Acoustic scattering by a semi-infinite angular sector with impedance boundary conditions, II: the far-field asymptotics

This work is a natural continuation of our recent study devoted to the scattering of a plane incident wave by a semi-infinite impedance sector. We develop an approach that enables us to compute different components in the far-field asymptotics. The method is based on the Sommerfeld integral representation of the scattered wave field, on the careful study of singularities of the integrand and on the asymptotic evaluation of the integral by means of the saddle point technique. In this way, we describe the waves reflected from the sector, diffracted by its edges or scattered by the vertex as well as the surface waves. Discussion of the far-field in the so-called singular directions (or in the transition zones) is also addressed.

SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION

Systemic risk (SR) has been shown to play an important role in explaining the financial turmoils in the last several decades and understanding this source of risk has been a particular interest amongst academics, practitioners and regulators. The precise mathematical formulation of SR is still scrutinised, but the main purpose is to evaluate the financial distress of a system as a result of the failure of one component of the financial system in question. Many of the mathematical definitions of SR are based on evaluating expectations in extreme regions and therefore, Extreme Value Theory (EVT) represents the key ingredient in producing valuable estimates of SR and even its decomposition per individual components of the entire system. Without doubt, the prescribed dependence model amongst the system components has a major impact over our asymptotic approximations. Thus, this paper considers various well-known dependence models in the EVT literature that allow us to generate SR estimates. Our findings reveal that SR has a significant impact under asymptotic dependence, while weak tail dependence, known as asymptotic independence, produces an insignificant loss over the regulatory capital.