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.

Profiling k-Iteration Paths : A Generalization of the Ball-Larus Profiling Algorithm

The Ball-Larus path-profiling algorithm is an efficient technique to collect acyclic path frequencies of a program. However, longer paths -those extending across loop iterations - describe the runtime behaviour of programs better. We generalize the Ball-Larus profiling algorithm for profiling k-iteration paths - paths that can span up to to k iterations of a loop. We show that it is possible to number suchk-iteration paths perfectly, thus allowing for an efficient profiling algorithm for such longer paths. We also describe a scheme for mixed-mode profiling: profiling different parts of a procedure with different path lengths. Experimental results show that k-iteration profiling is realistic.

Generalization of Dynkin's Identity and Some Applications

Let X(t) be a right continuous temporally homogeneous Markov pro- cess, Tt the corresponding semigroup and A the weak infinitesimal genera- tor. Let g(t) be absolutely continuous and r a stopping time satisfying E.( S f I g(t) I dt) < oo and E.( f " I g'(t) I dt) < oo Then for f e 9iJ(A) with f(X(t)) right continuous the identity Exg(r)f(X(z)) - g(O)f(x) = E( 5 " g'(s)f(X(s)) ds) + E.( 5 " g(s)Af(X(s)) ds) is a simple generalization of Dynkin's identity (g(t) 1). With further restrictions on f and r the following identity is obtained as a corollary: Ex(f(X(z))) = f(x) + k! Ex~rkAkf(X(z))) + n-1E + (n ) )!.E,(so un-1Anf(X(u)) du). These identities are applied to processes with stationary independent increments to obtain a number of new and known results relating the moments of stopping times to the moments of the stopped processes.

Analysis,Insights and Generalization of a Fast Decentralized Relay Selection Mechanism

Relay selection for cooperative communications has attracted considerable research interest recently. While several criteria have been proposed for selecting one or more relays and analyzed, mechanisms that perform the selection in a distributed manner have received relatively less attention. In this paper, we analyze a splitting algorithm for selecting the single best relay amongst a known number of active nodes in a cooperative network. We develop new and exact asymptotic analysis for computing the average number of slots required to resolve the best relay. We then propose and analyze a new algorithm that addresses the general problem of selecting the best Q >= 1 relays. Regardless of the number of relays, the algorithm selects the best two relays within 4.406 slots and the best three within 6.491 slots, on average. Our analysis also brings out an intimate relationship between multiple access selection and multiple access control algorithms.

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.

Thermomechanical generalization of pin joints in finite plates

The understanding of thermoelastic behaviour of joints is significant in order to ensure the integrity of large and complex structures exposed to a thermal environment, particularly in fields such as aerospace and nuclear engineering. Thermomechanical generalization of partial contact behaviour of a pin joint under combined in-plane mechanical loading and on-axis unidirectional heat flow has already been established by the authors for the analytically simpler domains of large plates. This paper successfully extends the on-going investigation to a single pin in a finite rectangular isotropic plate as a two-dimensional abstraction from a practical situation of a multipin fastener joint. The finite element method is used to analyse the joint problem under on-axis thermomechanical loading and unified load-contact relationships are established for a class of loading conditions.

Generalization of Abrams' law

Considering cement based composites as chemically bonded ceramics (CBC) the consequent strength development with age is essentially a constant volume solidification process, such that the hydrated gel particles fill the space resulting in the compatible gel space ratios. Analysis has been done of the extensively used graphical method of mix design (British method of mix design) i.e., the relation between the compressive strength and the free water - cement ratio. By considering the strength (S) at w/c 0.5 (S-0.5) as the reference state to reflect the synergetic effects between constituents of concrete a generalized relationship obtained is of the form {S/S-0.5} = a + b {1/(w/c)}.

