Search results for "Fault"

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

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…

Growth and defect studies of CdTe particles

2013

The paper reports the epitaxial growth of cadmium telluride (CdTe) particles by thermal deposition on cleaved planes of (001)NaCl and (001)KBr. Using high resolution transmission electron microscopy and electron diffraction it was shown that CdTe particles could have different orientation and phase (cubic or hexagonal) depending on the substrate temperature. Their most common defects are twins and stacking faults.

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…

A new fast and fault-tolerant identification algorithm for spectral databases

1995

A new method for an automatic, computer and database driven identification of UV/VIS spectra is described. It is shown that an identification algorithm must consider the spectral differences as well as their common features. The described identification method allows identifications, even if the spectra are distorted or shifted.

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…