Could the subprime crisis have been predicted? A mortgage risk modeling approach

The abnormally high mortgage default rates that became apparent in early 2007 were not foreseen in June 2005, when mortgage production reached its peak. Could the significant increase in mortgage defaults and the resultant subprime crisis have been predicted? This paper develops a mortgage-level predictive model for mortgage default and delinquency rates, based on a logistic regression and Markov chain framework. The results are compared against actual mortgage level default data and provide strong evidence that the high US nonprime mortgage default rates which triggered the crisis were already predictable in mid-2005 using historical data only available at the time

Constant Proportion Portfolio Insurance Strategies under Cumulative Prospect Theory with Reference Point Adaptation

Constant Proportion Portfolio Insurance (CPPI) is a significant and highly popular investment strategy within the structured product market. This has led to recent work which attempts to explain the popularity of CPPI by showing that it is compatible with Cumulative Prospect Theory (CPT). We demonstrate that this cannot explain the popularity of ratcheted CPPI products which lock-in gains during strong growth in the portfolio. In this paper we conjecture that CPPI investors not only follow CPT, but crucially that they also adapt their reference point over time. This important distinction explains investors preference for ratcheted product

Periodicities of FX Markets in Intrinsic Time

This paper utilises advanced methods from Fourier Analysis in order to describe financial ultra-high frequent transaction data. The Lomb-Scargle Fourier Transform is used to take into account the irregularity in spacing in the time-domain. It provides a natural framework for the power spectra of different inhomogeneous time series processes to be easily and quickly estimated,without significant computational effort, in contrast to the common econometric approaches in the finance literature. An event-based approach (intrinsic time), which by its own nature is inhomogeneous in time, is employed using different event thresholds to filter the foreign exchange tick-data leading to a power-law relationship. The calculated spectral density demonstrates that the price process in intrinsic time contains different periodic components, especially in the medium-long term, implying the existence of new stylised facts of ultra-high frequency data in the frequency domain

How does CPPI perform against the simplest guarantee strategies?

Capital protected structured products are popular with both investors and investment banks. A number of strategies ranging in complexity and cost exist that provide a minimum guaranteed payoff at maturity. In this paper the performance of Constant Proportion Portfolio Insurance (CPPI), a major strategy in the market, is evaluated against two simple strategies: a risk-free and a gapless investment. The CPPI strategy is general, allowing for discrete monitoring of trading ranges, ratchet features and leverage constraints. The risky asset is modelled as an asymmetric GARCH process. The CPPI’s performance against these simple strategies is found to be inferior in the majority of cases and deteriorates further with the inclusion of management fees and costs. Moreover, under various risk adjusted performance ratios the CPPI is dominated by the simple gapless (buy-and-hold) strategy

A path-independent approach to integrated variance under the CEV model

In this paper, a closed form path-independent approximation of the fair variance strike for a variance swap under the constant elasticity of variance (CEV) model is obtained by applying the small disturbance asymptotic expansion. The realized variance is sampled continuously in a risk-neutral market environment. With the application of a Brownian bridge, we derive a theorem for the conditionally expected product of a Brownian motion at two different times for arbitrary powers. This theorem enables us to provide a conditional Monte-Carlo scheme for simulating the fair variance strike. Compared with results in the recent literature, the method outlined in our paper leads to a simplified approach for pricing variance swaps. The method may also be applied to other more sophisticated volatility derivatives. An empirical comparison of this model with the Heston model and a conditional Monte Carlo scheme is also presented using option data on the S&P 500

Pricing Extendible Options Using the Fast Fourier Transform

This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible options). We determine the valuation of the extendible options as sums of expectations of indicator functions, leading to a semianalytic expression for the value of the options over a range of strikes. Compared to Monte Carlo simulation, numerical examples demonstrate that the FFT is both computationally more efficient and higher in accuracy.</jats:p

Mechanical characterisation of Duraform® Flex for FEA hyperelastic material modelling

