Journal articles: 'Carlo Cresti'

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MINIATI, MARA. "AttidelConvegno diStudi «Architettura militare nell'Europa delXVI secolo» Firenze,25-28Novembre1986, a cura di Carlo Cresti, Amelio Fara, Daniela Lamberini. Siena, Edizioni Periccioli 1988, 448 pp." Nuncius 5, no. 1 (1990): 316–17. http://dx.doi.org/10.1163/182539190x01029.

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Adams, Nicholas. "Review: La Rocca Paolina un falso d'autore by Paolo Camerieri, Fabio Palombaro; Bernardo Buontalenti: L'architettura, la guerra, e l'elemento geometrico by Amelio Fara; Atti del Convegno di Studi: Architettura militare nell'Europa del XVI secolo by Carlo Cresti, Amelio Fara, Daniela Lamberini; L'architettura militare veneta del Cinquecento by Daniela Lamberini, Sergio Polano." Journal of the Society of Architectural Historians 50, no. 1 (March 1, 1991): 75–78. http://dx.doi.org/10.2307/990550.

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Ghamami, Samim, and Bo Zhang. "Efficient Monte Carlo counterparty credit risk pricing and measurement." Finance and Economics Discussion Series 2014, no. 114 (2014): 1–42. http://dx.doi.org/10.17016/feds.2014.114.

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Ghamami, Samim, and Bo Zhang. "Efficient Monte Carlo counterparty credit risk pricing and measurement." Journal of Credit Risk 10, no. 3 (September 2014): 87–133. http://dx.doi.org/10.21314/jcr.2014.179.

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Chen, Zhiyong, and Paul Glasserman. "Sensitivity estimates for portfolio credit derivatives using Monte Carlo." Finance and Stochastics 12, no. 4 (August 14, 2008): 507–40. http://dx.doi.org/10.1007/s00780-008-0071-y.

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Hong, L. Jeff, Sandeep Juneja, and Jun Luo. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo." INFORMS Journal on Computing 26, no. 4 (November 2014): 848–65. http://dx.doi.org/10.1287/ijoc.2014.0602.

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Jo�ã, N. A., o. Luiz Chela, Luiz Leduíno De Salles Neto, and Renan Brito Butkeraites. "Efficient frontier of credit risk using Monte Carlo simulation." International Journal of Business Intelligence and Systems Engineering 1, no. 3 (2019): 261. http://dx.doi.org/10.1504/ijbise.2019.098924.

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Butkeraites, Renan Brito, Jo�ão Luiz Chela, and Luiz Leduíno De Salles Neto. "Efficient frontier of credit risk using Monte Carlo simulation." International Journal of Business Intelligence and Systems Engineering 1, no. 3 (2019): 261. http://dx.doi.org/10.1504/ijbise.2019.10020335.

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Smallman, Shawn C. "Shady Business: Corruption in the Brazilian Army before 1954." Latin American Research Review 32, no. 3 (1997): 39–62. http://dx.doi.org/10.1017/s0023879100038036.

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An enduring paradox lies at the heart of Brazilian politics. The Brazilian Army has long suffered from corruption at the highest levels so extreme as to create disquiet throughout the institution. Yet the Brazilian military, like other armed forces in Latin America, has justified its involvement in politics and society by accusing civilians of corruption. Despite repeated revelations of military corruption, soldiers and civilians as well have sometimes accepted the armed forces' use of this moral discourse. For example, an anonymous businessman wrote General Pedro Aurélio de Góes Monteiro on 30 November 1954: “The country is on the brink of financial and economic ruin. This state of things is the result of the abuses of past governments and of the deceased President Vargas and the generalized corruption. … The only solution for the reestablishment of confidence in the exterior would be the delivery of the government to a military dictatorship” (emphasis in the original).2 Thirty years later, at the close of authoritarian rule in Brazil, a daring journalist named Carlos Alberto de Carli exposed rampant corruption within the military's intelligence services. Yet Carli himself dedicated his book in part to “the armed forces—the moral reserves of our people” (cover page, Carli 1985).

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Annalisa, Di Clemente. "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing." STUDI ECONOMICI, no. 104 (January 2012): 5–28. http://dx.doi.org/10.3280/ste2011-104001.

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This study explores the role of the credit securitisation process in managing the credit risk amount of the banking loan portfolio, when the bank originator retains a residual equitylike class as illiquid first loss position (FLP). An Importance Sampling Monte Carlo simulation model has been implemented for estimating the portfolio credit risk amount, taking into account the portfolio credit risk mitigation effect provided by the credit securitisation process. This study identifies the credit asset pool able to produce the larger effect of credit risk reduction on the loan portfolio, when the asset pool is unloaded off the banking book. Moreover, this simulation analysis quantifies the extent of the portfolio credit risk mitigation, produced by the securitisation process of the asset pool previously identified. The impact of the securitisation activity has been also investigated when the probability of default and the asset return correlation of the obligors in portfolio are changing.

