A New Default Probability Calculation Formula and Its Application under Uncertain Environments
Discrete Dynamics in Nature and Society, 2018 In the real world, corporate defaults will be affected by both external market shocks and counterparty risks. With this in mind, we propose a new default intensity model with counterparty risks based on both external shocks and the internal contagion ...
Liang Wu, Xian-bin Mei, Jian-guo Sun
doaj +1 more source
Erving Goffman at 100: A Chameleon Seen as a Rorschach Test within a Kaleidoscope
Symbolic Interaction, EarlyView.The 100th anniversary of Erving Goffman's birth was in 2022. Drawing on his work, the Goffman archives, the secondary literature, and personal experiences with him and those in his university of Chicago cohort, I reflect on some implications of his work and life, and the inseparable issues of understanding society.
Gary T. Marx
wiley +1 more source
On the term structure of default premia in the Swap and Libor markets [PDF]
Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market.
COLLIN-DUFRESNE, Pierre, SOLNIK, Bruno
core
Pricing default swaps: empirical evidence [PDF]
, 2003 In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums.
Houweling, P. (Patrick) +1 more
core
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
, 2009 In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) [19] [20] and Brigo and Morini (2006)[15].
Brigo, Damiano +2 more
core +2 more sources
Language as “Resource”? Why Science Education's Raciolinguistic Histories Matter Today
Journal of Research in Science Teaching, EarlyView.ABSTRACT Our study explores how US science education has evaluated multilingual students' languages as deficits and/or assets by comparing them against normative ideals. As a raciolinguistic genealogy, the study situates current premises of language in science education (e.g., as problem versus resource) within epistemological practices shaping the ...
Kathryn L. Kirchgasler, Diego Román
wiley +1 more source
SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
Buletin Ekonomi Moneter dan Perbankan, 2011 This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by
Moch Doddy Ariefianto +1 more
doaj +1 more source
Data augmentation of credit default swap transactions based on a sequence GAN
Information Processing & Management, 2022 Xi Fan +5 more
semanticscholar +1 more source
Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
, 2016 This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but
Wenjing Gu, Yinglin Liu, Ruili Hao
semanticscholar +1 more source