Preparation of N-doped carbon dots based on starch and their application in white LED

N-doped carbon dots (CDs) were synthesized simply and economically by a one-step hydrothermal method using starch as a carbon source and ethylenediamine (EDA) as a nitrogen dopant. The prepared CDs possess the properties of excitation-wavelength dependence and emit blue fluorescence under the excitation wavelength of 365 nm. CDs/starch composite was prepared to achieve the solid-state emission of CDs and their application in light emitting diode (LED) as fluorescent materials. White LED, with CIE coordinates of (0.33, 0.37) and correlated color temperature of 5462 K, was obtained by combining CDs/starch and ultraviolet LED light source, indicating that starch-based CDs have the promising potential in the field of optoelectronic devicesPeer reviewe

CDS pricing under Basel III: capital relief and default protection

Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs: premium; default protection; and capital relief. If markets are complete, with no CDS bond basis, then CDSs can be replicated by taking short positions in risky floating bonds issued by the reference entity and a riskless bank account. If these conditions do not hold, then it is theoretically possible that the capital relief that CDSs provide may be priced in. Thus our model provides bounds on the CDS-implied hazard rates when markets are incomplete. Under simple assumptions we show that 20% to over 50% of observed CDS spread could be due to priced in capital relief. Given that this is different for IMM and non-IMM banks will we see differential pricing?Comment: 16 pages, 10 figues, 3 table

Moments of Gamma type and the Brownian supremum process area

We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density functions. It is shown that the integral of the supremum process of Brownian motion has moments of this type, as well as a related random variable occuring in the study of hashing with linear displacement, and the general results are applied to these variables.Comment: 51 page

“Does the tail wag the dog? The effect of credit default swaps on credit risk”

Credit default swaps (CDS) are derivative contracts that are widely used as tools for credit risk management. However, in recent years, concerns have been raised about whether CDS trading itself affects the credit risk of the reference entities. We use a unique, comprehensive sample covering CDS trading of 901 North American corporate issuers, between June 1997 and April 2009, to address this question. We find that the probability of both a credit rating downgrade and bankruptcy increase, with large economic magnitudes, after the inception of CDS trading. This finding is robust to controlling for the endogeneity of CDS trading. Beyond the CDS introduction effect, we show that firms with relatively larger amounts of CDS contracts outstanding, and those with relatively more “no restructuring” contracts than other types of CDS contracts covering restructuring, are more adversely affected by CDS trading. Moreover, the number of creditors increases after CDS trading begins, exacerbating creditor coordination failure for the resolution of financial distress

First Principles Molecular Dynamics Study of CdS Nanostructure Temperature-Dependent Phase Stability

First principles molecular dynamics simulations are used to determine the relative stability of wurtzite, graphitic, and rocksalt phases of the CdS nanostructure at various temperatures. Our results indicate that in the temperature range from 300 to 450 K, the phase stability sequence for the CdS nanostructure is rocksalt, wurtzite, and graphitic phases. The same situation holds for bulk CdS crystals under high pressure and 0 K. Our work also demonstrates that although the temperature can affect the total energy of the CdS nanostructure, it cannot change its phase stability sequence in the temperature range studied in this letter

A value at risk analysis of credit default swaps

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period from March 2003 to October 2006. We find that the VaR for a stock is usually far larger than the VaR for a position in the same firm's CDS. However, the distance between CDS VaR and equity VaR is markedly smaller for firms with high credit risk. The distance also declines for longer holding periods. We also observe a positive correlation between CDS and equity VaR. -- Kreditderivate wie Credit Default Swaps (CDS) haben in den letzten Jahren den Handel mit Kreditrisiko signifikant vereinfacht. Ein standardisiertes Kontrakt-Design, niedrige Transaktionskosten und eine große and heterogene Gruppe von Marktteilnehmern haben dazu beigetragen, dass CDS die Benchmark - Funktion für die Preisbestimmung im Markt für Unternehmens-Verschuldung erreichen. Heute ist der CDS das am meisten gehandelte Kreditderivat. Wir analysieren das Risiko von CDS, die im Handelsbuch gehalten werden. Wir vergleichen den Value at Risk (VaR) der CDS Position mit dem VaR für eine Position in der Aktie der gleichen Firma. Unsere Stichprobe umfasst CDS ? Aktien Paare für 86 aktiv gehandelte Firmen im Zeitraum von März 2003 bis Oktober 2006. Wir finden, dass der VaR der Aktie meistens den VaR der CDS - Position deutlich übersteigt. Die Distanz zwischen dem CDS - VaR und dem Aktien - VaR ist jedoch bei Firmen mit hohem Kreditrisiko deutlich geringer. Die Distanz sinkt auch bei längeren Haltedauern. Wir beobachten weiter eine positive Korrelation zwischen dem CDS - VaR und dem Aktien - VaR.Credit default swap,Value at Risk,Capital structure arbitrage

An analysis of euro area sovereign CDS and their relation with government bonds

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the ‘basis’ between CDS spreads and bond spreads and which factors drive pricing differences between the two markets. Our first main finding is that the recent repricing of sovereign credit risk in the CDS market seems mostly due to common factors. Second, since September 2008, CDS spreads have on average exceeded bond spreads, which may have been due to ‘flight to liquidity’ effects and limits to arbitrage. Third, since September 2008, market integration for bonds and CDS varies across countries: In half of the sample countries, price discovery takes place in the CDS market and in the other half, price discovery is observed in the bond market. JEL Classification: G00, G01CDS, Credit Spread, financial crisis, Government bond, limits to arbitrage