The credit risk(+) model with general sector correlations

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Texture dependent stress corrosion failure of commercial titanium sheets in bromine-methanol solution

The stress corrosion cracking (SCC) characteristics of agr-titanium sheets in a bromine-methanol solution have been studied in the annealed and cold-rolled conditions using longitudinal and transverse specimens. The times to failure for annealed longitudinal specimens were longer than those for similarly tested transverse specimens. The cold-rolled specimens developed resistance to SCC, but failed by cleavage when notched, unlike the intergranular separation in annealed titanium. The apparent activation energy was found to be texture dependent and was in the range 30 to 51 kJ mol–1 for annealed titanium, and 15kJ mol–1 for cold-rolled titanium. The dependence of SCC behaviour on the texture is related to the changes in the crack initiation times. These are caused by changes in the passivation and repassivation characteristics of the particular thickness plane. The thickness planes are identified with the help of X-ray pole figures obtained on annealed and cold-rolled material. On the basis of the activation energy and the electrochemical measurements, the mechanism of SCC in annealed titanium is identified to be the one involving stress-aided anodic dissolution. On the other hand, the results on the cold-rolled titanium are in support of the hydrogen embrittlement mechanism consisting of hydride precipitation. The cleavage planes identified from the texture data match with the reported habit planes for hydride formation.

Simulation of Dust Loaded V-I Characteristics of a Commercial Thermal Power Plant Precipitator

A new approach based on finite difference method, is proposed for the simulation of electrical conditions in a dc energized wire-duct electrostatic precipitator with and without dust loading. Simulated voltage-curren characteristics with and without dust loading were compared with the measured characteristics for analyzing the performance of a precipitator. The simple finite difference method gives sufficiently accurate results with reduced mesh size. The results for dust free simulation were validated with published experimental data. Further measurements were conducted at a thermal power plant in India and the results compares well with the measured ones.

Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Acceleration of ortho ester Claisen rearrangement by a commercial microwave oven

Microwave irradiation, using a commercial microwave oven accelerates (in 10–15 min) the three-step ortho ester Claisen rearrangement of allyl and propynyl alcohols in dry DMF in open Erlenmeyer flasks.

Influence of initial texture on the microstructural instabilities during compression of commercial ?-Titanium at 25 °C to 400 °C

Cylindrical specimens of textured commercial pure alpha-titanium plate, cut with the cylinder axis along the rolling direction for one set of experiments and in the long transverse direction for the other set, were compressed at strain rates in the range of 0.001 to 100 s-1 and temperatures in the range of 25-degrees-C to 400-degrees-C. At strain rates greater-than-or-equal-to 1 s-1, both sets of specimens exhibited adiabatic shear bands, but the intensity of shear bands was found to be higher in the rolling direction specimens than in the long transverse direction specimens. At strain rates -0.1 s-1, the material deformed in a microstructurally inhomogeneous fashion. For the rolling direction specimens, cracking was observed at 100-degrees-C and at strain rates -0.1 s-1. This is attributed to dynamic strain aging. Such cracking was not observed in the long transverse specimens. The differences in the intensity of adiabatic shear bands and that of dynamic strain aging between the two sets of test specimens are attributed to the strong crystallographic texture present in these plates.

Electrochemical Determination of L-Dopa in Mucuna pruriens Seeds, Leaves and Commercial Siddha Product Using Gold Modified Pencil Graphite Electrode

In the present work a gold modified pencil graphite electrode (GPGE) was used for the determination of L-dopa present in the aqueous extracts of Mucuna pruriens seeds (MPS), Mucuna pruriens leaves (MPL) and Commercial Siddha Product (CSP). The GPGE shows excellent electrocatalytic activity towards the oxidation of both L-dopa and ascorbic acid (AA), with the separation of peak potential of 98 mV. The differential pulse voltammetric (DPV) results indicated that the detection limit for L-dopa was 1.54 mu M (S/N=3). This method can be successfully applied for the determination of L-dopa in real samples.

Synthesis and Microstructure of Laser Surface Alloyed Al–Sn–Si Layer on Commercial Aluminum Substrate

A new type of bearing alloy containing ultrafine sized tin and silicon dispersions in aluminum was designed using laser surface alloying and laser remelting techniques. The microstructures of these non-equilibrium processed alloys were studied in detail using scanning and transmission electron microscopy. The microstructures revealed three distinct morphologies of tin particles namely elongated particles co-existing with silicon, globular particles, and very fine particles. Our detailed analyses using cellular growth theories showed that the formation of these globular tin particles was due to the pinching off of the tin rich liquid in the inter-cellular space by the growth of aluminum secondary dendrite arms. Evidence of fine recrystallized aluminum grains at the top layer due to constrained solidification was shown. Thermal analyses suggested that melting of the spherical shaped tin particles was controlled by the binary aluminum-tin eutectic reaction, whereas non-spherical tin particles melted via the tin-silicon eutectic reaction.

