Impact of the first to default time on Bilateral CVA

We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Valuation Adjustment (CVA)'s formulas as seen from the two different parties in the transaction. This formula is only a simplified representation of bilateral risk and ignores that upon the first default closeout proceedings are ignited. As such, it involves double counting. We compare this formula with the fully specified bilateral risk formula, where the first to default time is taken into account. The latter correct formula depends on default dependence between the two parties, whereas the simplified one does not. We also analyze a candidate simplified formula in case the replacement closeout is used upon default, following ISDA's recommendations, and we find the simplified formula to be the same as in the risk free closeout case. We analyze the error that is encountered when using the simplified formula in a couple of simple products: a zero coupon bond, where the exposure is unidirectional, and an equity forward contract where exposure can go both ways. For the latter case we adopt a bivariate exponential distribution due to Gumbel to model the joint default risk of the two parties in the deal. We present a number of realistic cases where the simplified formula differs considerably from the correct one

Preliminary Energy Audit of the Historical Building of the School of Engineering and Architecture of Bologna

AbstractEnergy efficiency has become a common target for every building: the European Directive 2010/31 provides that by 2020 every new building must consume very little fossil energy (Nearly Zero Energy Building) and from 2018 also public buildings will have to meet this requirement. Although the objectives imposed by the new legislative references are very clear, modify the existing heritage in many cases is not easy. For example, many buildings, including public ones, in addition to consuming a lot of energy, are also constrained by the Superintendence for Architectural, Landscape, Historical and Artistic Assets; therefore it becomes difficult to improve their energy performance. This paper presents a preliminary energy audit of the historical building of the School of Engineering and Architecture in Bologna (Italy). It was built in the 30s, is one of several public buildings of particular historical and architectural interest for the city of Bologna and it is constrained architecturally. Special attention has been focused on the energy consumption for heating during the winter season. The audit was carried out taking into account the European standard EN 15603, using the method of energy signature based on actual consumption. The results of the energy analysis show an energy saving of about 15% with operations building management and over 30% with improvements of the heating system and the windows

Risky funding: a unified framework for counterparty and liquidity risk

We analyze the liquidity component in a derivative transaction where both counterparties can default, and the effect of a counterparty's default probability on his funding costs and benefits. The analysis shows that the value of a transaction is influenced not by the total cost of funding of a counterparty, but only by that component of the cost of funding corresponding to his bond-CDS basis spread, and this regulates which trades are possible in the market. Moreover, we find that the DVA can be represented as a funding benefit for the borrower, alternatively to the market standard that considers it a benefit coming from the borrower's own default risk

An Innovative Configuration for CO2 Capture by High Temperature Fuel Cells

Many technological solutions have been proposed for CO 2 capture in the last few years. Most of them are characterized by high costs in terms of energy consumption and, consequently, higher fossil fuel use and higher economic costs. High temperature fuel cells are technological solutions currently developed for energy production with low environmental impact. In CIRIAF—University of Perugia labs, cylindrical geometry, small-sized molten carbonate fuel cell (MCFC) prototypes were built and tested with good energy production and lifetime performances. In the present work, an innovative application for MCFCs is proposed, and an innovative configuration for CO 2 capture/separation is investigated. The plant scheme is based on a reformer and a cylindrical MCFC. MCFCs are the most suitable solutions, because CO 2 is used in their operating cycle. An analysis in terms of energy consumption/kgCO 2 captured is made by coupling the proposed configuration with a gas turbine plant. The proposed configuration is characterized by a theoretical energy consumption of about 500 kJ/kgCO 2 , which is quite lower than actual sequestration technologies. An experimental campaign will be scheduled to verify the theoretical findings

Assembly and functional analysis of an S/MAR based episome with the cystic fibrosis transmembrane conductance regulator gene

Improving the efficacy of gene therapy vectors is still an important goal toward the development of safe and efficient gene therapy treatments. S/MAR (scaffold/matrix attached region)-based vectors are maintained extra-chromosomally in numerous cell types, which is similar to viral-based vectors. Additionally, when established as an episome, they show a very high mitotic stability. In the present study we tested the idea that addition of an S/MAR element to a CFTR (cystic fibrosis transmembrane conductance regulator) expression vector, may allow the establishment of a CFTR episome in bronchial epithelial cells. Starting from the observation that the S/MAR vector pEPI-EGFP (enhanced green fluorescence protein) is maintained as an episome in human bronchial epithelial cells, we assembled the CFTR vector pBQ-S/MAR. This vector, transfected in bronchial epithelial cells with mutated CFTR, supported long term wt CFTR expression and activity, which in turn positively impacted on the assembly of tight junctions in polarized epithelial cells. Additionally, the recovery of intact pBQ-S/MAR, but not the parental vector lacking the S/MAR element, from transfected cells after extensive proliferation, strongly suggested that pBQ-S/MAR was established as an episome. These results add a new element, the S/MAR, that can be considered to improve the persistence and safety of gene therapy vectors for cystic fibrosis pulmonary disease