Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin-Duresne[4] to avoid calculating a troublesome jump in IBPR reduced-form model. This paper considers survival measure in "HBPR" model, i.e. default time is characterized by Cox construction, and studies the relevant drift changes and martingale representations. This paper also takes advantage of survival measure to solve the looping default problem in interacting intensity model with stochastic intensities. Guaranteed debt is priced under this model, as an application of survival measure and interacting intensity model. Detailed numerical analysis is performed in this paper to study influence of stochastic pre-default intensities and contagion on value of a two firms' bilateral guaranteed debt portfolio.Survival Measure, Interacting Intensity Model, Measure Change, Guaranteed Debt, Mitigation and Contagion.

Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a particular contagion model with stochastic intensities that is proposed by Bao et al. 2010. Stochastic interest rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is adopted to calculate MtM of risk-free CDS and conditional survival probability of counterparty in defaultable environment. Semi-analytical solution for CVA is attained. Affine specification of intensities and interest rate concludes analytical expression for pre-default value of MtM. Numerical experiments at the last of this paper analyze the impact of contagion, volatility and correlation on CVA.Credit Value Adjustment, Contagion Model, Stochastic Intensities and Interest, Survival Measure, Affine Specification

诚信的功能

Abstract in Chinese: 诚信有调节功能、导向功能、教育功能、约束功能和凝聚功能。这些功能共同作用，从而形成诚信的整体功能，即诚信的个体功能和社会功能。Abstract in English: Trust has the function of regulation, guidance, education, restraint and coagulation. These functions work together and form the integral function of trust, which include individual and social function of trust. [pp. 189-190

Almost disjointness preserving functionals on Banach lattices of differentiable functions (Research on preserver problems on Banach algebras and related topics)

Let C¹[0, 1] be the space of all continuously differentiable function on [0, 1]. When define the order f ≥ g by f(0) ≥ g(0) and f′ ≥ g′ pointwise on [0, 1], and the norm is defined by ∥f∥σ = |f(0)| + ∥f′∥∞, the space C¹[0, 1] is a Banach lattice. We will give the representation of bounded ε-disjointness preserving linear functionals of C¹[0, 1]

Low Growth Hormone Levels in Short-Stature Children with Pituitary Hyperplasia Secondary to Primary Hypothyroidism

Objective. The follow-up of GH levels in short-stature children with pituitary hyperplasia secondary to primary hypothyroidism (PPH) is reported in a few cases. We aimed to observe changes in GH secretion in short-stature children with PPH. Methods. A total of 11 short-stature children with PPH accompanied by low GH levels were included. They received levothyroxine therapy after diagnosis. Their thyroid hormones, IGF-1, PRL, and pituitary height were measured at baseline and 3 months after therapy. GH stimulation tests were performed at baseline and after regression of thyroid hormones and pituitary. Results. At baseline, they had decreased GH peak and FT3 and FT4 levels and elevated TSH levels. Decreased IGF-1 levels were found in seven children. Elevated PRL levels and positive thyroid antibodies were found in 10 children. The mean pituitary height was 14.3±3.8 mm. After 3 months, FT3, FT4, and IGF-1 levels were significantly increased (all p<0.01), and values of TSH, PRL, and pituitary height were significantly decreased (all p<0.001). After 6 months, pituitary hyperplasia completely regressed. GH levels returned to normal in nine children and were still low in two children. Conclusion. GH secretion can be resolved in most short-stature children with PPH

Pituitary Morphology and Function in 43 Children with Central Diabetes Insipidus

Objective. In pediatric central diabetes insipidus (CDI), etiology diagnosis and pituitary function monitoring are usually delayed. This study aimed to illustrate the importance of regular follow-up and pituitary function monitoring in pediatric CDI. Methods. The clinical, hormonal, and neuroradiological characteristics of children with CDI at diagnosis and during 1.5–2-year follow-up were collected and analyzed. Results. The study included 43 CDI patients. The mean interval between initial manifestation and diagnosis was 22.29 ± 3.67 months (range: 2–108 months). The most common complaint was polyuria/polydipsia. Causes included Langerhans cell histiocytosis, germinoma, and craniopharyngioma in 2, 5, and 4 patients; the remaining were idiopathic. No significant changes were found during the 1.5–2 years after CDI diagnosis. Twenty-three of the 43 cases (53.5%) had ≥1 anterior pituitary hormone deficiency. Isolated growth hormone deficiency was the most frequent abnormality (37.5%) and was not associated with pituitary stalk diameter. Multiple pituitary hormone deficiencies were found in 8 cases with pituitary stalk diameter > 4.5 mm. Conclusion. Diagnosis of CDI is usually delayed. CDI with a pituitary stalk diameter > 4.5 mm carries a higher risk of multiple pituitary hormone deficiencies. Long-term MRI and pituitary function follow-ups are necessary for children with idiopathic CDI

Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin-Duresne[4] to avoid calculating a troublesome jump in IBPR reduced-form model. This paper considers survival measure in "HBPR" model, i.e. default time is characterized by Cox construction, and studies the relevant drift changes and martingale representations. This paper also takes advantage of survival measure to solve the looping default problem in interacting intensity model with stochastic intensities. Guaranteed debt is priced under this model, as an application of survival measure and interacting intensity model. Detailed numerical analysis is performed in this paper to study influence of stochastic pre-default intensities and contagion on value of a two firms' bilateral guaranteed debt portfolio

Survival Measures and Interacting Intensity Model: With Applications in Guaranteed Debt Pricing

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin-Duresne[4] to avoid calculating a troublesome jump in IBPR reduced-form model. This paper considers survival measure in "HBPR" model, i.e. default time is characterized by Cox construction, and studies the relevant drift changes and martingale representations. This paper also takes advantage of survival measure to solve the looping default problem in interacting intensity model with stochastic intensities. Guaranteed debt is priced under this model, as an application of survival measure and interacting intensity model. Detailed numerical analysis is performed in this paper to study influence of stochastic pre-default intensities and contagion on value of a two firms' bilateral guaranteed debt portfolio

Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin-Duresne[4] to avoid calculating a troublesome jump in IBPR reduced-form model. This paper considers survival measure in "HBPR" model, i.e. default time is characterized by Cox construction, and studies the relevant drift changes and martingale representations. This paper also takes advantage of survival measure to solve the looping default problem in interacting intensity model with stochastic intensities. Guaranteed debt is priced under this model, as an application of survival measure and interacting intensity model. Detailed numerical analysis is performed in this paper to study influence of stochastic pre-default intensities and contagion on value of a two firms' bilateral guaranteed debt portfolio

Enhanced Group Delay of the Pulse Reflection with Graphene Surface Plasmon via Modified Otto Configuration

In this paper, the group delay of the transverse magnetic (TM) polarized wave reflected from a modified Otto configuration with graphene surface plasmon is investigated theoretically. The findings show that the optical group delay in this structure can be enhanced negatively and can be switched from negative to positive due to the excitation of surface plasmon by graphene. It is clear that the negative group delay can be actively tuned through the Fermi energy of the graphene. Furthermore, the delay properties can also be manipulated by changing either the relaxation time of graphene or the distance between the coupling prism and the graphene. These tunable delay characteristics are promising for fabricating grapheme-based optical delay devices and other applications in the terahertz regime