Search results for "bond"
showing 10 items of 3527 documents
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…
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. …
Do microfinance rating assessments make sense? An analysis of the drivers of the MFI ratings
2011
Rating assessments of microfinance institutions are claimed to measure a combination of creditworthiness, trustworthiness and excellence in microfinance. Using a global dataset covering reports from 324 microfinance institutions, this study suggests that these ratings are mainly driven by size, profitability, and risk. The ratings do not seem to capture the double bottom-line objective of microfinance institutions, as our analyses are unable to prove any statistical relationship between microfinance ratings and the social objectives of these institutions. Moreover, the association between operational efficiency and microfinance ratings appears weak. Although there are some minor differences…
Moment-Axial Domain of Corroded R.C. Columns
2018
In the present paper, a simplified model to determine the moment-axial force domain of the cross-section of reinforced concrete columns subjected to corrosion process is presented. The model considers members with square and rectangular cross-sections and it accounts for cover spalling, buckling of longitudinal reinforcing bars, loss of bond of bar in tension, reduction of confinement pressures (due to the reduction of the area of stirrups and cracking of concrete induced by rust formation). The analytical expressions for prediction of the area reduction of steel, bond strength and critical load of longitudinal bars utilized were verified against experimental data available literature.
Direct seeding mulch-based cropping increases both the activity and the abundance of denitrifier communities in a tropical soil
2009
International audience; This study evaluated the impact of direct seeding mulch-based cropping (DMC), as an alternative to conventional tilling (CT), on a functional community involved in N cycling and emission of greenhouse gas nitrous oxide (N2O). The study was carried out for annual soybean/rice crop rotation in the Highlands of Madagascar. The differences between the two soil management strategies (direct seeding with mulched crop residues versus tillage without incorporation of crop residues) were studied along a fertilization gradient (no fertilizer, organic fertilizer, organic plus mineral fertilizers). The activity and size of the denitrifier community were determined by denitrifica…
Frequency-dependent response and dynamic disorder
1991
Abstract This paper discusses selected aspects of the application of dynamic percolation models to ionic transport in mixed-ion superionic conductors. The discussion is based on an AB lattice gas model with hard-core repulsions and a ratio of τ, 0 ⩽ τ ⩽ ∞, between the transition rates of particles A and B. The frequency-dependent conductivity for a tracer particle is calculated within an effective-medium theory. The motion of the background B-particles is regarded as providing a fluctuating disordered environment for the tracer particles A. A crossover frequency separating high-frequency and low-frequency response is found which scales with τ as ω c ∼ τ 1 2 . The results for the dc limit ar…
Comparative ab initio calculations of SrTiO3 and CaTiO3 polar (111) surfaces
2012
We present the results of calculations of SrTiO3 and CaTiO3 polar (111) surface relaxations, rumplings, energetics, optical band gaps, and charge distributions using the ab initio code CRYSTAL and a hybrid description of exchange and correlation. We have calculated the surface relaxation of the two possible terminations (Ti and SrO3 or CaO3) of the SrTiO3 and CaTiO3 (111) surfaces. According to our calculations, atoms of the first surface layer relax inwards for Ti-, SrO3-, and CaO3-terminated (111) surfaces of both materials. The only exception is outward relaxation of the SrO3-terminated SrTiO3 (111) surface upper layer Sr atom. For both Ti-terminated SrTiO3 and CaTiO3 (111) surfaces our …
<title>Electronic excitations and defects in fluoroperovskite LiBaF<formula><inf><roman>3</roman></inf></formu…
2003
A survey of the present situation with respect to knowledge of lattice defects, electronic excitations, such as excitons and localized excitons, as well as energy storage and transfer phenomena in LiBaF3 crystals is given. Both phenomenological models and experimental interpretations of optical absorption bands, tentatively associated with F-type (electron) centers created by X-ray or electron irradiation, is reviewed. Interpretation of three radiative processes (super-fast core-valence transitions, slow trapped exciton luminescence and luminescence of structure defects) observed in undoped LiBaF3 crystals is analyzed with respect to practical application. Attention is paid to the behavior …
Ab initio calculations of SrTiO3, BaTiO3, PbTiO3, CaTiO3, SrZrO3, PbZrO3 and BaZrO3 (001), (011) and (111) surfaces as well as F centers, polarons, K…
2014
In this paper, the review of recent results of calculations of surface relaxations, energetics, and bonding properties for ABO 3 perovskite (001), (011) and (111) surfaces using mostly a hybrid description of exchange and correlation is presented. Both AO and BO 2-terminations of the nonpolar (001) surface and A , BO , and O terminations of the polar (011) surface, as well as B and AO 3-terminations of the polar (111) surface were considered. On the AO -terminated (001) surface, all upper-layer A atoms relax inwards, while all second layer atoms relax outwards. For the BO 2-terminated (001) surface, in most cases, the largest relaxations are on the second-layer metal atoms. For almost all …
Aminoguanidinium(2+) aminoguanidinium(1+) hexachloroantimonate(III) at 295 and 92 K
2001
The crystal and molecular structure of the title compound, (CH(7)N(4))(CH(8)N(4))[SbCl(6)], has been determined at 295 and 92 K. It is composed of isolated [SbCl(6)](3-) octahedra and aminoguanidinium mono- and dications. One of four of the crystallographically inequivalent aminoguanidinium cations is disordered at both temperatures. Two crystallographically inequivalent [SbCl(6)](3-) octahedra were found to possess three significantly longer Sb-Cl bonds than three other octahedra. The shorter bonds are in the range 2.456 (2)-2.577 (2) A, whereas the longer ones are between 2.705 (2) and 2.931 (2) A. Each short Sb-Cl bond is located trans to a long bond. It is argued that this deformation i…