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.

Multi power port converter for hybrid electric vehicles using multi phase bidirectional fly-back topology

For hybrid electric vehicles the batteries and the drive dc-link may be at different voltages. The batteries are at low voltage to obtain higher volumetric efficiencies and the dc-link is at higher voltage to have higher efficiency on the motor side. Therefore a power interface between the batteries and the drive's dc-link is essential. This power interface should handle power flow from battery to motor, motor to battery, external genset to battery and grid to battery. This paper proposes a multi power port topology which is capable of handling multiple power sources and still maintains simplicity and features like obtaining any gain, wide load variations, lower output current ripple and capability of parallel battery energy due to the modular structure. The development and testing of a bi-directional fly-back DC-DC converter for hybrid electric vehicle is described in this paper. Simple hysteresis voltage control is used for DC link voltage regulation. The experimental results are presented to show the working of the proposed converter.

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.

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.

Geoarchaeological Evidence of a Chola-Period Tsunami from an Ancient Port at Kaveripattinam on the Southeastern Coast of India

Literature of the ancient Chola Dynasty (A.D. 9th-11th centuries) of South India and recent archaeological excavations allude to a sea flood that crippled the ancient port at Kaveripattinam, a trading hub for Southeast Asia, and probably affected the entire South Indian coast, analogous to the 2004 Indian Ocean tsunami impact. We present sedimentary evidence from an archaeological site to validate the textual references to this early medieval event. A sandy layer showing bed forms representing high-energy conditions, possibly generated by a seaborne wave, was identified at the Kaveripattinam coast of Tamil Nadu, South India. Its sedimentary characteristics include hummocky cross-stratification, convolute lamination with heavy minerals, rip-up clasts, an erosional contact with the underlying mud bed, and a landward thinning geometry. Admixed with 1000-year-old Chola period artifacts, it provided an optically stimulated luminescence age of 1091 perpendicular to 66 yr and a thermoluminescence age of 993 perpendicular to 73 yr for the embedded pottery sherds. The dates of these proxies converge around 1000 yr B. P., correlative of an ancient tsunami reported from elsewhere along the Indian Ocean coasts. (C) 2011 Wiley Periodicals, Inc.

Spray characterization of gasoline-ethanol blends from a multi-hole port fuel injector

This work reports the measured spray structure and droplet size distributions of ethanol-gasoline blends for a low-pressure, multi-hole, port fuel injector (PFI). This study presents previously unavailable data for this class of injectors which are widely used in automotive applications. Specifically, gasoline, ethanol, and gasoline-ethanol blends containing 10%, 20% and 50% ethanol were studied using laser backlight imaging, and particle/droplet image analysis (PDIA) techniques. The fuel mass injected, spray structure and tip penetrations, droplet size distributions, and Sauter mean diameter were determined for the blends, at two different injection pressures. Results indicate that the gasoline and ethanol sprays have similar characteristics in terms of spray progression and droplet sizes in spite of the large difference in viscosity. It appears that the complex mode of atomization utilized in these injectors involving interaction of multiple fuel jets is fairly insensitive to the fuel viscosity over a range of values. This result has interesting ramifications for existing gasoline fuel systems which need to handle blends and even pure ethanol, which is one of the renewable fuels of the future. (C) 2012 Elsevier Ltd. All rights reserved.

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.

Integrated magnetics based multi-port bidirectional DC-DC converter topology for discontinuous-mode operation

A new type of multi-port isolated bidirectional DC-DC converter is proposed in this study. In the proposed converter, transfer of power takes place through addition of magnetomotive forces generated by multiple windings on a common transformer core. This eliminates the need for a centralised storage capacitor to interface all the ports. Hence, the requirement of an additional power transfer stage from the centralised capacitor can also be eliminated. The converter can be used for a multi-input, multi-output (MIMO) system. A pulse width modulation (PWM) strategy for controlling simultaneous power flow in the MIMO converter is also proposed. The proposed PWM scheme works in the discontinuous conduction mode. The leakage inductance can be chosen to aid power transfer. By using the proposed converter topology and PWM scheme, the need to compute power flow equations to determine the magnitude and direction of power flow between ports is alleviated. Instead, a simple controller structure based on average current control can be used to control the power flow. This study discusses the operating phases of the proposed multi-port converter along with its PWM scheme, the design process for each of the ports and finally experimental waveforms that validate the multi-port scheme.

Multi-Port Network Approach for the Analysis of Dual Band Fractal Microstrip Antennas

The multiport network approach is extended to analyze the behavior of microstrip fractal antennas. The capacitively fedmicrostrip square ring antenna has the side opposite to the feed arm replaced with a fractal Minkowski geometry. Dual frequency operation is achieved by suitably choosing the indentation of this fractal geometry. The width of the two sides adjacent to this is increased to further control the resonant characteristics and the ratio of the two resonance frequencies of this antenna. The impedance matrix for the multiport network model of this antenna is simplified exploiting self-similarity of the geometry with greater accuracy and reduced analysis time. Experimentally validated results confirm utility of the approach in analyzing the input characteristics of similar multi-frequency fractal microstrip antennas with other fractal geometries.

A scalable network port scan detection system on FPGA

With ever increasing network speed, scalable and reliable detection of network port scans has become a major challenge. In this paper, we present a scalable and flexible architecture and a novel algorithm, to detect and block port scans in real time. The proposed architecture detects fast scanners as well as stealth scanners having large inter-probe periods. FPGA implementation of the proposed system gives an average throughput of 2 Gbps with a system clock frequency of 100 MHz on Xilinx Virtex-II Pro FPGA. Experimental results on real network trace show the effectiveness of the proposed system in detecting and blocking network scans with very low false positives and false negatives.

Multi-port network modeling for fractal shape microstrip antenna

In this paper we demonstrate the use of multi-port network modeling to analyze one such antenna with fractal shaped parts. Based on simulation and experimental studies, it has been demonstrated that model can accurately predict the input characteristics of antennas with Minkowski geometry replacing a side micro strip square ring.

Multi-port network modeling of stub loaded Microstrip ring antenna for dual-band operations

A square ring microstrip antenna can be modified for dual-band operations by appropriately attaching an open ended stub. The input impedance of this antenna is analyzed here using multi-port network modeling (MNM) approach. The coupled feed is included by defining additional terms in the model. A prototype antenna is fabricated and tested to validate these computations.

Effect of port gas injection on in-cylinder stratification in a CNG fuelled SI engine

The concept of barrel stratification of air-fuel mixture is evaluated for a port gas injection (PGI) single cylinder spark ignition (SI) internal combustion (IC) engine using a transient three-dimensional computational fluid dynamic (CFD) model. The gaseous fuel used in the study is compressed natural gas (CNG). It is observed that compared to the premixed gas carburettor case, a substantial amount of in-cylinder stratification can be achieved with port gas injection system. A detailed parametric study is reported to understand the effect of the various injection parameters such as injection location, injection orientation, start of injection (SOT) and its duration, and injection rate. Furthermore, the best injection timing is evaluated for various load and speed cases. It is observed that the best stratification pattern can be achieved at 50% engine load. The injection location is observed to have a profound effect on the in-cylinder stratification pattern, and injection towards the side of the spark plug is observed to give a rich fuel-air mixture near the spark plug. It is also shown that there exists an optimal injection pressure.