Laser Sintering (LS) is widely accepted as a leading additive manufacturing process with a proven capability for manufacturing complex lattice structures using a group of specially developed powder based materials. However, to date, very little research has been directed towards achieving greater knowledge of the properties of the elastomeric materials that can be used to produce energy absorbent items such as personalised sports helmets and running shoes via the LS technique. This paper will contribute to addressing this knowledge gap by examining the material properties and characteristics of Duraform ® Flex, a commercially available elastomeric material used for such LS applications. A 3D Systems HiQ machine fitted with a closed loop thermal control system was employed, together with a number of the advanced processing options available in the operating software. In order to measure the mechanical properties of this material, sets of ISO standard tensile test specimens were fabricated, employing a range of different manufacturing processing parameters. The result shows that varying key LS processing parameters such as powder bed temperature, laser power and the number of scanning exposures has a significant impact on the mechanical properties of the resulting part, including its ultimate strength and elongation at break. As LS is a layer manufacturing process, part properties are found to vary considerably between the horizontal (X-Y) and vertical (Z) build orientations. The paper demonstrates how the measured tensile stress-strain curve can be transformed into appropriate hyperelastic material models employing the data curve fitting process in PTC Creo 2.0 Simulate software, and how these material models can be used practically to match user requirements for the laser sintered parts, leading to design optimisation for both bulky solid and lightweight lattice components. The paper concludes with a discussion examining the potential future direction of the research. © 2014 Elsevier Ltd. All rights reserved

Early Sports Specialization: An International Perspective

The physical activity required for most sports has numerous health benefitsVphysical, mental, and academic (5,22,35). Some young athletes specialize in a single sport, while others play multiple sports throughout adolescence. Primary reasons to specialize early include enjoying that single sport; lifestyle access to a particular sport, such as running (34); hope for financial or other special success; or parental pressure. Regions with few resources expect organized sports may provide a safer environment for physical activity than the outdoor neighborhood (e.g., South Africa and Brazil) or increase government-supplied resources to youth sports organizations based on the number of children enrolled (Australia (1)). Recent concerns by sports medicine experts have sparked debate about the wisdom of early sports specialization (3Y6,21,36), but virtually no solid data have been published to inform caregivers, coaches, and families about possible risks and benefits. Sports specialization below the age of 18 yr has been suggested to increase injury risk, decrease social opportunity, and impair life satisfaction (4,16). Additional review articles (23,24) and consensus statements by major sports medicine organizations (3Y5,8,21,36) suggest that early specialization is a culprit potentially leading to adults with history of excessive injuries and limited social opportunity, even suggesting dire consequences (24). However, research supporting these statements is minimal or absent

Recommendations for Face Coverings While Exercising During the COVID-19 Pandemic

In an effort to reduce transmission and number of infections of the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2 or COVID-19) virus, governments and official bodies around the world have produced guidelines on the use of face masks and face coverings. While there is a growing body of recommendations for healthcare professionals and the wider population to use facial protection in “enclosed spaces” where minimal distancing from other individuals is not possible, there is a dearth of clear guidelines for individuals undertaking exercise and sporting activity. The present viewpoint aims to propose recommendations for face coverings while exercising during the COVID-19 pandemic that consider physical distancing, the environment, the density of active cases associated with the specific sports activity, and the practical use of face coverings in order to reduce potential viral transmission. Recommendations are provided on the basis of very limited available evidence in conjunction with the extensive collective clinical experience of the authors and acknowledging the need to consider the likelihood of the presence of the SARS-CoV-2 in the general population. We recommend that face coverings should be used in any environment considered to be of a high or moderate transmission risk, where tolerated and after individual risk assessment. In addition, as national caseloads fluctuate, individual sporting bodies should consider up to date guidance on the use of face coverings during sport and exercise, alongside other preventative measures

Training in infectious diseases across Europe in 2021 - a survey on training delivery, content and assessment

Objectives: To define the status of infectious diseases (ID) as an approved specialty in Europe; to enumerate the number of specialists (in general and in relation to the overall population) and specialist trainees and describe the content, delivery and evaluation of postgraduate training in ID in different countries.Methods: Structured web-based questionnaire surveys in March 2021 of responsible national authorities, specialist societies and individual country representatives to the Section of Infectious Diseases of the European Union for Medical Specialties. Descriptive analysis of quantitative and qualitative responses.Results: In responses received from 33/35 (94.3%) countries, ID is recognized as a specialty in 24 and as a subspecialty of general internal medicine (GIM) in eight, but it is not recognized in Spain. The number of ID specialists per country varies from <5 per million inhabitants to 78 per million inhabitants. Median length of training is 5 years (interquartile range 4.0–6.0 years) with variable amounts of preceding and/or concurrent GIM. Only 21.2% of countries (7/33) provide the minimum recommended training of 6 months in microbiology and 30% cover competencies such as palliative care, team working and leadership, audit, and quality control. Training is monitored by personal logbook or e-portfolio in 75.8% (25/33) and assessed by final examinations in 69.7% (23/33) of countries, but yearly reviews with trainees only occur in 54.5% (18/33) of countries.Conclusions: There are substantial gaps in modernization of ID training in many countries to match current European training requirements. Joint training with clinical microbiology (CM) and in multidisciplinary team working should be extended. Training/monitoring trainers should find greater focus, together with regular feedback to trainees within many national training programmes.peer-reviewe