Correlated defaults,temporal correlation,expert information and predictability of default rates

ABSTRACT

Dependence among defaults both across assets and over time is an important characteristic of financial risk. A Bayesian approach to default rate estimation is proposed and illustrated using prior distributions assessed from an experienced industry expert. Two extensions of the binomial model are proposed. The first allows correlated defaults yet remains consistent with Basel II’s asymptotic single-factor model. The second adds temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of default rates are considered. The single-factor model generates more forecast uncertainty than does the parameter uncertainty. A robustness exercise illustrates that the correlation indicated by the data is much smaller than that specified in the Basel II regulations.     

Waiting Line Effects in Analytical Maintenance Float Policy

The equipment failure distributions commonly identified in practice pose great difficulties in the establishment of sound maintenance total float policy. Some of the existing analytical constructs utilize the reliability ratio of the equipment in operations in order to bypass the obstacles and arrive at applicable solutions. In this paper we give a summary of these theoretical models. In addition, we provide insight by testing the significance of factors utilized in maintenance total float determination. The paper examines the effect of the assumption made by the analytical model of no waiting time for repair. Our test showed that there is no statistically significant difference between the analytical model and simulation when waiting is allowed for the normal and uniform distributions. The analytical model thus offers some advantage in its use to estimate maintenance float due to its simplicity. When failure distribution is an exponential, Erlang-2 or lognormal, the assumption of no waiting time for repair must be kept in order to use the analytical model.     

Singly and Doubly Censored Current Status Data: Estimation, Asymptotics and Regression

In biostatistical applications interest often focuses on the estimation of the distribution of time between two consecutive events. If the initial event time is observed and the subsequent event time is only known to be larger or smaller than an observed point in time, then the data is described by the well-understood singly censored current status model, also known as interval censored data, case I. Jewell et al. (1994) extended this current status model by allowing the initial time to be unobserved, with its distribution over an observed interval [A, B] known; the data is referred to as doubly censored current status data. This model has applications in AIDS partner studies. If the initial time is known to be uniformly distribute d, the model reduces to a submodel of the current status model with the same asymptotic information bounds as in the current status model, but the distribution of interest is essentially the derivative of the distribution of interest in the current status model. As a consequence the non-parametric maximum likelihood estimator is inconsistent. Moreover, this submodel contains only smooth heavy tailed distributions for which no moments exist. In this paper, we discuss the connection between the singly censored current status model and the doubly censored current status model (for the uniform initial time) in detail and explain the difficulties in estimation which arise in the doubly censored case. We propose a regularized MLE corresponding with the current status model. We prove rate results, efficiency of smooth functionals of the regularized MLE, and present a generally applicable efficient method for estimation of regression parameters, which does not rely on the existence of moments. We also discuss extending these ideas to a non-uniform distribution for the initial time.     

毛泽东和农民:一个革命战略形成中的阶级和力量(上)

针对西方毛泽东研究领域比较盛行的那种认为毛泽东是农民革命家,而不是正统的马克思主义者,毛泽东对农民的重视决定了他是马克思主义的一个异端的观点,以成熟的方法论准备和扎实的文献学为基础,对这种观点进行了有理有据的反驳。毛泽东对农民的重视主要是一种战略和策略的需要,毛泽东从未否认工人阶级在革命中的领导地位,毛泽东是真正的马克思主义者。     

Supply Chain Scheduling: Distribution Systems

We study conflict and cooperation issues arising in a supply chain where a manufacturer makes products which are shipped to customers by a distributor. The manufacturer and the distributor each has an ideal schedule, determined by cost and capacity considerations. However, these two schedules are in general not well coordinated, which leads to poor overall performance. In this context, we study two practical problems. In both problems, the manufacturer focuses on minimizing unproductive time. The distributor minimizes customer cost measures in the first problem and minimizes inventory holding cost in the second problem. We first evaluate each party's conflict, which is the relative increase in cost that results from using the other party's optimal schedule. Since this conflict is often significant, we consider several practical scenarios about the level of cooperation between the manufacturer and the distributor. These scenarios define various scheduling problems for the manufacturer, the distributor, and the overall system. For each of these scheduling problems, we provide an algorithm. We demonstrate that the cost saving provided by cooperation between the decision makers is usually significant. Finally, we discuss the implications of our work for how manufacturers and distributors negotiate, coordinate, and implement their supply chain schedules in practice.     

The Impact of In-service Training within Social Services

Summary In-service training within social service agencies is recognizedas a key means through which staff are provided with the necessaryknowledge and skills to improve overall agency performance andachieve the objectives of social policy. Furthermore, reportsof training expenditure within social services departments inthe UK suggest increasing amounts of monies are invested insuch activity in order to meet the changing demands placed onsocial care and greater expectations for higher standards inservice delivery. Yet to what extent is the faith placed inmuch of this training by social service agencies actually justified?In short, how much do we know about the actual impact of in-servicetraining within social service organizations in terms of itachieving the aims set by policy makers? This article attemptsto answer this question in order to assist in the developmentof a far more empirically based framework for understandingtraining processes within social service agencies. A reviewof the literature for studies published between 1974 and 1997detailing an evaluation of in-service training programmes withinsocial service agencies identified only 20 such studies. Problemsassociated with both the evaluative criteria utilized and theresearch methodologies employed in these studies meant thatin many instances conclusions regarding the actual impact oftraining could only be tentatively judged. As a result, an analysisof these studies found that although training may have an impacton trainees in terms of satisfaction or knowledge gain, resultsregarding impact on behaviour are far more inconclusive. Inaddition it is not at all certain that such training will necessarilyresult in changes in performance back in the workplace. Thefindings from the review suggest far more research is requiredof sufficient rigour to underpin our knowledge in this importantarea.