15,885 research outputs found
Factor Models for Portofolio Credit Risk
This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.Default Risk, Portfolio Models
A Tree Implementation of a Credit Spread Model for Credit Derivatives
In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable bond prices. As opposed to the tree model of Jarrow and Turnbull (1992), the dynamics of default-free interest rates and credit spreads in this model can have any desired degree of correlation, and the model can be fitted to any given term structures of default-free and defaultable bond prices, and to the term structures of the respective volatilities. Furthermore the model can accommodate several alternative models of default recovery, including the fractional recovery model of Duffie and Singleton (1994) and recovery in terms of equivalent default-free bonds (see e.g. Lando (1998)). Although based on a Gaussian setup, the approach can easily be extended to non-Gaussian processes that avoid negative interest-rates or credit spreads.credit derivatives; credit risk; implementation; Hull-White model
Dynamical Screening in Correlated Electron Materials
We present an efficient method for incorporating the dynamical effects of the
screening of the Hubbard U by electronic degrees of freedom in the solid into
the single site dynamical mean field approximation. The formalism is
illustrated by model system calculations which capture the essential features
of the frequency dependent interactions proposed for Gd, Ni, SrVO_3 and other
compounds. Screening leads to shifts in the metal-insulator phase boundary,
changes in the spectral function near the Mott-Hubbard gap edge and to a
renormalization of the quasiparticle weight. Hubbard bands are generically
neither separated by the screened nor the unscreened interaction energy,
implying that the common practice of extracting the Hubbard U from the energies
of features in photoemission and inverse photoemission spectra requires
reexamination
The Comparison between Ad Valorem and Unit Taxes under Monopolistic Competition
This paper shows that the welfare dominance of ad valorem over unit taxes under imperfect competition, extends to the Dixit-Stiglitz framework with differentiated products, entry and love of variety. This contrasts against findings by Anderson et al. (J Public Econ, 2001) made in a similar framework, but under Bertrand competition.Unit tax; Specific tax; Ad valorem tax; Welfare
Determination of nitrogen in titanium nitride
Quantitative determination of nitrogen in titanium nitride involves dissolution of TiN in 10M hydrofluoric acid containing an oxidant. Released nitrogen is determined as ammonia. Best oxidizers are ferric chloride, potassium iodate, and potassium dichromate
Cartel Stability and Economic Integration
This paper investigates the effect of economic integration on the ability of firms to maintain a collusive understanding about staying out of each other's markets. The paper distinguishes among different types of trade costs: ad valorem, unit, fixed. It is shown that for a sufficient reduction of ad valorem trade costs, a cartel supported by collusion on either quantities or prices will be weakened, thus integration is pro-competitive. If integration consists of a reductions in unit (fixed) trade costs a price setting cartel is strengthened (unaffected), while a quantity setting one is weakened.Collusive behavior; Trade liberalisation; Specific tariffs; Market access cost
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