introduction to black box modeling
An introduction to disk drive modeling
... cylinder skewing and sector-based sparing with one spare sector per track This needs to be accounted for in mapping logical blocks to the physical sectors Adding all these factors results in the ... 97560 sector size 256 bytes 512 bytes cylinders 1449 1962 tracks per cylinder 19 data sectors per track 113 72 number of zones 1 track skew 34 sectors sectors cylinder skew 43 sectors 18 sectors ... specifications, since the only alternative is to determine them experimentally The information required to determine how much power to apply to the pivot motor and for how long on a particular seek...
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An introduction to black holes information and the string theory
... applied to observations made by distant observers who remain outside the horizon during the entire history of the black hole For these purposes, Schwarzschild coordinates, or the related tortoise ... the exterior of the black hole may be described by the Rindler metric dτ = ρ2 dω − dρ2 − dX − dY It is useful to replace ρ by a tortoise-like coordinate which again goes to −∞ at the horizon ... (3.1.4) Thus, to push the ω-surface ahead requires a ρ-dependent time translation This is the reason that T 00 is weighted with the factor ρ The Rindler Hamiltonian is similar to the generator of Lorentz...
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AN INTRODUCTION TO CREDIT RISK MODELING doc
... devresbo ton devresbo ton devresbo ton %33.0 devresbo ton devresbo ton devresbo ton noitaiveD-dradnatS %98.21 %69.7 %97.3 %93.2 %36.0 %96.0 %64.0 %60.0 %60.0 devresbo ton devresbo ton devresbo ton ... statistical tools provide a first indication regarding the rating of a customer, but due to the various soft factors underlying a rating, the Without going into details we would like to add that ... LLC 2.5 2.6 2.7 One-Factor/Sector Models 2.5.1 The CreditMetricsTM /KMV One-Factor Model 2.5.2 The CreditRisk+ One-Sector Model 2.5.3 Comparison of One-Factor and One-Sector Models Loss Distributions...
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an introduction to credit risk modeling phần 2 docx
... to the philosophy of its authors Gupton, Finger, and Bhatia to make credit risk methodology available to a broad audience in a fully transparent manner Both companies continue to contribute to ... Their tools are based on a modification of Merton’s asset value model, see Chapter 3, and include a tool for estimating default probabilities (Credit MonitorTM ) from market information and a tool ... underlying Factor FIGURE 1.5 Correlation induced by an underlying factor with a country factor for Germany and probably also with some other factors However, the crucial point is that factor models...
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an introduction to credit risk modeling phần 3 doc
... distribution then just turns out to be the convolution of the sector distributions due to the independence of the sector variables Λ(1) , , Λ(mS ) So we only have to find the sector’s default distributions ... Press LLC where the sector factor Xs(i) is common to all obligors in that sector Here s(i) denotes the sector in which obligor i takes place A possible simulation algorithm to generate default times ... sector as a “factor-inducing” entity, or – as the CreditRisk+ Technical Document [18] says it – every sector could be thought of as generated by a single underlying factor In this way, sectors...
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an introduction to credit risk modeling phần 4 docx
... standard deviation) In pricing tools the CM is sometimes assumed to be constant for a portfolio, even when adding new deals to it The contribution of the new deal to the total EC of the enlarged portfolio ... are going to show how to use copulas in order to construct portfolio loss variables admitting a stronger tail dependency than induced by the normal copulas But before continuing, we want to quote ... Historic Corporate Bond Default Frequencies from 1970 to 2000 ©2003 CRC Press LLC TABLE 2.8: Calibration Results due to Regression I ©2003 CRC Press LLC TABLE 2.9: Calibration Results due to...
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an introduction to credit risk modeling phần 5 pptx
... papers by Merton [86] and Black and Scholes [10], where the contingent claims approach to risky debt valuation by option pricing theory is elaborated 3.1 Introduction and a Small Guide to the Literature ... without any knowledge of stochastic calculus we recommend the book by Mikosch [87], which gives an introduction to the basic concepts of stochastic calculus with finance in view To readers with a strong ... non-anticipating This terminology just refers to the fact that the investment took place at the beginning of the intervals [ti , ti+1 ) For a thorough introduction to the stochastic integral in the more general...
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an introduction to credit risk modeling phần 6 pptx
... underlying factors incorporating a common systematic source of credit risk Associated with every such background factor is a so-called sector, such that every obligor i admits a breakdown into sector weights ... , mS that sector s contributes with a fraction wis to the default intensity of obligor i Here mS denotes the number of involved sectors Obviously the calibration of sectors and sector weights ... our detour and we return to the actual topic of this section The conditional distribution of the sector defaults is given by (4 19) The mixing variable is Λ(s) ∼ Γ(αs , βs ) According to our...
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an introduction to credit risk modeling phần 7 doc
... equivalent to requiring that the underlying Markov chain be stochastically monotonic Note that row and column monotony towards the diagonal (properties (vi) and (vii)) implies stochastic monotony but ... less than or equal to 0.002% are mapped to AAA, 0.002% to 0.04% corresponds to AA, etc The historical frequencies of changes from one range to another are estimated from the history of changes in ... by assuming that the price 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 ©2003 CRC Press LLC are concerned...