New Ventures’ influence on the Growth of SME Employment, Production and Exports in India: Does Institutional Credit matter?

New ventures are considered to be a major source of small firm growth. In Indian context the contribution of new ventures in terms of new employment, production and exports has largely remained unexplored. It is equally important and unexplored, the significance of the contribution of bank credit to the growth of new ventures in India. This paper is an attempt to throw light on these two aspects. The research is based on secondary data of the liberalized period provided by Ministry of Micro, Small and Medium Enterprises, Government of India and Reserve Bank of India. To analyze the influence of bank credit growth on new ventures and the influence of new ventures on growth of additional employment, additional production and additional exports, we used a Bi-Variate Vector Auto Regression. Based on the model generated, Granger causality tests are conducted to obtain the results. The study found that rate of growth of bank credit causes the number of new ventures, implying any increase in the rate of growth of bank credit will be beneficial to the growth of new ventures. The study also concluded that new ventures are not causing the growth of additional employment or additional production. However new ventures cause the growth of additional exports. This is reasonable as entrepreneurs start their new ventures with minimum possible employment and relatively low rate of capacity utilization and they come up to take advantage of the process of globalization by catering to the international market.

Expediency of Penetration Ratio and Evaluation of Mean Throughput for Safety and Commercial Applications in VANETs

Vehicular ad hoc network (VANET) applications are principally categorized into safety and commercial applications. Efficient traffic management for routing an emergency vehicle is of paramount importance in safety applications of VANETs. In the first case, a typical example of a high dense urban scenario is considered to demonstrate the role of penetration ratio for achieving reduced travel time between source and destination points. The major requirement for testing these VANET applications is a realistic simulation approach which would justify the results prior to actual deployment. A Traffic Simulator coupled with a Network Simulator using a feedback loop feature is apt for realistic simulation of VANETs. Thus, in this paper, we develop the safety application using traffic control interface (TraCI), which couples SUMO (traffic simulator) and NS2 (network simulator). Likewise, the mean throughput is one of the necessary performance measures for commercial applications of VANETs. In the next case, commercial applications have been considered wherein the data is transferred amongst vehicles (V2V) and between roadside infrastructure and vehicles (I2V), for which the throughput is assessed.

Pricing credit derivatives

The financial crisis set off by the default of Lehman Brothers in 2008 leading to disastrous consequences for the global economy has focused attention on regulation and pricing issues related to credit derivatives. Credit risk refers to the potential losses that can arise due to the changes in the credit quality of financial instruments. These changes could be due to changes in the ratings, market price (spread) or default on contractual obligations. Credit derivatives are financial instruments designed to mitigate the adverse impact that may arise due to credit risks. However, they also allow the investors to take up purely speculative positions. In this article we provide a succinct introduction to the notions of credit risk, the credit derivatives market and describe some of the important credit derivative products. There are two approaches to pricing credit derivatives, namely the structural and the reduced form or intensity-based models. A crucial aspect of the modelling that we touch upon briefly in this article is the problem of calibration of these models. We hope to convey through this article the challenges that are inherent in credit risk modelling, the elegant mathematics and concepts that underlie some of the models and the importance of understanding the limitations of the models.

Rapid determination of main constituents of packed juices by reverse phase-high performance liquid chromatography: an insight in to commercial fruit drinks

The present work reports the compositional analysis of thirteen different packed fruit juices using high performance liquid chromatography (HPLC). Vitamin C, organic acids (citric and malic) and sugars (fructose, glucose and sucrose) were separated, analyzed and quantified using different reverse phase methods. A new rapid reverse phase HPLC method was developed for routine analysis of vitamin C in fruit juices. The precision results of the methods showed that the relative standard deviations of the repeatability and reproducibility were < 0.05 and < 0.1 respectively. Correlation coefficient of the calibration models developed was found to be higher than 0.99 in each case. It has been found that the content of Vitamin C was less variable amongst different varieties involved in the study. It is also observed that in comparison to fresh juices, the packed juices contain lesser amounts of vitamin C. Citric acid was found as the major organic acids present in packed juices while maximum portion of sugars was of sucrose. Comparison of the amount of vitamin C, organic acids and sugars in same fruit juice of different commercial brands is also reported.