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1 – 10 of over 18000
Book part
Publication date: 15 August 2007

Koresh Galil

This paper estimates the conditional hazard baseline (term-structure) of the hazard rate to default at the time of bonds’ issuance by using two hazard models–one ignoring and…

Abstract

This paper estimates the conditional hazard baseline (term-structure) of the hazard rate to default at the time of bonds’ issuance by using two hazard models–one ignoring and another allowing unobserved heterogeneity (UH) in the hazard rate. Following Diamond (1989) one can predict a declining hazard rate to default due to adverse selection and moral hazard. After controlling for UH caused by adverse selection and time-series shocks, the hazard rate shows to be increasing over time and hence the moral hazard effect cannot be confirmed.

Details

Issues in Corporate Governance and Finance
Type: Book
ISBN: 978-1-84950-461-4

Article
Publication date: 18 October 2011

Kiyoshi Kobayashi and Kiyoyuki Kaito

This study aims to focus on asset management of large‐scale information systems supporting infrastructures and especially seeks to address a methodology of their statistical…

Abstract

Purpose

This study aims to focus on asset management of large‐scale information systems supporting infrastructures and especially seeks to address a methodology of their statistical deterioration prediction based on their historical inspection data. Information systems are composed of many devices. Deterioration process i.e. wear‐out failure generation process of those devices is formulated by a Weibull hazard model. Furthermore, in order to consider the heterogeneity of the hazard rate of each device, the random proportional Weibull hazard model, which expresses the heterogeneity of the hazard rate as random variables, is to be proposed.

Design/methodology/approach

Large‐scale information systems comprise many components, and different types of components might have different hazard rates. Therefore, when analyzing faults of information systems that comprise various types of devices and components, it is important to consider the heterogeneity of the hazard rates that exist between the different types of components. In this study, with this in consideration, the random proportional Weibull hazard model, whose heterogeneity of hazard rates is subject to a gamma distribution, is formulated and a methodology is proposed which estimates the failure rate of various components comprising an information system.

Findings

Through a case study using a traffic control system for expressways, the validity of the proposed model is empirically verified. Concretely, as for HDD, the service life at which the survival probability is 50 percent is estimated as 158 months. However, even for the same HDD, use environment differs according to usage. Actually, among the three different usages (PC, server, others), failures happen earliest in the case of PCs, which have the highest heterogeneity parameter and a survival probability of 50 percent after 135 months of usage. On the other hand, as for others, its survival probability is 50 percent at 303 months.

Originality/value

To operationally express the heterogeneity of failure rates, the Weibull hazard model is employed as a base, and a random proportional Weibull hazard model expressing the proportional heterogeneity of hazard rates with a standard gamma distribution is formulated. By estimating the parameter of the standard proportional Weibull hazard function and the parameter of the probability distribution that expresses the heterogeneity of the proportionality constant between the types, the random proportional Weibull hazard model can easily express the heterogeneity of the hazard rates between types and components.

Details

Facilities, vol. 29 no. 13/14
Type: Research Article
ISSN: 0263-2772

Keywords

Article
Publication date: 10 May 2011

Bruce L. Dixon, Bruce L. Ahrendsen, Brandon R. McFadden, Diana M. Danforth, Monica Foianini and Sandra J. Hamm

The purpose of this paper is to apply duration methods to a sample of Farm Service Agency (FSA) direct, seven‐year operating loans to identify those variables that influence the…

Abstract

Purpose

The purpose of this paper is to apply duration methods to a sample of Farm Service Agency (FSA) direct, seven‐year operating loans to identify those variables that influence the time to loan termination and type of termination. Variables include both those known at time of loan origination and those that characterize the changing economic environment over the life of the loan. Also, to examine the impact of various FSA programs promoting policy objectives.

Design/methodology/approach

A systematic sample of 877 seven‐year, FSA direct loans originated between October 1, 1993 and September 30, 1996 was collected. Cox regression, competing risks models are estimated as a function of borrower and loan characteristics observable at loan origination. Economic indicator variables emphasizing the farm economy and observed quarterly over the life of the loan are also included as explanatory variables.

