﻿<?xml version="1.0" encoding="utf-8"?><rss version="2.0"><channel><title>Advances in Decision Sciences</title><link>http://www.hindawi.com</link><description>The latest articles from Hindawi Publishing Corporation</description><copyright>&amp;#169; 2012, Hindawi Publishing Corporation. All rights reserved.</copyright><item><title>Modelling the Implications of Quality Management Elements on Strategic Flexibility</title><link>http://www.hindawi.com/journals/ads/2011/694080/</link><description>This paper presents a theoretical and empirical analysis of the implications of a quality management (QM) initiative on strategic flexibility. Our study defines flexibility from a strategic approach and examines the extent to which, why, and how the triggering factors of strategic flexibility are related to QM elements. The hypotheses put forward are tested in an empirical study carried out on a sample of Spanish firms, using structural equation models. The results demonstrate the positive effect of adopting an integral QM initiative on enhancing strategic flexibility. QM enhances strategic flexibility more effectively when it is introduced comprehensively rather than in a piecemeal fashion. A series of practices linked to the application of a QM initiative are outlined, which managers can use to improve strategic flexibility. The approach used in the study can be applied to analyse other antecedents of flexibility and to propose possible studies that consider QM as an antecedent of other organisational variables.</description><Author>Ana Bel&amp;#xe9;n Escrig-Tena, Juan Carlos Bou-Llusar, Inmaculada Beltr&amp;#xe1;n-Mart&amp;#xed;n, and Vicente Roca-Puig</Author><copyright>Copyright &amp;#xa9; 2011 Ana Bel&amp;#xe9;n Escrig-Tena et al. All rights reserved.</copyright></item><item><title>Rough Multisets and Information Multisystems</title><link>http://www.hindawi.com/journals/ads/2011/495392/</link><description>Rough set theory uses the concept of upper and lower approximations to encapsulate inherent inconsistency in real-world objects. Information multisystems are represented using multisets instead of crisp sets. This paper begins with an overview of recent works on multisets and rough sets. Rough multiset is introduced in terms of lower and upper approximations and explores related properties. The paper concludes with an example of certain types of information multisystems.</description><Author>K. P. Girish and Sunil Jacob John</Author><copyright>Copyright &amp;#xa9; 2011 K. P. Girish and Sunil Jacob John. All rights reserved.</copyright></item><item><title>Queueing Maximal Covering Location-Allocation Problem: An Extension with M/G/1 Queueing Systems</title><link>http://www.hindawi.com/journals/ads/2011/605629/</link><description>We consider the queueing maximal covering location-allocation problem (QM-CLAP) with an M/G/1 queueing system. We first formulate the problem as a binary quadratic programming problem and then propose a new solution procedure based on decomposition of the problem into smaller binary quadratic sub-problems. The heuristic procedure GRASP is used to solve the sub-problems, as well as the entire model. Some computational results are also presented.</description><Author>Foroogh Moeen Moghadas and Hossein Taghizadeh Kakhki</Author><copyright>Copyright &amp;#xa9; 2011 Foroogh Moeen Moghadas and Hossein Taghizadeh Kakhki. All rights reserved.</copyright></item><item><title>Some Asymptotic Theory for Functional Regression and Classification</title><link>http://www.hindawi.com/journals/ads/2011/485974/</link><description>Exploiting an expansion for analytic functions of operators, the asymptotic distribution of an estimator of the functional regression parameter is obtained in a rather simple way; the result is applied to testing linear hypotheses. The expansion is also used to obtain a quick proof for the asymptotic optimality of a functional classification rule, given Gaussian populations.</description><Author>Frits Ruymgaart, Jing Wang, Shih-Hsuan Wei, and Li Yu</Author><copyright>Copyright &amp;#xa9; 2011 Frits Ruymgaart et al. All rights reserved.</copyright></item><item><title>A General Input Distance Function Based on Opportunity Costs</title><link>http://www.hindawi.com/journals/ads/2011/505241/</link><description>There are several distance function definitions in a general production framework, including Data Envelopment Analysis, which can be used to describe the production technology and to define corresponding measures of technical efficiency (notably the Shephard and the directional distance functions). This paper introduces a generalisation of the distance function concept based on the idea of minimizing firm&amp;#39;s opportunity cost. We further state a general dual correspondence between the cost function and this new general distance function, which encompasses all previously published duality results. All our results also hold under the assumption that we work in a Data Envelopment Analysis context.</description><Author>Juan Aparicio and Jesus T. Pastor</Author><copyright>Copyright &amp;#xa9; 2011 Juan Aparicio and Jesus T. Pastor. All rights reserved.