Search results for "Default"
showing 10 items of 105 documents
Stochastic Collaborative Beamforming in Wireless Sensor Networks
2018
Wireless Sensor Networks (WSNs) are composed of spatially distributed autonomous sensor devices, named motes. These devices are constituted by a microcontroller, sensors, and they have the ability to communicate in the ISM frequency band using the IEEE 802.15.4 standard. They have their own power supply, AA or AAA batteries, processing unit, sensors and wireless communications. Usually, the motes exchange packets using a multihop routing, and the maximum communication distance emitter-receiver is around 100m. At least one mote acts as a gateway, and the data gathered by the sensors of each mote have to be sent to this mote that is named sink or Base Station (BS). In a WSN the BS is within t…
Testing different ICA algorithms and connectivity analyses on MS patients.
2015
Multiple sclerosis (MS) is a progressive neurological disorder that affects the central nervous system. Functional magnetic resonance imaging (fMRI) has been employed to track the course and disease progression in patients with MS. The two main aims of this study were to apply in a data-driven approach the independent component analysis (ICA) in the spatial domain to depict the active sources and to look at the effective connectivity between the identified spatial sources. Several ICA algorithms have been proposed for fMRI data analysis. In this study, we aimed to test two well characterized algorithms, namely, the fast ICA and the complex infomax algorithms, followed by two effective conne…
Default Semantics and the architecture of the mind
2011
In this paper, I explore the relationship between Relevance Theory and Jaszczolt's Default Semantics, framing this debate within the picture of massive modularity tempered by the idea of brain plasticity (Perkins, 2007). While Relevance Theory focuses on processing (see cognitive efforts and contextual effects interplay), Default Semantics focuses on types of sources from which addressees draw information and types of processes that interact in providing it. In particular, I argue that Relevance Theory interacts with default semantics by standardizing inferences which are ultimately compressed (to use a term by Bach, 1998) into a default semantics. I briefly discuss potential obstacles to t…
Breakup and Default Risks in the Eurozone
2019
In this paper, we exploit CDS quotes for contracts denominated in different currencies and with different default clauses to estimate the risk of a breakup of the Eurozone and the propagation of breakup and default risks after the COVID-19 shock. Our main result is that the risk of a Eurozone breakup is significant although, quantitatively, it is not larger than in the period before the COVID-19 shock. In addition, we find that an increase in the redenomination risk in one country is associated with an increase in default premia and bond spreads in other Eurozone countries. Finally, we find that a sizeable fraction of the changes in the cost of insuring against redenomination and default re…
Discussion of “Optimal Debt Service: Straight vs. Convertible Debt”
2006
Corporate bond default plays a signifi cant role in today's business environment. According to Moody's, a leading provider of credit ratings, corporate bond issuers that it rated as of January 1, 2004, defaulted on a total of US $16 billion in 2004. Credit default not only affects the equity investors of a firm, but also the debt holders, who may loose part of their credit. Default can also have dramatic consequences for a firm's future operations. Therefore, the decision of if and when to default is important for both the firm and its stakeholders. There is a substantial body of literature on the determination of optimal default points as a strategic decision by the owners of a firm. Accor…
Breakup and default risks in the great lockdown
2023
Abstract In this paper, we exploit CDS quotes for contracts denominated in different currencies and with different default clauses to estimate the risk of a breakup of the Eurozone and the propagation of breakup and default risks after the COVID-19 shock. Our main result is that the risk of a Eurozone breakup is significant although, quantitatively, it is not larger than in the period before the COVID-19 shock. In addition, we find that an increase in the redenomination risk in one country is associated with an increase in default premia and bond spreads in other Eurozone countries. Finally, we find that a sizeable fraction of the changes in the cost of insuring against redenomination and d…
Is There a Credit Risk Anomaly in FX Markets?
2015
This paper explores whether a link between sovereign credit ratings and currency returns exists. Perhaps contrary to expectations, it finds that currencies of countries with higher credit risk tend to generate lower returns than those with a lower credit risk. The credit risk spread cannot be explained by standard risk factors.
Robust Recovery Risk Hedging: Only the First Moment Matters
2009
Credit derivatives are subject to at least two sources of risk: the default time and the recovery payment. This paper examines the impact of modeling the recovery payment on hedging strategies in a reduced-form model as well as a structural model. We show that all hedging approaches based on a quadratic criterion do only depend on the expected recovery payment at default and not the whole shape of the recovery payment distribution if the underlying hedging instrument (say, a defaultable zero coupon bond) jumps to or reaches a pre-specified value when the credit event occurs. This justifies assuming a \emph{certain} recovery rate conditional on default time and interest rate level. Hence, th…
Portfolio diversification in the sovereign credit swap markets
2018
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…
Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities
2020
This study complements the current literature, providing a thorough investigation of the lead&ndash