Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings

This study estimates default probabilities of 124 emerging countries from 1981 to 2002 as a function of a set of macroeconomic and political variables. The estimated probabilities are then compared with the default rates implied by sovereign credit ratings of three major international credit rating agencies (CRAs) – Moody's Investor's Service, Standard & Poor's and Fitch Ratings. Sovereign debt default probabilities are used by investors in pricing sovereign bonds and loans as well as in determining country risk exposure. The study finds that CRAs usually underestimate the risk of sovereign debt as the sovereign credit ratings from rating agencies are usually too optimistic.

The Exodus evacuation model applied to building evacuation scenarios

The purpose of this paper is to demonstrate the potential of the EXODUS evacuation model in building environments. The latest PC/workstation version of EXODUS is described and is also applied to a large hypothetical supermarket/restaurant complex measuring 50 m x 40 m. A range of scenarios is presented where population characteristics (such as size, individual travel speeds, and individual response times), and enclosure configuration characteristics (such as number of exits, size of exits, and opening times of exits) are varied. The results demonstrate a wide range of occupant behavior including overtaking, queuing, redirection, and conflict avoidance. Evacuation performance is measured by a number of model predicted parameters including individual exit flow rates, overall evacuation flow rates, total evacuation time, average evacuation time per occupant, average travel distance, and average wait time. The simulations highlight the profound impact that variations in individual travel speeds and occupant response times have in determining the overall evacuation performance. 1. Jin, T., and Yamada T., "Experimental Study of Human Behavior in Smoke Filled Corridors," Proceedings of The Second International Symposium on Fire Safety Science, 1988, pp. 511-519. 2. Galea, E.R., and Galparsoro, J.M.P., "EXODUS: An Evacuation Model for Mass Transport Vehicles," UK CAA Paper 93006 ISBN 086039 543X, CAA London, 1993. 3. Galea, E.R., and Galparsoro, J.M.P., "A Computer Based Simulation Model for the Prediction of Evacuation from Mass Transport Vehicles," Fire Safety Journal, Vol. 22, 1994, pp. 341-366. 4. Galea, E.R., Owen, M., and Lawrence, P., "Computer Modeling of Human Be havior in Aircraft Fire Accidents," to appear in the Proceedings of Combus tion Toxicology Symposium, CAMI, Oklahoma City, OK, 1995. 5. Kisko, T.M. and Francis, R.L., "EVACNET+: A Computer Program to Determine Optimal Building Evacuation Plans," Fire Safety Journal, Vol. 9, 1985, pp. 211-220. 6. Levin, B., "EXITT, A Simulation Model of Occupant Decisions and Actions in Residential Fires," Proceedings of The Second International Symposium on Fire Safety Science, 1988, pp. 561-570. 7. Fahy, R.F., "EXIT89: An Evacuation Model for High-Rise Buildings," Pro ceedings of The Third International Sym posium on Fire Safety Science, 1991, pp. 815-823. 8. Thompson, P.A., and Marchant, E.W., "A Computer Model for the Evacuation of Large Building Populations," Fire Safety Journal, Vol. 24, 1995, pp. 131-148. 9. Still, K., "New Computer System Can Predict Human Behavior Response to Building Fires," FIRE 84, 1993, pp. 40-41. 10. Ketchell, N., Cole, S.S., Webber, D.M., et.al., "The Egress Code for Human Move ment and Behavior in Emergency Evacu ations," Engineering for Crowd Safety (Smith, R.A., and Dickie, J.F., Eds.), Elsevier, 1993, pp. 361-370. 11. Takahashi, K., Tanaka, T. and Kose, S., "An Evacuation Model for Use in Fire Safety Design of Buildings," Proceedings of The Second International Symposium on Fire Safety Science, 1988, pp. 551- 560. 12. G2 Reference Manual, Version 3.0, Gensym Corporation, Cambridge, MA. 13. XVT Reference Manual, Version 3.0 XVT Software Inc., Boulder, CO. 14. Galea, E.R., "On the Field Modeling Approach to the Simulation of Enclosure Fires, Journal of Fire Protection Engineering, Vol. 1, No. 1, 1989, pp. 11-22. 15. Purser, D.A., "Toxicity Assessment of Combustion Products," SFPE Handbook of Fire Protection Engineering, National Fire Protection Association, Quincy, MA, pp. 1-200 - 1-245, 1988. 16. Hankin, B.D., and Wright, R.A., "Pas senger Flows in Subways," Operational Research Quarterly, Vol. 9, 1958, pp. 81-88. 17. HMSO, The Building Regulations 1991 - Approved Document B, section B 1 (1992 edition), HMSO publications, London, pp. 9-40. 18. Polus A., Schofer, J.L., and Ushpiz, A., "Pedestrian Flow and Level of Service," Journal of Transportation Engineering, Vol. 109, 1983, pp. 46-47. 19. Muir, H., Marrison, C., and Evans, A., "Aircraft Evacuations: the Effect of Passenger Motivation and Cabin Con figuration Adjacent to the Exit," CAA Paper 89019, ISBN 0 86039 406 9, 1989. 20. Muir, H., Private communication to appear as a CAA report, 1996.

