The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the second Basel Accord. Within this approach, a key regulatory parameter is the average asset correlation. In this paper, we examine the empirical relationship be...

This paper employs non-parametric specification tests developed in Hong and Li (2005) to evaluate several one-factor reduced-form credit risk models for actual default intensities. Using estimates for actual default probabilities provided by Moody’s KMV from 1994 to 2005 for 106 U.S. firms in seven industry groups, we strongly reject popular univariate affine model specifications. As a good com...

• Pillar array columns was applied to α-keto acids analysis. α-Keto were derivatized with 1,2-diamino-4,5-methylenedioxybenzene for fluorescence detection. Four separated on pillar in 160 s. Three branched-chain human plasma samples successfully quantified. Branched-chain (BCKAs, namely, α-ketoisovaleric acid (KIV), α-ketoisocaproic (KIC), and α-keto-β-methylvaleric (KMV)) are related many dise...

The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the second Basel Accord. Within this approach, a key regulatory parameter is the average asset correlation. In this paper, we examine the empirical relationship be...

Acinetobacter baumannii is an emerging pathogen that was isolated from wounded soldiers in military treatment facilities in Iraq but has since become a problem in civilian hospitals. Here, we announce and describe the complete genome of the KMV-like A. baumannii podophage Petty.

The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model of portfolio risk. Thus far, however, analytical results have been derived only for simple models of actuarial loss, i.e., credit loss due to defaul...