This paper deals with a copula-based stochastic dependence problem in the context of financial risks. We discuss the financial framework for assessing the theoretical up-front value of government ...guarantees on bank liabilities. EU States widely use these contracts to improve the financial system’s stability and manage the banking sector in crisis situations; in Italy, they have also been used to address the consequences of the Covid-19 emergency. From a market viewpoint, we deal with a defaultable guarantee contract where the State-guarantor and the bank-borrower are both subject to default risk, and their risks are interconnected. We show that the classical Gaussian copula is not satisfactory for modeling the dependence among the considered risks. Indeed, using the benchmark market model for credit risk portfolio management, we highlight some contradictory results observed for the up-front values of the guarantee when the default intensity of the guarantor is smaller than that of the borrower. Then, we introduce a new family of modified Gaussian copulas that overcomes the limitations of the standard approach, allowing to determine realistic results in terms of the guarantees “mark-to-model” value when the benchmark market model does not work. Numerical simulations validate the theoretical proposal.
Results are presented for six nuclei from Be to Pb on the structure function ratios
F
2
A/
F
2
C(
x) and their
A dependence in deep inelastic muon scattering at 200 GeV incident muon energy. The data ...cover the kinematic range 0.01 <
x < 0.8 with
Q
2 ranging from 2 to 70 GeV
2. The
A dependence of nuclear structure function ratios is parametrised and compared to various models.
Gottfried sum from the ratio F2n/F2p Amaudruz, P; Arneodo, M; Arvidson, A ...
Physical review letters,
1991-May-27, Letnik:
66, Številka:
21
Journal Article
Recenzirano
Experimental results obtained at the CERN Super Proton Synchrotron on the structure-function ratio F2n/F2p in the kinematic range 0.004 < x < 0.8 and 0.4 < Q2 < 190 GeV2, together with ...the structure function F2d determined from a fit to published data, are used to derive the difference F2p(x) - F2n(x). The value of the Gottfried sum integral (F2p - F2n) dx/x = 0.240 +/- 0.016 is below the quark-parton-model expectation of 1/3.
We performed model measurements on heat conduction in graphite-based structures, using several configurations. We describe our method for the direct measurement of thermal conductivity both in-plane ...and out-of-plane, for TPG and PG samples. Our results for the in-plane thermal conductivity coefficient,
K
ab were obtained with two different sets of boundary conditions; they are in good mutual agreement. Those for the transverse coefficient,
K
c, differ by a significant factor from the values published by the producers of the material.
We discuss collisions of two equally charged leptons
l
−
l
− or
l
+
l
+, with
l =
e,
μ, where the exchange of heavy neutrino flavors induces the lepton-flavour-violating transitions to a pair of ...equally charged gauge bosons,
W
−
W
− or
W
+
W
+. In the center-of-mass energy region well above
W pair production threshold, but below the heavy neutrino mass, acceptable mass and mixing parameters for the heavy neutrino flavor lead to cross sections of a size and energy dependence that permit a clear detection of lepton flavor violation; the resulting signal constitutes a unique discovery channel for TeV-level Majorana neutrinos.
The cross-section for deeply virtual Compton scattering in the reaction ep→eγp has been measured with the ZEUS detector at HERA using integrated luminosities of 95.0 pb−1 of e+p and 16.7 pb−1 of e−p ...collisions. Differential cross-sections are presented as a function of the exchanged-photon virtuality, Q2, and the centre-of-mass energy, W, of the γ∗p system in the region 5<Q2<100 GeV2 and 40<W<140 GeV. The measured cross-sections rise steeply with increasing W. The measurements are compared to QCD-based calculations.
How to catch a massive neutrino Heusch, C.A.
Nuclear physics. Section B, Proceedings supplement,
01/1995, Letnik:
38, Številka:
1
Journal Article
Recenzirano
Odprti dostop
In the absence of definitive information on either the exact values of light-neutrino masses or their Dirac or Majorana character, the existence of heavy neutrino states mixing with the light ones ...provides a viable overall scenario. We review available evidence and argue that the process e
−e
− W
−W
− is likely to prove the preferred discovery channel for TeV-range Majorana masses that may explain the observed low-mass spectrum.
The muon-proton and muon-deuteron inclusive deep inelastic scattering cross sections were measured in the kinematic range 0.002 < x < 0.60 and 0.5 < Q(2) < 75 GeV2 at incident muon ...energies of 90, 120, 200 and 280 GeV. These results are based on the full
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