On Modeling Economic Default Time: A Reduced-Form Model Approach

In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by Guo et al.(2008) shows that the time difference between the economic and recorded default dates has a significant impact on recovery rate estimates. Guo et al.(2011) develop a theoretical structural firm asset value model for a firm default process that embeds the distinction of these two default times. To be more consistent with the practice, in this paper, we assume the market participants cannot observe the firm asset value directly and developed a reduced-form model to characterize the economic and recorded default times. We derive the probability distribution of these two default times. The numerical study on the difference between these two shows that our proposed model can both capture the features and fit the empirical data.Comment: arXiv admin note: text overlap with arXiv:1012.0843 by other author

On Reduced Form Intensity-based Model with Trigger Events

Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable "trigger" events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigger events. Both single-default and multiple-default cases are considered in this paper. In the former case, a simple expression for the distribution of the default time is obtained. Applications of the proposed model to price defaultable bonds and multi-name Credit Default Swaps (CDSs) are provided

On Pricing Basket Credit Default Swaps

In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the analytical expressions for the ordered default time distributions with recursive formulas for the coefficients, which makes the calculation fast and efficient in finding rates of basket CDSs. In the homogeneous case, we explore the ordered default time in limiting case and further include the exponential decay and the multistate stochastic intensity process. The numerical study indicates that, in the valuation of the swap rates and their sensitivities with respect to underlying parameters, our proposed model outperforms the Monte Carlo method

Engineering Metallic Nanocavity Radiation for Efficient Uni-/Bi-directional Coupling into Integrated Waveguide

We propose a new, simple way to engineer the radiation patterns of subwavelength-scale metallic semiconductor cavities for coupling light from a nanoscale metal cavity into integrated waveguides uni-/bi-directionally with efficiency up to ~90%

Engineering of metal-clad optical nanocavity to optimize coupling with integrated waveguides

We propose a cladding engineering method that flexibly modifies the radiation patterns and rates of metal-clad nanoscale optical cavity. Optimally adjusting the cladding symmetry of the metal-clad nanoscale optical cavity modifies the modal symmetry and produces highly directional radiation that leads to 90% coupling efficiency into an integrated waveguide. In addition, the radiation rate of the cavity mode can be matched to its absorption rate by adjusting the thickness of the bottom-cladding layer. This approach optimizes the energy-flow rate from the waveguide and maximizes the energy confined inside the nanoscale optical cavity

Chiral BINAP-based hierarchical porous polymers as platforms for efficient heterogeneous asymmetric catalysis

手性多孔有机聚合物具有较高的稳定性和催化活性,广泛用于多相不对称催化中.目前研究多集中在合成具有微孔结构的聚合物,而少有具有多种孔道结构(包含介; 孔和微孔)的聚合物的报道.之前我们报道了乙烯基修饰的BINAP配体,; (S)-5,5-divinyl-BINAP,将其与不同单体共聚后得到了一系列具有不同孔结构的有机聚合物.其负载的Rh基催化剂在苯乙烯不对称氢甲酰; 化反应中,表现出比均相更高的产物对映体选择性.本文采用不同的溴代步骤,合成了(S)-4,4-divinyl-BINAP配体.将这两种具有乙烯基官; 能团的手性配体按相同的摩尔比与二乙烯基苯(DVB)共聚,得到两种不同的有机聚合物.负载[RuCl_2(benzene)]_2后,分别得到Ru/4; -BINAP@POPs和Ru/5-BINAP@POPs-l.采用一锅法合成了催化剂Ru/5-BINAP@POPs-2;以[RuCl_2(p-cy; me)]_2和RuCl_3分别合成了Ru/5-BINAP@POPs-3和Ru/5-BINAP@POPs-4催化剂.; N_2物理吸附结果显示,Ru/4-BINAP@POPs和Ru/5-BINAP@POPs-l催化剂具有相似的孔道结构;而采用一锅法合成的Ru/5-; BINAP@POPs-2催化剂的介孔孔径较大.4-BINAP@POPs和5-BINAP@POPs聚合物的~(13)C核磁显示,其均在145,13; 7和128 ppm处有明显的吸收峰,可归结为萘环和苯环上的碳振动峰;在44.0; ppm处的峰归属为亚甲基上的碳振动峰;~(31)P核磁显示,在聚合物中P基本没有被氧化.将所得到的Ru/POPs催化剂应用于乙酰乙酸甲酯的多相不; 对称加氢反应中,Ru/5-BINAP@POPs-1催化剂具有与Ru/4-BINAP@POPs更快的反应速率.在相同反应条件下,催化剂活性大小为R; u/5-BINAP@POPs-l > Ru/5-BINAP@POPs-3 > Ru/5-BINAP@POPs-4 >; Ru/5-BINAP@POPs-2.另外Ru/5-BINAP@POPs-1催化剂对beta-酮酸酯有着较好的底物适应性,且在釜式反应中可循环使用; 6次而活性基本不变.分析发现,使用前后的催化剂均没有明显的Ru-Ru键的存在.表明Ru金属高度分散于催化剂上,且具有较高的稳定性,金属不易聚集,; 这也是其具有高活性和稳定性的原因.Two vinyl-functionalized chiral 2,2'-bis(diphenylphosphino)-1,1'-binaphthyl (BINAP) ligands, (S)-4,4'-divinyl-BINAP and (S)-5,5'-divinyl-BINAP, were successfully synthesized. Chiral BINAP-based porous organic polymers (POPs), denoted as 4-BINAP@POPs and 5-BINAP@POPs, were efficiently prepared via the copolymerization of vinyl-functionalized BINAP with divinyl benzene under solvothermal conditions. Thorough characterization using nuclear magnetic resonance spectroscopy, thermogravimetric analysis, extended X-ray absorption fine structure analysis, and high-angle annular dark-field scanning transmission electron microscopy, we confirmed that chiral BINAP groups were successfully incorporated into the structure of the materials considered to contain hierarchical pores. Ru was introduced as a catalytic species into the POPs using different synthetic routes. Systematic investigation of the resultant chiral Ru/POP catalysts for heterogeneous-asymmetric hydrogenation of beta-keto esters revealed their excellent chiral inducibility as well as high activity and stability. Our work thereby paves a path towards the use of advanced hierarchical porous polymers as solid chiral platforms for heterogeneous asymmetric catalysis. (c) 2017, Dalian Institute of Chemical Physics, Chinese Academy of Sciences. Published by Elsevier B.V. All rights reserved.Chinese Academy of Sciences [XDB17020400