</copyright></item><item><title>A Nonparametric Two-Sample Wald Test of Equality of Variances</title><link>http://www.hindawi.com/journals/ads/2011/748580/</link><description>We develop a test for equality of variances given two independent random samples of observations. The test can be expected to perform well when both sample sizes are at least moderate and the sample variances are asymptotically equivalent to the maximum likelihood estimators of the population variances. The test is motivated by and is here assessed for the case when both populations sampled are assumed to be normal. Popular choices of test would be the two-sample F test if normality can be assumed and Levene’s test if this assumption is dubious. Another competitor is the Wald test for the difference in the population variances. We give a nonparametric analogue of this test and call it the R test. In an indicative empirical study when both populations are normal, we find that when both sample sizes are at least 25 the R test is nearly as robust as Levene’s test and nearly as powerful as the F test.</description><Author>David Allingham and J. C. W. Rayner</Author><copyright>Copyright &amp;#xa9; 2011 David Allingham and J. C. W. Rayner. All rights reserved.</copyright></item><item><title>Soft Expert Sets</title><link>http://www.hindawi.com/journals/ads/2011/757868/</link><description>In 1999, Molodtsov introduced the concept of soft set theory as a general mathematical tool for dealing with uncertainty. Many researchers have studied this theory, and they created some models to solve problems in decision making and medical diagnosis, but most of these models deal only with one expert. This causes a problem with the user, especially with those who use questionnaires in their work and studies. In our model, the user can know the opinion of all experts in one model. So, in this paper, we introduce the concept of a soft expert set, which will more effective and useful. We also define its basic operations, namely, complement, union intersection AND, and OR. Finally, we show an application of this concept in decision-making problem.</description><Author>Shawkat Alkhazaleh and Abdul Razak Salleh</Author><copyright>Copyright &amp;#xa9; 2011 Shawkat Alkhazaleh and Abdul Razak Salleh. All rights reserved.</copyright></item><item><title>A Data Envelopment Analysis Approach to Supply Chain Efficiency</title><link>http://www.hindawi.com/journals/ads/2011/608324/</link><description>Supply chain management is an important competitive strategies used by modern enterprises. Effective design and management of supply chains assists in the production and delivery of a variety of products at low costs, high quality, and short lead times. Recently, data envelopment analysis (DEA) has been extended to examine the efficiency of supply chain operations. Due to the existence of intermediate measures, the usual procedure of adjusting the inputs or outputs, as in the standard DEA approach, does not necessarily yield a frontier projection. The current paper develops a DEA model for measuring the performance of suppliers and manufacturers in supply chain operations. Additive efficiency decomposition for suppliers and manufacturers in supply chain operations is proposed.</description><Author>Alireza Amirteimoori and Leila Khoshandam</Author><copyright>Copyright &amp;#xa9; 2011 Alireza Amirteimoori and Leila Khoshandam. All rights reserved.</copyright></item><item><title>Decision Analysis Framework for Risk Management of Crude Oil Pipeline System</title><link>http://www.hindawi.com/journals/ads/2011/456824/</link><description>A model is constructed for risk management of crude pipeline subject to rupture on the basis of a methodology that incorporates structured expert judgment and analytic hierarchy process (AHP). The risk model calculates frequency of failure and their probable consequences for different segments of crude pipeline, considering various failure mechanisms. Specifically, structured expert judgment is used to provide frequency of failure assessments for identified failure mechanisms of the pipeline. In addition, AHP approach is utilized to obtain relative failure likelihood for attributes of failure mechanisms with very low probability of occurrence. Finally, the expected cost of failure for a given pipeline segment is estimated by combining its frequency of failure and the consequences of failure, estimated in terms of historical costs of failure from the pipeline operator’s database. A real-world case study of a crude pipeline is used to demonstrate the application of the proposed methodology.</description><Author>Alex W. Dawotola, P. H. A. J. M. van Gelder, and J. K. Vrijling</Author><copyright>Copyright &amp;#xa9; 2011 Alex W. Dawotola et al. All rights reserved.