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Arena, Felice, and Francesco Fedele. "Nonlinear Space–Time Evolution of Wave Groups With a High Crest." Journal of Offshore Mechanics and Arctic Engineering 127, no. 1 (February 1, 2005): 46–51. http://dx.doi.org/10.1115/1.1854705.

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The theory of quasi-determinism, for the mechanics of linear random wave groups was obtained by Boccotti in the eighties. The first formulation of the theory deals with the largest crest amplitude; the second formulation deals with the largest wave height. In this paper the first formulation of Boccotti’s theory, particularized for long-crested waves, is extended to the second-order. The analytical expressions of the nonlinear free surface displacement and velocity potential are obtained. The space–time evolution of the nonlinear wave group, when a very large crest occurs at a fixed time and location, is then shown. Finally the second-order probability of exceedance of the crest amplitude is obtained and validated by Monte Carlo simulation.

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Liu, Jian, Jihong Xiao, Lizhao Yan, and Fenghua Wen. "Valuing Catastrophe Bonds Involving Credit Risks." Mathematical Problems in Engineering 2014 (2014): 1–6. http://dx.doi.org/10.1155/2014/563086.

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Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data. Then we get the catastrophe bonds value by the Monte Carlo method.

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JOSHI, MARK, and OH KANG KWON. "LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS." International Journal of Theoretical and Applied Finance 19, no. 08 (December 2016): 1650048. http://dx.doi.org/10.1142/s0219024916500485.

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Credit value adjustment (CVA) and related charges have emerged as important risk factors following the Global Financial Crisis. These charges depend on uncertain future values of underlying products, and are usually computed by Monte Carlo simulation. For products that cannot be valued analytically at each simulation step, the standard market practice is to use the regression functions from least squares Monte Carlo method to approximate their values. However, these functions do not necessarily provide accurate approximations to product values over all simulated paths and can result in biases that are difficult to control. Motivated by a novel characterization of the CVA as the value of an option with an early exercise opportunity at a stochastic time, we provide an approximation for CVA and other credit charges that rely only on the sign of the regression functions. The values are determined, instead, by pathwise deflated cash flows. A comparison of CVA for Bermudan swaptions and cancellable swaps shows that the proposed approximation results in much smaller errors than the standard approach of using the regression function values.

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Alcazar, Javier, Andrea Cadarso, Amara Katabarwa, Marta Mauri, Borja Peropadre, Guoming Wang, and Yudong Cao. "Quantum algorithm for credit valuation adjustments." New Journal of Physics 24, no. 2 (February 1, 2022): 023036. http://dx.doi.org/10.1088/1367-2630/ac5003.

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Abstract Quantum mechanics is well known to accelerate statistical sampling processes over classical techniques. In quantitative finance, statistical samplings arise broadly in many use cases. Here we focus on a particular one of such use cases, credit valuation adjustment (CVA), and identify opportunities and challenges towards quantum advantage for practical instances. To build a NISQ-friendly quantum circuit able to solve such problem, we draw on various heuristics that indicate the potential for significant improvement over well-known techniques such as reversible logical circuit synthesis. In minimizing the resource requirements for amplitude amplification while maximizing the speedup gained from the quantum coherence of a noisy device, we adopt a recently developed Bayesian variant of quantum amplitude estimation using engineered likelihood functions. We perform numerical analyses to characterize the prospect of quantum speedup in concrete CVA instances over classical Monte Carlo simulations.

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Schöftner, Robert. "On the estimation of credit exposures using regression-based Monte Carlo simulation." Journal of Credit Risk 4, no. 4 (December 2008): 37–62. http://dx.doi.org/10.21314/jcr.2008.081.

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Bally, Vlad, Lucia Caramellino, and Antonino Zanette. "A mixed PDE-Monte Carlo approach for pricing credit default index swaptions." Decisions in Economics and Finance 29, no. 2 (November 2006): 121–37. http://dx.doi.org/10.1007/s10203-006-0065-1.

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Liu, Qian. "Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods." Mathematical Problems in Engineering 2015 (2015): 1–6. http://dx.doi.org/10.1155/2015/959312.

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Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically. We examine this issue using interest rate swaps. This largely traded financial product allows us to well identify the risk profiles of both institutions and their counterparties. Concretely, Hull-White model for rate and mean-reverting model for default intensity have proven to be in correspondence with the reality and to be well suited for financial institutions. Besides, we find that least square Monte Carlo method is quite efficient in the calculation of credit valuation adjustment (CVA, for short) as it avoids the redundant step to generate inner scenarios. As a result, it accelerates the convergence speed of the CVA estimators. In the second part, we propose a new method to calculate bilateral CVA to avoid double counting in the existing bibliographies, where several copula functions are adopted to describe the dependence of two first to default times.

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Haroková, Pavlína, and Martin Lovecký. "A comparison of bounding approach with isotopic correction factors and Monte Carlo sampling in burnup credit method." EPJ Web of Conferences 253 (2021): 07011. http://dx.doi.org/10.1051/epjconf/202125307011.

