A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators

Modeling credit rating migrations conditional on macroeconomic conditions allows financial institutions to assess, analyze, and manage the risk related to a credit portfolio. Existing methodologies to model credit rating migrations conditional on the business cycle suffer from poor accuracy, difficult readability, or model inconsistencies. The modeling methodology proposed in this paper extends ordinal logistic regression to estimate the complete migration matrix including default rates as a function of rating dynamics and macroeconomic indicators. The gradient and Hessian derivations show efficient optimization within the Levenberg–Marquardt algorithm. The proposed modeling methodology is applied to model corporate rating migrations using historical data from 1984 to 2011. It is shown that the resulting model captures the cyclical behavior of credit rating migrations and default rates, and is able to approximate historic migration levels with good precision. The model therefore permits analysis of the impact of economical downturn conditions on a credit portfolio. Copyright © 2013 John Wiley & Sons, Ltd.     

High brightness electron beam from a multi-walled carbon nanotube

Carbon nanotubes can act as electron sources with very rigid structures, making them particularly interesting for use as point electron sources in high-resolution electron-beam instruments. Promising results have been reported with respect to some important requirements for such applications: a stable emitted current and a long lifetime. Two parameters of an electron source affect the resolution of these instruments: the energy spread of the emitted electrons and a parameter called the reduced brightness, which depends on the angular current density and the virtual source size. Several authors have measured a low energy spread associated with electron emission. Here we measure the reduced brightness, and find a value that is more than a factor of ten larger than provided by state-of-the-art electron sources in electron microscopes. In addition, we show that an individual multi-walled carbon nanotube emits most current into a single narrow beam. On the basis of these results, we expect that carbon nanotube electron sources will lead to a significant improvement in the performance of high-resolution electron-beam instruments.