scholarly journals The empirical relationship between average asset correlation, firm probability of default and asset size

2002 ◽  
Author(s):  
Jose A. Lopez
Keyword(s):  
Empirical Relationship ◽  
Probability Of Default ◽  
Asset Size ◽  
Asset Correlation

scholarly journals Asset correlation, portfolio diversification and regulatory capital in the Basel Capital Accord

2011 ◽  
Vol 1 (3) ◽  
pp. 31-39 ◽  
Author(s):  
Sylvia Gottschalk
Keyword(s):  
Basel Ii ◽  
Capital Adequacy ◽  
Probability Of Default ◽  
Regulatory Capital ◽  
Kmv Model ◽  
High Quantiles ◽  
Portfolio Loss Distribution ◽  
Credit Portfolio ◽  
Portfolio Loss ◽  
Asset Correlation

In this paper, we analyze the properties of the KMV model of credit portfolio loss. This theoretical model constitutes the cornerstone of Basel II’s Internal Ratings Based(IRB) approach to regulatory capital. Our results show that this model tends to overestimate the probability of portfolio loss when the probability of default of a single firm and the firms’ asset correlations are low. On the contrary, probabilities of portfolio loss are underestimated when the probability of default of a single firm and asset correlations are high. Moreover, the relationship between asset correlation and probability of loan portfolio loss is only consistent at very high quantiles of the portfolio loss distribution. These are precisely those adopted by the Basel II Capital Accord for the calculations of capital adequacy provisions. So, although the counterintuitive properties of the KMV model do not extend to Basel II, they do restrict its generality as a model of credit portfolio loss.

Bulk drag coefficient of a subaquatic vegetation subjected to irregular waves: Influence of Reynolds and Keulegan-Carpenter numbers

2020 ◽  
pp. 34-42
Author(s):  
Thibault Chastel ◽  
Kevin Botten ◽  
Nathalie Durand ◽  
Nicole Goutal
Keyword(s):  
Drag Coefficient ◽  
Wave Height ◽  
Wave Attenuation ◽  
Empirical Relationship ◽  
Breaking Waves ◽  
Irregular Waves ◽  
Geometrical Parameters ◽  
Flume Experiments ◽  
Seagrass Meadows ◽  
Artificial Vegetation

Seagrass meadows are essential for protection of coastal erosion by damping wave and stabilizing the seabed. Seagrass are considered as a source of water resistance which modifies strongly the wave dynamics. As a part of EDF R & D seagrass restoration project in the Berre lagoon, we quantify the wave attenuation due to artificial vegetation distributed in a flume. Experiments have been conducted at Saint-Venant Hydraulics Laboratory wave flume (Chatou, France). We measure the wave damping with 13 resistive waves gauges along a distance L = 22.5 m for the “low” density and L = 12.15 m for the “high” density of vegetation mimics. A JONSWAP spectrum is used for the generation of irregular waves with significant wave height Hs ranging from 0.10 to 0.23 m and peak period Tp ranging from 1 to 3 s. Artificial vegetation is a model of Posidonia oceanica seagrass species represented by slightly flexible polypropylene shoots with 8 artificial leaves of 0.28 and 0.16 m height. Different hydrodynamics conditions (Hs, Tp, water depth hw) and geometrical parameters (submergence ratio α, shoot density N) have been tested to see their influence on wave attenuation. For a high submergence ratio (typically 0.7), the wave attenuation can reach 67% of the incident wave height whereas for a low submergence ratio (< 0.2) the wave attenuation is negligible. From each experiment, a bulk drag coefficient has been extracted following the energy dissipation model for irregular non-breaking waves developed by Mendez and Losada (2004). This model, based on the assumption that the energy loss over the species meadow is essentially due to the drag force, takes into account both wave and vegetation parameter. Finally, we found an empirical relationship for Cd depending on 2 dimensionless parameters: the Reynolds and Keulegan-Carpenter numbers. These relationships are compared with other similar studies.

Evaluation of Fiscal Policy Effect of China’s Photovoltaic Industry

2018 ◽  
pp. 111-116 ◽  
Author(s):  
Gang AN ◽  
Hang WANG
Keyword(s):  
Fiscal Policy ◽  
Research And Development ◽  
Operating Performance ◽  
Fiscal Policies ◽  
Micro Data ◽  
Policy Effect ◽  
Policy Suggestions ◽  
Asset Size ◽  
The Empirical Analysis

To explore the role of fiscal policies in promoting the development of photovoltaic industry, the effects of financial subsidies on the development of China’s photovoltaic industry were analyzed by using the micro data of listed companies. The empirical analysis results in this study indicate that the fiscal policies represented by financial subsidies play a remarkable positive impetus function and financial subsidies are positively correlated with the operating performance of Photovoltaic enterprises. With larger the asset size and higher the Research and Development (R&D) investments, the operating performance of Photovoltaic enterprises is the better. Based on the above results, this study puts forward some policy suggestions on optimizing fiscal policy tools and further promoting the development of photovoltaic industry.

Establishing an empirical equation for the relationship between total suspended solids and total phosphorus concentrations in the downstream Red river water

2020 ◽  
Vol 20 (3) ◽  
pp. 325-332
Author(s):  
Le Nhu Da ◽  
Le Thi Phuong Quynh ◽  
Phung Thi Xuan Binh ◽  
Duong Thi Thuy ◽  
Trinh Hoai Thu ◽  
...  
Keyword(s):  
Total Phosphorus ◽  
Suspended Solids ◽  
Empirical Relationship ◽  
Water Environment ◽  
Total Suspended Solids ◽  
River System ◽  
Red River ◽  
Reservoir Impoundment ◽  
Downstream Section ◽  
Reasonable Prediction

Recently, the Asian rivers have faced the strong reduction of riverine total suspended solids (TSS) flux due to numerous dam/reservoir impoundment. The Red river system is a typical example of the Southeast Asian rivers that has been strongly impacted by reservoir impoundment in both China and Vietnam, especially in the recent period. It is known that the reduction in total suspended solids may lead to the decrease of some associated elements, including nutrients (N, P, Si) which may affect coastal ecosystems. In this paper, we establish the empirical relationship between total suspended solids and total phosphorus concentrations in water environment of the Red river in its downstream section from Hanoi city to the Ba Lat estuary based on the sampling campaigns conducted in the dry and wet seasons in 2017, 2018 and 2019. The results show a clear relationship with significant coefficient between total suspended solids and total phosphorus in the downstream Red river. It is expressed by a simple equation y = 0.0226x0.3867 where x and y stand for total suspended solids and total phosphorus concentrations (mg/l) respectively with the r2 value of 0.757. This equation enables a reasonable prediction of total phosphorus concentrations of the downstream Red river when the observed data of total suspended solids concentrations are available. Thus, this work opens up the way for further studies on the calculation of the total phosphorus over longer timescales using daily available total suspended solids values.

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