Findings

Loan characteristics, borrower financial characteristics and degree of borrower interaction with FSA observable at origin are significant variables in determining type of loan outcome (default or paid‐in‐full) and time to outcome. Changes in the economic environment and farm economy during the life of the loan are significant.

Research limitations/implications

The sample consists only of FSA direct loans which implies borrowers are at financial margin. Application of method to agricultural loans from conventional commercial lenders could identify different significant factors.

Practical implications

Using length of time to loan termination instead of just type of outcome provides for a richer analysis of loan performance. Loan performance over time is influenced by the larger economy and should be incorporated into loan performance modeling.

Originality/value

The study described in the paper demonstrates use of competing risks models on intermediate agricultural loans and develops how this technique can be used to learn about dynamic aspects of loan performance. Sample consists of observations on individual FSA direct loan borrowers. The FSA direct loan program is the major source of credit for agricultural borrowers at the financial margin.

Details

Agricultural Finance Review, vol. 71 no. 1
Type: Research Article
ISSN: 0002-1466

Keywords

Article
Publication date: 16 October 2017

Hamed Fazlollahtabar and Seyed Taghi Akhavan Niaki

This paper aims to conduct a comprehensive fault tree analysis (FTA) on the critical components of industrial robots. This analysis is integrated with the reliability block…

732

Abstract

Purpose

This paper aims to conduct a comprehensive fault tree analysis (FTA) on the critical components of industrial robots. This analysis is integrated with the reliability block diagram (RBD) approach to investigate the robot system reliability.

Design/methodology/approach

For practical implementation, a particular autonomous guided vehicle (AGV) system was first modeled. Then, FTA was adopted to model the causes of failures, enabling the probability of success to be determined. In addition, RBD was used to simplify the complex system of the AGV for reliability evaluation purpose.

Findings

Hazard decision tree (HDT) was configured to compute the hazards of each component and the whole AGV robot system. Through this research, a promising technical approach was established, allowing decision-makers to identify the critical components of AGVs along with their crucial hazard phases at the design stage.

Originality/value

As complex systems have become global and essential in today’s society, their reliable design and determination of their availability have turned into very important tasks for managers and engineers. Industrial robots are examples of these complex systems that are being increasingly used for intelligent transportation, production and distribution of materials in warehouses and automated production lines.

Details

Industrial Robot: An International Journal, vol. 44 no. 6
Type: Research Article
ISSN: 0143-991X

Keywords

Article
Publication date: 26 July 2021

Dror Parnes

The purpose of this paper is to present a comprehensive framework for assisting lending banks in their current expected credit losses (CECL) forthcoming computations.

Abstract

Purpose

The purpose of this paper is to present a comprehensive framework for assisting lending banks in their current expected credit losses (CECL) forthcoming computations.

Design/methodology/approach

The bottom-up approach requires multiple steps including the spline method for identifying optimal segments in the lifetimes of loans, Poisson regressions for evaluating the explanatory variables and hazard rate probes for gaining inferences toward the expected credit losses and their projected schedule.

Findings

The CECL paradigm has both advantages and disadvantages, as discussed hereafter.

Practical implications

The model is practical, accurate in the sense that provisions are properly and timely allocated, it can be programmed and it relies on merely a few mild assumptions, thus it can be conveniently calibrated to fit broad macroeconomic scenarios.

Originality/value

This study provides background on the subject, motivate each module, construct the advised model, assemble a pseudo-database, demonstrate the functionality of the procedures and further draw conclusions on the effectiveness of the current strategy.

