Pure contagion effects in international banking: The case of BCCI’s failure

We test for pure contagion effects in international banking arising from the failure of the Bank of Credit and Commerce International (BCCI), one of the largest bank failures in the world. We focused on large individual banks in three developed countries where BCCI had established operations, namely the UK, the US, and Canada. Using event study methodology, we tested for contagion effects using time windows surrounding several known BCCI-related announcements. Our analysis provides strong evidence of pure contagion effects in the UK, which have arisen prior to the official closure date. In contrast, there is no evidence of pure contagion effects in the US and Canada.bank failures, pure contagion effects, event study methodology, abnormal returns

Brownian excursions outside a corridor and two-sided Parisian options

In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit expression for the Laplace transform of its price

Pomerons and BCFW recursion relations for strings on D-branes

We derive pomeron vertex operators for bosonic strings and superstrings in the presence of D-branes. We demonstrate how they can be used in order to compute the Regge behavior of string amplitudes on D-branes and the amplitude of ultrarelativistic D-brane scattering. After a lightning review of the BCFW method, we proceed in a classification of the various BCFW shifts possible in a field/string theory in the presence of defects/D-branes. The BCFW shifts present several novel features, such as the possibility of performing single particle momentum shifts, due to the breaking of momentum conservation in the directions normal to the defect. Using the pomeron vertices we show that superstring amplitudes on the disc involving both open and closed strings should obey BCFW recursion relations. As a particular example, we analyze explicitly the case of 1 -> 1 scattering of level one closed string states off a D-brane. Finally, we investigate whether the eikonal Regge regime conjecture holds in the presence of D-branes.Comment: 49 pages; v2 corrected references and minor typos; v3 minor typos corrected, version to appear in NP

A dynamic contagion process and an application to credit risk

We introduce a new point process, the dynamic contagion process, by gener- alising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and exoge- nous factors of the underlying system. We have systematically analysed the theoretical distributional properties of this new process, based on the piece- wise deterministic Markov process theory developed by Davis (1984), and the extension of the martingale methodology used by Dassios and Jang (2003). The analytic expressions of the Laplace transform of the intensity process and the probability generating function of the point process have been de- rived. An explicit example of specified jumps with exponential distributions is also given. The object of this study is to produce a general mathemati- cal framework for modelling the dependence structure of arriving events with dynamic contagion, which has the potential to be applicable to a variety of problems in economics, finance and insurance. We provide an application of this process to credit risk, and the simulation algorithm for further industrial implementation and statistical analysis