Maritime transportation is one of the most important services in the international trade, especially for international cargo transportation. Literature reviews extract several components of trust and commitment for study. Theoretical foundations are drawn from the commitment-trust theory of relationship marketing to find out the key factor, the relationship result of cooperation. A conceptual m...

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...

In this paper, we analyze the default risk of Chinese real estate companies with KMV model and time-varying copula. We collected the data of the listed real estate companies in Shanghai and Shenzhen Exchanges from 2007 to 2012 to calculate the default distance and correlations. Experiments results show that the default risk increases during the financial crisis. Moreover, results also indicate ...

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...

Let A be a finite abelian group and x an element of A. Let y be in the subgroup generated by x, so that y = nx for some positive integer n. Recall that the discrete logarithm problem is to determine n in a computationally efficient way. The computational complexity of solving this problem when the bit size of the inputs is large is the basis of many public-key encryption schemes used today. Two...

Since the paper [KM1] was released much progress has been made on the problem of bounding the analytic rank of automorphic forms on average. For example, in [KMV], a uniform bound for the square of the analytic rank of automorphic L-functions was obtained. This was used in getting a sharp numerical upper bound for average of the analytic rank. However, this improvement used only a slight varian...

In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measure in the context of portfolio credit risk, and highlight some problems which follow from this theoretical deficiency. In particular, a realistic demonstration of the non-subadditivity of VaR is given and the possibly nonsensical consequences of VaR-based portfolio optimisation are shown. The seco...