Book part
Publication date: 4 December 2020

Denis Marinšek

By utilizing a large sample of firms during the period 2006–2017, the author determine which types of firms are more likely to go bankrupt. The author shows that over-leveraged…

Abstract

By utilizing a large sample of firms during the period 2006–2017, the author determine which types of firms are more likely to go bankrupt. The author shows that over-leveraged firms have significantly higher probability of going bankrupt, which highlight the importance of the concept of optimal corporate capital structure. The author finds that private firms and export-oriented firms experience lower hazard rates. Proposed hazard statistical model highlights that more profitable firms, firms with better liquidity, firms with more tangible assets and larger firms all have statistically higher survival rates. The author finds that bankruptcy rates are the lowest among service firms and the highest in construction industry. Ownership variables indicate that state-owned firms, firms with foreign ownership and firms, owned by holdings, are less likely to fail, all else equal. Finally, the author demonstrates that proposed statistical model successfully predicts the probability of bankruptcy. The mean cumulative hazard function for a group of surviving firms is statistically significantly lower compared to a group of failing firms. In order to survive in a long run, firm’s management should especially be aware of their optimal capital structure and use rather less leverage than going over the sustainable level.

Details

Challenges on the Path Toward Sustainability in Europe
Type: Book
ISBN: 978-1-80043-972-6

Keywords

Article
Publication date: 14 January 2021

Fatih Kızılaslan

The purpose of this paper is to investigate the stochastic comparisons of the parallel system with independent heterogeneous Gumbel components and series and parallel systems with…

Abstract

Purpose

The purpose of this paper is to investigate the stochastic comparisons of the parallel system with independent heterogeneous Gumbel components and series and parallel systems with independent heterogeneous truncated Gumbel components in terms of various stochastic orderings.

Design/methodology/approach

The obtained results in this paper are obtained by using the vector majorization methods and results. First, the components of series and parallel systems are heterogeneous and having Gumbel or truncated Gumbel distributions. Second, multiple-outlier truncated Gumbel models are discussed for these systems. Then, the relationship between the systems having Gumbel components and Weibull components are considered. Finally, Monte Carlo simulations are performed to illustrate some obtained results.

Findings

The reversed hazard rate and likelihood ratio orderings are obtained for the parallel system of Gumbel components. Using these results, similar new results are derived for the series system of Weibull components. Stochastic comparisons for the series and parallel systems having truncated Gumbel components are established in terms of hazard rate, likelihood ratio and reversed hazard rate orderings. Some new results are also derived for the series and parallel systems of upper-truncated Weibull components.

Originality/value

To the best of our knowledge thus far, stochastic comparisons of series and parallel systems with Gumbel or truncated Gumble components have not been considered in the literature. Moreover, new results for Weibull and upper-truncated Weibull components are presented based on Gumbel case results.

Details

International Journal of Quality & Reliability Management, vol. 38 no. 8
Type: Research Article
ISSN: 0265-671X

Keywords

Article
Publication date: 14 March 2023

Qian Zhang and Huiyong Yi

With the evolution of the turbulent environment constantly triggering the emergence of a trust crisis between organizations, how can university–industry (U–I) alliances respond to…

Abstract

Purpose

With the evolution of the turbulent environment constantly triggering the emergence of a trust crisis between organizations, how can university–industry (U–I) alliances respond to the trust crisis when conducting green technology innovation (GTI) activities? This paper aims to address this issue.

Design/methodology/approach

The authors examined the process of trust crisis damage, including trust first suffering instantaneous impair as well as subsequently indirectly affecting GTI level, and ultimately hurting the profitability of green innovations. In this paper, a piecewise deterministic dynamic model is deployed to portray the trust and the GTI levels in GTI activities of U–I alliances.

Findings

The authors analyze the equilibrium results under decentralized and centralized decision-making modes to obtain the following conclusions: Trust levels are affected by a combination of hazard and damage (short and long term) rates, shifting from steady growth to decline in the presence of low hazard and damage rates. However, the GTI level has been growing steadily. It is essential to consider factors such as the hazard rate, the damage rate in the short and long terms, and the change in marginal profit in determining whether to pursue an efficiency- or recovery-friendly strategy in the face of a trust crisis. The authors found that two approaches can mitigate trust crisis losses: implementing a centralized decision-making mode (i.e. shared governance) and reducing pre-crisis trust-building investments. This study offers several insights for businesses and academics to respond to a trust crisis.

