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Multi-period Factor Model of a Loan Portfolio
Šmíd, Martin; Dufek, J.
2017 - anglický
We construct a general dynamic model of losses of a large loan portfolio, secured by collaterals. In the model, the wealth of a debtor and the price of the corresponding collateral depend each on two factors: a common one, having a general distribution, and an individual one, following an AR(1) process. The default of a loan happens if the wealth stops to be su cient for repaying the loan. We show that the mapping transforming the common factors into the probability of default (PD) and the loss given default (LGD) is one-to-one twice continuously differentiable. As the transformation is not analytically tractable, we propose a numerical technique for its computation and demonstrate its accuracy by a numerical study.\nWe show that the results given by our multi-period model may differ signi cantly from\nthose resulting from single-period models, and demonstrate that our model naturally replicates\nthe empirically observed decrease of PDs within a portfolio in time. In addition, we give a formula for the overall loss of the portfolio and, as an example of its application, we formulate a simple optimal scoring decision problem and discuss its solution.
Klíčová slova:
Credit Risk; Structural Factor Models; Loan Portfolio Management
Dokument je dostupný na externích webových stránkách.
Multi-period Factor Model of a Loan Portfolio
We construct a general dynamic model of losses of a large loan portfolio, secured by collaterals. In the model, the wealth of a debtor and the price of the corresponding collateral depend each on two ...
Analýza korozního poškození potrubí s proudící párou pomocí akustické emise:\nteoretická východiska a první výsledky
Tichavský, Petr
2017 - český
Zpráva popisuje první vysledky analýzy dat akustické emise získané měřením na parovodním potrubí v Atomové elektrárně Jaslovské Bohunice pořízené za účelem zkoumání korozního poškození potrubí. The report describes the first results of the analysis of the acoustic emission data obtained by measuring the steam pipeline at the Jaslovské Bohunice Atomic Power Plant, which was made for the purpose of investigation of corrosion damage to the pipeline.
Klíčová slova:
acoustic emission
Dokument je dostupný na externích webových stránkách.
Analýza korozního poškození potrubí s proudící párou pomocí akustické emise:\nteoretická východiska a první výsledky
Zpráva popisuje první vysledky analýzy dat akustické emise získané měřením na parovodním potrubí v Atomové elektrárně Jaslovské Bohunice pořízené za účelem zkoumání korozního poškození ...
Odhad rychlosti šíření akustických vln ve vzorku oceli pro sledování creepových změn pomocí akustické emise
Tichavský, Petr; Slunéčko, T.; Svobodová, M.; Chmela, T.
2017 - český
Zpráva popisuje měření rychlosti šíření zvuku ve vzorku materiálu podrobeném tepelnému a mechanickému namáhání pomocí signálu akustické emise. The report describes the measurement of the sound propagation velocity in a sample of material subjected to heat and mechanical stress by means of an acoustic emission.
Klíčová slova:
sound propagation
Dokument je dostupný na externích webových stránkách.
Odhad rychlosti šíření akustických vln ve vzorku oceli pro sledování creepových změn pomocí akustické emise
Zpráva popisuje měření rychlosti šíření zvuku ve vzorku materiálu podrobeném tepelnému a mechanickému namáhání pomocí signálu akustické emise....
K otázkám hodnocení radiologických důsledků mimořádných úniků radionuklidů ze skladů vyhořelého jaderného paliva
Pecha, Petr
2017 - český
Zkoumána oblast postulovaných nehod ve skladech (bazénech a pak úložištích) vyhořelého paliva. Zde se předpokládá, že krátkodobé nebezpečné nuklidy se již rozpadly na zanedbatelné úrovně a počáteční inventář vyhořelého paliva klesá s časem uskladnění (řádově roky). Na významu nabývají nuklidy s dlouhým poločasem rozpadu. Uvedena srovnávací analýza výsledků kódu HARP s evropským kódem COSYMA. The investigation of potential accidental releases o radionuclides from spent fuel repositories is resumed. Short-term life of radionuclides are assumed to be subsided and decisive role in radiological impact assessment have lradionuclides with long half-lives. Further decrease of radioactivity is then very slow. Comparable analysis of the results acquired by HARP code developed in ÚTIA with results of European code COSYMA is presented.
Klíčová slova:
Spent nuclear fuel; fuel repository; release source terms
Dokument je dostupný na externích webových stránkách.
K otázkám hodnocení radiologických důsledků mimořádných úniků radionuklidů ze skladů vyhořelého jaderného paliva
Zkoumána oblast postulovaných nehod ve skladech (bazénech a pak úložištích) vyhořelého paliva. Zde se předpokládá, že krátkodobé nebezpečné nuklidy se již rozpadly na zanedbatelné úrovně a počáteční ...
Diffusion MCMC for Mixture Estimation
Reichl, Jan; Dedecius, Kamil
2016 - anglický
Distributed inference of parameters of mixture models by a network of cooperating nodes (sensors) with computational and communication capabilities still represents a challenging task. In the last decade, several methods were proposed to solve this issue, predominantly formulated within the expectation-maximization framework and with the assumption of mixture components normality. The present paper adopts the Bayesian approach to inference of general (non-normal) mixtures via the Markov chain Monte Carlo simulation from the parameter posterior distribution. By collaborative tuning of node chains, the method allows reliable estimation even at nodes with significantly worse observational conditions, where the components may tend to merge due to high variances. The method runs in the diffusion networks, where the nodes communicate only with their adjacent neighbors within 1 hop distance.
