Search results for "swa"
showing 10 items of 430 documents
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
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. …
Enjoying sameness and difference – competition and convergence of Latin American telenovelas and Swahili video films in Tanzania
2018
Since the early 2000s Latin American telenovelas have become a very popular and widely received genre in Tanzania. At the same time, a huge video film industry has developed with local films made i...
Days of the Cavemen? : Adorno, Spengler, and the Anatomy of Caesarism
2021
Abstract This article addresses the controversial question of Theodor W. Adorno’s debt to right-wing Zivilisationskritik by a close reading of his essay “Spengler after the Decline” (1950). The article shows that despite Adorno’s harsh polemics against Oswald Spengler’s Decline of the West (1918, 1922), he sought to make Spengler’s analysis of Weimar Germany’s undemocratic tendencies—“Caesarism”—serve progressive ends. However, Adorno’s essay was not just an effort at “coming to terms with the past” in Adenauerian West Germany. Reading the essay’s original 1941 version together with Adorno’s correspondence with Max Horkheimer sheds light on Spengler as an overlooked key (next to Max Weber, …
An open-source computational and data resource to analyze digital maps of immunopeptidomes
2015
We present a novel mass spectrometry-based high-throughput workflow and an open-source computational and data resource to reproducibly identify and quantify HLA-associated peptides. Collectively, the resources support the generation of HLA allele-specific peptide assay libraries consisting of consensus fragment ion spectra, and the analysis of quantitative digital maps of HLA peptidomes generated from a range of biological sources by SWATH mass spectrometry (MS). This study represents the first community-based effort to develop a robust platform for the reproducible and quantitative measurement of the entire repertoire of peptides presented by HLA molecules, an essential step towards the de…
Konteineru tehnoloģijas izmantošana programmatūras izstrādē
2019
Pēdējo gadu laikā, kopš Docker parādīšanās, strauji ir pieaugusi konteineru tehnoloģijas izmantošana programmatūras izstrādē, tādēļ bakalaura darba mērķis ir izpētīt šo tehnoloģiju, apskatīt tās pamatus, uzbūvi, realizācijas veidus un kā to var pielietot programmatūras izstrādē, kā arī praktiski izmēģināt kādu no apskatītajām tehnoloģijas implementācijām.
Optimal power flow for technically feasible energy management systems in islanded microgrids
2016
This paper presents a combined optimal energy and power flow management for islanded microgrids. The highest control level in this case will provide a feasible and optimized operating point around the economic optimum. In order to account for both unbalanced and balanced loads, the optimal power flow is carried out using a Glow-worm Swarm Optimizer. The control level is organized into two different sub-levels, the highest of which accounts for minimum cost operation and the lowest one solving the optimal power flow and devising the set points of inverter interfaced generation units and rotating machines with a minimum power loss. A test has been carried out for 6 bus islanded microgrids to …