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One of the methodologies used in criticality safety analysis is burnup credit method, which allows considering fuel burnup in models with spent fuel. This removes excessive conservatism from the analysis, but it also brings new uncertainties originating from computational prediction of spent fuel composition. The burnup credit method offer several possibilities of how to deal with this problem, e.g. using bounding approach with correction factors on nuclide concentrations, which is simple, but still very conservative approach. Another option is Monte Carlo sampling, which aims at receiving the most realistic result as possible, but is very computationally demanding. In this work, we have analyzed correction factors for selected nuclides and compared the results of both methods on model of spent fuel storage pool. The results show how much conservative the bounding approach is – in this case, the multiplication factor was higher by almost 0.03 than in Monte Carlo sampling, exceeding the standard deviation by more than 5.4 times.

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Lapshin, Viktor, and Anton Markov. "MCMC-based credit rating aggregation algorithm to tackle data insufficiency." Applied Econometrics 68, no. 4 (2022): 50–72. http://dx.doi.org/10.22394/1993-7601-2022-68-50-72.

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This paper investigates how credit rating aggregation might lead to a more efficient estimation of key portfolio risk management metrics: expected credit losses (ECL) and risk‐weighted assets (RWA). The proposed technique for credit rating aggregation is based on the Markov Chain Monte‐Carlo methodology and leads to a statistically smaller variance of ECL and RWA than the naïve and distribution‐based alternatives. This conclusion holds for three public datasets and four simulated studies. The paper results might be helpful for portfolios that suffer from data insufficiency or rely on external ratings for credit risk assessment: portfolios of international companies, interbank loans, and sovereign debt.

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FENG, QIAN, and CORNELIS W. OOSTERLEE. "COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK." International Journal of Theoretical and Applied Finance 20, no. 08 (December 2017): 1750056. http://dx.doi.org/10.1142/s021902491750056x.

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We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively. We present a nonnested Monte Carlo approach for computing CVA–VaR and CVA–expected shortfall (ES) for Bermudan options. By varying correlation coefficients, we study the impact of credit quality and WWR on the optimal exercise boundaries and CVA values of Bermudan products. Stress testing is performed.

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Li, Ping, and Jing Song. "Pricing Chinese Convertible Bonds with Dynamic Credit Risk." Discrete Dynamics in Nature and Society 2014 (2014): 1–5. http://dx.doi.org/10.1155/2014/492134.

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To price convertible bonds more precisely, least squares Monte Carlo (LSM) method is used in this paper for its advantage in handling the dependence of derivatives on the path, and dynamic credit risk is used to replace the fixed one to make the value of convertible bonds reflect the real credit risk. In the empirical study, we price convertible bonds based on static credit risk and dynamic credit risk, respectively. Empirical results indicate that the ICBC convertible bond has been overpriced, resulting from the underestimation of credit risk. In addition, when there is an issue of dividend, the conversion price will change in China's convertible bonds, while it does not change in the international convertible bonds. So we also empirically study the difference between the convertible bond's prices by assuming whether the conversion price changes or not.

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Takada, Hideyuki. "Multi-Name Extension to the Credit Grades and an Efficient Monte Carlo Method." Journal of Mathematical Finance 04, no. 03 (2014): 188–206. http://dx.doi.org/10.4236/jmf.2014.43017.

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Callegaro, Giorgia, and Abass Sagna. "An application to credit risk of a hybrid Monte Carlo–optimal quantization method." Journal of Computational Finance 16, no. 4 (June 2013): 123–56. http://dx.doi.org/10.21314/jcf.2013.270.

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He, Xin-Jiang, and Wenting Chen. "A Monte-Carlo based approach for pricing credit default swaps with regime switching." Computers & Mathematics with Applications 76, no. 7 (October 2018): 1758–66. http://dx.doi.org/10.1016/j.camwa.2018.07.027.

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Su, Jie, Tian Li, and Xin Ni. "Research on the Coupling Relationship between Market Risk and Credit Risk in Commercial Banks." MATEC Web of Conferences 228 (2018): 05020. http://dx.doi.org/10.1051/matecconf/201822805020.

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With the complexity and diversity of business development, commercial banks gradually put more focus on how to improve the accuracy of risk measurement. In this essay, we first defined the basic market risk and credit risk indexes by the use of the financial data of the target bank. Then, we built the Copula Model through Monte Carlo simulation techniques. We finally built the Copula-VaR measurement model which revealed the relationship between the two types of risks.

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Morio, J., and R. Pastel. "Plug-in estimation of d-dimensional density minimum volume set of a rare event in a complex system." Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability 226, no. 3 (November 21, 2011): 337–45. http://dx.doi.org/10.1177/1748006x11426973.

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Various reliability or hedging problems boil down to quantile estimation. However, real-life systems are usually multidimensional and thus often imply multidimensional density minimum volume set estimation which is usually done with Monte Carlo simulations. Increasing safety standards create a need for density minimum volume set estimation with low probability that crude Monte Carlo cannot fulfil. This paper proposes a new importance sampling algorithm that estimates efficiently multidimensional density minimum volume sets for extreme probability. It also presents some numerical results on a simple bidimensional Gaussian case and on a realistic launcher impact safety zone estimation.

