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21.
The usual tool for modelling bond ratings migration is a discrete, time‐homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behaviour among rating categories and that the movement behaviour does not change over time. However, among recognized sources of heterogeneity in ratings migration is age of a bond (time elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aim of this paper is to introduce a continuous, time‐non‐homogeneous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by the proposed model appears to be suitable for modelling the effect of age of a bond on its propensity to change ratings. This model, called a mover–stayer model, is an extension of a Markov chain. This paper derives the maximum likelihood estimators for the parameters of a continuous time mover–stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood ratio statistic for discriminating between the Markov chain and the mover–stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For these issuers the default probabilities predicted by the Markov chain and mover–stayer models are different. In particular for 1–4 years old bonds the mover–stayer model estimates substantially lower default probabilities from rating C than a Markov chain. Copyright © 2004 John Wiley & Sons, Ltd. 相似文献
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The turbulent flow in a compound meandering channel with a rectangular cross section is one of the most complicated turbulent flows, because the flow behaviour is influenced by several kinds of forces, including centrifugal forces, pressure‐driven forces and shear stresses generated by momentum transfer between the main channel and the flood plain. Numerical analysis has been performed for the fully developed turbulent flow in a compound meandering open‐channel flow using an algebraic Reynolds stress model. The boundary‐fitted coordinate system is introduced as a method for coordinate transformation in order to set the boundary conditions along the complicated shape of the meandering open channel. The turbulence model consists of transport equations for turbulent energy and dissipation, in conjunction with an algebraic stress model based on the Reynolds stress transport equations. With reference to the pressure–strain term, we have made use of a modified pressure–strain term. The boundary condition of the fluctuating vertical velocity is set to zero not only for the free surface, but also for computational grid points next to the free surface, because experimental results have shown that the fluctuating vertical velocity approaches zero near the free surface. In order to examine the validity of the present numerical method and the turbulent model, the calculated results are compared with experimental data measured by laser Doppler anemometer. In addition, the compound meandering open channel is clarified somewhat based on the calculated results. As a result of the analysis, the present algebraic Reynolds stress model is shown to be able to reasonably predict the turbulent flow in a compound meandering open channel. Copyright © 2005 John Wiley & Sons, Ltd. 相似文献
24.
A time discrete scheme is used to approximate the solution toa phase field system of PenroseFife type with a non-conservedorder parameter. An a posteriori error estimate is presentedthat allows the estimation of the difference between continuousand semidiscrete solutions by quantities that can be calculatedfrom the approximation and given data. 相似文献
25.
Li Yingle Huang Jiying Gong Shuohong 《International Journal of Infrared and Millimeter Waves》2003,24(6):953-961
The dielectric constant for rain medium is investigated by utilizing the system identification method. The rain rate model and frequency model of permittivity in millimeter waves band for rain medium are presented. The results obtained with models are in very good agreement with references in calculating the attenuation of electromagnetic waves induced by rain, which Shows that the obtained models are valid and practicable. The cross-polar discrimination gotten with rain rate model is in agreement with references. 相似文献
26.
Trabecular bone fracture is closely related to the trabecular architecture, microdamage accumulation, and bone tissue properties. Primary constituents of trabecular tissue are hydroxyapatite (HA) mineralized type-I collagen fibers. In this research, dynamic fracture in two dimensional (2-D) micrographs of ovine (sheep) trabecular bone is modeled using the mesoscale cohesive finite element method (CFEM). The bone tissue fracture properties are obtained based on the atomistic strength analyses of a type-I collagen + HA interfacial arrangement using molecular dynamics (MD). Analyses show that the presented framework is capable of analyzing the architecture dependent fracture in 2-D micrographs of trabecular bone. 相似文献
27.
V.I. Kushch I. Sevostianov L. Mishnaevsky Jr 《International Journal of Solids and Structures》2008,45(18-19):5103-5117
The paper addresses the problem of calculation of the local stress field and effective elastic properties of a unidirectional fiber reinforced composite with anisotropic constituents. For this aim, the representative unit cell approach has been utilized. The micro geometry of the composite is modeled by a periodic structure with a unit cell containing multiple circular fibers. The number of fibers is sufficient to account for the micro structure statistics of composite. A new method based on the multipole expansion technique is developed to obtain the exact series solution for the micro stress field. The method combines the principle of superposition, technique of complex potentials and some new results in the theory of special functions. A proper choice of potentials and new results for their series expansions allow one to reduce the boundary-value problem for the multiple-connected domain to an ordinary, well-posed set of linear algebraic equations. This reduction provides high numerical efficiency of the developed method. Exact expressions for the components of the effective stiffness tensor have been obtained by analytical averaging of the strain and stress fields. 相似文献
28.
MC模式下顾客需求与厂商供应的纳什均衡 总被引:3,自引:0,他引:3
在大规模定制(MC,Mass Customization)模式下,基于市场需求的复杂化,厂商对个性化的顾客需求很难做出及时准确的反应,而且由于其自身生产能力的限制,不可能对所有的个性化用户进行一一地满足,只可能对已经存在的个性化需求,根据自身的生产能力和规模,以利润最大化及顾客对产品的满意度为目标,对个性化需求进行较准确地预测,从而正确指导生产。本通过博弈论的方法,提出了一个基于顾客对产品的满意度及企业的利润的一个非合作博弈模型,并给出求解纳什均衡的方法。 相似文献
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基于CSCW的协同编著系统的设计 总被引:3,自引:0,他引:3
讨论了计算机支持的协同工作(CSCW)的主要技术,其中重点讨论了协同编著系统设计中的并发控制技术,指出了其与传统的并发控制技术的区别。根据CSCW的基本原理设计出了一个基于Browse/Server结构的协同编著系统的系统模型。该系统模型比传统的模型更加方便了用户之间通过Internet的浏览器进行协作。 相似文献