</copyright></item><item><title>A Knowledge Management and Decision Support Model for Enterprises</title><link>http://www.hindawi.com/journals/ads/2011/425820/</link><description>We propose a novel knowledge management system (KMS) for enterprises. Our system exploits two different approaches for knowledge representation and reasoning: a document-based approach based on data-driven creation of a semantic space and an ontology-based model. Furthermore, we provide an expert system capable of supporting the enterprise decisional processes and a semantic engine which performs intelligent search on the enterprise knowledge bases. The decision support process exploits the Bayesian networks model to improve business planning process when performed under uncertainty.</description><Author>Patrizia Ribino, Agnese Augello, Giuseppe Lo Re, and Salvatore Gaglio</Author><copyright>Copyright &amp;#xa9; 2011 Patrizia Ribino et al. All rights reserved.</copyright></item><item><title>Majorization for A Subclass of &amp;#x03B2;-Spiral Functions of Order &amp;#x03B1; Involving a Generalized Linear Operator</title><link>http://www.hindawi.com/journals/ads/2011/167672/</link><description>Motivated by Carlson-Shaffer linear operator, we define here a new generalized linear operator. Using this operator, we define a class of analytic functions in the unit disk U. For this class, a majorization problem of analytic functions is discussed.</description><Author>Afaf A. Ali Abubaker, Maslina Darus, and Daniel Breaz</Author><copyright>Copyright &amp;#xa9; 2011 Afaf A. Ali Abubaker et al. All rights reserved.</copyright></item><item><title>Decision Making in Uncertain Rural Scenarios by means of Fuzzy TOPSIS Method</title><link>http://www.hindawi.com/journals/ads/2011/937092/</link><description>A great deal of uncertain information which is difficult to quantify is taken into account by farmers and experts in the enterprise when making decisions. We are interested in the problems of the implementation of a rabbit-breeding farm. One of the first decisions to be taken refers to the design or type of structure for housing the animals, which is determined by the level of environmental control sought to be maintained in its interior. A farmer was consulted, and his answers were incorporated into the analysis, by means of the fuzzy TOPSIS methodology. The main purpose of this paper is to study the problem by means of the fuzzy TOPSIS method as multicriteria decision making, when the information was given in linguistic terms.</description><Author>Eva Armero, M. Socorro Garc&amp;#237;a-Cascales, M. Dolores G&amp;#243;mez-L&amp;#243;pez, and M. Teresa Lamata</Author><copyright>Copyright &amp;#xa9; 2011 Eva Armero et al. All rights reserved.</copyright></item><item><title>Using Complete Squares Method to Optimize Replenishment Policies in a Four-Stage Supply Chain with Planned Backorders</title><link>http://www.hindawi.com/journals/ads/2011/745896/</link><description>We develop a four-stage, serial supply chain inventory model with planned backorders. This supply chain model is formulated for the integer multipliers coordination mechanism, where firms at the same stage of the supply chain use the same cycle time and the cycle time at each stage is an integer multiplier of the cycle time used at the adjacent downstream stage. We develop an optimal replenishment policy using a simple algebraic method to solve the problem without the use of differential calculus.</description><Author>M. E. Seliaman</Author><copyright>Copyright &amp;#xa9; 2011 M. E. Seliaman. All rights reserved.</copyright></item><item><title>An Inventory System for Deteriorating Products with Ramp-Type Demand Rate under Two-Level Trade Credit Financing</title><link>http://www.hindawi.com/journals/ads/2011/761961/</link><description>An inventory system for deteriorating products, with ramp-type demand rate, under two-level trade credit policy is considered. Shortages are allowed and partially backlogged. Sufficient conditions of the existence and uniqueness of the optimal replenishment policy are provided, and an algorithm, for its determination, is proposed. Numerical examples highlight the obtained results, and sensitivity analysis of the optimal solution with respect to major parameters of the system is carried out.</description><Author>G. Darzanou and K. Skouri</Author><copyright>Copyright &amp;#xa9; 2011 G. Darzanou and K. Skouri. All rights reserved.</copyright></item><item><title>Characteristics of Effective Collaboration in Response to Diversified Transportation Planning Authority</title><link>http://www.hindawi.com/journals/ads/2011/725080/</link><description>Advantages of decentralized transportation planning responsibilities may include reduced project delivery cost, the integration of comprehensive long-range planning with regional land use, and  greater accountability regarding local concerns. Yet disadvantages may include a tendency for operations to dominate longer-term planning, inconsistent operational standards, and difficulty in achieving network benefits, since some transportation links may provide benefits to the entire system but not to the immediate area where the link is located. To surmount these challenges in a decentralized environment, agencies need to cooperate effectively. Characteristics of effective collaboration include (1) experienced personnel, (2) credibility of the deciding entity, (3) transparency of decision-making processes, (4) an authority with sufficient power and/or funding to encourage implementation of key initiatives, (5) clear incentives for cooperation, and, of special importance given limited resources, and (6) an ability to evaluate tradeoffs. An access management case study demonstrates how agencies may use these characteristics to advance challenging projects in a decentralized environment.