Cheapest-to-Deliver Collateral: A Common Factor Approach

The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Quantification of the option's value is of practical importance but remains challenging under the assumption of stochastic rates, as it is determined by an intractable distribution which requires involved approximations. Indeed, many practitioners still rely on deterministic spreads between the rates for valuation. We develop a scalable and stable stochastic model of the collateral spreads under the assumption of conditional independence. This allows for a common factor approximation which admits analytical results from which further estimators are obtained. We show that in modelling the spreads between collateral rates, a second order model yields accurate results for the value of the collateral choice option. The model remains precise for a wide range of model parameters and is numerically efficient even for a large number of collateral currencies.Comment: 23 pages, 4 figures, 4 table

Persistent left superior vena cava with an absent right superior vena cava in a 72-year-old male with multivessel coronary artery disease

Congenital anomalies of systemic veins are usually asymptomatic and foundincidentally during ultrasonography, computed tomography (CT) or magneticresonance examinations performed for other clinical indications. Persistent leftsuperior vena cava (PLSVC) with absent right superior vena cava (RSVC) is thecongenital aberration in the thoracic venous system which occurs in only 0.09%to 0.13% of patients who have congenital heart defects. In this paper, we presentthe extremely rare case of a 72-year-old male with PLSVC associated withan absence of RSVC, referred for coronary CT angiography. Multidetector CTangiography is a powerful tool for the detection of venous anomalies, which isessential before invasive procedures such as the implantation of pacemakers

Prevalence of congenital coronary artery anomalies and variants in 726 consecutive patients based on 64-slice coronary computed tomography angiography

  Background: Coronary computed tomography angiography (CCTA) is helpful in making a precise noninvasive evaluation of coronary anatomy, allowing concomitant evaluation of other cardiac structures. The aim of this study was to determine the prevalence of coronary artery variations detected by 64-slice mutidetector CT. Materials and methods: The results of ECG-gated CCTA in 726 consecutive patients (mean age 58 years) were analysed retrospectively. The main indicationsfor CCTA were a typical chest pain, angina pectoris, screening for coronary artery disease and determination of the patency of bypass grafts or stents. Acquisitionwas performed with a 64-detector CT scanner with retrospective ECG gating. Imaging results were assessed by experienced cardiovascular radiologist. Results: The overall incidence of coronary artery anomalies was 1.1% (8 out of 726 participants). The most common anomaly was an anomalous origin of the circumflex artery from the right coronary sinus with a retroaortic course (4 patients,0.6%), followed by origin of right coronary artery from the left coronary sinus (2 patients, 0.3%). One patient with abnormal origin of the left main artery from the right coronary sinus (0.1%) and 1 patient with a circumflex artery origin from the proximal segment of the right coronary artery (0.1%) were observed, both with retroartic course. Conclusions: CCTA is a noninvasive imaging technique useful for the precise evaluation of variations of the coronary arteries. This study shows similar results to other reports on this subject.

Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy

We study a hybrid model of Sch¨obel-Zhu-Hull-White-type from a singular-perturbationanalysis perspective. The merit of the paper is twofold: On one hand, we find boundary conditions for the deterministic non-linear degenerate parabolic partial differential equation for the evolution of the stock price. On the other hand, we combine two-scales regular- and singular-perturbation techniques to find an approximate solution to the pricing PDE. The aim is to produce an expression that can be evaluated numerically very fast

Sensitivities and Hedging of the Collateral Choice Option

The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset valuation. Because of the complexity of valuing the option, many practitioners resort to deterministic assumptions on the collateral rates. In this article, we focus on a valuation model of the collateral choice option based on stochastic dynamics. Intrinsic differences in the resulting collateral choice option valuation and its implications for collateral management are presented. We obtain sensitivities of the collateral choice option price under both the deterministic and the stochastic model, and we show that the stochastic model attributes risks to all involved collateral currencies. Besides an inability to capture volatility effects, the deterministic model exhibits a digital structure in which only the cheapest-to-deliver currency influences the valuation at a given time. We further consider hedging an asset with the collateral choice option by a portfolio of domestic and foreign zero-coupon bonds that do not carry the collateral choice option. We propose static hedging strategies based on the crossing times of the deterministic model and based on variance-minimization under the stochastic model. We show how the weights of this model can be explicitly determined with the semi-analytical common factor approach and we show in numerical experiments that this strategy offers good hedging performance under minimized variance

Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments

Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, it can be challenging to compute WWR efficiently. We propose to split the relevant exposure profile into two parts: an independent part and a WWR-driven part. For the first part, already available exposures can be used where correlations between the funding spread and market risks are ignored. We express the second part of the exposure profile in terms of the stochastic drivers and approximate these by a common Gaussian stochastic factor. The proposed approximation is generic, is an add-on to the existing xVA calculations and provides an efficient and robust way to include WWR in FVA modelling. Furthermore, the approximation provides some intuition on WWR. Case studies are presented for an interest rate swap and a representative multi-currency portfolio of swaps. They illustrate that the approximation method is applicable in a practical setting due to its generic nature. We analyze the approximation error and illustrate how the approximation can be used to compute WWR sensitivities, which are needed for risk management

ECFA Detector R&D Panel, Review Report

Two special calorimeters are foreseen for the instrumentation of the very forward region of an ILC or CLIC detector; a luminometer (LumiCal) designed to measure the rate of low angle Bhabha scattering events with a precision better than 10$^{-3}$ at the ILC and 10$^{-2}$ at CLIC, and a low polar-angle calorimeter (BeamCal). The latter will be hit by a large amount of beamstrahlung remnants. The intensity and the spatial shape of these depositions will provide a fast luminosity estimate, as well as determination of beam parameters. The sensors of this calorimeter must be radiation-hard. Both devices will improve the e.m. hermeticity of the detector in the search for new particles. Finely segmented and very compact electromagnetic calorimeters will match these requirements. Due to the high occupancy, fast front-end electronics will be needed. Monte Carlo studies were performed to investigate the impact of beam-beam interactions and physics background processes on the luminosity measurement, and of beamstrahlung on the performance of BeamCal, as well as to optimise the design of both calorimeters. Dedicated sensors, front-end and ADC ASICs have been designed for the ILC and prototypes are available. Prototypes of sensor planes fully assembled with readout electronics have been studied in electron beams.Comment: 61 pages, 51 figure

An improved measurement of muon antineutrino disappearance in MINOS

We report an improved measurement of muon anti-neutrino disappearance over a distance of 735km using the MINOS detectors and the Fermilab Main Injector neutrino beam in a muon anti-neutrino enhanced configuration. From a total exposure of 2.95e20 protons on target, of which 42% have not been previously analyzed, we make the most precise measurement of the anti-neutrino "atmospheric" delta-m squared = 2.62 +0.31/-0.28 (stat.) +/- 0.09 (syst.) and constrain the anti-neutrino atmospheric mixing angle >0.75 (90%CL). These values are in agreement with those measured for muon neutrinos, removing the tension reported previously.Comment: 5 pages, 4 figures. In submission to Phys.Rev.Let