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.

Total risk rating and stability analysis of embankment dams in the Kachchh Region, Gujarat, India

A method for total risk analysis of embankment dams under earthquake conditions is discussed and applied to the selected embankment dams, i.e., Chang, Tapar, Rudramata, and Kaswati located in the Kachchh region of Gujarat, India, to obtain the seismic hazard rating of the dam site and the risk rating of the structures. Based on the results of the total risk analysis of the dams, coupled non-linear dynamic numerical analyses of the dam sections are performed using acceleration time history record of the Bhuj (India) earthquake as well as five other major earthquakes recorded worldwide. The objective of doing so is to perform the numerical analysis of the dams for the range of amplitude, frequency content and time duration of input motions. The deformations calculated from the numerical analyses are also compared with other approaches available in literature, viz, Makdisi and Seed (1978) approach, Jansen's approach (1990), Swaisgood's method (1995), Bureau's method (1997). Singh et al. approach (2007), and Saygili and Rathje approach (2008) and the results are utilized to foresee the stability of dams in future earthquake scenario. (C) 2010 Elsevier B.V. All rights reserved.

An Evaluation of Inventory Management and Performance in Indian Machine Tool SMEs: An Exploratory Study

Inventory Management (IM) plays a decisive role in the enhancement of efficiency and competitiveness of manufacturing enterprises. Therefore, major manufacturing enterprises are following IM practices as a strategy to improve efficiency and achieve competitiveness. However, the spread of IM culture among Small and Medium Enterprises (SMEs) is limited due to lack of initiation, expertise and financial limitations in developed countries, leave alone developing countries. With this backdrop, this paper makes an attempt to ascertain the role and importance of IM practices and performance of SMEs in the machine tools industry of Bangalore, India. The relationship between inventory management practices and inventory cost are probed based on primary data gathered from 91 SMEs. The paper brings out that formal IM practices have a positive impact on the inventory performance of SMEs.

UVB irradiation alters the activities and kinetic properties of the enzymes of energy metabolism in rat lens during aging

Ultraviolet (UV) radiation is one of the major risk factors of cataract (loss of eye-lens transparency). The influence of UVB radiation (300 nm, 100 mu W cm(-2)) on the activity and apparent kinetic constants (K-m and V-max) of rat lens hexokinase (HK;EC2.7.1.1), phosphofructokinase (PFK;EC2.7.1.11), isocitrate dehydrogenase (ICDH;EC1.1.1.41) and malate dehydrogenase (MDH;EC1.1.1.37) of energy metabolism has been investigated by irradiating the lens homogenate of three-and 12-month-old rats. In the three-month-old group specific activities of HK and PFK are reduced by 56 and 43 %, respectively, and there is no change in ICDH and MDH activities after a 24 h exposure. On the other hand, in the 12-month-old group the decreases are 72, 71, 24 and 16 % for HK, PFK. ICDH and MDH, respectively. UVB irradiation increases the apparent K-m of HK and PFK (in both age groups), whereas the K-m of ICDH and MDH is not altered. While the decrease in V-max of these enzymes due to UVB exposure is only marginal in three-month-old rats, it is more pronounced (significant) in 12-month-old rats. A similar decrease in enzyme activities of HK and PFK is also observe upon UVB exposure of the intact rat lens. The photoinduced changes in energy metabolism may in turn have a bearing on lens transparency, particularly at an older age.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Robustness of the partitions in grouping multi-item inventories

A recent work obtained closed-form solutions to the.problem of optimally grouping a multi-item inventory into subgroups with a common order cycle per group, when the distribution by value of the inventory could be described by a Pareto function. This paper studies the sensitivity of the optimal subgroup boundaries so obtained. Closed-form expressions have been developed to find intervals for the subgroup boundaries for any given level of suboptimality. Graphs have been provided to aid the user in selecting a cost-effective level of aggregation and choosing appropriate subgroup boundaries for a whole range of inventory distributions. The results of sensitivity analyses demonstrate the availability of flexibility in the partition boundaries and the cost-effectiveness of any stock control system through three groups, and thus also provide a theoretical support to the intuitive ABC system of classifying the items.

Inventory Management Performance in Indian Machine Tool SMEs: What factors do influence them

These instructions give on basic guidelines for preparing papers for the IEEM 2008 Proceedings. Inventory Management (IM) plays a decisive role in the enhancement of efficiency for manufacturing enterprise competitiveness. Therefore, major manufacturing industries are following inventory management practices as a strategy to improve efficiency and achieve competitiveness. However, the spread of inventory management culture among Small and Medium Enterprises (SMEs) is limited due to lack of initiation, expertise and financial limitations in developed countries, leave alone developing countries.With this backdrop, this paper makes an attempt to ascertain the factors which influence the IM performance of SMEs in the machine tools industry of Bangalore, India. This issue is probed based on primary data gathered from 91 SMEs. The paper brings out that two sets of factors namely organizational support and external pressure have a positive impact on the inventory performance of SMEs.

