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.

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.

On the evaluation of stability of rare earth oxides as face coats for investment casting of titanium

Attempts have been made to evaluate the thermal stability of rare earth oxide face coats against liquid titanium. Determination of microhardness profiles and concentration profiles of oxygen and metallic constituents of oxide in investment cast titanium rods has allowed grActation of relative stability of rare earth oxides. The relative stability of evaluated oxides in the order of increasing stability follows the sequence CeO2 — ZrO2 — Gd2O3 — didymium oxide — Sm2O3 —Nd2O3 — Y2O3. The grading does not follow the free energy data of the formation of these oxides. A better correlation with the experimental observations is obtained when the solubility of the metallic species in titanium is also taken into consideration.

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.

Tamarind orchards: Agroforestry for dry lands

Agroforestry has a potential for sequestering as much carbon if not more than forests. Massive benefits can be channeled to small farmers and landless labourers through cultivation of Tamarind and other fast growing and fruit yielding trees. This paper describes a project started by small farmers and landless labourers in a semiarid areas of south India. The aim is to upgrade dryland holdings of the member families through economically sound dry land horticulture, community woodlots, and planting of fast growing species along orchard and field boundaries. The small farmers invest massive labour inputs and project gives economic benefits to change their land use practices and improve environmental quality. This paper describes the planning. processes of the project, hurdles in finding AIJ partners, current monitoring procedures and costs of C sequestration. This shows this project is economically viable on its own, but initially needed, and continues to need Carbon credit investment in order to spread rapidly across the geopolitical region covered by the organization. It argues that economic gains to small farmers and landless labourers are the most certain way of achieving massive biomass increase and soil carbon replenishment, and that multiple holistic benefits are achieved through this kind of project.

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.

Strategic Marketing and Innovation Performance of Indian MSMEs

Micro Small and Medium Enterprises (MSMEs) is an integral part of the Indian industrial sector. The distinctive features of MSMEs are less capital investment and high labour absorption which has created unprecedented importance to this sector. As per the Development Commissioner of MSME, the sector has the credit of being the second highest in employment in India, which stands next to agricultural sector. The MSMEs are very much needed in efficiently allocating the enormous labour supply and scarce capital by implementing labour intensive production processes. Associated with this high growth rates, MSMEs are also facing a number of problems like sub-optimal scale of operation, technological obsolescence, supply chain inefficiencies, increasing domestic and global competition, fund shortages, change in manufacturing & marketing strategies, turbulent and uncertain market scenario. To survive with such issues and compete with large and global enterprises, MSMEs need to adopt innovative approaches in their regular business operations. Among the manufacturing sectors, we find that they are unable to focus themselves in the present competition. This paper presents a brief literature of work done in MSMEs, Innovation and Strategic marketing with reference to Indian manufacturing firms.