11 resultados para credit union
em Indian Institute of Science - Bangalore - Índia
Resumo:
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.
Resumo:
Relative geometric arrangements of the sample points, with reference to the structure of the imbedding space, produce clusters. Hence, if each sample point is imagined to acquire a volume of a small M-cube (called pattern-cell), depending on the ranges of its (M) features and number (N) of samples; then overlapping pattern-cells would indicate naturally closer sample-points. A chain or blob of such overlapping cells would mean a cluster and separate clusters would not share a common pattern-cell between them. The conditions and an analytic method to find such an overlap are developed. A simple, intuitive, nonparametric clustering procedure, based on such overlapping pattern-cells is presented. It may be classified as an agglomerative, hierarchical, linkage-type clustering procedure. The algorithm is fast, requires low storage and can identify irregular clusters. Two extensions of the algorithm, to separate overlapping clusters and to estimate the nature of pattern distributions in the sample space, are also indicated.
Resumo:
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.
Resumo:
We consider the following question: Let S (1) and S (2) be two smooth, totally-real surfaces in C-2 that contain the origin. If the union of their tangent planes is locally polynomially convex at the origin, then is S-1 boolean OR S-2 locally polynomially convex at the origin? If T (0) S (1) a (c) T (0) S (2) = {0}, then it is a folk result that the answer is yes. We discuss an obstruction to the presumed proof, and provide a different approach. When dim(R)(T0S1 boolean AND T0S2) = 1, we present a geometric condition under which no consistent answer to the above question exists. We then discuss conditions under which we can expect local polynomial convexity.
Resumo:
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.
Resumo:
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.
Resumo:
The Reeb graph of a scalar function tracks the evolution of the topology of its level sets. This paper describes a fast algorithm to compute the Reeb graph of a piecewise-linear (PL) function defined over manifolds and non-manifolds. The key idea in the proposed approach is to maximally leverage the efficient contour tree algorithm to compute the Reeb graph. The algorithm proceeds by dividing the input into a set of subvolumes that have loop-free Reeb graphs using the join tree of the scalar function and computes the Reeb graph by combining the contour trees of all the subvolumes. Since the key ingredient of this method is a series of union-find operations, the algorithm is fast in practice. Experimental results demonstrate that it outperforms current generic algorithms by a factor of up to two orders of magnitude, and has a performance on par with algorithms that are catered to restricted classes of input. The algorithm also extends to handle large data that do not fit in memory.