Microcalorimetric indications for ligand binding as a function of the protein for galactoside-specific plant and avian lectins

The process cascade leading to the final accommodation of the carbohydrate ligand in the lectin’s binding site comprises enthalpic and entropic contributions of the binding partners and solvent molecules. With emphasis on lactose, N-acetyllactosamine, and thiodigalactoside as potent inhibitors of binding of galactoside-specific lectins, the question was addressed to what extent these parameters are affected as a function of the protein. The microcalorimetric study of carbohydrate association to the galectin from chicken liver (CG-16) and the agglutinin from Viscum album (VAA) revealed enthalpy–entropy compensation with evident protein type-dependent changes for N-acetyllactosamine. Reduction of the entropic penalty by differential flexibility of loops or side chains and/or solvation properties of the protein will have to be reckoned with to assign a molecular cause to protein type-dependent changes in thermodynamic parameters for lectins sharing the same monosaccharide specificity.

Component Inventory Costs in an Assembly Problem with Uncertain Supplier Lead-Times

We present a generic study of inventory costs in a factory stockroom that supplies component parts to an assembly line. Specifically, we are concerned with the increase in component inventories due to uncertainty in supplier lead-times, and the fact that several different components must be present before assembly can begin. It is assumed that the suppliers of the various components are independent, that the suppliers' operations are in statistical equilibrium, and that the same amount of each type of component is demanded by the assembly line each time a new assembly cycle is scheduled to begin. We use, as a measure of inventory cost, the expected time for which an order of components must be held in the stockroom from the time it is delivered until the time it is consumed by the assembly line. Our work reveals the effects of supplier lead-time variability, the number of different types of components, and their desired service levels, on the inventory cost. In addition, under the assumptions that inventory holding costs and the cost of delaying assembly are linear in time, we study optimal ordering policies and present an interesting characterization that is independent of the supplier lead-time distributions.

Risk minimization in water quality control problems of a river system

Methodologies are presented for minimization of risk in a river water quality management problem. A risk minimization model is developed to minimize the risk of low water quality along a river in the face of conflict among various stake holders. The model consists of three parts: a water quality simulation model, a risk evaluation model with uncertainty analysis and an optimization model. Sensitivity analysis, First Order Reliability Analysis (FORA) and Monte-Carlo simulations are performed to evaluate the fuzzy risk of low water quality. Fuzzy multiobjective programming is used to formulate the multiobjective model. Probabilistic Global Search Laussane (PGSL), a global search algorithm developed recently, is used for solving the resulting non-linear optimization problem. The algorithm is based on the assumption that better sets of points are more likely to be found in the neighborhood of good sets of points, therefore intensifying the search in the regions that contain good solutions. Another model is developed for risk minimization, which deals with only the moments of the generated probability density functions of the water quality indicators. Suitable skewness values of water quality indicators, which lead to low fuzzy risk are identified. Results of the models are compared with the results of a deterministic fuzzy waste load allocation model (FWLAM), when methodologies are applied to the case study of Tunga-Bhadra river system in southern India, with a steady state BOD-DO model. The fractional removal levels resulting from the risk minimization model are slightly higher, but result in a significant reduction in risk of low water quality. (c) 2005 Elsevier Ltd. All rights reserved.

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Cooperative Profit Sharing in Coalition-Based Resource Allocation in Wireless Networks

We consider a network in which several service providers offer wireless access to their respective subscribed customers through potentially multihop routes. If providers cooperate by jointly deploying and pooling their resources, such as spectrum and infrastructure (e.g., base stations) and agree to serve each others' customers, their aggregate payoffs, and individual shares, may substantially increase through opportunistic utilization of resources. The potential of such cooperation can, however, be realized only if each provider intelligently determines with whom it would cooperate, when it would cooperate, and how it would deploy and share its resources during such cooperation. Also, developing a rational basis for sharing the aggregate payoffs is imperative for the stability of the coalitions. We model such cooperation using the theory of transferable payoff coalitional games. We show that the optimum cooperation strategy, which involves the acquisition, deployment, and allocation of the channels and base stations (to customers), can be computed as the solution of a concave or an integer optimization. We next show that the grand coalition is stable in many different settings, i.e., if all providers cooperate, there is always an operating point that maximizes the providers' aggregate payoff, while offering each a share that removes any incentive to split from the coalition. The optimal cooperation strategy and the stabilizing payoff shares can be obtained in polynomial time by respectively solving the primals and the duals of the above optimizations, using distributed computations and limited exchange of confidential information among the providers. Numerical evaluations reveal that cooperation substantially enhances individual providers' payoffs under the optimal cooperation strategy and several different payoff sharing rules.

