Evidence of Non-Markovian Behavior in the Process of Bank Rating Migrations

This paper estimates transition matrices for the ratings on financial institutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intensiFinancial institutions, macroeconomic variables, capitalization, supervision, transition intensities

Monte Carlo Valuation of natural gas investments

This paper deals with the valuation of energy assets related to natural gas. In particular, we evaluate a baseload Natural Gas Combined Cycle (NGCC) power plant and an ancillary instalation, namely a Liquefied Natural Gas (LNG) facility, in a realistic setting; specifically, these investments enjoy a long useful life but require some non-negligible time to build. Then we focus on the valuation of several investment options again in a realistic setting. These include the option to invest in the power plant when there is uncertainty concerning the initial outlay, or the option's time to maturity, or the cost of CO2 emission permits, or when there is a chance to double the plant size in the future. Our model comprises three sources of risk. We consider uncertain gas prices with regard to both the current level and the long-run equilibrium level; the current electricity price is also uncertain. They all are assumed to show mean reversion. The two-factor model for natural gas price is calibrated using data from NYMEX NG futures contracts. Also, we calibrate the one-factor model for electricity price using data from the Spanish wholesale electricity market, respectively. Then we use the estimated parameter values alongside actual physical parameters from a case study to value natural gas plants. Finally, the calibrated parameters are also used in a Monte Carlo simulation framework to evaluate several American-type options to invest in these energy assets. We accomplish this by following the least squares MC approach.real options, power plants, stochastic revenues and cost, CO2 allowances, LNG

Ejercicios Catálogo MySQL

Ejercicios sobre el catálogo de MySQ

InTiMe: integration platform of NLP resources

La plataforma InTiMe (INtegration of Tools and corpora In the text-MEss project) es un ambicioso proyecto del Departamento de Lenguajes y Sistemas Informáticos de la Universidad de Alicante. Nace con la idea de integrar, en una misma plataforma, gran parte de los recursos utilizados actualmente en Procesamiento del Lenguaje Natural (PLN). De esta forma, cualquier investigador incluido en la plataforma tendrá acceso inmediato, independientemente del sistema operativo que use o de su ubicación, a todas las herramientas y corpus integrados en el sistema. También será capaz de dar a conocer, si así lo desea, a toda la comunidad científica los nuevos recursos desarrollados en sus investigaciones. Evitando así que los investigadores tengan que desarrollar herramientas ya existentes, ahorrando tiempo y recursos y centrando los esfuerzos en actividades más novedosas. Como veremos en el presente artículo, InTiMe agilizará la compartición del conocimiento y el uso de los recursos generados en PLN aumentando la productividad sin tener que cambiar la metodología de trabajo.The InTiMe platform (INtegration of Tools and corpora In the text-MEss project) is an ambitious project of the Department of Languages and Computer Systems at the University of Alicante. Born with the idea of integrating, in a single platform, almost of the resources currently used in Natural Language Processing (NLP). Thus, any researcher included in the platform will have immediately access, regardless of the operating system he use or his location, all the tools and corpora integrated in the system. It will also be able to disclose, if he so wish, to the entire scientific community developed new resources in his investigations. Avoiding so that researchers need to develop tools that already exist, saving time and resources and focusing efforts on newer activities. As we will see in this article, InTiMe expedite the sharing of knowledge and the use of resources generated in PLN increasing productivity without changing the methodology of work.Este trabajo ha sido parcialmente financiado por el proyecto QALL-ME (FP6-IST-033860), el cual es el 6th Framenwork Research Programme de la Comunidad Europea, y el proyecto TEXT-MESS (TIN-2006-15265-C06-01) del gobierno español

Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant

In this paper we analyze the valuation of options stemming from the flexibility in an Integrated Gasification Combined Cycle (IGCC) Power Plant. First we use as a base case the opportunity to invest in a Natural Gas Combined Cycle (NGCC) Power Plant, deriving the optimal investment rule as a function of fuel price and the remaining life of the right to invest. Additionally, the analytical solution for a perpetual option is obtained. Second, the valuation of an operating IGCC Power Plant is studied, with switching costs between states and a choice of the best operation mode. The valuation of this plant serves as a base to obtain the value of the option to delay an investment of this type. Finally, we derive the value of an opportunity to invest either in a NGCC or IGCC Power Plant, that is, to choose between an inflexible and a flexible technology, respectively. Numerical computations involve the use of one- and two-dimensional binomial lattices that support a mean-reverting process for the fuel prices. Basic parameter values refer to an actual IGCC power plant currently in operation.real options, power plants, flexibility, stochastic costs

Income risk of EU coal-fired power plants after Kyoto

Coal-fired power plants may enjoy a significant advantage relative to gas plants in terms of cheaper fuel cost. Still, this advantage may erode or even turn into disadvantage depending on CO2 emission allowance price. This price will presumably rise in both the Kyoto Protocol commitment period (2008-2012) and the first post-Kyoto years. Thus, in a carbon-constrained environment, coal plants face financial risks arising in their profit margins, which in turn hinge on their so-called "clean dark spread". These risks are further reinforced when the price of the output electricity is determined by natural gas-fired plants' marginal costs, which differ from coal plants' costs. We aim to assess the risks in coal plants' margins. We adopt parameter values estimated from empirical data. These in turn are derived from natural gas and electricity markets alongside the EU ETS market where emission allowances are traded. Monte Carlo simulation allows to compute the expected value and risk profile of coal-based electricity generation. We focus on the clean dark spread in both time periods under different future scenarios in the allowance market. Specifically, bottom 5% and 10% percentiles are derived. According to our results, certain future paths of the allowance price may impose significant risks on the clean dark spread obtained by coal plants.clean spark spread, clean dark spread, EU Emissions Trading Scheme, Monte Carlo

A New Approach for Bounding Awards in Bankruptcy Problems

The solution for the "Contested Garment Problem" proposed in the BabylonicTalmud, one of the most important sources of inspiration for solving situations where demand overcomes supply of some resources, suggests that each agent should receive at least some part of the available amount when facing these situations. Thisidea has been underlied the theoretical analysis of bankruptcy problems from its beginning (O'Neill, 1982) to present day (Dominguez and Thomsom, 2006). In this context, starting from the fact that a society establishes its own set of "Commonly Accepted Equity Principles", we propose a new award bound by providing each agent her minimum amount according to all the admissible bankruptcy rules for such a society. Moreover, we analyze the recursive application of this new bound, since it will not exhaust the resources, in general.Bankruptcy problems, bankruptcy rules, lower bound, recursive process.