A subordinated CIR intensity model with application to Wrong-Way risk CVA

Credit Valuation Adjustment (CVA) pricing models need to be both flexible and tractable. The survival probability has to be known in closed form (for calibration purposes), the model should be able to fit any valid Credit Default Swap (CDS) curve, should lead to large volatilities (in line with CDS options) and finally should be able to feature significant Wrong-Way Risk (WWR) impact. The Cox-Ingersoll-Ross model (CIR) combined with independent positive jumps and deterministic shift (JCIR++) is a very good candidate : the variance (and thus covariance with exposure, i.e. WWR) can be increased with the jumps, whereas the calibration constraint is achieved via the shift. In practice however, there is a strong limit on the model parameters that can be chosen, and thus on the resulting WWR impact. This is because only non-negative shifts are allowed for consistency reasons, whereas the upwards jumps of the JCIR++ need to be compensated by a downward shift. To limit this problem, we consider the two-side jump model recently introduced by Mendoza-Arriaga \& Linetsky, built by time-changing CIR intensities. In a multivariate setup like CVA, time-changing the intensity partly kills the potential correlation with the exposure process and destroys WWR impact. Moreover, it can introduce a forward looking effect that can lead to arbitrage opportunities. In this paper, we use the time-changed CIR process in a way that the above issues are avoided. We show that the resulting process allows to introduce a large WWR effect compared to the JCIR++ model. The computation cost of the resulting Monte Carlo framework is reduced by using an adaptive control variate procedure

Enhancing Ductility of WWR Slabs

A series of research studies have recently identified an issue called strain localization in welded wire reinforced (WWR) members. This phenomenon reportedly concentrates strains at welded cross wire locations and severely limit ductility. Those that identified the phenomenon used it to imply that WWR is unsafe because it does not warn of failure. This research program is investigating details to mitigate the strain localization effect and demonstrate the WWR can be used safely. Sixteen beams have been constructed using WWR and rebar with various cross wire spacing, using a realistic design. The strain localization phenomenon was not demonstrated, but WWR slabs are somewhat less ductile than traditionally reinforced members. The WWR members were shown to provide adequate ductility for warning of impending failure visually and with a well-accepted ductility measure. Future study will focus on proving ability of WWR to provide load redistribution, investigating the effect of cross wire diameter on strain localization and developing simple and easy to use guidelines for proper WWR detailing

Investigation into energy performance of a school building in a hot climate: Optimum of window-to-wall ratio.

Global attention is currently focussed on developing techniques to improve the thermal performance of buildings to provide indoor comfort with minimum reliance on energy load. Several studies have investigated building facade, materials used and other factors involved in building design. The aim of this study is to examine the impact of thermal insulation, shading devices, window-to-wall ratio (WWR) and a combination of these factors in a prototype school building design in the warm climate city of Taif, Saudi Arabia. The study used various methods classified into two main phases. The first phase involved on-site observation where both thermal imaging and regular cameras were used to examine the influence of orientation on glazing as a baseline. The second phase involved advanced software investigations with 2D AutoCAD, 3D Revit and computer modelling for energy evaluation and daylight factor. A detailed framework was introduced to examine current school buildings and to improve the future designs of prototype school buildings. The study revealed that a combination of applying thermal insulation along with minimising WWR is required in existing buildings within hot and dry regions. Furthermore, it was recommended that WWR should not exceed 35%, 25% and 20% for northwest, southeast and southwest building facades, respectively

Numerical analysis of structural behavior of welded wire reinforcement in reinforced concrete beams

Thesis (M.S.) University of Alaska Fairbanks, 2016Modernization and industrialization have paved the way for the construction industry of India to expand. On the other hand the Indian construction industry is set to face an acute workforce shortage. The shortage of construction workers has in fact slowed down the growth of this industry in major cities across the country and escalated its cost by 40 percent. An alternative way to replace the labor force is by automation techniques. This study is a numerical analysis to evaluate structural behavior of simply supported concrete beams reinforced with welded wires in comparison with mild steel reinforced concrete beams. Welding conventional steel bars (60 ksi) reduces their shear strength by 50 percent. Welded Wire Reinforcement (80 ksi), with its greater strength, higher durability, significantly lower placing and overall cost, provides an alternative and perhaps a better substitution for mild steel bars. The commercial finite element analysis program, ABAQUS, was used to model the non-linear behavior of reinforced concrete beams. In order to evaluate the structural behavior of welded wire reinforced concrete beams, different configurations of longitudinal and transverse wires have been considered. First, different types of stirrup configurations in a rectangular reinforced concrete beam are compared with a conventional reinforced beam. Second, a structurally performing welded wire configuration is compared with a Mexican chair styled reinforcement configuration. This part of the analysis is evaluated for a T–beam, used for building roof applications.Chapter 1 Introduction -- Welded Wire Reinforcement -- Traditional Rebar versus Welded Wire Reinforcement (WWR) -- Potential Gains through Welded Wire Reinforcement (WWR) -- Welded Wire Reinforcement Specifications and Nomenclature -- Welded Wire Reinforcement Manufacturing, Handling and Placing -- Aim and Scope -- Outline of Thesis -- Chapter 2 Literature Review -- Impact of Welded Wire Reinforcement in Structural Members -- Welded Wire Reinforcements in Columns -- Welded Wire Reinforcements in Beams and Girders -- Welded Wire Reinforcements in Structural Walls -- Summary -- Chapter 3 Finite Element Modeling of Reinforced Concrete Beams -- ABAQUS Modeling -- Non-linear Behavior of Concrete -- Uniaxial and Biaxial Behavior -- Non-linear Modeling of Reinforced Concrete Beam -- Material Model Properties -- Concrete Damage Plasticity Parameters -- Reinforcement Properties -- Convergence Analysis -- Chapter 4 Numerical Analysis of Concrete Beams Reinforced with Traditional and Welded Wire Reinforcement -- Introduction -- Initial Validation and Mesh Convergence -- Analysis of Welded Wire Reinforcement Grids in Reinforced Concrete Beams -- Rectangular Reinforced Concrete Beams Subjected to Four Point Loading Condition -- Rectangular Reinforced Concrete Beams Subjected to Uniformly Distributed Loading Condition -- T - Beams Subjected to Four Point Loading Condition -- Chapter 5 Conclusion and Recommendation -- Conclusion -- Recommendation -- References

Computing credit valuation adjustment for Bermudan options with wrong way risk

We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty's default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively. We present a nonnested Monte Carlo approach for computing CVA-VaR and CVA-expected shortfall (ES) for Bermudan options. By varying correlation coefficients, we study the impact of credit quality and WWR on the optimal exercise boundaries and CVA values of Bermudan products. Stress testing is performed

Evaluation on overheating risk of a typical Norwegian residential building under future extreme weather conditions

As the temperature in the summer period in Norway has been always moderate, little study on the indoor comfort of typical Norwegian residential buildings in summer seasons can be found. Heat waves have attacked Norway in recent years, including in 2018 and 2019. Zero energy buildings, even neighborhoods, have been a hot research topic in Norway. There is overheating risk in typical Norwegian residential buildings without cooling devices installed under these uncommon weather conditions, like the hot summers in 2018 and 2019. Three weather scenarios consisting of present-day weather data, 2050 weather data, and 2080 weather data are investigated in this study. The overheating risk of a typical Norwegian residential building is evaluated under these three weather scenarios. 72 scenarios are simulated in this study, including different orientations, window-to-wall ratios, and infiltration rates. Two different overheating evaluation criteria and guidelines, the Passive House Planning Package (PHPP) and the CIBSE TM 59, are compared in this study