Default Estimation and Expert Information

Default is a rare event, even in segments in the midrange of a bank’s portfolio. Inference about default rates is essential for risk management and for compliance with the requirements of Basel II. Most commercial loans are in the middle-risk categories and are to unrated companies. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and illustrated using a prior distribution assessed from an industry expert. The binomial model, most common in applications, is extended to allow correlated defaults. A check of robustness is illustrated with an ε-mixture of priors.     

Sequential estimation in two-truncation parameter family of distributions under type II censoring

Summary This paper deals with the sequential estimation ofq(ϑ₁, ϑ₂) when the underlying density function is of the formf(x)=q(ϑ₁, ϑ₂)h(x), where ϑ₁ and ϑ₂ are unknown truncation parameters. We study the sequential properties of the stopping rule and the sequential estimator ofq(ϑ₁, ϑ₂). In this study we assume that the sample is type II censored.     

Maximum likelihood estimation in Dagum distribution with censored samples

In this work, we show that the Dagum distribution [3 Dagum, C. 1977. A new model of personal income distribution: Specification and estimation. Econ. Appl., XXX: 413–436.  [Google Scholar]] may be a competitive model for describing data which include censored observations in lifetime and reliability problems. Maximum likelihood estimates of the three parameters of the Dagum distribution are determined from samples with type I right and type II doubly censored data. We perform an empirical analysis using published censored data sets: in certain cases, the Dagum distribution fits the data better than other parametric distributions that are more commonly used in survival and reliability analysis. Graphical comparisons confirm that the Dagum model behaves better than a number of competitive distributions in describing the empirical hazard rate of the analyzed data. A probability plot to provide graphical check of the appropriateness of the Dagum model for right censored data is constructed, and the details are given in the appendix. Finally, a simulation study that shows the good performance of the maximum likelihood estimators of the Dagum shape parameters for finite type II doubly censored samples is carried out.     

World War II and the development of global indigenous identities

The indigenous rights movement emerged in the last quarter of the twentieth century, establishing a newly conceptualized identity claimed not on the grounds of shared culture, language or ancestry but on shared experience as native peoples marginalized by colonial expansion. This article examines how the Second World War created conditions favouring the emergence of indigenous identity as a global concept. Using a comparative perspective, this paper considers two ways in which war conditions affected indigenous peoples: by highlighting issues of citizenship, loyalty and military service; and by altering how combatant powers evaluated indigenous cultures. While the experiences of particular groups varied widely, the wartime era focused attention on both policies of assimilation and assertions of distinctiveness, creating a fluid context for change. A global, comparative perspective offers insight into the role of the war era in understanding the relationship between indigenous activism and the international order.     

Monitoring two-stage processes with a profile at the second stage

In the multistage processes, quality of a process or a product at each stage is related to the previous stage(s). This property is referred to as a cascade property. Sometimes, quality of a process is characterized by a profile. In this paper, we consider a two-stage process with a normal quality characteristic in the first stage and a simple linear regression profile in the second stage. Then we propose two methods to monitor quality characteristics in both stages. The performance of the proposed two methods is evaluated through a numerical example in terms of average run length criterion.     

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.     

论二战前国外的教学研究

教学研究是学校教育的产物.二战前国外教学研究的产生与发展分为三个时期:文艺复兴运动之前的教学研究,称为古代教学研究,是"摸索-实践"型的教学研究;文艺复兴运动期间的教学研究,称为过渡时期的教学研究,是"承前-实践"型的教学研究;文艺复兴运动后至第二次世界大战前的教学研究,称为现代教学研究,是"理论-实践"型的教学研究.     

试论二战后美国托管冲绳政策的形成(下)

位于中国东海东缘,介于日本九州岛至中国台湾岛之间琉球群岛(其中包括冲绳群岛)是扼守大陆进出太平洋的门户,是连接西南太平洋和北太平洋的主要航线的必经之地,地缘战略地位极其重要。二战后期,以美国为首的盟国曾考虑过中美联合托管冲绳的方案。1945年6月,美军攻占冲绳以后,美国则主要从对日本本土进行作战的军事需要出发,开始经营冲绳。此后,随着东西冷战的加剧和蒋介石政权在大陆的败亡,美国则从遏制共产主义的冷战战略出发,考虑对日媾和后的冲绳的地位问题。美国开始把冲绳作为从阿留申群岛到日本,从日本再到琉球、中国台湾、菲律宾、印尼、中南半岛的欧亚大陆沿岸西太平洋上的新月形防共遏制战略链条上的基轴来经营,逐渐走向了以联合国的名义由美国来托管冲绳道路。     

Lu Xun' s prose poem Revenge II resolution

Lu Xun's prose poem Revenge Ⅱ is a adaptation to Jesus' suffering story. It described the process that Jesus was killed on the cross while mirrored Jesus' psychology and antithesis relationship be-tween people who save and be saved and the grief of destiny of people who save. At the same time, it merges Lu Xun's deep experience ofllfe: the life philosophy of anti- desperation.     

生死边缘的希望——伊尔莎·艾兴格小说《更大的希望》解读

《更大的希望》以极尽诗意化的写作手法,描述了一群惨遭纳粹迫害的犹太儿童在二战中经历的一段充满恐惧与不安、希望与绝望交织的悲惨生活。作家自身的创伤经历对小说的创作有着深刻的影响。通过小说独特的双重视角与带有神秘色彩和象征意义的语言,可探寻小说深刻的思想意蕴。