Klíčová slova:
Mixture; mixture estimation; MCMC
Dokument je dostupný na externích webových stránkách.
Diffusion MCMC for Mixture Estimation
Distributed inference of parameters of mixture models by a network of cooperating nodes (sensors) with computational and communication capabilities still represents a challenging task. In the last ...
Adaptive Blind Separation of Instantaneous Linear Mixtures of Independent Sources
Šembera, Ondřej; Tichavský, Petr; Koldovský, Zbyněk
2016 - anglický
In many applications, there is a need to blindly separate independent sources from their linear instantaneous mixtures while the mixing matrix or source properties are slowly or abruptly changing in time. The easiest way to separate the data is to consider off-line estimation of the model parameters repeatedly in time shifting window. Another popular method is the stochastic natural gradient algorithm, which relies on non-Gaussianity of the separated signals and is adaptive by its nature. In this paper, we propose an adaptive version of two blind source separation algorithms which exploit non-stationarity of the original signals. The results indicate that the proposed algorithms slightly outperform the natural gradient in the trade-off between the algorithm’s ability to quickly adapt to changes in the mixing matrix and the variance of the estimate when the mixing is stationary.
Klíčová slova:
blind separation; algorithms; block gaussian separation
Dokument je dostupný na externích webových stránkách.
Adaptive Blind Separation of Instantaneous Linear Mixtures of Independent Sources
In many applications, there is a need to blindly separate independent sources from their linear instantaneous mixtures while the mixing matrix or source properties are slowly or abruptly changing in ...
Basic facts concerning extreme supermodular functions
Studený, Milan
2016 - anglický
Elementary facts and observations on the cone of supermodular set functions are recalled. The manuscript deals with such operations with set functions which preserve supermodularity\nand the emphasis is put on those such operations which even preserve extremality (of a supermodular function). These involve a few self-transformations of the cone of supermodular set functions. Moreover, projections to the (less-dimensional) linear space of set functions for a subset of the variable set are discussed. Finally, several extensions to the (more-dimensional) linear space of set functions for a superset of the variable set are shown to be both preserving supermodularity and extremality.
Klíčová slova:
supermodular function; standardizations; extreme supermodular function
Dokument je dostupný na externích webových stránkách.
Basic facts concerning extreme supermodular functions
Elementary facts and observations on the cone of supermodular set functions are recalled. The manuscript deals with such operations with set functions which preserve supermodularity\nand the emphasis ...
Comparison of mixture-based classification with the data-dependent pointer model for various types of components
Likhonina, Raissa; Suzdaleva, Evgenia; Nagy, Ivan
2016 - anglický
The presented report is devoted to the analysis of a data-dependent pointer model, whether it brings some advantages in comparison with a data-independent pointer model at simulation and estimation of components referring to different types of distribution, including categorical, uniform, exponential and state-space components for a dynamic data-dependent model, and normal components for a static data-dependent pointer model.
Klíčová slova:
mixture-based classification; data-dependent pointer; recurisive mixture estimation
Dokument je dostupný na externích webových stránkách.
Comparison of mixture-based classification with the data-dependent pointer model for various types of components
The presented report is devoted to the analysis of a data-dependent pointer model, whether it brings some advantages in comparison with a data-independent pointer model at simulation and estimation of ...
Linear ARX and state-space model with uniform noise: computation of first and second moments
Jirsa, Ladislav
2016 - anglický
This report collects technical procedures used for computations of various estimates and keeps them in one place for internal purposes. The context concerns application of estimation of unknown parameters and states of linear model with uniformly distributed noise.
Klíčová slova:
uncertainty; bounded variable; uniform noise; linear model; model identification; state estimation
Dokument je dostupný na externích webových stránkách.
Linear ARX and state-space model with uniform noise: computation of first and second moments
This report collects technical procedures used for computations of various estimates and keeps them in one place for internal purposes. The context concerns application of estimation of unknown ...
Sparse robust portfolio optimization via NLP regularizations
Branda, Martin; Červinka, Michal; Schwartz, A.
2016 - anglický
We deal with investment problems where we minimize a risk measure under a condition on the sparsity of the portfolio. Various risk measures are considered including Value-at-Risk and Conditional Value-at-Risk under normal distribution of returns and their robust counterparts are derived under moment conditions, all leading to nonconvex objective functions. We propose four solution approaches: a mixed-integer formulation, a relaxation of an alternative mixed-integer reformulation and two NLP regularizations. In a numerical study, we compare their computational performance on a large number of simulated instances taken from the literature. We deal with investment problems where we minimize a risk measure\nunder a condition on the sparsity of the portfolio. Various risk measures\nare considered including Value-at-Risk and Conditional Value-at-Risk\nunder normal distribution of returns and their robust counterparts are\nderived under moment conditions, all leading to nonconvex objective\nfunctions. We propose four solution approaches: a mixed-integer formulation,\na relaxation of an alternative mixed-integer reformulation and\ntwo NLP regularizations. In a numerical study, we compare their computational\nperformance on a large number of simulated instances taken\nfrom the literature.
Klíčová slova:
Conditional Value-at-Risk; Value-at-Risk; risk measure
Dokument je dostupný na externích webových stránkách.
Sparse robust portfolio optimization via NLP regularizations
We deal with investment problems where we minimize a risk measure under a condition on the sparsity of the portfolio. Various risk measures are considered including Value-at-Risk and Conditional ...
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