Total risk rating and stability analysis of embankment dams in the Kachchh Region, Gujarat, India

A method for total risk analysis of embankment dams under earthquake conditions is discussed and applied to the selected embankment dams, i.e., Chang, Tapar, Rudramata, and Kaswati located in the Kachchh region of Gujarat, India, to obtain the seismic hazard rating of the dam site and the risk rating of the structures. Based on the results of the total risk analysis of the dams, coupled non-linear dynamic numerical analyses of the dam sections are performed using acceleration time history record of the Bhuj (India) earthquake as well as five other major earthquakes recorded worldwide. The objective of doing so is to perform the numerical analysis of the dams for the range of amplitude, frequency content and time duration of input motions. The deformations calculated from the numerical analyses are also compared with other approaches available in literature, viz, Makdisi and Seed (1978) approach, Jansen's approach (1990), Swaisgood's method (1995), Bureau's method (1997). Singh et al. approach (2007), and Saygili and Rathje approach (2008) and the results are utilized to foresee the stability of dams in future earthquake scenario. (C) 2010 Elsevier B.V. All rights reserved.

Application of nonlinear filtering to credit risk

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.

Pricing credit derivatives

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.

Consumer Expertise or Credit Risk? An empirical analysis of mortgage pricing

Loan mortgage interest rates are usually the result of a bank-customer negotiation process. Credit risk, consumer cross-buying potential, bundling, financial market competition and other features affecting the bargaining power of the parties could affect price. We argue that, since mortgage loan is a complex product, consumer expertise could be a relevant factor for mortgage pricing. Using data on mortgage loan prices for a sample of 1055 households for the year 2005 (Bank of Spain Survey of Household Finances, EFF-2005), and including credit risk, costs, potential capacity of the consumer to generate future business and bank competition variables, the regression results indicate that consumer expertise-related metrics are highly significant as predictors of mortgage loan prices. Other factors such as credit risk and consumer cross-buying potential do not have such a significant impact on mortgage prices. Our empirical results are affected by the credit conditions prior to the financial crisis and could shed some light on this issue.

SOVEREIGN: A Self-Organizing, Vision, Expectation, Recognition, Emotion, Intelligent, Goal-Oriented Navigation System

Both animals and mobile robots, or animats, need adaptive control systems to guide their movements through a novel environment. Such control systems need reactive mechanisms for exploration, and learned plans to efficiently reach goal objects once the environment is familiar. How reactive and planned behaviors interact together in real time, and arc released at the appropriate times, during autonomous navigation remains a major unsolved problern. This work presents an end-to-end model to address this problem, named SOVEREIGN: A Self-Organizing, Vision, Expectation, Recognition, Emotion, Intelligent, Goal-oriented Navigation system. The model comprises several interacting subsystems, governed by systems of nonlinear differential equations. As the animat explores the environment, a vision module processes visual inputs using networks that arc sensitive to visual form and motion. Targets processed within the visual form system arc categorized by real-time incremental learning. Simultaneously, visual target position is computed with respect to the animat's body. Estimates of target position activate a motor system to initiate approach movements toward the target. Motion cues from animat locomotion can elicit orienting head or camera movements to bring a never target into view. Approach and orienting movements arc alternately performed during animat navigation. Cumulative estimates of each movement, based on both visual and proprioceptive cues, arc stored within a motor working memory. Sensory cues are stored in a parallel sensory working memory. These working memories trigger learning of sensory and motor sequence chunks, which together control planned movements. Effective chunk combinations arc selectively enhanced via reinforcement learning when the animat is rewarded. The planning chunks effect a gradual transition from reactive to planned behavior. The model can read-out different motor sequences under different motivational states and learns more efficient paths to rewarded goals as exploration proceeds. Several volitional signals automatically gate the interactions between model subsystems at appropriate times. A 3-D visual simulation environment reproduces the animat's sensory experiences as it moves through a simplified spatial environment. The SOVEREIGN model exhibits robust goal-oriented learning of sequential motor behaviors. Its biomimctic structure explicates a number of brain processes which are involved in spatial navigation.

