A coupled Markov chain approach to credit risk modeling

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating transitions and heuristic global optimization techniques.We benchmark the model against a GLMM model in the context of bond portfolio risk management. The proposed model yields stronger dependencies and higher risks than the GLMM model. As a result, the risk optimal portfolios are more conservative than the decisions resulting from the benchmark model.     

A semantic network approach to measuring sentiment

Quality & Quantity - Sentiment research is dominated by studies that assign texts to positive and negative categories. This classification is often based on a bag-of-words approach that counts...     

A neural network based reputation bootstrapping approach for service selection

With the concept of service-oriented computing becoming widely accepted in enterprise application integration, more and more computing resources are encapsulated as services and published online. Reputation mechanism has been studied to establish trust on prior unknown services. One of the limitations of current reputation mechanisms is that they cannot assess the reputation of newly deployed services as no record of their previous behaviours exists. Most of the current bootstrapping approaches merely assign default reputation values to newcomers. However, by this kind of methods, either newcomers or existing services will be favoured. In this paper, we present a novel reputation bootstrapping approach, where correlations between features and performance of existing services are learned through an artificial neural network (ANN) and they are then generalised to establish a tentative reputation when evaluating new and unknown services. Reputations of services published previously by the same provider are also incorporated for reputation bootstrapping if available. The proposed reputation bootstrapping approach is seamlessly embedded into an existing reputation model and implemented in the extended service-oriented architecture. Empirical studies of the proposed approach are shown at last.     

Early warning indicators and macro-prudential policies: a credit network agent based model

Credit network configurations play a crucial role in determining the vulnerability of the economic system. Following the network-based financial accelerator approach, we constructed an agent based model reproducing an artificial credit network that evolves endogenously according to the leverage choices of heterogeneous firms and banks. Thus, our work aims at defining both early warning indicators for crises and policy precautionary measures based on the endogenous credit network dynamics. The model is calibrated on a sample of firms and banks quoted in the Japanese stock-exchange markets from 1980 to 2012. Both empirical and simulated data suggest that credit and connectivity variations could be used as early warning measures for crises. Moreover, targeting banks that are central in the credit network in terms of size and connectivity, the capital-related macro-prudential policies may reduce systemic vulnerability without affecting aggregate output.     

Multiple common bond credit unions and the allocation of benefits

Credit unions are cooperatively owned financial institutions, where input suppliers (savers) are also the consumers of the outputs (borrowers). A key issue is the allocation of benefits between savers and borrowers. Additionally, credit unions can add unrelated groups to their membership. If the orientation of unrelated groups differs from the core group, the allocation of benefits could be altered. Empirical evidence suggests that both single and multiple bond federal credit unions are saver oriented. Single bond credit unions have a stronger saver orientation than multiple bond credit unions. The study provides mixed evidence on the existence of a clientele effect.     

Information acquisition,foreign bank entry,and credit allocation

This paper presents a theoretical framework to understand the impact of foreign bank entry on the access to and the price of credit for different types of firms. A major point of departure from the previous literature is that incumbents’ information about firms is endogenous in the model; previous screenings and lending relations of incumbents determine which type(s) of firms they can identify. I show that incumbents’ information is negatively correlated with the quality of borrowers. Moreover, although a priori entrants have a comparative advantage in lending to transparent firms, previous lending relations of incumbents might reverse this relation. In particular, given that transparent firms are the only type screened before the entry and therefore they are the only type distinguishable by incumbents, entrants might have a comparative advantage in lending to opaque firms. The analysis provides new insights into the inconclusive evidence of the literature regarding entrants’ credit allocation.     

A network approach toward literature review

This study introduces a method that uses a network approach towards literature review. To employ this approach, we use hypotheses proposed in scientific publications as building blocks. In network terms, a hypothesis is a directed tie between two concepts or nodes. The network emerges by aggregating the hypotheses from a set of articles in a specific domain. This study explains the method and its potential for reviewing literature in a particular domain. As a proof of concept, we provide a case study reviewing the research literature on the adoption of eGovernment services. Our analyses show that a network approach towards literature review provides novel insights into the current state of a research domain. Although there are limitations, this approach has the potential to help scholarly communities focus their research and formulate new research questions.     

A mixed PDE-Monte Carlo approach for pricing credit default index swaptions

Abstract The problem of numerically pricing credit default index swaptions on a large number of names is considered. We place ourselves in a stochastic intensity framework, where Ornstein-Uhlenbeck-type correlated processes are used to model both firms’ distance to default and a macroeconomic state variable. Here the default of the firms’ follows the reduced-form approach and the (random) intensity of the default depends on the behavior of the diffusion processes. We propose here a numerical method based on both a Monte Carlo and a deterministic approach for solving PDEs by finite differences. Numerical tests demonstrate the efficiency and the robustness of the proposed procedure.     

A note on “Bed allocation techniques based on census data”

Capacity planning and resource allocation are crucial to the cost-effective delivery of health care services. In this paper, we present an analytic approach based on a modified version of the Holt-Winters multiplicative seasonality forecasting model to determine the frequency distribution associated with a hospital care unit's census. This paper is a follow-up to the census frequency distribution simulation model described in Lapierre et al. (Socio Econ. Plan. Sci. 33 (1999) 25). We demonstrate that our model can provide census frequency distributions equivalent to the simulation model of Lapierre et al. [1], but without the computational effort common to simulation models.     