</description><Author>John S. Miller</Author><copyright>Copyright &amp;#xa9; 2011 John S. Miller. All rights reserved.</copyright></item><item><title>Possibility Fuzzy Soft Set</title><link>http://www.hindawi.com/journals/ads/2011/479756/</link><description>We introduce the concept of possibility fuzzy soft set and its operation and study some of its properties. We give applications of this theory in solving a decision-making problem. We also introduce a similarity measure of two possibility fuzzy soft sets and discuss their application in a medical diagnosis problem.</description><Author>Shawkat Alkhazaleh, Abdul Razak Salleh, and Nasruddin Hassan</Author><copyright>Copyright &amp;#xa9; 2011 Shawkat Alkhazaleh et al. All rights reserved.</copyright></item><item><title>Erratum to "Fundamental Solutions to Kolmogorov Equations via Reduction to Canonical Form"</title><link>http://www.hindawi.com/journals/ads/2011/786582/</link><description /><Author>Joanna Goard</Author><copyright>Copyright &amp;#xa9; 2011 Joanna Goard. All rights reserved.</copyright></item><item><title>Testing the Correlation and Heterogeneity for Hierarchical Nonlinear Mixed-Effects Models</title><link>http://www.hindawi.com/journals/ads/2011/976823/</link><description>Nonlinear mixed-effects models are very useful in analyzing repeated-measures data and have received a lot of attention in the field. It is of common interest to test for the correlation within clusters and the heterogeneity across different clusters. In this paper, we address these problems by proposing a class of score tests for the null hypothesis that all components of within- and between-subject variance are zeros in a kind of nonlinear mixed-effects model, and the asymptotic properties of the proposed tests are studied. The finite sample performance of this test is examined through simulation studies, and an illustrative example is presented.</description><Author>Qingming Zou and Zhongyi Zhu</Author><copyright>Copyright &amp;#xa9; 2011 Qingming Zou and Zhongyi Zhu. All rights reserved.</copyright></item><item><title>Structural and Evolutionary Patterns of Companies in a Financial Distress Situation</title><link>http://www.hindawi.com/journals/ads/2011/928716/</link><description>The present paper studies the evolution of a set of USA firms during the years 1993&amp;#8211;2002. The firms that faced a difficult economic and financial situation in 1993 were considered to be in a distress situation. The aim of this study is to explore if the evolution of this situation depends on the initial features of the distress or if it concerns certain firms&amp;#39; characteristics. If the evolution is independent from the above, the management decisions become crucial in critical times. For the analysis we used a Multidimensional Scaling methodology where the firms are represented in a consensus map according to symptom variables, reaction variables, and recovering variables.</description><Author>M. I. Gonz&amp;#225;lez-Bravo and Arjola Mecaj</Author><copyright>Copyright &amp;#xa9; 2011 M. I. Gonz&amp;#xe1;lez-Bravo and Arjola Mecaj. All rights reserved.</copyright></item><item><title>A Costing Analysis for Decision Making Grid Model in Failure-Based Maintenance</title><link>http://www.hindawi.com/journals/ads/2011/205039/</link><description>Background. In current economic downturn, industries have to set good control on production cost, to maintain their profit margin. Maintenance department as an imperative unit in industries should attain all maintenance data, process information instantaneously, and subsequently transform it into a useful decision. Then act on the alternative to reduce production cost. Decision Making Grid model is used to identify strategies for maintenance decision. However, the model has limitation as it consider two factors only, that is, downtime and frequency of failures. We consider third factor, cost, in this study for failure-based maintenance. The objective of this paper is to introduce the formulae to estimate maintenance cost. Methods. Fish bone analysis conducted with Ishikawa model and Decision Making Grid methods are used in this study to reveal some underlying risk factors that delay failure-based maintenance. The goal of the study is to estimate the risk factor that is, repair cost to fit in the Decision Making Grid model. Decision Making grid model consider two variables, frequency of failure and downtime in the analysis. This paper introduces third variable, repair cost for Decision Making Grid model. This approaches give better result to categorize the machines, reduce cost, and boost the earning for the manufacturing plant. Results. We collected data from one of the food processing factories in Malaysia. From our empirical result, Machine C, Machine D, Machine F, and Machine I must be in the Decision Making Grid model even though their frequency of failures and downtime are less than Machine B and Machine N, based on the costing analysis. The case study and experimental results show that the cost analysis in Decision Making Grid model gives more promising strategies in failure-based maintenance. Conclusions. The improvement of Decision Making Grid model for decision analysis with costing analysis is our contribution in this paper for computerized maintenance management system.