Failure prediction models: performance, disagreements, and internal rating systems. NBB Working Papers. No. 123, 13 December 2007

We address a number of comparative issues relating to the performance of failure prediction models for small, private firms. We use two models provided by vendors, a model developed by the National Bank of Belgium, and the Altman Z-score model to investigate model power, the extent of disagreement between models in the ranking of firms, and the design of internal rating systems. We also examine the potential gains from combining the output of multiple models. We find that the power of all four models in predicting bankruptcies is very good at the one-year horizon, even though not all of the models were developed using bankruptcy data and the models use different statistical methodologies. Disagreements in firm rankings are nevertheless significant across models, and model choice will have an impact on loan pricing and origination decisions. We find that it is possible to realize important gains from combining models with similar power. In addition, we show that it can also be beneficial to combine a weaker model with a stronger one if disagreements across models with respect to failing firms are high enough. Finally, the number of classes in an internal rating system appears to be more important than the distribution of borrowers across classes

Failure prediction models : performance, disagreements, and internal rating systems

We address a number of comparative issues relating to the performance of failure prediction models for small, private firms. We use two models provided by vendors, a model developed by the National Bank of Belgium, and the Altman Z-score model to investigate model power, the extent of disagreement between models in the ranking of firms, and the design of internal rating systems. We also examine the potential gains from combining the output of multiple models. We find that the power of all four models in predicting bankruptcies is very good at the one-year horizon, even though not all of the models were developed using bankruptcy data and the models use different statistical methodologies. Disagreements in firm rankings are nevertheless significant across models, and model choice will have an impact on loan pricing and origination decisions. We find that it is possible to realize important gains from combining models with similar power. In addition, we show that it can also be beneficial to combine a weaker model with a stronger one if disagreements across models with respect to failing firms are high enough. Finally, the number of classes in an internal rating system appears to be more important than the distribution of borrowers across classesBasel II, failure prediction, internal ratings, model power, rating systems, ROC analysis.

Improvements in electron-optical picosecond photography

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Has greater globalization made forecasting inflation more difficult?

U.S. inflation and real economic activity became more difficult to forecast during the Great Moderation. We investigate the possibility that the decline in the ability to forecast inflation may be due to greater globalization. As countries become more integrated through trade and financial flows, domestic inflation has a larger foreign component that is determined by variables typically excluded from forecasts.Forecasting ; Inflation (Finance) ; Globalization ; International trade

Dynamic Resource Management in Clouds: A Probabilistic Approach

Dynamic resource management has become an active area of research in the Cloud Computing paradigm. Cost of resources varies significantly depending on configuration for using them. Hence efficient management of resources is of prime interest to both Cloud Providers and Cloud Users. In this work we suggest a probabilistic resource provisioning approach that can be exploited as the input of a dynamic resource management scheme. Using a Video on Demand use case to justify our claims, we propose an analytical model inspired from standard models developed for epidemiology spreading, to represent sudden and intense workload variations. We show that the resulting model verifies a Large Deviation Principle that statistically characterizes extreme rare events, such as the ones produced by "buzz/flash crowd effects" that may cause workload overflow in the VoD context. This analysis provides valuable insight on expectable abnormal behaviors of systems. We exploit the information obtained using the Large Deviation Principle for the proposed Video on Demand use-case for defining policies (Service Level Agreements). We believe these policies for elastic resource provisioning and usage may be of some interest to all stakeholders in the emerging context of cloud networkingComment: IEICE Transactions on Communications (2012). arXiv admin note: substantial text overlap with arXiv:1209.515

Long Duration Exposure Facility (LDEF) low temperature Heat Pipe Experiment Package (HEPP) flight results

The Low Temperature Heat Pipe Flight Experiment (HEPP) is a fairly complicated thermal control experiment that was designed to evaluate the performance of two different low temperature ethane heat pipes and a low-temperature (182 K) phase change material. A total of 390 days of continuous operation with an axially grooved aluminum fixed conductance heat pipe and an axially grooved stainless steel heat pipe diode was demonstrated before the data acquisition system's batteries lost power. Each heat pipe had approximately 1 watt applied throughout this period. The HEPP was not able to cool below 188.6 K during the mission. As a result, the preprogrammed transport test sequence which initiates when the PCM temperature drops below 180 K was never exercised, and transport tests with both pipes and the diode reverse mode test could not be run in flight. Also, because the melt temperature of the n-heptane PCM is 182 K, its freeze/thaw behavior could not be tested. Post-flight thermal vacuum tests and thermal analyses have indicated that there was an apparent error in the original thermal analyses that led to this unfortunate result. Post-flight tests have demonstrated that the performance of both heat pipes and the PCM has not changed since being fabricated more than 14 years ago. A summary of HEPP's flight data and post-flight test results are presented