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CARMONA, RENÉ, and STÉPHANE CRÉPEY. "PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS." International Journal of Theoretical and Applied Finance 13, no. 04 (June 2010): 577–602. http://dx.doi.org/10.1142/s0219024910005905.

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The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk. We concentrate on two of the most frequently touted methods of variance reduction in the case of stochastic processes: importance sampling (IS) and interacting particle systems (IPS) based algorithms. Because the subtle differences between these methods are often misunderstood, as IPS is often regarded as a mere particular case of IP, we describe in detail the two kinds of algorithms, and we highlight their fundamental differences. We then proceed to a detailed comparative case study based on benchmark numerical experiments chosen for their popularity in the quantitative finance circles.

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Mozgovuy, Andrii, and Svitlana Butnik. "Probable reliability prediction of the dam constructed with ground materials of the Nam Chien hydraulic power system in Vietnam using the Monte Carlo method." MATEC Web of Conferences 230 (2018): 02019. http://dx.doi.org/10.1051/matecconf/201823002019.

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The current method of probabilistic safety assesses dams with ground material by the criterion of water overflow through the dam crest. Due to the stochastic nature of the material properties, loads and impacts method involves the use of the Monte Carlo method (statistical tests). The algorithm was tested on the example of the ground material dams of Nam Chien hydropower in the Vietnam.

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Zhang, Xiaomei. "Dirac-based solutions for JUNO production system." EPJ Web of Conferences 245 (2020): 03007. http://dx.doi.org/10.1051/epjconf/202024503007.

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The JUNO (Jiangmen Underground Neutrino Observatory) Monte Carlo production tasks are composed of complicated workflow and dataflow linked by data. The paper will present the design of the JUNO production system based on the DIRAC transformation framework to meet the requirements of the JUNO Monte Carlo production activities among JUNO data centres according to the JUNO computing model. The approach allows JUNO data-driven workflow and dataflow to be chained automatically with availability of data and also provides a convenient interface for production groups to create and monitor production tasks. The functions and performance tests for evaluating the prototype system would be also presented in the paper.

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Mongwe, Wilson Tsakane, Rendani Mbuvha, and Tshilidzi Marwala. "Quantum-Inspired Magnetic Hamiltonian Monte Carlo." PLOS ONE 16, no. 10 (October 5, 2021): e0258277. http://dx.doi.org/10.1371/journal.pone.0258277.

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Hamiltonian Monte Carlo (HMC) is a Markov Chain Monte Carlo algorithm that is able to generate distant proposals via the use of Hamiltonian dynamics, which are able to incorporate first-order gradient information about the target posterior. This has driven its rise in popularity in the machine learning community in recent times. It has been shown that making use of the energy-time uncertainty relation from quantum mechanics, one can devise an extension to HMC by allowing the mass matrix to be random with a probability distribution instead of a fixed mass. Furthermore, Magnetic Hamiltonian Monte Carlo (MHMC) has been recently proposed as an extension to HMC and adds a magnetic field to HMC which results in non-canonical dynamics associated with the movement of a particle under a magnetic field. In this work, we utilise the non-canonical dynamics of MHMC while allowing the mass matrix to be random to create the Quantum-Inspired Magnetic Hamiltonian Monte Carlo (QIMHMC) algorithm, which is shown to converge to the correct steady state distribution. Empirical results on a broad class of target posterior distributions show that the proposed method produces better sampling performance than HMC, MHMC and HMC with a random mass matrix.

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DE GRAAF, CORNELIS S. L., QIAN FENG, DRONA KANDHAI, and CORNELIS W. OOSTERLEE. "EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK." International Journal of Theoretical and Applied Finance 17, no. 04 (June 2014): 1450024. http://dx.doi.org/10.1142/s0219024914500241.

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Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in the financial industry, especially since the recent credit crisis. The three techniques all involve a Monte Carlo path discretization and simulation of the underlying entities. Along the generated paths, the corresponding values and distributions are computed during the entire lifetime of the option. Option values are computed by either the finite difference method for the corresponding partial differential equations, or the simulation-based Stochastic Grid Bundling Method (SGBM), or by the COS method, based on Fourier-cosine expansions. In this research, numerical results are presented for early-exercise options. The underlying asset dynamics are given by either the Black–Scholes or the Heston stochastic volatility model.

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Jakob, Kevin, and Matthias Fischer. "GCPM: A ?exible package to explore credit portfolio risk." Austrian Journal of Statistics 45, no. 1 (February 29, 2016): 25–44. http://dx.doi.org/10.17713/ajs.v45i1.87.

