Dynamic interest rate and credit risk models

This thesis studies the pricing of Treasury bonds, the pricing of corporate bonds and the modelling of portfolios of defaultable debt. By drawing on the related literature, Chapter 1 provides economic background and motivation for the study of each of these topics. Chapter 2 studies the use of Gaussian affine dynamic term structure models (GDTSMs) for forming forecasts of Treasury yields and conditional decompositions of the yield curve into expectation and risk premium components. Specifically, it proposes market prices of risk that can generate bond price time series that are consistent with the important empirical result of Cochrane and Piazzesi (2005), that a linear combination of forward rates can forecast excess returns to bonds. Since the GDTSM here falls into the essentially affine class (Duffee (2002)), it is analytically tractable. Chapter 3 studies conditional risk premia in a commonly applied default intensity based model for pricing corporate bonds. Here, I refer to such models as completely affine defaultable dynamic term structure models (DDTSMs). There are two main contributions. First, I show that completely affine DDTSMs imply that the compensation for the risk associated with shocks to default intensities (the credit spread risk premium) is related to the volatility of default intensities. Second, I run regressions to show that this relationship holds in a set of corporate bond data. Finally, Chapter 4 proposes a new dynamic model for default rates in large debt port- folios. The model is similar in principle to Duffie, Saita, and Wang (2007) and Duffie, Eckner, Horel, and Saita (2009) in that the default intensity depends on the observed macroeconomic state and unobserved frailty variables. However, the model is designed for use with more commonly available aggregate, rather than individual, default data. Fitting the model to aggregate charge-off rates in US corporate, real-estate and non- mortgage retail sectors, it is found that interest rates, industrial production and unemployment rates have quantitatively plausible effects on aggregate default rates

Factors Affecting Citrus Productivity in District Dir Lower

The present research study was conducted in six union councils of District Dir lower namely Talash, Rabat, Munjai, Balambat, Khungi, and Hayaseri; to study the existing situation of citrus production and to investigate the factors affecting citrus production in the study area. A total of 64 sample respondents from six union councils of District Dir lower having different characteristics were selected and interviewed. Association was checked between the main dependent variable i.e. citrus productivity with lack of technical assistance, lack of improved varieties, lack of irrigation facilities, diseases attack, lack of marketing facilities, high cost of transportation, poor extension services, and lack of government interest towards citrus growers in the study area. Hence the problem being faced by the citrus growers in different union councils are multidimensional.  Results show that 31.2 % of the citrus growers called diseases attack reasons for citrus low productivity followed by poor extension services 25 %, lack of irrigation facilities 1.6 %, lack of improved varieties 17.1 % who stated reasons for citrus low productivity. The most serious threat to citrus fruit is the decline in citrus orchard. Data regarding citrus orchard decline show that 29.7 % of the respondents stated lack of government interest as the main reason for citrus orchard decline followed by high transportation cost 23.4 %, poor marketing facilities 17.2 %, and natural disaster 20.3 %. Association between dependent and independent variables was recorded significant. Analysis of the data show that lack of technical assistance, lack of improved varieties, lack of irrigation facilities, diseases attack and natural disaster (flood) were  perceived to be the related problems faced by citrus growers for citrus  low productivity in the study area. It was concluded from the result findings that majority of the respondents were literate and agriculture was their main profession but there were no government interest programme for citrus growers to empower them in gaining of technical skills and basic professional training regarding citrus orchard management. It is recommended that professional trainings by extension staff are necessary for citrus growers regarding new citrus production technology. Keywords: Factors, Citrus, Productivity, District Dir lowe

Received Signal Strength for Randomly Distributed Molecular Nanonodes

We consider nanonodes randomly distributed in a circular area and characterize the received signal strength when a pair of these nodes employ molecular communication. Two communication methods are investigated, namely free diffusion and diffusion with drift. Since the nodes are randomly distributed, the distance between them can be represented as a random variable, which results in a stochastic process representation of the received signal strength. We derive the probability density function of this process for both molecular communication methods. Specifically for the case of free diffusion we also derive the cumulative distribution function, which can be used to derive transmission success probabilities. The presented work constitutes a first step towards the characterization of the signal to noise ratio in the considered setting for a number of molecular communication methods.Comment: 6 pages, 6 figures, Nanocom 2017 conferenc

Comparison of Credit Risk Management Practices among Islamic and Public Commercial Bank’s in Pakistan

The main objective of this research is to explain a topic in credit risk management practices. Furthermore, this research evaluates credit risk management practices in Pakistani banks. In addition, it compares and evaluates the techniques used by currently operating Islamic banks and public commercial banks. Quantitative research methods were used in the present study. A total of 400 self-administrated questionnaires have been distributed among Pakistani employee-selected banks. SPSS version 24 has been used to analyze responses using correlation, regression, and t-tests. The purpose of this research is to observe the major elements that impact credit risk management practices, which include credit risk understanding, credit risk identification, credit risk assessment, credit risk monitoring, and credit risk analysis showing that each of these elements promoted credit risk management practices among certain institutions. This study also examined the combined impact of these five variables on Pakistan\u27s currently operating Islamic banks and public commercial banks. Finally, there are different approaches to practicing credit risk management among various institutions. The research also produced a framework for practices of credit risk management and a survey-based instrument, both of which are significant contributions

Oxfendazole Resistance in Gastrointestinal Nematodes of Beetal Goats at Livestock Farms of Punjab (Pakistan)