Porous Rh/BINAP polymers as efficient heterogeneous catalysts for asymmetric hydroformylation of styrene: Enhanced enantioselectivity realized by flexible chiral nanopockets

不对称氢甲酰化是合成具有单一光学活性物质(如光学活性的醛、alpha-氨基酸和醇等)最为重要的反应之一.尽管不对称氢甲酰化反应的研究超过40年,; 但仍然是催化体系中具有挑战性的课题.该反应涉及到产物的化学选择性、立体选择性和对映体选择性的优化.目前,在Rh催化体系中,使用磷-亚磷酸酯手性配; 体或双亚磷酸酯配体可以在不对称氢甲酰化反应中取得优异的催化性能.然而在Rh/手性双膦配体催化体系中,不对称氢甲酰化反应性能通常很低.以BINAP; 配体为例,负载Rh金属后,在催化苯乙烯不对称氢甲酰化反应中,产物的ee值只有25%.同时,由于均相催化体系存在催化剂回收和产物提纯等问题,因此有; 必要研究多相不对称氢甲酰化反应催化剂.本文使用乙烯基修饰的BINAP配体5,5'-divinyl-BINAP与具有不同结构的共聚单体二乙烯基苯或; 1,3,5-三乙烯基苯基苯共聚,得到具有不同孔结构的聚合物Poly-1和Poly-2.为了比较,利用线性共聚单体乙二醇二甲基丙烯酸甲酯与乙烯基; BINAP共聚得到聚合物Poly-3.上述三种聚合物材料负载金属Rh后,用作苯乙烯不对称氢甲酰化反应的催化剂.固体13C核磁分析表明,三种聚合物; 材料负载金属后仍然保持较为稳定的C骨架结构.通过31P核磁可以看到,嵌入在材料骨架中的BIANP仍然保持未被氧化的状态.N2物理吸附结果发现Po; ly-1和Poly-2具有较大的比表面积和孔体积,而; Poly-3的比表面积最小.热重分析显示,这些材料具有较高的热稳定性.在不同反应溶剂中催化剂活性差异较大.通过优化反应温度和合成气压力后,催化剂; Rh/Poly-1在80 °C和0.2; MPa下产物的对映体选择性可高达58.9%,支链醛与直链醛的比值为8.5;而在相同反应条件下,均相催化剂Rh-BINAP的ee值仅为35.3%,; 但高于Rh/Poly-3.这是由于三个多相催化剂骨架中BINAP周围环境不同所致.前两个催化剂中,BINAP与空间位阻较大的单体相连接,使得反应; 底物按照特定方向与催化活性位点接触,形成了类似于手性口袋的结构.而Rh/Poly-3中,BIANP周围是线性的共聚单体,不能形成有效的手性口袋结; 构.Rh/Poly-1重复使用7次后,催化活性没有显著下降.拓展X射线吸收精细结构表征结果表明,Rh/Poly-1催化剂使用前没有Rh-Rh键存; 在,但经重复使用后,Rh金属部分聚集,生成了Rh-Rh键.球差电镜照片也证实了这一点.A new chiral monomer, (S)-5,5'-divinyl-BINAP, was successfully synthesized and embedded into two different porous organic polymers (Poly-1 and Poly-2). After loading a Rh species, the catalysts were applied for the heterogeneous asymmetric hydroformylation of styrene. Compared with the homogeneous BINAP analogue, the enantioselectivity of Rh/Poly-1 catalyst was drastically increased by approximately 70%. The improved enantioselectivity of the porous Rh/BINAP polymers was attributed to the presence of flexible chiral nanopockets resulting from the increased bulk of the R groups near the catalytic center. (C) 2017, Dalian Institute of Chemical Physics, Chinese Academy of Sciences. Published by Elsevier B.V. All rights reserved.Strategic priority Research Program of the Chinese Academy of Sciences; [XDB17020400