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In this article we introduce the novel GCPM package, which represents a generalized credit portfolio model framework. The package includes two of the most popular mod- eling approaches in the banking industry namely the CreditRisk+ and the CreditMetrics model and allows to perform several sensitivity analysis with respect to distributional or functional assumptions. Therefore, besides the pure quanti?cation of credit portfolio risk, the package can be used to explore certain aspects of model risk individually for every arbitrary credit portfolio. In order to guarantee maximum ?exibility, most of the models utilize a Monte Carlo simulation, which is implemented in C++, to achieve the loss dis- tribution. Furthermore, the package also o?ers the possibilities to apply simple pooling techniques to speed up calculations for large portfolios as well as a general importance sample approach. The article concludes with a comprehensive example demonstrating the ?exibility of the package.

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Xing, Haipeng, Ke Wang, Zhi Li, and Ying Chen. "Statistical Surveillance of Structural Breaks in Credit Rating Dynamics." Entropy 22, no. 10 (September 24, 2020): 1072. http://dx.doi.org/10.3390/e22101072.

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The 2007–2008 financial crisis had severe consequences on the global economy and an intriguing question related to the crisis is whether structural breaks in the credit market can be detected. To address this issue, we chose firms’ credit rating transition dynamics as a proxy of the credit market and discuss how statistical process control tools can be used to surveil structural breaks in firms’ rating transition dynamics. After reviewing some commonly used Markovian models for firms’ rating transition dynamics, we present several surveillance rules for detecting changes in generators of firms’ rating migration matrices, including the likelihood ratio rule, the generalized likelihood ratio rule, the extended Shiryaev’s detection rule, and a Bayesian detection rule for piecewise homogeneous Markovian models. The effectiveness of these rules was analyzed on the basis of Monte Carlo simulations. We also provide a real example that used the surveillance rules to analyze and detect structural breaks in the monthly credit rating migration of U.S. firms from January 1986 to February 2017.

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Feng, Mingbin, and Jeremy Staum. "Green Simulation with Database Monte Carlo." ACM Transactions on Modeling and Computer Simulation 31, no. 1 (February 2021): 1–26. http://dx.doi.org/10.1145/3429336.

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In a setting in which experiments are performed repeatedly with the same simulation model, green simulation means reusing outputs from previous experiments to answer the question currently being asked of the model. In this article, we address the setting in which experiments are run to answer questions quickly, with a time limit providing a fixed computational budget, and then idle time is available for further experimentation before the next question is asked. The general strategy is database Monte Carlo for green simulation: the output of experiments is stored in a database and used to improve the computational efficiency of future experiments. In this article, the database provides a quasi-control variate, which reduces the variance of the estimated mean response in a future experiment that has a fixed computational budget. We propose a particular green simulation procedure using quasi-control variates, addressing practical issues such as experiment design, and analyze its theoretical properties. We show that, under some conditions, the variance of the estimated mean response in an experiment with a fixed computational budget drops to zero over a sequence of repeated experiments, as more and more idle time is invested in creating databases. Our numerical experiments on the procedure show that using idle time to create databases of simulation output provides variance reduction immediately, and that the variance reduction grows over time in a way that is consistent with the convergence analysis.

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Jokubaitis, Linas. "CARLO SCHMITTO POLITINĖS TEOLOGIJOS STATUSO PROBLEMA." Problemos 84 (January 1, 2013): 99–110. http://dx.doi.org/10.15388/problemos.2013.0.1775.

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Straipsnio tikslas – Carlo Schmitto politinės teologijos statuso analizė. Siekiama įrodyti, kad Schmitto pristatyta koncepcija negali būti suprasta kaip teisės sąvokų sociologija, kaip ją kai kuriuose darbuose apibūdino pats autorius. Ji taip pat negali būti aiškinama kaip teologijos dalis, kaip tai daro daugelis dabartinių interpretuotojų. Schmittas „politinės teologijos“ vardu pavadino politikos teorijai priskirtiną projektą, pagrįstą teologinių prielaidų įvedimu į filosofiją. Tai primena XIX a. katalikų reakcionierių Josepho de Maistre’o, Louiso de Bonaldo ir Juano Donoso Corteso politinę filosofiją.Pagrindiniai žodžiai: politinė teologija, teisės sąvokų sociologija, politiškumas, katalikų politinė filosofijaCarl Schmitt’s Political Theology: The Status ProblemLinas Jokubaitis AbstractThe aim of the article is the analysis of the status of Carl Schmitt’s political theology. It is argued that this conception can not be understood as a sociology of juristic concepts as it was described by its author. Today many interpretators attempt to explain political theology as a part of theology. This interpretation is deficient in some of its parts. Schmitt was developing a political theory which he called “political theology”. This project has to be understood as an attempt to use theological argumentations and insights in the discourse of political philosophy. Schmitt’s attempt to create a synthesis of theology and philosophy for the study of politics is similar to the aims of reactionary XIX century Catholic political philosophy of Joseph de Maistre, Louis de Bonald and Juan Donoso Cortes.Keywords: political theology, sociology of juristic concepts, Catholic political philosophy.;

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Korovyakovskiy, Evgeny, and Mardonbek Saburov. "Effectiveness Rise Ways of Railway Transportation in Uzbekistan Republic on the Basis of Owner Composition and Structure Modernization of Railcar Park and Containers." Proceedings of Petersburg Transport University 19, no. 1 (March 24, 2022): 40–48. http://dx.doi.org/10.20295/1815-588x-2022-19-1-40-48.

