The probability of default in internal ratings based (IRB) models in Basel II: an application of the rough sets methodology

El nuevo Acuerdo de Capital de junio de 2004 (Basilea II) da cabida e incentiva la implantación de modelos propios para la medición de los riesgos financieros en las entidades de crédito. En el trabajo que presentamos nos centramos en los modelos internos para la valoración del riesgo de crédito (IRB) y concretamente en la aproximación a uno de sus componentes: la probabilidad de impago (PD). Los métodos tradicionales usados para la modelización del riesgo de crédito, como son el análisis discriminante y los modelos logit y probit, parten de una serie de restricciones estadísticas. La metodología rough sets se presenta como una alternativa a los métodos estadísticos clásicos, salvando las limitaciones de estos. En nuestro trabajo aplicamos la metodología rought sets a una base de datos, compuesta por 106 empresas, solicitantes de créditos, con el objeto de obtener aquellos ratios que mejor discriminan entre empresas sanas y fallidas, así como una serie de reglas de decisión que ayudarán a detectar las operaciones potencialmente fallidas, como primer paso en la modelización de la probabilidad de impago. Por último, enfrentamos los resultados obtenidos con los alcanzados con el análisis discriminante clásico, para concluir que la metodología de los rough sets presenta mejores resultados de clasificación, en nuestro caso.The new Capital Accord of June 2004 (Basel II) opens the way for and encourages credit entities to implement their own models for measuring financial risks. In the paper presented, we focus on the use of internal rating based (IRB) models for the assessment of credit risk and specifically on the approach to one of their components: probability of default (PD). In our study we apply the rough sets methodology to a database composed of 106 companies, applicants for credit, with the object of obtaining those ratios that discriminate best between healthy and bankrupt companies, together with a series of decision rules that will help to detect the operations potentially in default, as a first step in modelling the probability of default. Lastly, we compare the results obtained against those obtained using classic discriminant análisis. We conclude that the rough sets methodology presents better risk classification results.Junta de Andalucía P06-SEJ-0153

Analysis of the potentials of multi criteria decision analysis methods to conduct sustainability assessment

Sustainability assessments require the management of a wide variety of information types, parameters and uncertainties. Multi criteria decision analysis (MCDA) has been regarded as a suitable set of methods to perform sustainability evaluations as a result of its flexibility and the possibility of facilitating the dialogue between stakeholders, analysts and scientists. However, it has been reported that researchers do not usually properly define the reasons for choosing a certain MCDA method instead of another. Familiarity and affinity with a certain approach seem to be the drivers for the choice of a certain procedure. This review paper presents the performance of five MCDA methods (i.e. MAUT, AHP, PROMETHEE, ELECTRE and DRSA) in respect to ten crucial criteria that sustainability assessments tools should satisfy, among which are a life cycle perspective, thresholds and uncertainty management, software support and ease of use. The review shows that MAUT and AHP are fairly simple to understand and have good software support, but they are cognitively demanding for the decision makers, and can only embrace a weak sustainability perspective as trade-offs are the norm. Mixed information and uncertainty can be managed by all the methods, while robust results can only be obtained with MAUT. ELECTRE, PROMETHEE and DRSA are non-compensatory approaches which consent to use a strong sustainability concept, accept a variety of thresholds, but suffer from rank reversal. DRSA is less demanding in terms of preference elicitation, is very easy to understand and provides a straightforward set of decision rules expressed in the form of elementary “if … then …” conditions. Dedicated software is available for all the approaches with a medium to wide range of results capability representation. DRSA emerges as the easiest method, followed by AHP, PROMETHEE and MAUT, while ELECTRE is regarded as fairly difficult. Overall, the analysis has shown that most of the requirements are satisfied by the MCDA methods (although to different extents) with the exclusion of management of mixed data types and adoption of life cycle perspective which are covered by all the considered approaches

A rough examination of the value of gas storage

This paper studies the impast of a fire in 2006 which removed the possibility of access to the Rough gas storage facilities covering 80% of total UK storage, at a time when major withdrawals from storage would likely have taken place. Implicitly, it shows the value of such storage facilities, in a country with relatively little storage, where we might therefore see a considerable impact. We find that the major effect on activity was through an increased sensivity of supply to prices and an increased variance in this sensitivity, not through plysical shortages of gas

Incorporating stakeholders’ knowledge in group decision-making

International audienc

Haptic Hybrid Prototyping (HHP): An AR Application for Texture Evaluation with Semantic Content in Product Design

The manufacture of prototypes is costly in economic and temporal terms and in order to carry this out it is necessary to accept certain deviations with respect to the final finishes. This article proposes haptic hybrid prototyping, a haptic-visual product prototyping method created to help product design teams evaluate and select semantic information conveyed between product and user through texturing and ribs of a product in early stages of conceptualization. For the evaluation of this tool, an experiment was realized in which the haptic experience was compared during the interaction with final products and through the HHP. As a result, it was observed that the answers of the interviewees coincided in both situations in 81% of the cases. It was concluded that the HHP enables us to know the semantic information transmitted through haptic-visual means between product and user as well as being able to quantify the clarity with which this information is transmitted. Therefore, this new tool makes it possible to reduce the manufacturing lead time of prototypes as well as the conceptualization phase of the product, providing information on the future success of the product in the market and its economic return

Scope Management of Non-Functional Requirements

In order to meet commitments in software projects, a realistic assessment must be made of project scope. Such an assessment relies on the availability of knowledge on the user-defined project requirements and their effort estimates and priorities, as well as their risk. This knowledge enables analysts, managers and software engineers to identify the most significant requirements from the list of requirements initially defined by the user. In practice, this scope assessment is applied to the Functional Requirements (FRs) provided by users who are unaware of, or ignore, the Non-Functional Requirements (NFRs). This paper presents ongoing research which aims at managing NFRs during the software development process. Establishing the relative priority of each NFR, and obtaining a rough estimate of the effort and risk associated with it, is integral to the software development process and to resource management. Our work extends the taxonomy of the NFR framework by integrating the concept of the "hardgoal". A functional size measure of NFRs is applied to facilitate the effort estimation process. The functional size measurement method we have chosen is COSMICFFP, which is theoretically sound and the de facto standard in the software industry