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Due to friction, chip forming, and the induced heat in the cutting area, produced parts by using machining operations have residual stress. Residual stresses caused by machining processes have a major effect on the fatigue life of machined components, which can shorten their service life. In order to increase the performance of machined parts in real-world applications, such as fatigue life, corrosion...
This article presents a theory for credit valuation adjustment (CVA). Based on our theory, we propose a novel cash-flow-based practical framework for calculating the bilateral risky value and bilateral CVA at the counterparty portfolio level. This framework can easily incorporate various credit mitigation techniques, such as netting agreements and margin agreements, and can capture wrong/right way...
This article presents a model for valuing a credit default swap (CDS) contract subject to counterparty credit risk. The valuation is affected by three defaultable factors of the buyer, seller and reference entity. We study the sensitivity of the price of a CDS to changes in the joint credit quality of the parties. The results shows that the effect of default dependence on CDS premia from large to...
This paper presents an analytical model for valuing interest rate swap with counterparty risk. Interest rates are modeled by the Libor Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit...
This article presents a new model for valuing financial contracts subject to credit risk and collateralization. We study credit default swap (CDS) contract subject to counterparty risk. There are three credit risk factors in CDS. They are credit risks from the buyer, seller and reference entity. We show that default dependency has a significant impact on the value of CDS. We also show that a fully...
In this paper, we present a methodology for calculating IRC. First, a Merton-type model is introduced for simulating default and migration. The model is modified to incorporate concentration. The calibration is also elaborated. Second, a simple approach to determine market data, including equity, in response to default and credit migration is presented. Next, a methodology toward constant level of...
This paper presents a new framework for valuing defaultable financial instruments with or without collateral arrangements. The framework characterizes default dependencies exogenously, and models collateral processes directly based on the fundamental principles of collateral agreements. We study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized...
This paper presents a new framework for pricing collateralized derivatives. We find that the credit valuation adjustment of a collateralized portfolio is always smaller than the one of the same portfolio without collateralization. We also find that credit risk is negatively correlated with collateralization as an increase in collateralization causes a decrease in credit risk. The findings suggest...
This article makes a theoretical and empirical contribution to the study of collateralization by addressing several essential questions concerning the posting of collateral. We find evidence that financial institutions are sprinting to comply with the Dodd-Frank Act. In the new practice, contracts are continuously negotiated over-the-counter as usual, but cleared and settled via clearinghouses, as...
This paper presents a new framework that relies on the probability distribution of a default jump rather than the default jump itself. As such, the model can back out the market prices of convertible bonds. The empirical results show that the model prices fluctuate randomly around the market prices, indicating the model is quite accurate. Our empirical evidence does not support a systematic underpricing...
This article presents a lattice approach for LIBOR Market Model by using several fast drift approximation methods. The fast convergence behavior requires fewer discretization nodes that gives better performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement.
This paper presents a new model for valuing convertible bonds. Empirically, we do not find evidence supporting the underpricing hypothesis. Our study shows that convertible bonds have relatively large positive gammas, implying that convertible arbitrage can make a profit on a large upside or downside movement in the underlying stock price. Since convertible bonds are issued mainly by start-up or small...
Credit valuation adjustment (CVA) is a fair value correction that take counterparty credit risk into account. This paper presents a new model for calculating CVA. The model allows us to incorporate correlated and potentially simultaneous defaults into valuation. As such, it can naturally capture wrong way risk. Empirically we find that credit spread is determined by both credit risk and collateralization...
Referat wygłoszony na Ogólnopolskiej Konferencji Naukowej „Miasta i miasteczka mazowieckie” w Muzeum Małego Miasta w Bieżuniu Oddział Muzeum Wsi Mazowieckiej w Sierpcu- 21.04. 2016 r. rozwinięcie referatu stanowi artykuł: W. J. Górczyk, Topografia Sakralna Ciechanowa do roku 1600, "Bieżuńskie Zeszyty Historyczne", nr 30 (2016), s. 55-80. W omawianym okresie w Ciechanowie wzniesiono dziewięć...
We study the problem of removable singular set in the boundary of Neumann problem for elliptic equations with variable exponent. We consider the case when the singular set have a smooth structure, and give sufficient conditions for removability of this singularity for the equation in the variable exponent Sobolev space. https://hal.archives-ouvertes.fr/hal-03599196
Background: Autism spectrum disorder (ASD) is a complex neurodevelopmental disorder with wide spectrum of symptoms and few effective therapies. Evidence is suggestive of an association between immune system dysfunction and autism spectrum disorders (ASD) among children with ASD. Immunoglobulins (Ig) are found to be increased in the circulation of individuals with autism. The prospective study was...
This study examines the relationship between religiosity, saving intention, and saving behavior among Muslim university students in Palembang, Indonesia. A quantitative research approach is employed for this study. We gather data from a total of 103 respondents aged between 18 and 22 years and apply the partial least square path modelling (PLS-PM) technique. We find religiosity to be significantly...
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