Confidence sets for asset correlations in portfolio credit risk

Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

Modelos de presupuestación de capital en finanzas corporativas y utilidad de los mismos

La siguiente investigación describe una aproximación teórica al tema de los modelos de presupuestación de capital, el objetivo fundamental se basa en comprender su enfoque e importancia al momento de tomar decisiones de inversión por parte de los directores de una empresa, así como de prever los efectos de esta en un futuro. Al respecto, y sobre la base de que los modelos de presupuestación de capital son herramientas para analizar posibles erogaciones de capital por parte de una empresa, es necesario para efectos del presente proyecto de investigación, definir sus diferentes modelos desde lo teórico y metodológico, explicando los diferentes conceptos relacionados con el tema. Así mismo, se explican algunos de los indicadores financieros utilizados en las compañías para medir y estimar la “salud financiera” de la empresa, además de puntualizar su impacto en la perdurabilidad de las entidades, lo cual permite dar una visión más general sobre la importancia que trasciende de los indicadores financieros, generando un impacto positivo en la evolución o crecimiento de la organización. En complemento, la investigación aborda la presupuestación de capital de manera particular aplicado en la gestión empresarial, sean estas privadas o públicas (estatal y gubernamental). En este sentido, se abordan conceptos elaborados por diferentes académicos en los que se exponen algunas aproximaciones respecto al posible mejoramiento de la presupuestación para los sectores a los que pertenecen determinadas entidades. Finalmente, se presenta de manera explícita las conclusiones que surgieron a lo largo de la construcción del documento de investigación, con el fin de dar cumplimiento concreto al objetivo general del trabajo, el cual constituye una respuesta a la pregunta de investigación que se enunciará en el desarrollo del documento.

Nine years of Project-Based Learning in Engineering.

Monográfico con el título: 'Aprendizaje basado en problemas'.Resumen tomado de la publicación

Identification of quality in educational research publications : the european educational research quality indicators (EERQI) project

Resumen basado en el de la publicación

The Convective Storm Initiation Project

The Convective Storm Initiation Project (CSIP) is an international project to understand precisely where, when, and how convective clouds form and develop into showers in the mainly maritime environment of southern England. A major aim of CSIP is to compare the results of the very high resolution Met Office weather forecasting model with detailed observations of the early stages of convective clouds and to use the newly gained understanding to improve the predictions of the model. A large array of ground-based instruments plus two instrumented aircraft, from the U.K. National Centre for Atmospheric Science (NCAS) and the German Institute for Meteorology and Climate Research (IMK), Karlsruhe, were deployed in southern England, over an area centered on the meteorological radars at Chilbolton, during the summers of 2004 and 2005. In addition to a variety of ground-based remote-sensing instruments, numerous rawin-sondes were released at one- to two-hourly intervals from six closely spaced sites. The Met Office weather radar network and Meteosat satellite imagery were used to provide context for the observations made by the instruments deployed during CSIP. This article presents an overview of the CSIP field campaign and examples from CSIP of the types of convective initiation phenomena that are typical in the United Kingdom. It shows the way in which certain kinds of observational data are able to reveal these phenomena and gives an explanation of how the analyses of data from the field campaign will be used in the development of an improved very high resolution NWP model for operational use.

Dispersion Experiments in Central London: The 2007 DAPPLE project

In the event of a release of toxic gas in the center of London, the emergency services would need to determine quickly the extent of the area contaminated. The transport of pollutants by turbulent flow within the complex street and building architecture of cities is not straightforward, and we might wonder whether it is at all possible to make a scientifically-reasoned decision. Here we describe recent progress from a major UK project, ‘Dispersion of Air Pollution and its Penetration into the Local Environment’ (DAPPLE, www.dapple.org.uk). In DAPPLE, we focus on the movement of airborne pollutants in cities by developing a greater understanding of atmospheric flow and dispersion within urban street networks. In particular, we carried out full-scale dispersion experiments in central London (UK) during 2003, 2004, 2007, and 2008 to address the extent of the dispersion of tracers following their release at street level. These measurements complemented previous studies because (i) our focus was on dispersion within the first kilometer from the source, when most of the material was expected to remain within the street network rather than being mixed into the boundary layer aloft, (ii) measurements were made under a wide variety of meteorological conditions, and (iii) central London represents a European, rather than North American, city geometry. Interpretation of the results from the full-scale experiments was supported by extensive numerical and wind tunnel modeling, which allowed more detailed analysis under idealized and controlled conditions. In this article, we review the full-scale DAPPLE methodologies and show early results from the analysis of the 2007 field campaign data.

The Geostationary Earth Radiation Budget Project

This paper reports on a new satellite sensor, the Geostationary Earth Radiation Budget (GERB) experiment. GERB is designed to make the first measurements of the Earth's radiation budget from geostationary orbit. Measurements at high absolute accuracy of the reflected sunlight from the Earth, and the thermal radiation emitted by the Earth are made every 15 min, with a spatial resolution at the subsatellite point of 44.6 km (north–south) by 39.3 km (east–west). With knowledge of the incoming solar constant, this gives the primary forcing and response components of the top-of-atmosphere radiation. The first GERB instrument is an instrument of opportunity on Meteosat-8, a new spin-stabilized spacecraft platform also carrying the Spinning Enhanced Visible and Infrared (SEVIRI) sensor, which is currently positioned over the equator at 3.5°W. This overview of the project includes a description of the instrument design and its preflight and in-flight calibration. An evaluation of the instrument performance after its first year in orbit, including comparisons with data from the Clouds and the Earth's Radiant Energy System (CERES) satellite sensors and with output from numerical models, are also presented. After a brief summary of the data processing system and data products, some of the scientific studies that are being undertaken using these early data are described. This marks the beginning of a decade or more of observations from GERB, as subsequent models will fly on each of the four Meteosat Second Generation satellites.

Private industrial project management: a systems-based case study

The technique of linear responsibility analysis is used for a retrospective case study of a private industrial development consisting of an extension to existing buildings to provide a warehouse, services block and packing line. The organizational structure adopted on the project is analysed using concepts from systems theory which are included in Walker's theoretical model of the structure of building project organizations (Walker, 1981). This model proposes that the process of building provision can be viewed as systems and subsystems which are differentiated from each other at decision points. Further to this, the subsystems can be viewed as the interaction of managing system and operating system. Using Walker's model, a systematic analysis of the relationships between the contributors gives a quantitative assessment of the efficacy of the organizational structure used. The causes of the client's dissatisfaction with the outcome of the project were lack of integration and complexity of the managing system. However, there was a high level of satisfaction with the completed project and this is reflected by the way in which the organization structure corresponded to the model's propositions.

Experiences with sustainability indicators and stakeholder participation: A case study relating to a 'Blue Plan' project in Malta

The practical application of systemic sustainability analysis (SSA; Bell and Morse, 1999) as applied in-a project instigated and managed by 'Blue Plan', one of the regional activity centres of the Mediterranean Action Plan, is set out and explained in this paper. The context in which SSA was applied and adapted to SPSA (systemic and prospective sustainability analysis). is described in the Mediterranean, primarily in Malta. The SSA process is summarized, its extension and linkage to the prospective approach is described and the comments of stakeholders in the context are added. Some preliminary outcomes are suggested. The pauticular focus of the paper is on the lessons learned from doing SSA/SPSA within a classic blueprint project framework. It is-not assumed that SSA/SPSA is 'finished' or 'definitive'. Rather, we suggest that it is a developing and changing approach that practitioners can adapt and change to meet the specific needs of the circumstances that confront them. Copyright (C) 2004 John Wiley & Sons, Ltd and ERP Environment.