</description><Author>Burhanuddin M. A., Sami M. Halawani, and A. R. Ahmad</Author><copyright>Copyright &amp;#xa9; 2011 Burhanuddin M. A. et al. All rights reserved.</copyright></item><item><title>Modelling Inverse Gaussian Data with Censored Response Values: EM versus MCMC</title><link>http://www.hindawi.com/journals/ads/2011/571768/</link><description>Low detection limits are common in measure environmental variables. Building models using data containing low or high detection limits without adjusting for the censoring produces biased models. This paper offers approaches to estimate an inverse Gaussian distribution when some of the data used are censored because of low or high detection limits. Adjustments for the censoring can be made if there is between 2&amp;#37; and 20&amp;#37; censoring using either the EM algorithm or MCMC. This paper compares these approaches.</description><Author>R. S. Sparks, G. Sutton, P. Toscas, and J. T. Ormerod</Author><copyright>Copyright &amp;#xa9; 2011 R. S. Sparks et al. All rights reserved.</copyright></item><item><title>Classification Performance for Making Decisions about Products Missing from the Shelf</title><link>http://www.hindawi.com/journals/ads/2011/515978/</link><description>The out-of-shelf problem is among the most important retail problems. This work employs two different classification algorithms, C4.5 and na&amp;#xEF;ve Bayes, in order to build a mechanism that makes decisions about whether a product is available on a retail store shelf or not. Following the same classification methods and feature spaces, we examined the classification performance of the algorithms in four different retail chains and utilized ROC curves and the area under curve measure to compare the predictive accuracy. Based on the results obtained for the different retail chains, we identified certain approaches for the development and introduction of such a mechanism in different retail contexts.</description><Author>Dimitris Papakiriakopoulos and Georgios Doukidis</Author><copyright>Copyright &amp;#xa9; 2011 Dimitris Papakiriakopoulos and Georgios Doukidis. All rights reserved.</copyright></item><item><title>Explicit Solution of the Average-Cost Optimality Equation for a Pest-Control Problem</title><link>http://www.hindawi.com/journals/ads/2011/617812/</link><description>We introduce a Markov decision process in continuous time for the optimal control of a simple symmetrical immigration-emigration process by the introduction of total catastrophes. It is proved that a particular control-limit policy is average cost optimal within the class of all stationary policies by verifying that the relative values of this policy are the solution of the corresponding optimality equation.</description><Author>Epaminondas G. Kyriakidis</Author><copyright>Copyright &amp;#xa9; 2011 Epaminondas G. Kyriakidis. All rights reserved.</copyright></item><item><title>The Refined Positive Definite and Unimodal Regions for the Gram-Charlier and Edgeworth Series Expansion</title><link>http://www.hindawi.com/journals/ads/2011/463097/</link><description>Gram-Charlier and Edgeworth Series Expansions are used in the field of statistics to approximate probability density functions. The expansions have proven useful but have experienced limitations due to the values of the moments that admit a proper probability density function. An alternative approach in developing the boundary conditions for the boundary of the positive region for both series expansions is investigated using Sturm&amp;#39;s theorem. The result provides a more accurate representation of the positive region developed by others.</description><Author>Fred Spiring</Author><copyright>Copyright &amp;#xa9; 2011 Fred Spiring. All rights reserved.</copyright></item><item><title>A Constructive Analysis of Convex-Valued Demand Correspondence for Weakly Uniformly Rotund and Monotonic Preference</title><link>http://www.hindawi.com/journals/ads/2011/960819/</link><description>Bridges (1992) has constructively shown the existence of continuous demand function for consumers with continuous, uniformly rotund preference relations. We extend this result to the case of multivalued demand correspondence. We consider a weakly uniformly rotund and monotonic preference relation and will show the existence of convex-valued demand correspondence with closed graph for consumers with continuous, weakly uniformly rotund and monotonic preference relations. We follow the Bishop style constructive mathematics according to Bishop and Bridges (1985), Bridges and Richman (1987), and Bridges and V&amp;#238;&amp;#355;&amp;#259; (2006).