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Purpose: Market model improvement for cargo railway transport of Uzbekistan at the raise of number of owners of railcars and containers. Methods: The methods of system analysis are applied. Results: Market models on provision of cargo railcars and containers of various owners are analyzed and work organization models on rail transport at various owners of rolling stock are built. Model for market of Uzbekistan cargo transportation is proposed. Positive sides of proposed scheme are listed. Practical significance: Improvement of market model of rail cargo transportation makes it possible to renew cargo car and container park, to create concurrence in cargo car and container provision for loading and to reduce transport constituent on account of concurrence.

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Deryugina, Elena, Maria Guseva, and Alexey Ponomarenko. "The Credit Cycle and Measurement of the Natural Rate of Interest." Journal of Central Banking Theory and Practice 11, no. 1 (January 1, 2022): 87–104. http://dx.doi.org/10.2478/jcbtp-2022-0004.

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Abstract We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on these artificial datasets occur in the vicinity of credit cycle peaks without any underlying changes in fundamentals (that is the agents’ type or their behaviour). The empirical analysis confirms that the measures of the natural interest rate tend to increase prior to a credit cycle peak and decrease afterwards. We conclude that a decline in the estimated natural rates of interest does not necessarily indicate changes in macroeconomic fundamentals. Instead, it may simply reflect the innate properties of the measurement technique in the vicinity of credit cycle peaks.

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Křivánková, Lenka, and Silvie Zlatošová. "Modelling Counterparty Credit Risk in Czech Interest Rate Swaps." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 65, no. 3 (2017): 1015–22. http://dx.doi.org/10.11118/actaun201765031015.

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According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults. Therefore, from 2015, the Third Basel Accord (EU, 2013a) and (EU, 2013b) instructed banks to calculate the capital requirement for the risk of credit valuation adjustment (CVA). Banks are trying to model CVA to hold the prescribed standards and also reach the lowest possible impact on their profit. In this paper, we try to model CVA using methods that are in compliance with the prescribed standards and also achieve the smallest possible impact on the bank’s earnings. To do so, a data set of interest rate swaps from 2015 is used. The interest rate term structure is simulated using the Hull-White one-factor model and Monte Carlo methods. Then, the probability of default for each counterparty is constructed. A safe level of CVA is reached in spite of the calculated the CVA achieving a lower level than CVA previously used by the bank. This allows a reduction of capital requirements for banks.

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BERNIS, GUILLAUME, LAURENCE CARASSUS, GRÉGOIRE DOCQ, and SIMONE SCOTTI. "OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS." International Journal of Theoretical and Applied Finance 18, no. 01 (February 2015): 1550002. http://dx.doi.org/10.1142/s0219024915500028.

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We consider the problem of credit allocation in a regime-switching model. The global evolution of the credit market is driven by a benchmark, the drift of which is given by a two-state continuous-time hidden Markov chain. We apply filtering techniques to obtain the diffusion of the credit assets under partial observation and show that they have a specific excess return with respect to the benchmark. The investor performs a simple mean–variance allocation on credit assets. However, returns and variance matrix have to be computed by a numerical method such as Monte Carlo, because of the dynamics of the system and the non-linearity of the asset prices. We use the theory of Dirichlet forms to deal with the uncertainty on the excess returns. This approach provides an estimation of the bias and the variance of the optimal allocation, and return. We propose an application in the case of a sectorial allocation with Credit Default Swaps (CDS), fully calibrated with observable data or direct input given by the portfolio manager.

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Chen, Rongda, Ze Wang, and Lean Yu. "Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula." International Journal of Information Technology & Decision Making 16, no. 04 (April 17, 2017): 1101–24. http://dx.doi.org/10.1142/s0219622017500201.

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This paper proposes an efficient simulation method for calculating credit portfolio risk when risk factors have a heavy-tailed distributions. In modeling heavy tails, its features of return on underlying asset are captured by multivariate [Formula: see text]-Copula. Moreover, we develop a three-step importance sampling (IS) procedure in the [Formula: see text]-copula credit portfolio risk measure model for further variance reduction. Simultaneously, we apply the Levenberg–Marquardt algorithm associated with nonlinear optimization technique to solve the problem that estimates the mean-shift vector of the systematic risk factors after the probability measure change. Numerical results show that those methods developed in the [Formula: see text]-copula model can produce large variance reduction relative to the plain Monte Carlo method, to estimate more accurately tail probability of credit portfolio loss distribution.

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Kozicki, Katya, and Luis Gustavo Cardoso. "Verbal realism in a magic world: Carlos Santiago Nino vs. Jorge Luis Borges." ANAMORPHOSIS - Revista Internacional de Direito e Literatura 6, no. 1 (June 28, 2020): 79–99. http://dx.doi.org/10.21119/anamps.61.79-99.

