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Credit securitizations and derivatives : challenges for the global markets

Table of Contents: “…Market Credit Risk Pricing -- Regulation -- Developments in Structured Finance Markets -- Impairments of Asset-Backed Securities and Outstanding Ratings -- Issuance of Asset-backed Securities and Outstanding Volume -- Global CDO Issuance and Outstanding Volume -- PART II CREDIT PORTFOLIO RISK MEASUREMENT -- Mortgage Credit Risk -- Five C's of Credit and Mortgage Credit Risk -- Determinants of Mortgage Default, Loss Given Default and Exposure at Default -- Determinants of Mortgage Default -- Determinants of Mortgage LGD -- Determinants of Mortgage EAD -- Modeling Methods for Default, LGD and EAD -- Model Risk Management -- Credit Portfolio Correlations and Uncertainty -- Introduction -- Gaussian and Semi-Gaussian Single Risk Factor Model -- Individual and Simultaneous Confidence Bounds and Intervals -- Confidence Intervals for Asset Correlations -- Confidence Intervals for Default and Survival Time Correlations -- Confidence Intervals for Default Correlations -- Confidence Intervals for Survival Time Correlations -- Credit Portfolio Correlations with Dynamic Leverage Ratios -- The Hui et al. (2007) Model -- The Method of Images for Constant Coefficients -- The Method of Images for Time-Varying Coefficients -- Modelling Default Correlations in a Two-Firm Model -- Default Correlations -- A Two-Firm Model with Dynamic Leverage Ratios -- Method of Images for Constant Coefficients -- Method of Images for Time-Varying Coefficients -- Alternative Methodologies for General Values -- Numerical Results -- Accuracy -- The Impact of Correlation between Two Firms -- The Impact of Different Credit Quality Paired Firms -- The Impact of Volatilities -- The Impact of Drift Levels -- The Impact of Initial Value of Leverage Ratio Levels -- Impact of Correlation between Firms and Interest Rates -- The Price of Credit-Linked Notes -- A Hierarchical Model of Tail-Dependent Asset Returns -- The Variance Compound Gamma Model -- Multivariate Process for Logarithmic Asset Returns -- Dependence Structure -- Sampling -- Copula Properties -- An Application Example -- Portfolio Setup -- Test Portfolios -- Parameter Setup -- Simulation Results -- Importance Sampling Algorithm -- Conclusions -- Appendix A: The VCG Probability Distribution Function Appendix B: HAC Representation for the VCG Framework -- Monte Carlo Methods for Portfolio Credit Risk -- Modeling Credit Portfolio Losses -- Risk Measures -- Modeling Dependency -- Estimating Risk Measures via Monte Carlo -- Crude Monte Carlo Estimators -- Importance Sampling -- Specific Models -- The Bernoulli Mixture Model -- Factor Models -- Copula Models -- Intensity Models -- An Example Point Process Model -- Appendix A: A Primer on Rare-event Simulation -- Efficiency -- Importance Sampling -- The Choice of g -- Adaptive Importance Sampling -- Importance Sampling for Stochastic Processes -- Credit Portfolio Risk and Diversification -- Introduction -- Model Setup -- Independent Asset Values -- Correlated Asset Values -- Large Portfolio Limit -- Correlated Diffusion -- Correlated GARCH Process -- Applications of the Structural Recovery Rate -- Conclusions -- PART III CREDIT PORTFOLIO RISK SECURITIZATION AND TRANCHING -- Differences in Tranching Methods: Some Results and Implications -- Defining a Tranche -- The Mathematics of Tranching -- PD-based Tranching -- EL-based Tranching -- The EL of a Tranche Necessarily Increases When Either the Attachment Point or the Detachment Point is Decreased -- Upper Bound on Tranche Expected