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 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.

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.