Credit risk in pure jump structural models

Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In particular, assuming a pure jump process. Moreover, when applied to market data diffusion-based structural models tend to produce too low spreads, even over longer horizons. In this paper we show that a jump process of the Variance-Gamma type for the asset value can also circumvent this practical shortcoming. We calibrate a terminal-default jump structural model to single-name data for the CDX NA IG and CDX NA HY components. We show that the VG model provides not only smaller errors, but also a better qualitative fit than other diffusive structural models. Indeed, it avoids both the spread underprediction of the classical Merton model and the excessive overpredictions of other well known diffusive models, as recently explored by Eom, Helwege, Huang (2004) or Demchuk and Gibson (2005).

Single and joint default in a structural model with purely discontinuous assets

Structural models of credit risk are known to present both vanishing spreads at very short maturities and a poor spread fit over longer maturities. The former shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuous assets. In this paper we resort to a pure jump process of the Variance-Gamma type. First we calibrate the corresponding Merton type structural model to single-name data for the DJ CDX NA IG and CDX NA HY components. By so doing, we show that it circumvents also the diffusive structural models difficulties over longer horizons. In particular, it corrects for underprediction of low risk spreads and overprediction of high risk ones. Then we extend the model to joint default, resorting to a recent formulation of the VG multivariate model and without superimposing a copula choice. We fit default correlation for a sample of CDX NA names, using equity correlation. The main advantage of our joint model with respect to the existing non diffusive ones is that it allows calibration without the equicorrelation assumption, but still in a parsimonious way. As an example of the default assessments which the calibrated model can provide, we price a FtD swap.credit risk, structural models, Lévy asset prices, default probability, joint default.

Cdk1 Targets Srs2 to Complete Synthesis-Dependent Strand Annealing and to Promote Recombinational Repair

Cdk1 kinase phosphorylates budding yeast Srs2, a member of UvrD protein family, displays both DNA translocation and DNA unwinding activities in vitro. Srs2 prevents homologous recombination by dismantling Rad51 filaments and is also required for double-strand break (DSB) repair. Here we examine the biological significance of Cdk1-dependent phosphorylation of Srs2, using mutants that constitutively express the phosphorylated or unphosphorylated protein isoforms. We found that Cdk1 targets Srs2 to repair DSB and, in particular, to complete synthesis-dependent strand annealing, likely controlling the disassembly of a D-loop intermediate. Cdk1-dependent phosphorylation controls turnover of Srs2 at the invading strand; and, in absence of this modification, the turnover of Rad51 is not affected. Further analysis of the recombination phenotypes of the srs2 phospho-mutants showed that Srs2 phosphorylation is not required for the removal of toxic Rad51 nucleofilaments, although it is essential for cell survival, when DNA breaks are channeled into homologous recombinational repair. Cdk1-targeted Srs2 displays a PCNA–independent role and appears to have an attenuated ability to inhibit recombination. Finally, the recombination defects of unphosphorylatable Srs2 are primarily due to unscheduled accumulation of the Srs2 protein in a sumoylated form. Thus, the Srs2 anti-recombination function in removing toxic Rad51 filaments is genetically separable from its role in promoting recombinational repair, which depends exclusively on Cdk1-dependent phosphorylation. We suggest that Cdk1 kinase counteracts unscheduled sumoylation of Srs2 and targets Srs2 to dismantle specific DNA structures, such as the D-loops, in a helicase-dependent manner during homologous recombinational repair

Fast Computation of Vanilla Prices in Time-Changed Models and Implied Volatilities Using Rational Approximations

We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the variance-gamma model, the CGMY model and the Heston model without correlation to illustrate our results. Comparison to the standard fast Fourier transform method with respect to accuracy and speed appears to favour the newly developed method in the cases considered. We present error estimates for the option prices. Additionally, we use this method to derive a procedure to compute, for a given set of arbitrage-free European call option prices, the corresponding Black-Scholes implied volatility surface. To achieve this, rational function approximations of the inverse of the Black-Scholes formula are used. We are thus able to work out implied volatilities more efficiently than one can by the use of other common methods. Error estimates are presented for a wide range of parameters.Comment: To appear in International Journal of Theoretical and Applied Financ