Research limitations/implications

The present research can be extended in several directions. Instead of distinguishing attribution of trust crisis, the authors use hazard rate, short- and long-term damage rates and change in marginal profitability to distinguish the scale of trust crises. Future scholars can further add an attribution approach to enrich the classification of trust crises. Moreover, the authors only consider trust crises because of unexpected events in a turbulent environment; in fact, a trust crisis may also be a plateauing process, yet the authors do not study this situation.

Practical implications

First, the authors explore what factors affect the level of trust and the level of GTI when a trust crisis occurs. Second, the authors provide guidelines on how businesses and academics can coordinate their trust-building and GTI efforts when faced with a trust crisis in a turbulent environment.

Originality/value

First, the interaction between psychology and innovation management is explored in this paper. Although empirical studies have shown that trust in U–I alliances is related to innovation performance, and scholars have developed differential game models to portray the GTI process, building a differential game model to explore such an interaction is still scarce. Second, the authors incorporate inter-organizational trust level into the GTI level in university–industry collaboration, applying differential equations to portray the trust building and GTI processes, respectively, to reveal the importance of trust in CTI activities. Third, the authors establish a piecewise deterministic dynamic game model wherein the impact of crisis shocks is not equal to zero, which is inconsistent with most previous studies of Brownian motion.

Details

Nankai Business Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2040-8749

Keywords

Article
Publication date: 1 January 2009

George M. Jabbour, Marat V. Kramin and Stephen D. Young

Credit derivatives continue to grow in popularity as well as complexity. While single‐name credit default swaps are still the most popular instruments, second‐generation products…

1725

Abstract

Purpose

Credit derivatives continue to grow in popularity as well as complexity. While single‐name credit default swaps are still the most popular instruments, second‐generation products have become more commonplace. Second generation products are those whose payoffs are contingent on the viability of a number of firms and include instruments such as default baskets and synthetic collateralized debt obligations. The purpose of this paper is to provide a transparent and detailed account of default basket valuation along with thorough and intuitive explanations of comparative statics and the relationship between basket values and default correlation.

Design/methodology/approach

The paper delineates the standard approach to valuing default baskets and with its implementation examines results for two copula functions and the input assumptions which are critical to the valuation process.

Findings

It is found that the assumptions are critical to the valuation and that the copula chosen also has an impact on pricing and comparative statics.

Practical implications

This paper is very practical in its orientation and takes a pedagogical approach in its explanation of default baskets, the standard model, and key assumptions.

Originality/value

This paper fills a gap in the literature as prior works are more focused on certain enhancements or nuances of modeling basket credit derivatives while this work centers on the standard model and provides a thorough analysis and explanation of the comparative statics as well as a discussion of model limitations. This paper is ideal reading for those that seek an understanding of the modeling and risks associated with multi‐name credit derivatives.

Details

Managerial Finance, vol. 35 no. 1
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 2 October 2017

Dafni Papoutsaki

The purpose of this paper is to assess the probability of job separations of immigrants and natives in the UK before and during the economic crisis of 2008.

Abstract

Purpose

The purpose of this paper is to assess the probability of job separations of immigrants and natives in the UK before and during the economic crisis of 2008.

Design/methodology/approach

A mixed proportional hazard duration model with a semi-parametric piecewise constant baseline hazard is used on a data sample of inflows into employment.

Findings

It is found that the crisis increased the probability of exits to unemployment for all groups, while immigrants from the new countries of the European Union seemed to have the lowest hazard towards unemployment even after controlling for their demographic and labour market characteristics. More specifically, even when we account for the fact that they tend to cluster in jobs that are most vulnerable to the business cycle, they are still less likely to exit dependent employment than natives. However, this migrant group is adversely affected by the crisis the most.

Research limitations/implications

Possible implications of out-migration of the lower performers are discussed.

Originality/value

This paper makes use of the panel element of the UK Quarterly Labour Force Survey, and uses duration analysis on the individual level to assess the labour market outcomes of natives and immigrants in the UK.

Details

International Journal of Manpower, vol. 38 no. 7
Type: Research Article
ISSN: 0143-7720

Keywords

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