LGD (LGDt) Assumption Given EL-based Tranches -- Skipping of Some Tranches in the EL-based Approach -- Global Structured Finance Rating -- Asset-Backed Securities -- The ABS Structure for the Experiment -- Cash Flow Modeling -- Modeling and Simulating Defaults -- Expected Loss Rating -- Global Sensitivity Analysis -- Elementary Effects -- Variance-based Method -- Global Sensitivity Analysis Results -- Uncertainty Analysis -- Sensitivity Analysis -- Global Rating -- PART IV CREDIT DERIVATIVES -- Analytic Dynamic Factor Copula Model -- Pricing Equations -- One-factor Copula Model -- Multi-period Factor Copula Models -- Calibration -- Dynamic Modeling of Credit Derivatives -- General Model Choice -- Modeling Option Prices -- Modeling Credit Risk -- Portfolio Credit Derivatives -- Modeling Asset Dynamics -- The Market Model -- The Asset-value Model -- Empirical Analysis -- Elementary Data -- Implied Dividends -- Market Dynamics -- Asset Value Model -- Tranche Pricing -- Out-of-time Application -- Pricing and Calibration in Market Models -- Basic notions -- The model -- Modeling Assumptions -- Absence of Arbitrage -- An affine specification -- Pricing -- Calibration -- Calibration Procedure -- Calibration Results -- Appendix A: Computations -- Counterparty Credit Risk and Clearing of Derivatives -- From the Perspective of an Industrial Corporate with a Focus on Commodity Markets -- Credit exposures in commodity business -- Settlement Exposure -- Performance Exposure -- Example of Fixed Price Deal with Performance Exposure -- Example of a Floating Price Deal with Performance Exposure -- General Remarks on Credit Exposure Concepts -- Ex Ante exposure-reducing techniques -- Payment Terms -- Material Adverse Change Clauses -- Master Agreements -- Netting -- Margining -- Close Out Exposure and Threshold -- Ex Ante risk-reducing techniques -- Credit Enhancements in General -- Parent Company Guarantees -- Letters of Credit -- Credit Insurance -- Clearing via a Central Counterparty -- Ex Post risk-reducing techniques -- Factoring -- Novation -- Risk-reducing Trades -- Hedging with CDS -- Hedging with Contingent-CDS -- Hedging with Puts on Equity -- Ex Post work out considerations -- Practical credit risk management and pricing Peculiarities of commodity markets -- Peculiarities of commodity related credit portfolios -- Credit Risk Capital for a commodity related portfolio measured with an extension of CreditMetrics -- CreditRisk+ study: applied to a commodity related credit portfolio -- CDS Industrial Sector Indices, Credit and Liquidity Risk -- The Data -- Methodology and Results -- Preliminary Analysis -- Common Factor Analysis -- Stability of Relations -- Risk Transfer and Pricing of Illiquid Assets with Loan CDS -- Shipping Market -- Loan Credit Default Swaps -- LCDS Pricing -- Modeling LCDS Under the Intensity-based Model -- Valuation Framework for LCDS -- The Structural Approach -- Credit Risk in Shipping Loans -- Valuation of LCDS on Shipping Loans -- Simulation Model -- Numerical Results -- Appendix A: Monte Carlo Parameterization PART V REGULATION -- Regulatory Capital Requirements for Securitizations -- Regulatory Approaches for Securitizations -- Ratings Based Approach (RBA) -- Supervisory Formula Approach (SFA) -- Standardized Approach (SA) -- Post-crisis Revisions to the Basel Framework -- Regulating OTC Derivatives -- The Wall Street Transparency and Accountability Part of the Dodd-Frank Act of 2010 -- Which Derivatives Will Be Affected? …”
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Creating wicked students : designing courses for a complex world by Hanstedt, Paul, 1965-

