in the collateral pool Due to the risk tranching of notes, thespreads on senior notes is even lower, due to the credit ... summing up to the lateral pool’s total par value col-• All instruments have equal default probability p, calibrated cording to the weighted average rating factor (WARF), assigned ac-to the portfolio ... becausegoing into modeling details or presenting a fully worked-out case study is beyond the introductory scope of this chapter However, we want to encourage readers15 involved in ABS transactions to start...

Ngày tải lên: 10/08/2014, 07:21

... will be returned to industrial use In such cases, the ecologicalrisk assessment may be limited to relevant off-site risks, such as risks to aquaticcommunities from runoff and leachate Alternatively, ... restricted to and highly adapted to life in aquifers (stygo-bites) Aquifer ecosystems are not normally subject to ecological risk assessment,because they have not been protected by regulators However, ... models to estimate risks to all members of the categoryonce risk to the representative species is demonstrated to be significant Trang 18same stream reach Therefore, one should not hesitate to define...

Ngày tải lên: 11/08/2014, 04:20

... estimaterisks, but also present results for total concentrations to satisfy the state and regionalregulators The total metal analyses were performed in any case for the assessment of risks from ... There-fore, one can see which units are most likely to pose significant risks, and whichchemicals are likely to be major contributors to the toxicity The purpose of thisanalysis is heuristic 3.1.2 ... mammalian toxicokineticsfor human health risk assessment are abundant and should be applied to mechanisticmodels of wildlife exposure 3.2 EXPOSURE TO CONTAMINANTS IN SURFACE WATER In most cases, ecological...

Ngày tải lên: 11/08/2014, 04:20

... assessment To determine the need for further assessment: A screening assessment may reveal that significant risks are highly unlikely or that the risks are of low priority relative to other risks ... in a screening ecological risk assessment consists of using exposure and effects information to screen the risks into categories The most general categorization is: De minimis—risks that are ... potential risks Finally, as a preliminary stage to the definitive assessment, a screening assessment is performed to narrow the focus of the assessment on those contaminants, media, and receptors...

Ngày tải lên: 12/08/2014, 00:21

... unparalleled assessment of the responses of yeast to environmental stressors [2-4] In this study, we used these two genomic approaches to study the response of yeast to arsenic, a toxicant present ... overexpressed, Yap1 confers resistance to several toxic agents, and Yap1 mutants are hypersensitive to oxidants [33,40-44] Conversely, Cad1 responds strongly to cadmium, but not to hydrogen peroxide (H2O2) ... function together with ubiquitin-ligase enzymes to adhere to the target protein, and are tailored to carry out specific protein degradation in DNA repair, growth control, cellcycle regulation, receptor...

Ngày tải lên: 14/08/2014, 14:21

... define to a high extent human vulnerability to natural disasters We believe that in order to take one step closer to answering questions about how to improve institutional capacities for floods risk ... the state to come to the rescue In more wealthy countries like Japan state guarantees have allowed significant entry by the private sector into insuring against flood disasters (Kitamoto et al ... in Russia (Kotov 2006) a combination of tools was applied, including (1) introduction of a programme to resettle populations from the affected areas, (2) allocations from federal to provincial...

Ngày tải lên: 22/10/2013, 10:15

... an investigation into this field should be carried out to contribute to a better process of teaching and learning English Carrying out a contrastive study on verbal responses to compliments in ... study also attempts to suggest some useful implications in order to help language learners improve their language skill to gain their purpose of social communication as well as to make the process ... With the purpose to make an investigation into syntactic and pragmatic features of verbal responses to compliments in their contrast in English and Vietnamese, this study aims to describe and...

Ngày tải lên: 26/11/2013, 13:19

... loader to load Linux To create a Linux boot file, we need to copy the boot sector of the Linux partition to a file To this, boot from a Linux rescue diskette and use dd to copy the boot sector to ... per sector: 512 Sectors per cluster: Reserved sectors: Number of FATs: Number of rootdirectory entries: 512 Number of sectors (short): Media descriptor byte: f8h Sectors per FAT: 145 Sectors per ... made to the partition You may press r to re-edit or c to continue It will then ask if you want to write the changes to disk Answer y to save the changes and FIPS will exit Reboot the machine to...

Ngày tải lên: 24/01/2014, 15:20