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This paper is an investigation of the reference made by Carlos Santiago Nino about Jorge Luis Borges, in the fifth chapter of his “Introduction to Legal Analysis”, in which he introduces the concept of verbal realism. The production by Borges mentioned by Nino is the poem “The Golem”, which tells the story of rabbi Judah Loew, who attempted to create another human being in his rituals. Thus, this study develops new considerations on the power of words to evoke things, and the common belief that words intrinsically relate to what they represent. In order to do that, the first objective of analysis is the immediate reference of Borges, the dialogue “Cratylus”, by Plato, together with other references, such as Goethe’s Faust, which has a similar narrative to the analyzed poem. The question raised is whether verbal realism offers definitions to constitute the universe built up by Borges. Hence, this article concludes that words, in normative contexts, are useful for summoning certain phenomena towards the events, and that verbal realism, then, has a dimension that Carlos Santiago Nino did not explore.

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Ciacchi, Andrea. "LUZ, CÂMERA, MISSÃO: ETNOGRAFIAS VISUAIS DE SALESIANOS ITALIANOS NA AMÉRICA DO SUL." Revista Habitus - Revista do Instituto Goiano de Pré-História e Antropologia 17, no. 2 (December 20, 2019): 476. http://dx.doi.org/10.18224/hab.v17i2.7487.

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Carlo Crespi (1891-1982) e Alberto Maria De Agostini (1883-1960), padres salesianos italianos, estiveram envolvidos em atividades missionárias na América do Sul, na primeira metade do século XX. Na década de Vinte, realizaram documentários com imagens que retratavam populações indígenas, na Amazônia equatoriana e na Patagônia/Terra do Fogo, respectivamente. Aqui procuro reconstruir historiograficamente e contextualizar essa produção visual com as trajetórias dos dois autores e com os dilemas políticos, ideológicos e etnográficos que cercavam a ação evangelizadora dos salesianos naquele período e nessas regiões.

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Beck, J. C., and N. Wilson. "Proactive Algorithms for Job Shop Scheduling with Probabilistic Durations." Journal of Artificial Intelligence Research 28 (March 3, 2007): 183–232. http://dx.doi.org/10.1613/jair.2080.

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Most classical scheduling formulations assume a fixed and known duration for each activity. In this paper, we weaken this assumption, requiring instead that each duration can be represented by an independent random variable with a known mean and variance. The best solutions are ones which have a high probability of achieving a good makespan. We first create a theoretical framework, formally showing how Monte Carlo simulation can be combined with deterministic scheduling algorithms to solve this problem. We propose an associated deterministic scheduling problem whose solution is proved, under certain conditions, to be a lower bound for the probabilistic problem. We then propose and investigate a number of techniques for solving such problems based on combinations of Monte Carlo simulation, solutions to the associated deterministic problem, and either constraint programming or tabu search. Our empirical results demonstrate that a combination of the use of the associated deterministic problem and Monte Carlo simulation results in algorithms that scale best both in terms of problem size and uncertainty. Further experiments point to the correlation between the quality of the deterministic solution and the quality of the probabilistic solution as a major factor responsible for this success.

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Horn, Britton, Josh Miller, Gillian Smith, and Seth Cooper. "A Monte Carlo Approach to Skill-Based Automated Playtesting." Proceedings of the AAAI Conference on Artificial Intelligence and Interactive Digital Entertainment 14, no. 1 (September 25, 2018): 166–72. http://dx.doi.org/10.1609/aiide.v14i1.13036.

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In order to create well-crafted learning progressions, designers guide players as they present game skills and give ample time for the player to master those skills. However, analyzing the quality of learning progressions is challenging, especially during the design phase, as content is ever-changing. This research presents the application of Stratabots — automated player simulations based on models of players with varying sets of skills — to the human computation game Foldit. Stratabot performance analysis coupled with player data reveals a relatively smooth learning progression within tutorial levels, yet still shows evidence for improvement. Leveraging existing general gameplaying algorithms such as Monte Carlo Evaluation can reduce the development time of this approach to automated playtesting without losing predicitive power of the player model.

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Misankova, Maria, and Erika Spuchlakova. "Application of conditional value at risk for credit risk optimization." New Trends and Issues Proceedings on Humanities and Social Sciences 3, no. 4 (March 22, 2017): 146–52. http://dx.doi.org/10.18844/prosoc.v3i4.1540.