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IP multicast with applications to IPTV and mobile DVB-H by Minoli, Daniel, 1952-

Table of Contents: “…Cover -- TOC36;CONTENTS -- Preface -- About the Author -- CH36;1 INTRODUCTION TO IP MULTICAST -- 146;1 Introduction -- 146;2 Why Multicast Protocols are Wanted47;Needed -- 146;3 Basic Multicast Protocols and Concepts -- 146;4 IPTV and DVB45;H Applications -- 146;5 Course of Investigation -- Appendix 146;A58; Multicast IETF Request for Comments -- Appendix 146;B58; Multicast Bibliography -- References -- CH36;2 MULTICAST ADDRESSING FOR PAYLOAD -- 246;1 IP Multicast Addresses -- 246;146;1 Limited Scope Addresses -- 246;146;2 GLOP Addressing -- 246;146;3 Generic IPv4 Addressing -- 246;2 Layer 2 Multicast Addresses -- 246;246;1 Ethernet MAC Address Mapping -- 246;3 MPEG45;Layer Addresses -- References -- CH36;3 MULTICAST PAYLOAD FORWARDING -- 346;1 Multicasting on a LAN Segment -- 346;2 Multicasting between Network Segments -- 346;3 Multicast Distribution Trees -- 346;4 Multicast Forwarding58; Reverse Path Forwarding -- 346;5 Multicast Forwarding58; Center45;Based Tree Algorithm -- 346;6 Implementing IP Multicast in a Network -- References -- CH36;4 DYNAMIC HOST REGISTRATION8212;INTERNET GROUP MANAGEMENT PROTOCOL -- 446;1 IGMP Messages -- 446;2 IGMPv3 Messages -- 446;3 IGMP Operation -- Appendix 446;A58; Protocol Details for IGMPv2 -- 446;A46;1 Overview -- 446;A46;2 Protocol Description -- 446;A46;3 Receiver 40;Host41; State Diagram -- 446;A46;4 Router State Diagram -- Appendix 446;B58; IGMP Snooping Switches -- Appendix 446;C58; Example of Router Configurations -- References -- CH36;5 MULTICAST ROUTING8212;SPARSE45;MODE PROTOCOLS58; PROTOCOL INDEPENDENT MULTICAST -- 546;1 Introduction to PIM -- 546;2 PIM SM Details -- 546;246;1 Approach -- 546;246;2 PIM SM Protocol Overview -- 546;246;3 Detailed Protocol Description -- 546;246;4 Packet Formats -- References -- CH36;6 MULTICAST ROUTING8212;SPARSE45;MODE PROTOCOLS58; CORE45;BASED TREES -- 646;1 Motivation -- 646;2 Basic Operation -- 646;3 CBT Components and Functions -- 646;346;1 CBT Control Message Retransmission Strategy -- 646;346;2 Nonmember Sending -- 646;4 Core Router Discovery -- 646;5 Protocol Specification Details -- 646;546;1 CBT HELLO Protocol -- 646;546;2 JOIN_REQUEST Processing -- 646;546;3 JOIN_ACK Processing -- 646;546;4 QUIT_NOTIFICATION Processing -- 646;546;5 ECHO_REQUEST Processing -- 646;546;6 ECHO_REPLY Processing -- 646;546;7 FLUSH_TREE Processing -- 646;546;8 Nonmember Sending -- 646;546;9 Timers and Default Values -- 646;546;10 CBT Packet Formats and Message Types -- 646;546;11 Core Router Discovery -- 646;6 CBT Version 3 -- 646;646;1 The First Step58; Joining the Tree -- 646;646;2 Transient State -- 646;646;3 Getting 34;On Tree34; -- 646;646;4 Pruning and Prune State -- 646;646;5 The Forwarding Cache -- 646;646;6 Packet Forwarding -- 646;646;7 The 34;Keepalive34; Protocol -- 646;646;8 Control Message Precedence and Forwarding Criteria -- 646;646;9 Broadcast LANs -- 646;646;10 The 34;all45;cbt45;routers34; Group -- 646;646;11 Nonmember Sending -- References -- CH36;7 MULTICAST ROUTING8212;DENSE45;MODE PROTOCOLS58; PIM DM.…”
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Advanced wireless communications & Internet : future evolving technologies by Glisic, Savo G.

Table of Contents: “…Glisic -- 11.1 Introduction 585 -- 11.2 Background and Related Work 586 -- 11.3 Cooperative Communications 593 -- 11.4 Relay-Assisted Communications 616 -- 11.5 Two-Way Relay-Assisted Communications 646 -- 11.6 Relay-Assisted Communications With Reuse of Resources 651 -- Appendices 668 -- 12 Biologically Inspired Paradigms inWireless Networks 683 -- 12.1 Biologically Inspired Model for Securing Hybrid Mobile Ad Hoc Networks 683 -- 12.2 Biologically Inspired Routing in Ad Hoc Networks 687 -- 12.3 Analytical Modeling of AntNet as Adaptive Mobile Agent Based Routing 691 -- 12.4 Biologically Inspired Algorithm for Optimum Multicasting 697 -- 12.5 Biologically Inspired (BI) Distributed Topology Control 703 -- 12.6 Optimization of Mobile Agent Routing in Sensor Networks 708 -- 12.7 Epidemic Routing 710 -- 12.8 Nano-Networks 715 -- 12.9 Genetic Algorithm Based Dynamic Topology Reconfiguration in Cellular Multihop Wireless Networks 718 -- References 739 -- 13 Positioning in Wireless Networks 743 -- 13.1 Mobile Station Location in Cellular Networks 743.…”
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Introduction to type-2 fuzzy logic control : theory and applications by Mendel, Jerry M., 1938-