The M/M/1 queue with mass exodus and mass arrivals when empty

An M/M/1 queue is subject to mass exodus at rate β and mass immigration at rate {αr; r≥ 1} when idle. A general resolvent approach is used to derive occupation probabilities and high-order moments. This powerful technique is not only considerably easier to apply than a standard direct attack on the forward p.g.f. equation, but it also implicitly yields necessary and sufficient conditions for recurrence, positive recurrence and transience.

Birth-death processes with mass annihilation and state-dependent immigration

A birth-death process is subject to mass annihilation at rate β with subsequent mass immigration occurring into state j at rateα j . This structure enables the process to jump from one sector of state space to another one (via state 0) with transition rate independent of population size. First, we highlight the difficulties encountered when using standard techniques to construct both time-dependent and equilibrium probabilities. Then we show how to overcome such analytic difficulties by means of a tool developed in Chen and Renshaw (1990, 1993b); this approach is applicable to many processes whose underlying generator on E\{0} has known probability structure. Here we demonstrate the technique through application to the linear birth-death generator on which is superimposed an annihilation/immigration process.

Modelling occupant interaction with fire conditions using the buildingEXODUS evacuation model

When evacuating through fire environments, the presence of smoke may not only have a physiological impact on the evacuees but may also lead occupants to adapt their evacuation strategy through the adoption of another exit. This paper attempts to introduce this type of adaptive behaviour within the buildingEXODUS evacuation model through enabling occupants to make decisions concerning the selection of the most viable available exit during an evacuation involving fire. The development of this adaptive behaviour requires the introduction of several new capabilities namely, the representation of the occupants’ familiarity with the structure, the behaviour of an occupant that is engulfed in smoke and the behaviour of an occupant that is faced with a smoke barrier. The appropriateness of the redirection decision is dependent upon behavioural data gathered from real fire incidents (in the UK and USA) that is used to construct the redirection probabilities. The implementation is shown to provide a more complex and arguably more realistic representation of this behaviour than that provided previously.

Multilevel mesh partitioning for heterogeneous communication networks

Multilevel algorithms are a successful class of optimisation techniques which address the mesh partitioning problem for distributing unstructured meshes onto parallel computers. They usually combine a graph contraction algorithm together with a local optimisation method which refines the partition at each graph level. To date these algorithms have been used almost exclusively to minimise the cut edge weight in the graph with the aim of minimising the parallel communication overhead, but recently there has been a perceived need to take into account the communications network of the parallel machine. For example the increasing use of SMP clusters (systems of multiprocessor compute nodes with very fast intra-node communications but relatively slow inter-node networks) suggest the use of hierarchical network models. Indeed this requirement is exacerbated in the early experiments with meta-computers (multiple supercomputers combined together, in extreme cases over inter-continental networks). In this paper therefore, we modify a multilevel algorithm in order to minimise a cost function based on a model of the communications network. Several network models and variants of the algorithm are tested and we establish that it is possible to successfully guide the optimisation to reflect the chosen architecture.

The collision branching process

We consider a branching model, which we call the collision branching process (CBP), that accounts for the effect of collisions, or interactions, between particles or individuals. We establish that there is a unique CBP, and derive necessary and sufficient conditions for it to be nonexplosive. We review results on extinction probabilities, and obtain explicit expressions for the probability of explosion and the expected hitting times. The upwardly skip-free case is studied in some detail.