Cardiac surgery practice during the COVID-19 outbreak: a multicentre national survey

Healthcare systems worldwide have been overburdened by the coronavirus disease 2019 (COVID-19) outbreak. Accordingly, hospitals had to implement strategies to profoundly reshape both non-COVID-19 medical care and surgical activities. Knowledge about the impact of the COVID-19 pandemic on cardiac surgery practice is pivotal. The goal of the present study was to describe the changes in cardiac surgery practices during the health emergency at the national level

Cardiac surgery practice during the COVID-19 outbreak: a multicentre national survey.

OBJECTIVES: Healthcare systems worldwide have been overburdened by the coronavirus disease 2019 (COVID-19) outbreak. Accordingly, hospitals had to implement strategies to profoundly reshape both non-COVID-19 medical care and surgical activities. Knowledge about the impact of the COVID-19 pandemic on cardiac surgery practice is pivotal. The goal of the present study was to describe the changes in cardiac surgery practices during the health emergency at the national level. METHODS: A 26-question web-enabled survey including all adult cardiac surgery units in Italy was conducted to assess how their clinical practice changed during the national lockdown. Data were compared to data from the corresponding period in 2019. RESULTS: All but 2 centres (94.9%) adopted specific protocols to screen patients and personnel. A significant reduction in the number of dedicated cardiac intensive care unit beds (-35.4%) and operating rooms (-29.2%), along with healthcare personnel reallocation to COVID departments (nurses -15.4%, anaesthesiologists -7.7%), was noted. Overall adult cardiac surgery volumes were dramatically reduced (1734 procedures vs 3447; P < 0.001), with a significant drop in elective procedures [580 (33.4%) vs 2420 (70.2%)]. CONCLUSIONS: This national survey found major changes in cardiac surgery practice as a response to the COVID-19 pandemic. This experience should lead to the development of permanent systems-based plans to face possible future pandemics. These data may effectively help policy decision-making in prioritizing healthcare resource reallocation during the ongoing pandemic and once the healthcare emergency is over

Cardiac surgery practice during the COVID-19 outbreak: A multicentre national survey

OBJECTIVES: Healthcare systems worldwide have been overburdened by the coronavirus disease 2019 (COVID-19) outbreak. Accordingly, hospitals had to implement strategies to profoundly reshape both non-COVID-19 medical care and surgical activities. Knowledge about the impact of the COVID-19 pandemic on cardiac surgery practice is pivotal. The goal of the present study was to describe the changes in cardiac surgery practices during the health emergency at the national level. METHODS: A 26-question web-enabled survey including all adult cardiac surgery units in Italy was conducted to assess how their clinical practice changed during the national lockdown. Data were compared to data from the corresponding period in 2019. RESULTS: All but 2 centres (94.9%) adopted specific protocols to screen patients and personnel. A significant reduction in the number of dedicated cardiac intensive care unit beds (-35.4%) and operating rooms (-29.2%), along with healthcare personnel reallocation to COVID departments (nurses-15.4%, anaesthesiologists-7.7%), was noted. Overall adult cardiac surgery volumes were dramatically reduced (1734 procedures vs 3447; P 0.001), with a significant drop in elective procedures [580 (33.4%) vs 2420 (70.2%)]. CONCLUSIONS: This national survey found major changes in cardiac surgery practice as a response to the COVID-19 pandemic. This experience should lead to the development of permanent systems-based plans to face possible future pandemics. These data may effectively help policy decision-making in prioritizing healthcare resource reallocation during the ongoing pandemic and once the healthcare emergency is over. \ua9 2021 The Author(s). Published by Oxford University Press on behalf of the European Association for Cardio-Thoracic Surgery. All rights reserved