SOVEREIGN: An Autonomous Neural System for Incrementally Learning Planned Action Sequence to Navigate Towards a Rewarded Goal

How do reactive and planned behaviors interact in real time? How are sequences of such behaviors released at appropriate times during autonomous navigation to realize valued goals? Controllers for both animals and mobile robots, or animats, need reactive mechanisms for exploration, and learned plans to reach goal objects once an environment becomes familiar. The SOVEREIGN (Self-Organizing, Vision, Expectation, Recognition, Emotion, Intelligent, Goaloriented Navigation) animat model embodies these capabilities, and is tested in a 3D virtual reality environment. SOVEREIGN includes several interacting subsystems which model complementary properties of cortical What and Where processing streams and which clarify similarities between mechanisms for navigation and arm movement control. As the animat explores an environment, visual inputs are processed by networks that are sensitive to visual form and motion in the What and Where streams, respectively. Position-invariant and sizeinvariant recognition categories are learned by real-time incremental learning in the What stream. Estimates of target position relative to the animat are computed in the Where stream, and can activate approach movements toward the target. Motion cues from animat locomotion can elicit head-orienting movements to bring a new target into view. Approach and orienting movements are alternately performed during animat navigation. Cumulative estimates of each movement are derived from interacting proprioceptive and visual cues. Movement sequences are stored within a motor working memory. Sequences of visual categories are stored in a sensory working memory. These working memories trigger learning of sensory and motor sequence categories, or plans, which together control planned movements. Predictively effective chunk combinations are selectively enhanced via reinforcement learning when the animat is rewarded. Selected planning chunks effect a gradual transition from variable reactive exploratory movements to efficient goal-oriented planned movement sequences. Volitional signals gate interactions between model subsystems and the release of overt behaviors. The model can control different motor sequences under different motivational states and learns more efficient sequences to rewarded goals as exploration proceeds.

Credit scores, cardiovascular disease risk, and human capital.

Credit scores are the most widely used instruments to assess whether or not a person is a financial risk. Credit scoring has been so successful that it has expanded beyond lending and into our everyday lives, even to inform how insurers evaluate our health. The pervasive application of credit scoring has outpaced knowledge about why credit scores are such useful indicators of individual behavior. Here we test if the same factors that lead to poor credit scores also lead to poor health. Following the Dunedin (New Zealand) Longitudinal Study cohort of 1,037 study members, we examined the association between credit scores and cardiovascular disease risk and the underlying factors that account for this association. We find that credit scores are negatively correlated with cardiovascular disease risk. Variation in household income was not sufficient to account for this association. Rather, individual differences in human capital factors—educational attainment, cognitive ability, and self-control—predicted both credit scores and cardiovascular disease risk and accounted for ∼45% of the correlation between credit scores and cardiovascular disease risk. Tracing human capital factors back to their childhood antecedents revealed that the characteristic attitudes, behaviors, and competencies children develop in their first decade of life account for a significant portion (∼22%) of the link between credit scores and cardiovascular disease risk at midlife. We discuss the implications of these findings for policy debates about data privacy, financial literacy, and early childhood interventions.

Risikowahrnehmung und psychologische Reaktionen in öffentlichen Krisensituationen am Beispiel von Terrorattentaten / Risk perception and psychological reactions in public crisis situations using the example of terror attacks