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The article is dedicated to theÂ optimization of credit risk through the application of Conditional Value at Risk (CVaR). CVaR is a risk measure, the expected loss exceeding Value-at-Risk and is also known as Mean Excess, Mean Shortfall, or Tail VaR. The link between credit risk and the current financial crisis accentuates the importance of measuring and predicting extreme credit risk. Conditional Value at Risk has become an increasingly popular method for measurement and optimization of extreme market risk. The use of model can regulate all positions in a portfolio of financial instruments in order to minimize CVaR subject to trading and return constraints at the same time. The credit risk distribution is created by Monte Carlo simulations and the optimization problem is solved effectively by linear programming. We apply these CVaR techniques to the optimization of credit risk on portfolio of selected bonds. Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Keywords: value at risk; conditional value at risk; credit risk; portfolio

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Houserova, P., J. Hedbavny, D. Matejicek, S. Kracmar, J. Sitko, and V. Kuban. "Determination of total mercury in muscle, intestines, liver and kidney tissues of cormorant (Phalacrocorax carbo), great crested grebe (Podiceps cristatus) and Eurasian buzzard (Buteo buteo)." Veterinární Medicína 50, No. 2 (March 28, 2012): 61–68. http://dx.doi.org/10.17221/5597-vetmed.

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The total mercury concentrations in four tissues (muscle, intestines, liver and kidney) of aquatic birds (cormorant – Phalacrocorax carbo and great crested grebe – Podiceps cristatus) and Eurasian buzzard (Buteo buteo) were determined by cold vapour atomic absorption spectrometry (CV-AAS) using an Advanced Mercury Analyser AMA 254. The results of the direct CV-AAS analyses of homogenised solid samples were in very good agreement with those obtained by CV-AFS and CV-AAS analyses after acid digestion. Mercury concentrations in the tested tissues of adult populations of great crested grebe and cormorant were nearly twice as high as in the Eurasian buzzard. Significantly higher mercury concentrations were found in the liver and kidney of the cormorant (7-times and 2-times, respectively) compared to great crested grebe. The highest mercury concentration (39.2 mg/kg DM) was found in liver of adult population of cormorant while the content of mercury in younger cormorants was approx. 6-times lower (5.8 mg/kg DM). The total mercury concentration in liver was 6-times higher (2–3-times in muscle and kidney) but 13-times lower then those of the cormorant population living in Japan (Tokyo, Lake Biwa) and in the United States (Nevada, Carson River), respectively.

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Dubrovin, L. M., A. P. Nikishechkin, and V. I. Davydenko. "Cargo Control on Handling Machinery." World of Transport and Transportation 14, no. 3 (June 28, 2016): 98–105. http://dx.doi.org/10.30932/1992-3252-2016-14-3-9.

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Any weighing systems create, if it is necessary to use them, a lot of problems during transportation and handling. The paper proposes a non-contact method for evaluating maximum permissible load mass values of cargo lifted (moved) by handling machines according to the value of magnetic field strength, which is created by a DC motor. Measurements do not require complex and expensive equipment, intervention in electrical circuits and design of devices, but provide sufficient accuracy in determining load on a crane.

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Kabán, Ata. "Sufficient ensemble size for random matrix theory-based handling of singular covariance matrices." Analysis and Applications 18, no. 05 (July 17, 2020): 929–50. http://dx.doi.org/10.1142/s0219530520400072.

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Singular covariance matrices are frequently encountered in both machine learning and optimization problems, most commonly due to high dimensionality of data and insufficient sample sizes. Among many methods of regularization, here we focus on a relatively recent random matrix-theoretic approach, the idea of which is to create well-conditioned approximations of a singular covariance matrix and its inverse by taking the expectation of its random projections. We are interested in the error of a Monte Carlo implementation of this approach, which allows subsequent parallel processing in low dimensions in practice. We find that [Formula: see text] random projections, where [Formula: see text] is the size of the original matrix, are sufficient for the Monte Carlo error to become negligible, in the sense of expected spectral norm difference, for both covariance and inverse covariance approximation, in the latter case under mild assumptions.

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Cummings, K. D. "A Monte Carlo simulation of electron beam lithography used to create 0.5-μm structures on GaAs." Journal of Vacuum Science & Technology B: Microelectronics and Nanometer Structures 6, no. 6 (November 1988): 2033. http://dx.doi.org/10.1116/1.584124.

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Bamakan, Seyed Mojtaba Hosseini, and Mohammad Dehghanimohammadabadi. "A Weighted Monte Carlo Simulation Approach to Risk Assessment of Information Security Management System." International Journal of Enterprise Information Systems 11, no. 4 (October 2015): 63–78. http://dx.doi.org/10.4018/ijeis.2015100103.

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In recent decades, information has become a critical asset to various organizations, hence identifying and preventing the loss of information are becoming competitive advantages for firms. Many international standards have been developed to help organizations to maintain their competitiveness by applying risk assessment and information security management system and keep risk level as low as possible. This study aims to propose a new quantitative risk analysis and assessment methodology which is based on AHP and Monte Carlo simulation. In this method, AHP is used to create favorable weights for Confidentiality, Integrity and Availability (CIA) as security characteristic of any information asset. To deal with the uncertain nature of vulnerabilities and threats, Monte Carlo simulation is utilized to handle the stochastic nature of risk assessment by taking into account multiple judges' opinions. The proposed methodology is suitable for organizations that require risk analysis to implement ISO/IEC 27001 standard.

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Journal articles on the topic 'Carlo Cresti'

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