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an introduction to credit risk modeling phần 8 pps
... financial records Moreover, total return swaps can also give investors access to previously unavailable market assets For instance, if an investor can not be exposed to Latin America market for ... unable to so Likewise, it might hold a view that a specific asset is likely to depreciate in value in the near future, and wish to short it However, not all assets in the market are easy to short ... prices (but the bonds have to be from the same credit quality) with different maturities and a given recovery rate one now has to back out the credit curve To this end we have to specify also a riskless...
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an introduction to credit risk modeling phần 9 pot
... has access to this particular credit exposure offers a way to evade the problems hindering the investor to purchase the exposure he is interested in The issuer sells a note to the investor with ... outcome has to be reported to the trustee and to the investors The collection of tests and criteria varies from deal to deal, and not all tests included in the monthly reports automatically have ... loan needs to be backed by regulatory capital, the capital costs associated with a loan to a customer can be too high for making the lending business profitable But if loans are pooled into portfolios...
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an introduction to credit risk modeling phần 3 pptx
... distribution then just turns out to be the convolution of the sector distributions due to the independence of the sector variables Λ(1) , , Λ(mS ) So we only have to find the sector’s default distributions ... Press LLC where the sector factor Xs(i) is common to all obligors in that sector Here s(i) denotes the sector in which obligor i takes place A possible simulation algorithm to generate default times ... sector as a “factor-inducing” entity, or – as the CreditRisk+ Technical Document [18] says it – every sector could be thought of as generated by a single underlying factor In this way, sectors...
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an introduction to credit risk modeling phần 5 pps
... papers by Merton [86] and Black and Scholes [10], where the contingent claims approach to risky debt valuation by option pricing theory is elaborated 3.1 Introduction and a Small Guide to the Literature ... without any knowledge of stochastic calculus we recommend the book by Mikosch [87], which gives an introduction to the basic concepts of stochastic calculus with finance in view To readers with a strong ... non-anticipating This terminology just refers to the fact that the investment took place at the beginning of the intervals [ti , ti+1 ) For a thorough introduction to the stochastic integral in the more general...
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an introduction to credit risk modeling phần 7 pot
... equivalent to requiring that the underlying Markov chain be stochastically monotonic Note that row and column monotony towards the diagonal (properties (vi) and (vii)) implies stochastic monotony but ... less than or equal to 0.002% are mapped to AAA, 0.002% to 0.04% corresponds to AA, etc The historical frequencies of changes from one range to another are estimated from the history of changes in ... by assuming that the price 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 ©2003 CRC Press LLC are concerned...
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an introduction to credit risk modeling phần 8 ppsx
... financial records Moreover, total return swaps can also give investors access to previously unavailable market assets For instance, if an investor can not be exposed to Latin America market for ... unable to so Likewise, it might hold a view that a specific asset is likely to depreciate in value in the near future, and wish to short it However, not all assets in the market are easy to short ... prices (but the bonds have to be from the same credit quality) with different maturities and a given recovery rate one now has to back out the credit curve To this end we have to specify also a riskless...
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an introduction to credit risk modeling phần 9 pdf
... has access to this particular credit exposure offers a way to evade the problems hindering the investor to purchase the exposure he is interested in The issuer sells a note to the investor with ... outcome has to be reported to the trustee and to the investors The collection of tests and criteria varies from deal to deal, and not all tests included in the monthly reports automatically have ... loan needs to be backed by regulatory capital, the capital costs associated with a loan to a customer can be too high for making the lending business profitable But if loans are pooled into portfolios...
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an introduction to credit risk modeling phần 10 docx
... overview for investors) – Multisector CDO ratings: Moody’s approach [94] • Fitch: – Introduction to CLOs [38] – Rating criteria for cash flow transactions [39] – Brief introduction to synthetic CDOs ... overview and introduction to CDOs [69] – The JPM guide to credit derivatives, also introducing synthetic CDOs [68] ©2003 CRC Press LLC • Deutsche Bank: – CDO introduction [27] – Introduction to the ... Service Moody’s Approach to rating multisector CDOs, September 2000 [94] Moody’s Investors Service Moody’s Approach to Rating Multisector CDOs, September 2000 [95] Moody’s Investors Service Default...
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An introduction to the unified modeling language
... Table 1: Multiplicity notation Cardinality and modality One -to- one and mandatory One -to- one and optional One -to- many and mandatory One -to- many and optional With lower bound l and upper bound u ... the system to: • • • Input information to the system; Receive information from the system; or Both input information to and receive information from the system The total set of actors in a use ... the actor plays relative to one or more use cases Figure 2: The UML symbol for an actor A use case diagram is a visual representation of the relationships between actors and use cases together...
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Introduction to UML structural modeling and use cases
... Overview ! ! ! ! Tutorial series Quick tour Structural modeling Use case modeling Introduction to UML Tutorial Series ! ! ! ! Lecture 1: Introduction to UML: Structural Modeling and Use Cases ... ! What is structural modeling? Core concepts Diagram tour When to model structure Modeling tips Example: Interface-based design Introduction to UML 28 What is structural modeling? ! Structural ... adopted in November 1999 Introduction to UML 10 UML Goals ! ! ! ! ! Define an easy -to- learn but semantically rich visual modeling language Unify the Booch, OMT, and Objectory modeling languages Include...
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