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A RiskFactor Model Foundation for RatingsBased Bank Capital Rules
 Journal of Financial Intermediation
, 2003
"... When economic capital is calculated using a portfolio model of credit valueatrisk, the marginal capital requirement for an instrument depends, in general, on the properties of the portfolio in which it is held. By contrast, ratingsbased capital rules, including both the current Basel Accord and i ..."
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Cited by 283 (1 self)
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When economic capital is calculated using a portfolio model of credit valueatrisk, the marginal capital requirement for an instrument depends, in general, on the properties of the portfolio in which it is held. By contrast, ratingsbased capital rules, including both the current Basel Accord and its proposed revision, assign a capital charge to an instrument based only on its own characteristics. I demonstrate that ratingsbased capital rules can be reconciled with the general class of credit VaR models. Contributions to VaR are portfolioinvariant only if (a) there is only a single systematic risk factor driving correlations across obligors, and (b) no exposure in a portfolio accounts for more than an arbitrarily small share of total exposure. Analysis of rates of convergence to asymptotic VaR leads to a simple and accurate portfoliolevel addon charge for undiversified idiosyncratic risk. There is no similarly simple way to address violation of the single factor assumption.
Valuation
, 2005
"... This paper investigates empirically the determinants of individuals ’ attitudes towards preventing environmental damage in Spain using data from the World Values Survey and European Values Survey for the periods 1990, 1995 and 1999/2000. Compared to many previous studies, we present a richer set of ..."
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This paper investigates empirically the determinants of individuals ’ attitudes towards preventing environmental damage in Spain using data from the World Values Survey and European Values Survey for the periods 1990, 1995 and 1999/2000. Compared to many previous studies, we present a richer set of independent variables and found that strongly neglected variables such as political interest and social capital have a strong impact on individuals ’ preferences to prevent environmental damage. An interesting aspect in our study is the ability to investigate environmental preferences over time. The results show strong differences over time. Finally, using disaggregated data for Spanish
Algebra
, 2006
"... The intent of this book is to introduce the student to algebra from a point of view that stresses examples and classification. Thus, whenever possible, the main theorems are treated as tools that may be used to construct and analyze specific types of groups, rings, fields, modules, etc. Sample const ..."
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The intent of this book is to introduce the student to algebra from a point of view that stresses examples and classification. Thus, whenever possible, the main theorems are treated as tools that may be used to construct and analyze specific types of groups, rings, fields, modules, etc. Sample
Computation in Valuation Algebras
 IN HANDBOOK OF DEFEASIBLE REASONING AND UNCERTAINTY MANAGEMENT SYSTEMS, VOLUME 5: ALGORITHMS FOR UNCERTAINTY AND DEFEASIBLE REASONING
, 1999
"... Many different formalisms for treating uncertainty or, more generally, information and knowledge, have a common underlying algebraic structure. ..."
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Cited by 25 (4 self)
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Many different formalisms for treating uncertainty or, more generally, information and knowledge, have a common underlying algebraic structure.
Semantic cognition: A parallel distributed processing approach
 Connectionist perspectives on categoryspecific deficits. In: Categoryspecificity in brain and
, 2004
"... Copyright c ..."
Symmetry, Integrability and Geometry: Methods and Applications Archimedean Atomic Lattice Effect Algebras with Complete Lattice of Sharp Elements ⋆
"... doi:10.3842/SIGMA.2010.001 Abstract. We study Archimedean atomic lattice effect algebras whose set of sharp elements is a complete lattice. We show properties of centers, compatibility centers and central atoms of such lattice effect algebras. Moreover, we prove that if such effect algebra E is sepa ..."
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is separable and modular then there exists a faithful state on E. Further, if an atomic lattice effect algebra is densely embeddable into a complete lattice effect algebra Ê and the compatiblity center of E is not a Boolean algebra then there exists an (o)continuous subadditive state on E. Key words: effect
in Archimedean Lattice Effect Algebras ⋆
"... doi:10.3842/SIGMA.2010.003 Abstract. Effect algebras are a generalization of many structures which arise in quantum physics and in mathematical economics. We show that, in every modular Archimedean atomic lattice effect algebra E that is not an orthomodular lattice there exists an (o)continuous stat ..."
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doi:10.3842/SIGMA.2010.003 Abstract. Effect algebras are a generalization of many structures which arise in quantum physics and in mathematical economics. We show that, in every modular Archimedean atomic lattice effect algebra E that is not an orthomodular lattice there exists an (o)continuous
Results 1  10
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95,089