Review of the literature on credit risk modeling : development of the past 10 years

This paper traces the developments of credit risk modeling in the past 10 years. Our work can be divided into two parts: selecting articles and summarizing results. On the one hand, by constructing an ordered logit model on historical Journal of Economic Literature (JEL) codes of articles about credit risk modeling, we sort out articles which are the most related to our topic. The result indicates that the JEL codes have become the standard to classify researches in credit risk modeling. On the other hand, comparing with the classical review Altman and Saunders(1998), we observe some important changes of research methods of credit risk. The main finding is that current focuses on credit risk modeling have moved from static individual-level models to dynamic portfolio models.

RWater – A Cyber Enabled Tool For Hydrologic Modeling And Analysis

Existing distributed hydrologic models are complex and computationally demanding for using as a rapid-forecasting policy-decision tool, or even as a class-room educational tool. In addition, platform dependence, specific input/output data structures and non-dynamic data-interaction with pluggable software components inside the existing proprietary frameworks make these models restrictive only to the specialized user groups. RWater is a web-based hydrologic analysis and modeling framework that utilizes the commonly used R software within the HUBzero cyber infrastructure of Purdue University. RWater is designed as an integrated framework for distributed hydrologic simulation, along with subsequent parameter optimization and visualization schemes. RWater provides platform independent web-based interface, flexible data integration capacity, grid-based simulations, and user-extensibility. RWater uses RStudio to simulate hydrologic processes on raster based data obtained through conventional GIS pre-processing. The program integrates Shuffled Complex Evolution (SCE) algorithm for parameter optimization. Moreover, RWater enables users to produce different descriptive statistics and visualization of the outputs at different temporal resolutions. The applicability of RWater will be demonstrated by application on two watersheds in Indiana for multiple rainfall events.

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Transfer function-noise modeling and spatial interpolation to evaluate the risk of extreme (shallow) water-table levels in the Brazilian Cerrados

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modeling and analysis of artificial neural networks applied in operations research

Artificial neural networks are dynamic systems consisting of highly interconnected and parallel nonlinear processing elements. Systems based on artificial neural networks have high computational rates due to the use of a massive number of these computational elements. Neural networks with feedback connections provide a computing model capable of solving a rich class of optimization problems. In this paper, a modified Hopfield network is developed for solving problems related to operations research. The internal parameters of the network are obtained using the valid-subspace technique. Simulated examples are presented as an illustration of the proposed approach. Copyright (C) 2000 IFAC.

Radial Plasma Dynamic in Sequential Pinches

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Monitoring of cure kinetic prepreg and cure cycle modeling

Cure kinetic model is an integral part of composite process simulation, which is used to predict the degree of curing and the amount of the generated heat. The parameters involved in kinetic models are usually determined empirically from isothermal or dynamic differential scanning calorimetry (DSC) data. In this work, DSC and rheological techniques were used to investigate some of the kinetic parameters of cure reactions of carbon/F161 epoxy prepreg and to evaluate the cure cycle used to manufacture polymeric composites for aeronautical applications. As a result, it was observed that the F161 prepreg presents cure kinetic with total order 1.2-1.9. (c) 2006 Springer Science + Business Media, Inc.

Differential-Evolution-Based Optimization of the Dynamic Response for Parallel Operation of Inverters With No Controller Interconnection

In this paper, the use of differential evolution ( DE), a global search technique inspired by evolutionary theory, to find the parameters that are required to achieve optimum dynamic response of parallel operation of inverters with no interconnection among the controllers is proposed. Basically, in order to reach such a goal, the system is modeled in a certain way that the slopes of P-omega and Q-V curves are the parameters to be tuned. Such parameters, when properly tuned, result in system's eigenvalues located in positions that assure the system's stability and oscillation-free dynamic response with minimum settling time. This paper describes the modeling approach and provides an overview of the motivation for the optimization and a description of the DE technique. Simulation and experimental results are also presented, and they show the viability of the proposed method.