</description><Author>Yasuhito Tanaka and Atsuhiro Satoh</Author><copyright>Copyright &amp;#xa9; 2011 Yasuhito Tanaka and Atsuhiro Satoh. All rights reserved.</copyright></item><item><title>On Generalisation of Polynomials in Complex Plane</title><link>http://www.hindawi.com/journals/ads/2010/230184/</link><description>The generalised Bell and Laguerre polynomials of fractional-order in complex z-plane are defined. Some properties are studied. Moreover, we proved that these polynomials are univalent solutions for second order differential equations. Also, the Laguerre-type of some special functions are introduced.</description><Author>Maslina Darus and Rabha W. Ibrahim</Author><copyright>Copyright &amp;#x00A9; 2010 Maslina Darus and Rabha W. Ibrahim. All rights reserved.</copyright></item><item><title>Segregation and Integration: A Study of the Behaviors of Investors with Extended Value Functions</title><link>http://www.hindawi.com/journals/ads/2010/302895/</link><description>This paper extends prospect theory, mental accounting, and the hedonic editing model by developing an analytical theory to explain the behavior of investors with extended value functions in segregating or integrating multiple outcomes when evaluating mental accounting.</description><Author>Martin Egozcue and Wing-Keung Wong</Author><copyright>Copyright &amp;#x00A9; 2010 Martin Egozcue and Wing-Keung Wong. All rights reserved.</copyright></item><item><title>Foundations of Boundedly Rational Choice and Satisficing Decisions</title><link>http://www.hindawi.com/journals/ads/2010/798030/</link><description>Formally, the orthodox rational agent&amp;#39;s &amp;#8220;Olympian&amp;#8221; choices, as Simon has called orthodox rational choice, are made in a static framework. However, a formalization of consistent choice, underpinned by computability, suggests by, satisficing in a boundedly rational framework is not only more general than the model of &amp;#8220;Olympian&amp;#8221; rationality, it is also consistently dynamic. This kind of naturally process-oriented approach to the formalization of consistent choice can be interpreted and encapsulated within the framework of decision problems&amp;#8212;in the formal sense of metamathematics and mathematical logic&amp;#8212;which, in turn, is the natural way of formalizing the notion of Human Problem Solving in the Newell-Simon sense.</description><Author>K. Vela Velupillai</Author><copyright>Copyright &amp;#x00A9; 2010 K. Vela Velupillai. All rights reserved.</copyright></item><item><title>Instability of Financial Markets and Preference Heterogeneity</title><link>http://www.hindawi.com/journals/ads/2010/791025/</link><description>This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected asset returns, volatility, and autocorrelation. The stronger this variability is, the more heterogeneous preferences are, implying more instability of financial markets. Stock market crashes may be observed if relative risk aversion differs strongly across investors.</description><Author>G&amp;#252;nter Franke and Erik L&amp;#252;ders</Author><copyright>Copyright &amp;#x00A9; 2010 G&amp;#252;nter Franke and Erik L&amp;#252;ders. All rights reserved.</copyright></item><item><title>A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula</title><link>http://www.hindawi.com/journals/ads/2010/546547/</link><description>One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to decouple statistical inference into two parts: inference of the marginals and inference of the dependence. This is particularly important in the area of credit risk where information on dependence is scant. Whereas the techniques to estimate the parameters of the copula function seem to be fairly well established, the choice of the copula function is still an open problem. We find out by simulation that the t-copula naturally arises from a structural model of credit risk, proposed by Cossin and Schellhorn (2007). If revenues are linked by a Gaussian copula, we demonstrate that the t-copula provides a better fit to simulations than does a Gaussian copula. This is done under various specfications of the marginals and various configurations of the network. Beyond its quantitative importance, this result is qualitatively intriguing. Student&amp;#39;s t-copulae induce fatter (joint) tails than Gaussian copulae ceteris paribus. On the other hand observed credit spreads have generally fatter joint tails than the ones implied by the Gaussian distribution. We thus provide a new statistical explanation why (i) credit spreads have fat joint tails, and (ii) financial crises are amplified by network effects.</description><Author>Didier Cossin, Henry Schellhorn, Nan Song, and Satjaporn Tungsong</Author><copyright>Copyright &amp;#x00A9; 2010 Didier Cossin et al. All rights reserved.</copyright></item></channel></rss>
