2,517 research outputs found
Credit risk tools: an overview
This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS), standardized and bespoke collateralized debt obligations (CDO) and, in general, for any credit risk exposed A/L portfolio.\\ In this brief work we compute the market implied probability of default (PD) from market spreads and the theoretical CDS spreads from historical default frequencies. The loss given default (LGD) probability distribution has been constructed for a large pool portfolio of credit obligations exploiting a single-factor gaussian copula with a direct convolution algorithm computed at several default correlation parameters. Theoretical CDO tranche prices have been calculated. We finally design stochastic cash-flow stream model simulations to test fair pricing, compute credit value at risk (CV@R) and to evaluate the one year total future potential exposure (FPE) and derive the value at risk (V@R) for a CDO equity tranche exposure.interest rate swap, spot rate term structure, credit default swap, probability of default, copula function, direct convolution, loss given default, collateralized debt obligation, exposure at default, stochastic cash-flow stream model, value at risk, credit value at risk, future potential exposure, Monte Carlo simulation.
On boosted space-times with cosmological constant and their ultrarelativistic limit
The problem of deriving a shock-wave geometry with cosmological constant by
boosting a Schwarzschild-de Sitter (or anti-de Sitter) black hole is
re-examined. Unlike previous work in the literature, we deal with the exact
Schwarzschild-de Sitter (or anti-de Sitter) metric. By virtue of peculiar
cancellations in this exact calculation, where the metric does not depend
linearly on the mass parameter, we find a singularity of distributional nature
on a null hypersurface, which corresponds to a shock-wave geometry derived in a
fully non-perturbative way. The result agrees with previous calculations, where
the metric had been linearized in the mass parameter.Comment: 13 pages, Latex file. In the final version, the presentation has been
improved, and two references have been adde
Non-commutative Einstein equations and Seiberg-Witten map
The Seiberg--Witten map is a powerful tool in non-commutative field theory,
and it has been recently obtained in the literature for gravity itself, to
first order in non-commutativity. This paper, relying upon the pure-gravity
form of the action functional considered in Ref. 2, studies the expansion to
first order of the non-commutative Einstein equations, and whether the
Seiberg--Witten map can lead to a solution of such equations when the
underlying classical geometry is Schwarzschild.Comment: 6 and 1/2 pages, based on talk prepared for the Friedmann Seminar,
May-June 2011. In the final version, the presentation has been improved,
including a better notatio
La fine di Orfeo e le matres / nurus Ciconum: tra Virgiio e Ovidio
Virgilio, in georg. IV 520, definisce le artefici dell’uccisione di Orfeo matres Ciconum.
Ovidio (met. XI 3), che pure non ne nega la natura speciale di baccanti, le definisce
nurus Ciconum e così sottolinea la loro condizione di fanciulle da marito, che hanno
subito l’onta del rifiuto da colui al quale intendevano unirsi. Tra una versione e l’altra,
cambia la caratterizzazione delle donne punitrici, in Virgilio generiche donne (matrone),
in Ovidio nubiles o sponsae. Si tratta, da parte di Ovidio, di un’abile e sottile modifica,
che sposta il tono della scena dalla sacralitĂ del resoconto virgiliano al contesto, tutto
umano, di una vendetta per un amore non corrisposto.
Virgil, at georg. IV 520, defines the murderers of Orpheus as matres Ciconum. Ovid
(met. XI 3), which also does not negate their special nature of Bacchantes, calls them
nurus Ciconum and so underlines their status as girls of marriageable age, who suffered
the shame of rejection by those to whom they intended to join. Between the two versions
of what happened, occurs a change concerning to characterizations of women authors of
the punishment, which in Virgil are generic women (matronae), while in Ovid become
nubiles or sponsae. Ovid, therefore, makes a clever and subtle change, which shifts the
tone of the scene, from the sacredness of the story as narrated in Virgil, to a purely human
revenge for an unrequited love, which seems to be the keynote of the ovidian tale
Single-tree detection in high-density LiDAR data from UAV-based survey
UAV-based LiDAR survey provides very-high-density point clouds, which involve very rich information about forest detailed structure, allowing for detection of individual trees, as well as demanding high computational load. Single-tree detection is of great interest for forest management and ecology purposes, and the task is relatively well solved for forests made of single or largely dominant species, and trees having a very evident pointed shape in the upper part of the canopy (in particular conifers). Most authors proposed methods based totally or partially on search of local maxima in the canopy, which has poor performance for species that have flat or irregular upper canopy, and for mixed forests, especially where taller trees hide smaller ones. Such considerations apply in particular to Mediterranean hardwood forests. In such context, it is imperative to use the whole volume of the point cloud, however keeping computational load tractable. The authors propose the use of a methodology based on modelling the 3D-shape of the tree, which improves performance w.r.t to maxima-based models. A case study, performed on a hazel grove, is provided to document performance improvement on a relatively simple, but significant, case
The variable X-ray emission of PSR B0943+10
The old pulsar PSR B0943+10 (P=1.1 s, characteristic age tau=5 Myr) is the
best example of mode-switching radio pulsar. Its radio emission alternates
between a highly organized state with regular drifting subpulses (B mode) and a
chaotic emission pattern (Q mode). We present the results of XMM-Newton
observations showing that the X-ray properties of PSR B0943+10 depend on its
radio state (Hermsen et al. 2013). During the radio fainter state (Q mode) the
X-ray flux is more than a factor two larger than during the B-mode and X-ray
pulsations with about 50% pulsed fraction are detected. The X-ray emission of
PSR B0943+10 in the B-mode is well described by thermal emission with blackbody
temperature kT=0.26 keV coming from a small hot spot with luminosity of 7x10^28
erg/s, in good agreement with the prediction of the partially screened gap
model, which also explains the properties of the radio emission in this mode.
We derived an upper limit of 46% on the X-ray pulsed fraction in the B-mode,
consistent with the geometry and viewing angle of PSR B0943+10 inferred from
the radio data. The higher flux observed during the Q-mode is consistent with
the appearance of an additional component with a power-law spectrum with photon
index 2.2. We interpret it as pulsed non-thermal X-rays produced in the star
magnetosphere. A small change in the beaming pattern or in the efficiency of
acceleration of the particles responsible for the non-thermal emission can
explain the reduced flux of this component during the radio B-mode.Comment: Accepted for publication in MNRA
Riemann curvature of a boosted spacetime geometry
The ultrarelativistic boosting procedure had been applied in the literature
to map the metric of Schwarzschild-de Sitter spacetime into a metric describing
de Sitter spacetime plus a shock-wave singularity located on a null
hypersurface. This paper evaluates the Riemann curvature tensor of the boosted
Schwarzschild-de Sitter metric by means of numerical calculations, which make
it possible to reach the ultrarelativistic regime gradually by letting the
boost velocity approach the speed of light. Thus, for the first time in the
literature, the singular limit of curvature through Dirac's delta distribution
and its derivatives is numerically evaluated for this class of spacetimes.
Eventually, the analysis of the Kretschmann invariant and the geodesic equation
show that the spacetime possesses a scalar curvature singularity within a
3-sphere and it is possible to define what we here call boosted horizon, a sort
of elastic wall where all particles are surprisingly pushed away, as numerical
analysis demonstrates. This seems to suggest that boosted geometries are ruled
by a sort of antigravity effect since all geodesics seem to refuse to enter the
boosted horizon, even though their initial conditions are aimed at driving the
particles towards the boosted horizon.Comment: 33 pages, 8 figures. In the new version, a section and new references
have been added, and the presentation has been amended and improve
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