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Goethe und das Judentum
(2009)
This paper describes a method to treat contextual equivalence in polymorphically typed lambda-calculi, and also how to transfer equivalences from the untyped versions of lambda-calculi to their typed variant, where our specific calculus has letrec, recursive types and is nondeterministic. An addition of a type label to every subexpression is all that is needed, together with some natural constraints for the consistency of the type labels and well-scopedness of expressions. One result is that an elementary but typed notion of program transformation is obtained and that untyped contextual equivalences also hold in the typed calculus as long as the expressions are well-typed. In order to have a nice interaction between reduction and typing, some reduction rules have to be accompanied with a type modification by generalizing or instantiating types.
Motivated by the question of correctness of a specific implementation of concurrent buffers in the lambda calculus with futures underlying Alice ML, we prove that concurrent buffers and handled futures can correctly encode each other. Correctness means that our encodings preserve and reflect the observations of may- and must-convergence. This also shows correctness wrt. program semantics, since the encodings are adequate translations wrt. contextual semantics. While these translations encode blocking into queuing and waiting, we also provide an adequate encoding of buffers in a calculus without handles, which is more low-level and uses busy-waiting instead of blocking. Furthermore we demonstrate that our correctness concept applies to the whole compilation process from high-level to low-level concurrent languages, by translating the calculus with buffers, handled futures and data constructors into a small core language without those constructs.
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of individual ABS tranches can directly be compared to those of corporate bonds, within and across rating classes. By applying Monte Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making. On an economic level, our analysis suggests a new explanation for the observed rating inflation in structured finance markets during the pre-crisis period 2004-2007. On a policy level, our findings call for a termination of the 'one-size-fits-all' approach to the rating methodology for fixed income instruments, requiring an own rating methodology for structured finance instruments. JEL Classification: G21, G28
Der Kopf des Magnus Maximus
(2009)
Rezensionen zu: Govert Schilling, Lars Lindberg Christensen : Unser Fenster zum Weltraum : 400 Jahre Entdeckungen mit Teleskopen. Wiley-VCH-Verlag, Weinheim 2009, 135 Seiten und Begleit DVD, ISBN 978-3-527-40867-2, 24,90 Euro. Thomas Bührke, Roland Wengenmayr (Hrsg.) : Geheimnisvoller Kosmos Astrophysik und Kosmologie im 21. Jahrhundert, Wiley-VCH Verlag, Weinheim 2009, 200 Seiten, ISBN 978-3-527-40899-3, 29,00 Euro. Lars Lindberg Christensen, Robert Fosbury, Robert Hurt : Verborgenes Universum. Wiley-VCH-Verlag, Weinheim 2009, 145 Seiten, ISBN 978-3-527-40868-9, 24,90 Euro.