Thermomechanical generalization of partial contact in pin joints

Mechanical fasteners introduce structural weakness, still they are an essential constituent of most structures as they permit interchangeability of parts and flexible construction programs; Variable temperature operations of Aerospace and Nuclear structures make it imperative to investigate the thermoelastic behaviour of joints. This paper explores analytically similar mechanical and thermal parameters to generalise the thermomechanical behaviour of a pin joint in an isotropic Sheet for a class of configurations. This generalization enables virtually direct application of existing information regarding joints under pure mechanical loading to joints subjected to combined thermomechanical loading, thus reducing the efforts of both the analyst and the designer by an order of magnitude. Copyright (C) 1996 Published by Elsevier Science Ltd.

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.

Generalization of the collision cone approach for motion safety in 3-D environments

Avoidance of collision between moving objects in a 3-D environment is fundamental to the problem of planning safe trajectories in dynamic environments. This problem appears in several diverse fields including robotics, air vehicles, underwater vehicles and computer animation. Most of the existing literature on collision prediction assumes objects to be modelled as spheres. While the conservative spherical bounding box is valid in many cases, in many other cases, where objects operate in close proximity, a less conservative approach, that allows objects to be modelled using analytic surfaces that closely mimic the shape of the object, is more desirable. In this paper, a collision cone approach (previously developed only for objects moving on a plane) is used to determine collision between objects, moving in 3-D space, whose shapes can be modelled by general quadric surfaces. Exact collision conditions for such quadric surfaces are obtained and used to derive dynamic inversion based avoidance strategies.

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.

On improving the generalization of SVM classifier

The generalization performance of the SVM classifier depends mainly on the VC dimension and the dimensionality of the data. By reducing the VC dimension of the SVM classifier, its generalization performance is expected to increase. In the present paper, we argue that the VC dimension of SVM classifier can be reduced by applying bootstrapping and dimensionality reduction techniques. Experimental results showed that bootstrapping the original data and bootstrapping the projected (dimensionally reduced) data improved the performance of the SVM classifier.

Generalization of deviated linear cyclic pursuit

Earlier work on cyclic pursuit systems has shown that using heterogeneous gains for agents in linear cyclic pursuit, the point of convergence (rendezvous point) can be chosen arbitrarily. But there are some restrictions on this set of reachable points. The use of deviated cyclic pursuit, as discussed in this paper, expands this set of reachable points to include points which are not reachable by any known linear cyclic pursuit scheme. The limits on the deviations are determined by stability considerations. Such limits have been analytically obtained in this paper along with results on the expansion in reachable set and the latter has also been verified through simulations.

Global response sensitivity analysis using probability distance measures and generalization of Sobol's analysis

The study introduces two new alternatives for global response sensitivity analysis based on the application of the L-2-norm and Hellinger's metric for measuring distance between two probabilistic models. Both the procedures are shown to be capable of treating dependent non-Gaussian random variable models for the input variables. The sensitivity indices obtained based on the L2-norm involve second order moments of the response, and, when applied for the case of independent and identically distributed sequence of input random variables, it is shown to be related to the classical Sobol's response sensitivity indices. The analysis based on Hellinger's metric addresses variability across entire range or segments of the response probability density function. The measure is shown to be conceptually a more satisfying alternative to the Kullback-Leibler divergence based analysis which has been reported in the existing literature. Other issues addressed in the study cover Monte Carlo simulation based methods for computing the sensitivity indices and sensitivity analysis with respect to grouped variables. Illustrative examples consist of studies on global sensitivity analysis of natural frequencies of a random multi-degree of freedom system, response of a nonlinear frame, and safety margin associated with a nonlinear performance function. (C) 2015 Elsevier Ltd. All rights reserved.

A Generalization of Gravity

I consider theories of gravity built not just from the metric and affine connection, but also other (possibly higher rank) symmetric tensor(s). The Lagrangian densities are scalars built from them, and the volume forms are related to Cayley's hyperdeterminants. The resulting diff-invariant actions give rise to geometric theories that go beyond the metric paradigm (even metric-less theories are possible), and contain Einstein gravity as a special case. Examples contain theories with generalizeations of Riemannian geometry. The 0-tensor case is related to dilaton gravity. These theories can give rise to new types of spontaneous Lorentz breaking and might be relevant for ``dark'' sector cosmology.