Publication database

The Basel II Accord requires banks to establish rigorous statistical procedures for the estimation and validation of default and ratings transition probabilities. This raises great technical challenges when sufficient default data are not available, as is the case for low default portfolios. We develop a new model that describes the typical internal credit rating process used by banks. The model captures patterns of obligor heterogeneity and ratings migration dependence through unobserved systematic macroeconomic shocks. We describe a Bayesian hierarchical framework for model calibration from historical rating transition data, and show how the predictive performance of the model can be assessed, even with sparse event data. Finally, we analyze a rating transition data set from Standard and Poor's during 1981-2007. Our results have implications for the current Basel II policy debate on the magnitude of default probabilities assigned to low risk assets.

With permission of Elsevier

We study the dynamics of usage intensity of second-generation cellular telephony over the diffusion curve. Specifically, we address two questions: First, can we draw conclusions about the underlying drivers of technology diffusion by studying usage intensity? Second, what is the effect of high penetration of previous generations and competing networks on network usage intensity? Using an operator-level panel covering 41 countries with quarterly data over 6 years, we find that heterogeneity among adopters dominates network effects and that different technological generations are complements in terms of usage, but substitutes in terms of subscription.

With permission of Elsevier

Aside from major and minor histocompatibility antigens, genetic polymorphisms of various donor and host genes have been found to be risk factors for graft-versus-host disease and transplantation-related mortality (TRM). The heme oxygenase I (HO-I) protein has been implicated in regulating inflammatory response and has been described as a ßÂ"ßÂ"protective gene'' in solid organ transplantation. In humans, the promoter region displays length polymorphism due to a variable number of GT repeats. Individuals exhibiting 29 or fewer GT repeats express higher levels of HO-I on cellular stress compared with individuals with 30 or more GT repeats. We retrospectively analyzed length polymorphisms of 92 donor-host pairs undergoing allogeneic stem cell transplantation. Our findings demonstrate that mainly donor polymorphism leading to high expression of HO-1 (\30 GT repeats) on stress signals is associated with reduced overall survival, and that TRM is significantly increased in this group. This reduction in survival was most prominent when unrelated donors were used. Polymorphisms of the recipient HO-1 genes did not influence posttransplantation outcomes. We conclude that HO-1 polymorphism represents a new genetic risk factor for TRM and overall survival.

With permission of Elsevier

We use proprietary data to analyze the importance of retail banking relationships to commercial banks and their depositors when banks underwrite securities. We find lead underwriters' retail customers benefit as they demand and end up with significantly more of the highly underpriced issues. We find it is actual underpricing beyond that predicted by grey markets that drive the differential demand from the lead bank retail clientele, suggesting that banks pass on information about underpriced initial public offerings to their retail depositors. We analyze banks' incentives for such behavior and find evidence of banks benefiting through retail cross-sellingâ€Â"both brokerage accounts and consumer loans increase significantly.

With permission of Elsevier

Quicker, Higher, Stronger: A couple of years ago, the Russian branch of a global professional services firm published its annual partner promotion announcement in a leading Russian business journal, giving the names and pictures of the newly appointed partners. To the readers' surprise, most of these partners looked like a fresh-faced class of new university graduates. In some countries people of this age have not even graduated yet: the youngest partner was 26 years old. Just four years previously he had joined a competing professional organization as an intern, combining his last academic year's study with on-the-job training. With the growth of market opportunities and lack of more senior staff, he was quickly put on assignments with increasing complexity and responsibility and then made responsible for developing new business and delivering it successfully. A combination of personal qualities, learning opportunities and luck (or perhaps because the employer had no other choice) eventually led to his becoming a partner very early in life...

With permission of Elsevier

Russian firebird: After a decade of a spectacular retreat, Russia is re-emerging as an active player on the world scene, and for the first time in its modern history is becoming a serious factor in the global economy. With its $1000 billion economy set to grow at 5-7% over the next two decades, 27% of world gas and 6% of world oil reserves, the largest territory in the world and the largest population in Europe, the country is once again attracting the attention of the West and the rest of the world. While politicians and intellectuals warn of Russia's increasing assertiveness and criticize its government for suppressing democracy, business people vote with their dollars and Euros-in 2007, Russia received a record $87 billion in foreign investments, more than double the amount of the previous year. It is a market no serious global company can ignore. Domestic consumption has been growing at double-digit numbers for the last 3 years, real estate prices in Moscow have reached London levels, and in 2007 Russians bought more cars than any other European nation except Germany. Disposable income for a large segment of the population has been increasing steadily, allowing the purchase of luxury goods and foreign travel-28 million Russians traveled abroad in 2007. The foundation has been set for a property-owning middle class. Thanks to its oil-fueled economy, Moscow can now count itself as the city with the largest number of billionaires in the world. In its turn, Russian business has started to expand internationally, with deals such as Evraz Group S.A.'s purchase of Oregon Steel Mills for $2.3 billion and Gazprom's acquisition of the Serbian gas monopoly. In short, in 2007, Russia invested $54 billion outside its borders...

With permission of Elsevier