【摘 要】
：
In the aftermath of the worldwide credit crisis of the years 2007 and 2008 and recognizing the fact that banks hold substantial positions in structured and potentially illiquid credit instruments in t
论文部分内容阅读
In the aftermath of the worldwide credit crisis of the years 2007 and 2008 and recognizing the fact that banks hold substantial positions in structured and potentially illiquid credit instruments in their trading book,the Basel Committee proposed incremental risk charge(IRC)to complement the existing market risk capital requirements.IRC represent an estimate of the default and migration risk of unsecuritized credit products over a one-year horizon at a 99.9%percent confidence level.Based on a set of assumptions,we set up a multi-factor default-mode Merton model to describe the financial well-being of all the credit assets and their dependent structure.Under this framework,we get both analytic and numerical results of total IRC and allocation ratio.In our work,we come out with several different solutions to handle the negative allocation ratio problem.
其他文献
分子筛膜的合成方法主要由分子筛的水热合成技术发展而来，所合成的分子筛膜大多是硅酸铝结构。离子热合成是一种新的分子筛合成方法，在磷酸铝分子筛的合成方面表现出独特的优势。本文报道离子热合成分子筛膜的新方法。以咪唑基离子液体兼作溶剂和结构导向剂，使用δ-Al2O3作为载体和唯一的铝源，通过改变离子液体的种类、调变溶液中有机胺种类、磷和氟含量，离子热载体自转晶法合成出CHA、LTA、AEL和AFI等磷酸铝
沸石合成是一个极为复杂的化学物理过程，涉及缩合反应、凝胶转换、晶体成核和生长等关键步骤，其中结构导向剂起着极其重要的作用。但是合成过程的微观机理是很不清楚的，沸石合成方法的研究主要依靠经验寻找合成条件和参数。使用计算机模拟方法对沸石合成的机理进行研究，有助于在分子水平上理解微孔晶体的生成过程以及结构导向效应。我们尝试着从两个方向出发使用计算机模拟方法研究沸石合成的机理：一是从上之下，通过已知的宏观
石油化工催化剂多为孔隙结构复杂的多级孔材料，反应过程中催化剂上会同时发生多种传质过程[1]。本研究以兰州化工研究中心开发的几类具有不同孔结构的FCC催化剂和活性分子筛组分为吸附剂，以具典型分子结构的烷烃、烯烃和芳烃分子为模型化合物，采用频率响应法和吸附速率法系统考察吸附质分子在多级孔材料中的传质行为。研究发现，吸附质分子的传质行为与其自身分子结构以及吸附剂孔道结构和表面电子性能有关。烃类分子在FC
本文系统研究了二元体系中蟹壳粉末(CS)对重金属铅、镉、锌、铜和镍的吸附行为.五种重金属可组成十种二元体系,分别是Pb-Cd,Pb-Zn,Pb-Cu,Pb-Ni,Cd-Zn,Cd-Cu,Cd-Ni,Zn-Cu,Zn-Ni,Cu-Ni,在所有二元体系中每种金属离子的浓度均为1.0mmol/L.通过检测二元体系中CS对某一种金属的的吸附量随时间的变化以研究混合体系中的吸附动力学行为.实验结果表明,Pb
Most systems targeted by mathematical modeling in modern science and engineering are multi-physical and multi-scale.These models involve complex coupled nonlinear systems of PDEs built from different
The control and optimization of multi-physics problems requires the construction of reduced models.There are two major approaches,either one starts with a fine grid model and approximates it with a re
In this talk,we will report some works on designing optimal finite element methods and efficient solvers for multi-phase problems.In particular,we will focus on dealing with the effect of discontinuou
We consider mixed variational methods for fourth-order boundary value problems.Typical examples are plate bending problems and the linearized Cahn-Hilliard equation(after discretization in time).It wi
丙烯酸甲酯氢甲酰化反应是重要的有机反应之一,虽然丙烯酸甲酯氢甲酰化活性低于辛烯[1],但是其支链产物是重要的有机反应中间体,具有重要的商业价值.因此,我们通过浸渍-化学还原的方法合成了二氧化钛纳米管负载非晶态硼钴合金(Co-B/TNTs)催化剂并探讨了其对丙烯酸甲酯氢甲酰化反应的活性.采用TEM,ICP-AES,XPS,XRD 等方法对催化剂进行了表征.研究了反应时间,溶剂,压力等因素对丙烯酸甲酯
We present a numerical method to compute the transition rates including the entropy effect,of the thermally activated events in dislocation dynamics on the atomistic scale,based on the transition stat