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Contributions of Mexican mathematicians abroad in pure and applied mathematics : second meeting, Matemáticos Mexicanos en el Mundo, December 15-19, 2014, Centro de Investigación en...

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Fog and fogonomics : challenges and practices of fog computing, communication, networking, strategy, and economics

Table of Contents: “…5.5.2 Survivability, Availability, and Reliability 122 -- 5.6 Sovereignty, Privacy, Security, Interoperability, and Management 123 -- 5.6.1 Data Sovereignty 123 -- 5.6.2 Privacy and Security 123 -- 5.6.3 Heterogeneity and Interoperability 124 -- 5.6.4 Monitoring, Orchestration, and Management 124 -- 5.7 Trade-Offs 125 -- 5.8 Conclusion 126 -- References 126 -- 6 Incentive Schemes for User-Provided Fog Infrastructure 129 /George Iosifidis, Lin Gao, Jianwei Huang, and Leandros Tassiulas -- 6.1 Introduction 129 -- 6.2 Technology and Economic Issues in UPIs 132 -- 6.2.1 Overview of UPI models for Network Connectivity 132 -- 6.2.2 Technical Challenges of Resource Allocation 134 -- 6.2.3 Incentive Issues 135 -- 6.3 Incentive Mechanisms for Autonomous Mobile UPIs 137 -- 6.4 Incentive Mechanisms for Provider-assisted Mobile UPIs 140 -- 6.5 Incentive Mechanisms for Large-Scale Systems 143 -- 6.6 Open Challenges in Mobile UPI Incentive Mechanisms 145 -- 6.6.1 Autonomous Mobile UPIs 145 -- 6.6.1.1 Consensus of the Service Provider 145 -- 6.6.1.2 Dynamic Setting 146 -- 6.6.2 Provider-assisted Mobile UPIs 146 -- 6.6.2.1 Modeling the Users 146 -- 6.6.2.2 Incomplete Market Information 147 -- 6.7 Conclusions 147 -- References 148 -- 7 Fog-Based Service Enablement Architecture 151 /Nanxi Chen, Siobhán Clarke, and Shu Chen -- 7.1 Introduction 151 -- 7.1.1 Objectives and Challenges 152 -- 7.2 Ongoing Effort on FogSEA 153 -- 7.2.1 FogSEA Service Description 156 -- 7.2.2 Semantic Data Dependency Overlay Network 158 -- 7.2.2.1 Creation and Maintenance 159 -- 7.2.2.2 Semantic-Based Service Matchmarking 161 -- 7.3 Early Results 164 -- 7.3.1 Service Composition 165 -- 7.3.1.1 SeDDON Creation in FogSEA 167 -- 7.3.2 Related Work 168 -- 7.3.2.1 Semantic-Based Service Overlays 169 -- 7.3.2.2 Goal-Driven Planning 170 -- 7.3.2.3 Service Discovery 171 -- 7.3.3 Open Issue and Future Work 172 -- References 174 -- 8 Software-Defined Fog Orchestration for IoT Services 179 /Renyu Yang, Zhenyu Wen, David McKee, Tao Lin, Jie Xu, and Peter Garraghan.…”
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Principles of GNSS, inertial, and multisensor integrated navigation systems by Groves, Paul D. (Paul David)

Table of Contents: “…Local Navigation Frame -- 2.1.4. Local Tangent-Plane Frame -- 2.1.5. Body Frame -- 2.1.6. Other Frames -- 2.2. …”
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Two-degree-of-freedom control systems : the Youla Parameterization approach by Keviczky, László, Bányász, Csilla

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Geophysical Data Analysis : MATLAB Edition. by Menke, William

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Modeling and precision control of systems with hysteresis by Liu, Lei, Yang, Yi

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Data Science : The Executive Summary - a Technical Book for Non-Technical Professionals. by Cady, Field