Climate change induced risk in water quality control problems

A modeling framework is presented in this paper, integrating hydrologic scenarios projected from a General Circulation Model (GCM) with a water quality simulation model to quantify the future expected risk. Statistical downscaling with a Canonical Correlation Analysis (CCA) is carried out to develop the future scenarios of hydro-climate variables starting with simulations provided by a GCM. A Multiple Logistic Regression (MLR) is used to quantify the risk of Low Water Quality (LWQ) corresponding to a threshold quality level, by considering the streamflow and water temperature as explanatory variables. An Imprecise Fuzzy Waste Load Allocation Model (IFWLAM) presented in an earlier study is then used to develop adaptive policies to address the projected water quality risks. Application of the proposed methodology is demonstrated with the case study of Tunga-Bhadra river in India. The results showed that the projected changes in the hydro-climate variables tend to diminish DO levels, thus increasing the future risk levels of LWQ. (C) 2012 Elsevier B.V. All rights reserved.

Fourteen gene GBM prognostic signature identifies association of immune response pathway and mesenchymal subtype with high risk group

Background: Recent research on glioblastoma (GBM) has focused on deducing gene signatures predicting prognosis. The present study evaluated the mRNA expression of selected genes and correlated with outcome to arrive at a prognostic gene signature. Methods: Patients with GBM (n = 123) were prospectively recruited, treated with a uniform protocol and followed up. Expression of 175 genes in GBM tissue was determined using qRT-PCR. A supervised principal component analysis followed by derivation of gene signature was performed. Independent validation of the signature was done using TCGA data. Gene Ontology and KEGG pathway analysis was carried out among patients from TCGA cohort. Results: A 14 gene signature was identified that predicted outcome in GBM. A weighted gene (WG) score was found to be an independent predictor of survival in multivariate analysis in the present cohort (HR = 2.507; B = 0.919; p < 0.001) and in TCGA cohort. Risk stratification by standardized WG score classified patients into low and high risk predicting survival both in our cohort (p = <0.001) and TCGA cohort (p = 0.001). Pathway analysis using the most differentially regulated genes (n = 76) between the low and high risk groups revealed association of activated inflammatory/immune response pathways and mesenchymal subtype in the high risk group. Conclusion: We have identified a 14 gene expression signature that can predict survival in GBM patients. A network analysis revealed activation of inflammatory response pathway specifically in high risk group. These findings may have implications in understanding of gliomagenesis, development of targeted therapies and selection of high risk cancer patients for alternate adjuvant therapies.

Lineage delimitation and description of nine new species of bush frogs (Anura: Raorchestes, Rhacophoridae) from the Western Ghats Escarpment

Bush frogs of the genus Raorchestes are distributed mainly in the Western Ghats Escarpment of Peninsular India. The inventory of species in this genus is incomplete and there is ambiguity in the systematic status of species recognized by morphological criteria. To address the dual problem of taxon sampling and systematic uncertainty in bush frogs, we used a large-scale spatial sampling design, explicitly incorporating the geographic and ecological heterogeneity of the Western Ghats. We then used a hierarchical multi-criteria approach by combining mitochondrial phylogeny, genetic distance, geographic range, morphology and advertisement call to delimit bush frog lineages. Our analyses revealed the existence of a large number of new lineages with varying levels of genetic divergence. Here, we provide diagnoses and descriptions for nine lineages that exhibit divergence across multiple axes. The discovery of new lineages that exhibit high divergence across wide ranges of elevation and across the major massifs highlights the large gaps in historical sampling. These discoveries underscore the significance of addressing inadequate knowledge of species distribution, namely the ``Wallacean shortfall'', in addressing the problem of taxon sampling and unknown diversity in tropical hotspots. A biogeographically informed sampling and analytical approach was critical in detecting and delineating lineages in a consistent manner across the genus. Through increased taxon sampling, we were also able to discern a number of well-supported sub-clades that were either unresolved or absent in earlier phylogenetic reconstructions and identify a number of shallow divergent lineages which require further examination for assessment of their taxonomic status.