The reactions to the 9/11 terror attacks were immense in the western population. In the current review, the impact of terror attacks is presented with surveys, clinical interviews, and scientific polls, which were identified in a comprehensive literature search. Results show that the fear of further terror attacks is comparatively overestimated in the population and is associated with numerous psychological consequences and reactions. The overestimation of the probability of further terror attacks is related among other reasons to its unique features and its strong representation in the media. Several independent studies proved that the number of stress symptoms and psychiatric diagnoses is associated with a high risk perception in relation to terror attacks. This was not only the case for victims of terror attacks, but also for people indirectly exposed to the terror attacks. In addition, there is evidence that the number of the stress symptoms correlate with the duration of TV consumption of new findings about terror attempts. Methodologically, there is a critical lack of more in-depth analyses to explain the development of risk perceptions and its influence on mental and physical health. Because of the international importance and cross-cultural differences, an international standardization of research is desirable. [In German] Die Reaktionen auf die Terrorattentate vom 9. September 2001 in New York waren in der westlichen Bevölkerung immens. In der vorliegenden Übersichtsarbeit werden die Auswirkungen von Terrorattentaten durch Einbeziehung bevölkerungsrepräsentativer Untersuchungen, Surveys, klinischer Interviews und Einstellungsbefragungen dargestellt, die über eine deskriptive Literaturrecherche ermittelt wurden. Als Ergebnis des Reviews zeigt sich, dass die Angst vor weiteren Terrorattentaten in der Bevölkerung vergleichsweise hoch und mit zahlreichen psychologischen Folgen und Reaktionen assoziiert ist. Die Einschätzung der Auftretenswahrscheinlichkeit eines Terrorattentats hängt unter anderem mit den besonderen Charakteristika und der hohen medialen Präsenz des Themas zusammen. Die Anzahl der Stresssymptome bis hin zu psychiatrischen Diagnosen erwies sich in mehreren unabhängigen Untersuchungen mit einer hohen Risikowahrnehmung assoziiert. Dies ließ sich nicht nur bei den Opfern von Terrorattentaten, sondern auch bei indirekt Betroffenen zeigen. Darüber hinaus gibt es mehrfache Belege dafür, dass die Anzahl der Stresssymptome mit der Dauer des TV-Konsums über Neuigkeiten zu Terrorattentaten zusammenhing. Als methodische Kritik ist an den gegenwärtigen Untersuchungsszenarien einzuwenden, dass es derzeit keine tiefer gehenden Analysen zur Entwicklung der Risikowahrnehmung und zu ihrem Einfluss auf die Gesundheit gibt. Aufgrund der internationalen Bedeutung des Themas und der interkulturellen Unterschiede im Umgang mit Krisensituationen ist eine internationale Standardisierung von Untersuchungszugängen wünschenswert.

Risk adjustment for hospital use using social security data: cross sectional small area analysis

Objectives: To identify demographic and socioeconomic determinants of need for acute hospital treatment at small area level. To establish whether there is a relation between poverty and use of inpatient services. To devise a risk adjustment formula for distributing public funds for hospital services using, as far as possible, variables that can be updated between censuses. Design: Cross sectional analysis. Spatial interactive modelling was used to quantify the proximity of the population to health service facilities. Two stage weighted least squares regression was used to model use against supply of hospital and community services and a wide range of potential needs drivers including health, socioeconomic census variables, uptake of income support and family credit, and religious denomination. Setting: Northern Ireland. Main outcome measure: Intensity of use of inpatient services. Results: After endogeneity of supply and use was taken into account, a statistical model was produced that predicted use based on five variables: income support, family credit, elderly people living alone, all ages standardised mortality ratio, and low birth weight. The main effect of the formula produced is to move resources from urban to rural areas. Conclusions: This work has produced a population risk adjustment formula for acute hospital treatment in which four of the five variables can be updated annually rather than relying on census derived data. Inclusion of the social security data makes a substantial difference to the model and to the results produced by the formula.

Transparency Proposals for European Sovereign Bond Markets

The debate over the possible extension of transparency regulation in Europe to include sovereign bonds has opened up a number of other issues in need of serious consideration. One such issue is the appropriateness of the entire infrastructure supporting the trading of European sovereign bonds. In recent years sovereign issuers have supported the development of an electronic inter-dealer market but have remained unconcerned with the opacity of dealer-to-customer trading. The degree of segmentation in this market is high relative to what exists in nearly all other financial markets. This paper explores why European sovereign bond markets have developed in such a segmented way and considers how this structure could be altered to improve transparency without adversely affecting liquidity, efficiency or the benefits enjoyed by primary dealers and issuers. It is suggested that the structure of the market could be improved greatly if the largest and most active investors were permitted access to the inter-dealer electronic trading platforms. This would solve a number of market imperfections and increase the proportion of market activity that is conducted in a transparent way. The paper argues that sovereign issuers in Europe have the means to provide incentives that would influence dealers to support reduced segmentation. Some practical examples of how this could be achieved are provided and the potential benefits are outlined.