Skew

About: Skew is a research topic. Over the lifetime, 8792 publications have been published within this topic receiving 98985 citations.

Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings

Abstract: This paper presents two new models of portfolio default loss that extend the standard Gaussian copula model yet preserve tractability and computational efficiency. In one extension, we randomize recovery rates, explicitly allowing for the empirically well-established effect of inverse correlation between recovery rates and default frequencies. In another extension, we build into the model random systematic factor loadings, effectively allowing default correlations to be higher in bear markets than in bull markets. In both extensions, special cases of the models are shown to be as tractable as the Gaussian copula model and to allow efficient calibration to market credit spreads. We demonstrate that the models - even in their simplest versions - can generate highly significant pricing effects such as fat tails and a correlation "skew" in synthetic CDO tranche prices. When properly calibrated, the skew effect of random recovery is quite minor, but the extension with random factor loadings can produce correlation skews similar to the steep skews observed in the market. We briefly discuss two alternative skew models, one based on the Marshall-Olkin copula, the other on a spread-dependent correlation specification for the Gaussian copula.

Robust mixture modeling using multivariate skew t distributions

Abstract: This paper presents a robust mixture modeling framework using the multivariate skew t distributions, an extension of the multivariate Student's t family with additional shape parameters to regulate skewness The proposed model results in a very complicated likelihood Two variants of Monte Carlo EM algorithms are developed to carry out maximum likelihood estimation of mixture parameters In addition, we offer a general information-based method for obtaining the asymptotic covariance matrix of maximum likelihood estimates Some practical issues including the selection of starting values as well as the stopping criterion are also discussed The proposed methodology is applied to a subset of the Australian Institute of Sport data for illustration

Skew Fields: Theory of General Division Rings

Abstract: Preface From the preface to Skew Field Constructions Note to the reader Prologue 1. Rings and their fields of fractions 2. Skew polynomial rings and power series rings 3. Finite skew field extensions and applications 4. Localization 5. Coproducts of fields 6. General skew fields 7. Rational relations and rational identities 8. Equations and singularities 9. Valuations and orderings on skew fields Standard notations List of special notations used throughout the text Bibliography and author index Subject index.

A 12-GS/s 81-mW 5-bit Time-Interleaved Flash ADC With Background Timing Skew Calibration

Abstract: This paper presents a 12-GS/s 5-bit time-interleaved flash ADC realized in 65-nm CMOS. To improve the dynamic performance at high input frequencies, a statistics-based background calibration scheme for timing skew is employed. The timing skew is detected in the digital domain through a correlation-based algorithm and minimized by adjusting digitally controlled delay lines. In order to minimize power consumption, we employ near minimum size comparators, whose offset is reduced through foreground calibrated trim-DAC circuitry. With the timing calibration activated, the skew-related impairments are reduced by 12 dB at high input frequencies, resulting in an SNDR of 25.1 dB near Nyquist. The prototype IC consumes 81 mW from a 1.1 V supply, yielding a figure-of-merit of 0.35 pJ/conversion-step at low input frequencies, and 0.46 pJ/conversion-step for inputs near Nyquist.