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Deep learning with Python : a hands-on introduction by Ketkar, Nikhil

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Deep learning for dummies by Mueller, John, 1958-, Massaron, Luca

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Robust and error-free geometric computing by Eberly, Dave

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QoS in integrated 3G networks by Lloyd-Evans, Robert

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Fundamentals of Fluid Power Control. by Watton, John

Table of Contents: “…Control-Volume Flow Continuity -- PRV Flow -- Force Balance at the Spindle -- 5.13.3 Frequency Response from a Linearized Transfer Function Analysis -- 5.14 Servovalve Dynamics -- First-Stage, Armature, and Flapper-Nozzle -- Flapper-Nozzle and Resistance Bridge Flow Characteristic -- Force Balance at the Spool -- 5.15 An Open-Loop Servovalve-Motor Drive with Line Dynamics Modeled by Lumped Approximations -- Servovalve, Dynamics Included, Underlapped Spool -- Lines, Laminar Mean Flow, Two Lump Approximations per Line, Negligible Motor Internal Volume -- Motor Flow and Torque Equations -- 5.16 Transmission Line Dynamics -- 5.16.1 Introduction -- Servovalve-Cylinder with Short Lines and Significant Actuator Volumes -- Servovalve-Motor with Long Lines and Negligible Actuator Volumes -- 5.16.2 Lossless Line Model for Z and Y -- 5.16.3 Average and Distributed Line Friction Models for Z and Y -- 5.16.4 Frequency-Domain Analysis -- 5.16.5 Servovalve-Reflected Linearized Coefficients -- 5.16.6 Modeling Systems with Nonlossless Transmission Lines, the Modal Analysis Method -- 5.16.7 Modal Analysis Applied to a Servovalve-Motor Open-Loop Drive -- 5.17 The State-Space Method for Linear Systems Modeling -- 5.17.1 Modeling Principles -- 5.17.2 Some Further Aspects of the Time-Domain Solution -- 5.17.3 The Transfer Function Concept in State Space -- 5.18 Data-Based Dynamic Modeling -- 5.18.1 Introduction -- 5.18.2 Time-Series Modeling -- 5.18.3 The Group Method of Data Handling (GMDH) Algorithm -- 5.18.4 Artificial Neural Networks -- 5.18.5 A Comparison of Time-Series, GMDH, and ANN Modeling of a Second-Order Dynamic System -- 5.18.6 Time-Series Modeling of a Position Control System -- 5.18.7 Time-Series Modeling for Fault Diagnosis -- 5.18.8 Time-Series Modeling of a Proportional PRV -- 5.18.9 GMDH Modeling of a Nitrogen-Filled Accumulator.…”
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Thermal Management of Electronics : an Experimental Approach Using Phase-Change-Based Materials in Composite Heat Sinks. by Baby, Rajesh

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Handbook of safety principles

Table of Contents: “…Success or Failure / Ann Enander -- 30.8. Relations to Other Safety Principles / Ann Enander -- References / Ann Enander -- Further Reading / Ann Enander -- 31. …”
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Decision Intelligence for Dummies by Baker, Pamela

Table of Contents: “…Preventing Wrong Influences from Affecting Decisions -- Bad influences in AI and analytics -- The blame game -- Ugly politics and happy influencers -- Risk Factors in Decision Intelligence -- DI and Hyperautomation -- Part 5 The Part of Tens -- Chapter 17 Ten Steps to Setting Up a Smart Decision -- Check Your Data Source -- Track Your Data Lineage -- Know Your Tools -- Use Automated Visualizations -- Impact = Decision -- Do Reality Checks -- Limit Your Assumptions -- Think Like a Science Teacher -- Solve for Missing Data -- Partial versus incomplete data -- Clues and missing answers -- Take Two Perspectives and Call Me in the Morning -- Chapter 18 Bias In, Bias Out (and Other Pitfalls) -- A Pitfalls Overview -- Relying on Racist Algorithms -- Following a Flawed Model for Repeat Offenders -- Using A Sexist Hiring Algorithm -- Redlining Loans -- Leaning on Irrelevant Information -- Falling Victim to Framing Foibles -- Being Overconfident -- Lulled by Percentages -- Dismissing with Prejudice -- Index -- EULA.…”
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