Ecological modeling and pest population management: a possible and necessary connection in a changing world

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Population dynamics, life stage and ecological modeling in Chrysomya albiceps (Wiedemann) (Diptera: Calliphoridae)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

GALACTIC NONLINEAR DYNAMIC MODEL

We develop a model for spiral galaxies based on a nonlinear realization of the Newtonian dynamics starting from the momentum and mass conservations in the phase space. The radial solution exhibits a rotation curve in qualitative accordance with the observational data.

Mathematical modeling and control of population systems: Applications in biological pest control

The aim of this paper is to apply methods from optimal control theory, and from the theory of dynamic systems to the mathematical modeling of biological pest control. The linear feedback control problem for nonlinear systems has been formulated in order to obtain the optimal pest control strategy only through the introduction of natural enemies. Asymptotic stability of the closed-loop nonlinear Kolmogorov system is guaranteed by means of a Lyapunov function which can clearly be seen to be the solution of the Hamilton-Jacobi-Bellman equation, thus guaranteeing both stability and optimality. Numerical simulations for three possible scenarios of biological pest control based on the Lotka-Volterra models are provided to show the effectiveness of this method. (c) 2007 Elsevier B.V. All rights reserved.

Data information system to promote the organization data of collections - modeling considerations by the Unified Modelign Language (UML)

Pode-se afirmar que a evolução tecnológica (desenvolvimento de novos instrumentos de medição como, softwares, satélites e computadores, bem como, o barateamento das mídias de armazenamento) permite às Organizações produzirem e adquirirem grande quantidade de dados em curto espaço de tempo. Devido ao volume de dados, Organizações de pesquisa se tornam potencialmente vulneráveis aos impactos da explosão de informações. Uma solução adotada por algumas Organizações é a utilização de ferramentas de sistemas de informação para auxiliar na documentação, recuperação e análise dos dados. No âmbito científico, essas ferramentas são desenvolvidas para armazenar diferentes padrões de metadados (dados sobre dados). Durante o processo de desenvolvimento destas ferramentas, destaca-se a adoção de padrões como a Linguagem Unificada de Modelagem (UML, do Inglês Unified Modeling Language), cujos diagramas auxiliam na modelagem de diferentes aspectos do software. O objetivo deste estudo é apresentar uma ferramenta de sistemas de informação para auxiliar na documentação dos dados das Organizações por meio de metadados e destacar o processo de modelagem de software, por meio da UML. Será abordado o Padrão de Metadados Digitais Geoespaciais, amplamente utilizado na catalogação de dados por Organizações científicas de todo mundo, e os diagramas dinâmicos e estáticos da UML como casos de uso, sequências e classes. O desenvolvimento das ferramentas de sistemas de informação pode ser uma forma de promover a organização e a divulgação de dados científicos. No entanto, o processo de modelagem requer especial atenção para o desenvolvimento de interfaces que estimularão o uso das ferramentas de sistemas de informação.

Dynamic behavior of a linear induction motor

Although conventional rotating machines have been largely used to drive underground transportation systems, linear induction motors are also being considered for future applications owing to their indisputable advantages. A mathematical model for the transient behavior analysis of linear induction motors, when operating with constant r.m.s. currents, is presented in this paper. Operating conditions, like phase short-circuit and input frequency variations and also some design characteristics, such as air-gap and secondary resistivity variations, can be considered by means of this modeling. The basis of the mathematical modeling is presented. Experimental results obtained in the laboratory are compared with the corresponding simulations and discussed in this paper.

Modeling of pre-regulator boost ZCS interleaved operating in critical conduction mode and with high power factor

This paper presents a new pre-regulator boost operating in the boundary area between the continuous and discontinuous conduction modes of the boost inductor current, where the switches and boost diode performing zero-current commutations during its turn-off, eliminating the disadvantages related to the reverse recovery losses and electromagnetic interference problems of the boost diode when operating in the continuous conduction mode. Additionally, the interleaving technique is applied in the power cell, providing a significant input current ripple reduction. It should be noticed that the main objective of this paper is to present a complete modeling for the converter operating in the critical conduction mode, allowing an improved design procedure for interleaved techniques with high input power factor, a complete dynamic analysis of the structure, and the possibility of implementing digital control techniques in closed loop.