A genetic algorithm based approach to transactional and QoS-aware service selection

As there are various risks of failure when Web services are deployed in unreliable environment, the execution of a composite Web service (CWS) requires the transaction mechanism to guarantee its reliable execution. However, the existing service selection approaches consider QoS and transaction separately and have not considered that transactional properties may affect the QoS such as the execution time of a CWS. This work addresses the importance of considering transactional properties and how the transactional properties affect the QoS simultaneously in the process of service selection by a QoS-aware and transactional-aware selection approach. First, a performance evaluation method is proposed to calculate the execution time of a transactional CWS. Then, a genetic algorithm based approach, which takes into account the execution time, price, transactional property and successful execution rate of CWS, is presented to achieve global optimisation service selection. Finally, experimental results show the efficiency and effectiveness of the approach.     

基于UML的网络考试系统设计

文章提出一套既能满足大型网络考试需求,又能适应分层组织结构的、分布式的网络考试系统,并为此提出了一套具有3层Web服务器(信息中心-考务中心-考点)协作式的考试系统架构方案,并基于UML方法设计了一个考务管理中心办事员用例。     

Mapping the innovation production process from accumulative advantage to economic outcomes: A path modeling approach

The research about the innovation production process (IPP) is burgeoning. Our understanding of the interdependent interactions between functionally distinct innovation activities during it from a systemic perspective is rather unclear, yet, which is beneficial to empirical innovation management. This study, based on systems thinking, presents a novel analytical framework to empirically and quantitatively map the IPP jointly associated with a path modeling approach, which helps in untangling the interactive mechanism between stage-specific innovation activities with distinct functions within an IPP from accumulative advantage to economic outcomes. We use the attractive analytical framework to guide an empirical investigation to the China's high-tech industries' IPP at the macro-regional level. Our empirical study confirms the dominant role of previous innovation capital accumulation in the whole IPP embedded into regional innovation systems of China's high-tech industries. That is, we prove the existence of accumulative advantage phenomenon in the regional IPP. The examination results show that there is a significant Matthew effect of technological innovation accumulation on technological innovation inputs as well as the Path dependence of technological innovation outputs/outcomes on technological innovation accumulation. This indicates that the innovation-practitioners should promote innovation capital accumulation for sustainable innovations and economic profits in a long time. At the same time, our findings suggest that, in order to alleviate the cross-regional unbalance of innovation development and promote radial innovations in China's high-tech industries, both policy-makers and innovation-practitioners should try to get rid of the dependence on the previous accumulated innovation capital.     

基于矩特征和面积特征的二值图像检索方法

在商标图像的检索中,仅凭图像单一的特征很难达到满意的检索效果,文章提出了利用图像矩特征与面积特征相结合的方法进行二值商标图像的检索。实验表明该方法能有效减少虚警和漏检,提高检索的精度。     

基于土地保障功能的征地补偿测算

在分析传统征地补偿政策的基础上,结合南京市的具体调查数据,指出传统思路的缺陷和主要问题,并提出了以土地保障功能为导向的征地补偿新思路.     

Diffusion of environmental business practices: A network approach

The purpose of this research is to build a conceptual foundation that examines network effects on the diffusion of environmental business practices (EBP) among suppliers. This research extends a network perspective to adoption of an environmental business practice across a large network of suppliers. The context of EBP is used to better understand adoption of a complex business practice, with perceived costs that are often greater than the perceived benefit. Variation in the level of structural and relationship embeddedness affect network diffusion of environmental business practices differently. Increased levels of structural and relational embeddedness are proposed to be positively associated with diffusion of EBP. From a practical standpoint, firms that leverage embeddedness may facilitate higher diffusion and adoption of environmental business practices. This facilitation may lead network actors to engage in EBP, and leverage benefits that may stem from these practices. This research introduces the concept of embeddedness to the environmental supply chain literature. Practicing managers can use the findings in this research to better position themselves within a network to diffuse EBP. This research also helps managers understand how supply chain members that are weakly connected to the primary network are important for introducing new ideas and innovations.     

Strategic interactions in DRAM and RISC technology: A network approach

Interorganizational cooperation in some high-tech industries is no longer confined to two-company alliances, but entails industry-wide alliance networks. This article examines how industry analysis and network analysis can be combined to provide a thorough understanding of how network positions, and the overall network structure, may play a part in cooperative strategies. Industry analysis can indicate which properties of the network structure and network positions are congruent with the firms' cooperative strategies, but tells us little about how these network characteristics can be measured. Network analysis provides such measures, which can then be used as feedback in the industry analysis. The article illustrates this approach by comparing the alliance networks associated with the DRAM and RISC microprocessor technologies.     

Workflow process modelling and resource allocation based on polychromatic sets theory

In workflow management, studying the relationship between workflow process activities and resource allocation is one of the interesting research topics. Polychromatic sets theory (PST) is a relatively new mathematical theory which is especially suitable for treating such problems. Based on PST, this paper proposes a framework of workflow process modelling and resource allocation. As the theoretical foundation, polychromatic sets (PS), polychromatic graph (PG) and isolation operation (IO) of the PS are introduced. Special net structure (SNS), a special PG with colourless nodes and concolourous edges, is also introduced, and a new workflow process model and its verification algorithm are presented. Furthermore, a workflow resource model based on the entity of PS is developed. Based on IO of PS, the allocation mechanism that considers workflow process and workflow resource is proposed. Finally, a case study is provided to demonstrate the effectiveness of the above-mentioned theory and method.     

Asset allocation and multivariate position based trading

I add a second risky asset and a risk free bond to the univariate artificial market investigated by Lux and Marchesi (Int J Theor Appl Finance 3(4):675–702, 2000), keeping track of traders aggregate positions and wealth. Asset allocation and security selection are modeled as separate decision processes, as is common practice in financial institutions. Introducing position based trading avoids inconsistencies in traders inventories resulting from the order based setup of the original model, while preserving its ability to reproduce the stylized facts of financial return series.