Search results for "Default"

Pricing sovereign contingent convertible debt

2018

We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discussed using the idiosyncratic CDS spread for the sovereign debt together with a broad market index. …

Essays on financial stability: an analysis based on NUTS2 and NUTS3 data for Italy

Predicting Cryptocurrency Defaults

2019

We examine all available 146 Proof-of-Work based cryptocurrencies that started trading prior to the end of 2014 and track their performance until December 2018. We find that about 60% of those cryptocurrencies were eventually in default. The substantial sums of money involved mean those bankruptcies will have an enormous societal impact. Employing cryptocurrency-specific data, we estimate a model based on linear discriminant analysis to predict such defaults. Our model is capable of explaining 87% of cryptocurrency bankruptcies after only one month of trading and could serve as a screening tool for investors keen to boost overall portfolio performance and avoid investing in unreliable crypt…

On Conditions Instantiating Tip Effects of Epistemic and Evidential Meanings in Bulgarian

2012

Статья посвящена условиям, при которых происходит попеременная актуализация то эвиденциального, то эпистемического компонента в семантическом потенциале эвиденциальных показателей болгарского языка. Сосредоточиваясь на сентенциальных наречиях с инферентивными функциями, мы опираемся на следующие предпосылки: (i) для каждой единицы следует отличать её устойчивое семантическое значение от прагматического потенциала, выявлению которого способствуют (или препятствуют) те или иные коммуникативные условия; (ii) эвиденциальные и эпистемические компоненты значения довольно легко вытесняют друг друга из позиции доминанты, причём процесс подавления то одного, то другого компонента обусловлен действие…

Toward fast and accurate emergency cases detection in BSNs

2020

International audience; In body sensor networks (BSNs), medical sensors capture physiological data from the human body and send them to the coordinator who act as a gateway to health care. The main aim of BSNs is to save peoples' lives. Therefore, fast and correct detection of emergencies while maintaining low-energy consumption of sensors is essential requirement of BSNs. In this study, the authors propose a new adaptive data sampling approach, where the sampling ratio is adapted based on the sensed data variation. The idea is to use the modified version of the cumulative sum (CUSUM) algorithm (modified CUSUM) that they previously proposed for wireless sensor networks to monitor the data v…

Probabilistic Logic under Coherence‚ Model−Theoretic Probabilistic Logic‚ and Default Reasoning in System P

2016

We study probabilistic logic under the viewpoint of the coherence principle of de Finetti. In detail, we explore how probabilistic reasoning under coherence is related to model-theoretic probabilistic reasoning and to default reasoning in System P. In particular, we show that the notions of g-coherence and of g-coherent entailment can be expressed by combining notions in model-theoretic probabilistic logic with concepts from default reasoning. Moreover, we show that probabilistic reasoning under coherence is a generalization of default reasoning in System P. That is, we provide a new probabilistic semantics for System P, which neither uses infinitesimal probabilities nor atomic bound (or bi…

Probabilistic Logic under Coherence, Model-Theoretic Probabilistic Logic, and Default Reasoning

2001

We study probabilistic logic under the viewpoint of the coherence principle of de Finetti. In detail, we explore the relationship between coherence-based and model-theoretic probabilistic logic. Interestingly, we show that the notions of g-coherence and of g-coherent entailment can be expressed by combining notions in model-theoretic probabilistic logic with concepts from default reasoning. Crucially, we even show that probabilistic reasoning under coherence is a probabilistic generalization of default reasoning in system P. That is, we provide a new probabilistic semantics for system P, which is neither based on infinitesimal probabilities nor on atomic-bound (or also big-stepped) probabil…

Rethinking clinical decision-making to improve clinical reasoning

2022

Improving clinical reasoning techniques is the right way to facilitate decision-making from prognostic, diagnostic, and therapeutic points of view. However, the process to do that is to fill knowledge gaps by studying and growing experience and knowing some cognitive aspects to raise the awareness of thinking mechanisms to avoid cognitive errors through correct educational training. This article examines clinical approaches and educational gaps in training medical students and young doctors. The authors explore the core elements of clinical reasoning, including metacognition, reasoning errors and cognitive biases, reasoning strategies, and ways to improve decision-making. The article addres…

Quasi Conjunction and Inclusion Relation in Probabilistic Default Reasoning

2011

We study the quasi conjunction and the Goodman & Nguyen inclusion relation for conditional events, in the setting of probabilistic default reasoning under coherence. We deepen two recent results given in (Gilio and Sanfilippo, 2010): the first result concerns p-entailment from a family F of conditional events to the quasi conjunction C(S) associated with each nonempty subset S of F; the second result, among other aspects, analyzes the equivalence between p-entailment from F and p-entailment from C(S), where S is some nonempty subset of F. We also characterize p-entailment by some alternative theorems. Finally, we deepen the connections between p-entailment and the Goodman & Nguyen inclusion…

Probability Propagation in Selected Aristotelian Syllogisms

2019

This paper continues our work on a coherence-based probability semantics for Aristotelian syllogisms (Gilio, Pfeifer, and Sanfilippo, 2016; Pfeifer and Sanfilippo, 2018) by studying Figure III under coherence. We interpret the syllogistic sentence types by suitable conditional probability assessments. Since the probabilistic inference of $P|S$ from the premise set ${P|M, S|M}$ is not informative, we add $p(M|(S ee M))>0$ as a probabilistic constraint (i.e., an ``existential import assumption'') to obtain probabilistic informativeness. We show how to propagate the assigned premise probabilities to the conclusion. Thereby, we give a probabilistic meaning to all syllogisms of Figure~III. We…