This study was carried out to screen goat farms for anthelmintic resistance (AR) against oxfendazole (OXF) and to determine contributory factors for its development. For this purpose, Beetal goat farms (n = 18) were randomly selected, with natural mixed gastrointestinal nematodosis infection. In vivo (faecal egg count reduction test) and in vitro (egg hatch assay) tests were used to ascertain the presence of AR while a scorecard was used to determine the role of possible contributory factors for oxfendazole resistance. For in vivo test, the experimental animals were divided into two groups of 10 animals each; one group received OXF treatment, while the other served as control. Pre- and post-treatment coproculture was performed to identify the species and genera of nematodes. Egg hatch assay (EHA) was used to confirm the results of FECRT. Fecal egg count reduction test (FECRT) revealed the development of resistance on six farms and post-treatment larval cultures indicated Haemonchus contortus, Trichostrongylus colubriformis, Cooperia curticei, Teladorsagia circumcincta and Oesophagostomum spp. as dominant species with resistance. Furthermore, EHA confirmed the results of FECRT. Among the presumptive factors for AR, the highest composite score was for rotation of anthelmintics followed by treatment frequency, dose rate and nature of medication. The scorecard for the development of AR, used in this study, may be helpful for the assessment of contributory factors of AR

Theoretical Design of Energy Generating Gymnasium Pull-down Machine for Green, Renewable and Sustainable Energy Production

New technologies are being invented and energy demand is increasing. Growth of population has always been and will remain one of the major causes of energy demand. Science is therefore looking for new major and minor energy resources to keep world in progress. The main focus of energy engineering and technology in the field of energy generation is to harvest energy by any mean from any source. A theoretical research is introduced in this paper which will contribute its reasonable share in the field of renewable and green energy sector. This energy generating system is named as energy generating gymnasium system (EGGS). The core idea behind this energy harvesting system is that, the human being is also a source of renewable energy and it is possible to harness electrical energy from people by the use of EGGS. Human energy is wasted when excessive calories of body are burnt during exercise in gymnasiums to achieve the desired fitness. EGGS will provide an opportunity to return expended energy in the form of electrical energy from gymnasium equipment and cardiovascular machines. This electrical energy will be cheap and also green since it will not emit any carbon dioxide (CO2) gas during the process. This system can increase the potential of renewable energy area and the electrical energy generated from EGGS can be sold back to the national utility via micro grids (MG). The proposed system will be very beneficial for such countries that are facing energy crises as well as the third world countries. Authors have discussed a gymnasium machine named as “Pull-down machine†and proposed a theoretical modification to make it as an energy generating gymnasium machine (EGGM) in the presented research.Citation: Saeed, M., Saleem, I., and Iqbal, F. (2019). Theoretical Design of Energy Generating Gymnasium Pull-down Machine for Green, Renewable and Sustainable Energy Production. Trends in Renewable Energy, 5, 47-59. DOI: 10.17737/tre.2019.5.1.0086Â

Factors Influencing Job Satisfaction of Employees in Telecom Sector of Pakistan

The telecom industry plays an important role in the underpinning of a country’s economy. This study is aimed at getting a clearer view of the level of satisfaction of the employees in various telecom companies. The main concerns are the relative importance and need of different job satisfaction factors and how they contribute to the overall satisfaction of the employees. Another field of focus is the impact of different things, such as experience, age and sex on job satisfaction. The results deduced represent employee relations, salary, fringe supervision, and efficiency as the most important factors influencing job satisfaction. It was seen that job satisfaction was good in telecommunication companies This paper was utilized in understanding the importance of the environment in which the employees work, pay, fairness, promotion, job security, supervisors, and co-worker relationships and their effect on job satisfaction. All telecom companies Ufone, Zong, Telenor, Warid telecom, Pakistan Telecommunication and Mobilink were visited to collected data. Data was quantitatively collected through close-ended questionnaires with a sample size of 200 telecom sector employees. Data was analyzed through correlation and multiple regression using SPSS software and results were significant. The overall job satisfaction of the employees in the telecom sector is at the positive level. Hence, this research was mainly undertaken to investigate on the significance of factors such as working conditions, pay and promotion, job security, fairness, relationship with co-workers and supervisors in affecting the job satisfaction. This paper presents a comprehensive diagnosis of job satisfaction indices of telecom sector, the factors causing the dissatisfaction & suggestions to improve them. Keywords: Job Satisfaction, Job Dissatisfaction, employees, telecom sector, Pakistan

Emergence of SARS-CoV-2: Insight in genomics to possible therapeutics

Rising of a new virus from city of Cathay, responsible for 2019 global pandemic is caused by SARS-CoV-2marked as a great threat for populations. The member (CoV-2) from vast family of Covid virus with single- stranded RNA spread to over 216 countries and billions of individuals died all around the globe. Regardless of all strict standard operating procedures, special care and therapies, SARS-CoV-2 mutating its genomic structure and leads to shutting the world. While different therapeutic approaches face problems due to the complexity in pathogenicity mechanism of CoV-2 and its variants. Mechanism of action, genome analysis, transmission, development of broad-spectrum antiviral medications and SARS-CoV-2 vaccines have been reported which are essential for future directions to control this pandemic. Here, in this review, these domains were discussed to highlight the genome structure pathophysiology, immune response, multiple diagnostic methods, and possible treatment strategies. This review deliberates the methodologies for creating practical vaccinations and treatment cocktail to manage this eruption.Keywords: SARS-CoV-2; Genetics; Epidemiology   

On the Relationship Between the Fractional Sumudu Transform and Fractional Fourier Transform

In this paper we have discussed fractional Sumudu transforms and its relationship with fractional Fourier transform and obtained the mathematical expression of kernel of fractional Sumudu transform. Such findings  will play a significant role for fractional Sumudu transform to recognize its importance in the  fields of engineering and applied mathematics  like other fractional transforms