Search results for "swap"
showing 10 items of 80 documents
Pricing Sovereign Contingent Convertible Debt
2016
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. One innovation is the modeling of CDS spread regime switching which is prevalent during crises. Regime switching is modeled as a hidden Markov process and is integrated with a stochastic process of spread levels to obtain S-CoCo prices through simulation. The paper goes a step further and uses the pricing model in a Longstaff-Schwartz. American option pricing framework to compute state contingent S-CoCo prices at some risk horizon, thus facilitating risk management. Dual trigger pricing is also discussed using the idiosyncratic CD…
Two Approaches to Examine the Impact of Different Credit Default Indicators on Real Estate Loans
2019
Abstract Financing of real estates was a trigger of the largest financial crisis after the “Great Depression” from the early thirties in the last century. One of the main causes of this 2007 crisis was poor risk management in real estate financing. The aim of this paper is to examine the impact of different classes of indicators on credit default rates of real estate loans. Two research approaches should confirm a model that proves how strong the relationship is between different predictor variables such as interest rates, macroeconomic and individual indicators on the response variable of credit defaults. The first approach focuses on conducting descriptive and inferential experimental res…
Credit Risk Research: Review and Agenda
2018
This article provides a comprehensive review of scholarly research on credit risk measurement during the last 57 years applying bibliometric citation analysis and elaborates an agenda for future research. The bibliography is compiled using the Institute for Scientific Information (ISI) Web of Science (WOS) database and includes all articles with citations over the period 1960–2016. Specifically, the review is carried out using 1695 articles across 72 countries published in 442 journals by 2928 authors. The findings suggest that credit risk research is multifaceted and can be classified into six streams: (1) defaultable security pricing, (2) default intensity modeling, (3) comparative analys…
Dynamic Volatility Weighting in the Presence of Transaction Costs
2015
Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this paper we propose a modified volatility weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
Transforming Experience: The Potential of Augmented Reality and Virtual Reality for Enhancing Personal and Clinical Change
2016
During life, many personal changes occur. These include changing house, school, work, and even friends and partners. However, the daily experience shows clearly that, in some situations, subjects are unable to change even if they want to. The recent advances in psychology and neuroscience are now providing a better view of personal change, the change affecting our assumptive world: (a) the focus of personal change is reducing the distance between self and reality (conflict); (b) this reduction is achieved through (1) an intense focus on the particular experience creating the conflict or (2) an internal or external reorganization of this experience; (c) personal change requires a progression…
Profiling the physiological and molecular response to sulfonamidic drag in Procambarus clarkii
2014
Sulfamethoxazole (SMZ) is one of the most widely employed sulfonamides. Because of the widespread use of SMZ, a considerable amount is indeed expected to be introduced into the environment. The cytotoxicity of SMZ relies mainly on arylhydroxylamine metabolites (S-NOH) of SMZ and it is associated with the production of reactive oxygen species (ROS). There is limited information about the toxic potential of SMZ at the cellular and molecular levels, especially in aquatic and/or non-target organisms. In the present study, the red swamp crayfish (Procambarus clarkii), being tolerant to extreme environmental conditions and resistant to disease, was used as a model organism to profile the molecula…
An efficient swap algorithm for the lattice Boltzmann method
2007
During the last decade, the lattice-Boltzmann method (LBM) as a valuable tool in computational fluid dynamics has been increasingly acknowledged. The widespread application of LBM is partly due to the simplicity of its coding. The most well-known algorithms for the implementation of the standard lattice-Boltzmann equation (LBE) are the two-lattice and two-step algorithms. However, implementations of the two-lattice or the two-step algorithm suffer from high memory consumption or poor computational performance, respectively. Ultimately, the computing resources available decide which of the two disadvantages is more critical. Here we introduce a new algorithm, called the swap algorithm, for t…
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…
Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs
2011
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term timescale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the non diagonal elements of the correlation matrix, corre…
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.