Model-free bounds on bilateral counterparty valuation

In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the importance of counterparty default risk for uncollateralized derivatives. The following paper focuses on the pricing of derivatives subject to such counterparty risk. After a succinct introduction to the topic, a brief review of state-of-the-art methods for the calculation of bilateral counterparty value adjustments is presented. Due to some weaknesses of these models, a novel method for the determination of model-free tight lower and upper bounds on these adjustments is presented. It will be shown in detail how these bounds can be easily and eciently calculated by the solution of a corresponding linear optimization problem. It will be illustrated how usual discretization methods like Monte Carlo methods allow to reduce the calculation of bounds to an ordinary finite dimensional transportation problem, whereas a continuous time approach will lead to a general mass transportation problem. The paper is closed with several applications of these model-free bounds, like stress-testing and estimation of model reserves.Counterparty risk, CVA, model risk

Access to finance and venture capital for industrial SMEs

SMEs play a crucial role for European economies. The numbers show the high importance of SMEs for national economies. Accordingly, it is no surprise that the regulatory framework SMEs are imbedded in is the subject of an important political discussion. In the discussion it is frequently mentioned by representatives of SMEs as well as associations of SMEs, that the access to finance for SMEs is still inferior. Based on the importance of SMEs for national economies and the discussion on the accessibility of financial resources for SMEs, it is the main objective of this study to provide solid data on the access of SMEs to financial resources. To provide the data, the study is focusing on four main issues. First of all, the importance of SMEs for national economies will be shown. After that the financing of SMEs in selected countries will be analysed. Then the availability of venture capital for SMEs will be discussed. Finally the tax regimes and the influence of the tax system on the access to finance for SMEs will be analysed. Since there is still a large variety among the tax systems of the European Union member states, the study has focused on Austria, France, Germany, Poland and the United Kingdom. --SME,financial structure,venture capital,tax framework,accounting standards

Propagation in 3D spiral-arm cosmic-ray source distribution models and secondary particle production using PICARD

We study the impact of possible spiral-arm distributions of Galactic cosmic-ray sources on the flux of various cosmic-ray nuclei throughout our Galaxy. We investigate model cosmic-ray spectra at the nominal position of the sun and at different positions within the Galaxy. The modelling is performed using the recently introduced numerical cosmic ray propagation code \textsc{Picard}. Assuming non-axisymmetric cosmic ray source distributions yields new insights on the behaviour of primary versus secondary nuclei. We find that primary cosmic rays are more strongly confined to the vicinity of the sources, while the distribution of secondary cosmic rays is much more homogeneous compared to the primaries. This leads to stronger spatial variation in secondary to primary ratios when compared to axisymmetric source distribution models. A good fit to the cosmic-ray data at Earth can be accomplished in different spiral-arm models, although leading to decisively different spatial distributions of the cosmic-ray flux. This results in very different cosmic ray anisotropies, where even a good fit to the data becomes possible. Consequently, we advocate directions to seek best fit propagation parameters that take into account the higher complexity introduced by the spiral-arm structure on the cosmic-ray distribution. We specifically investigate whether the flux at Earth is representative for a large fraction of the Galaxy. The variance among possible spiral-arm models allows us to quantify the spatial variation of the cosmic-ray flux within the Galaxy in presence of non-axisymmetric source distributions.Comment: 38 pages, 16 figures, accepted for publication in Astroparticle Physic

Parameter-induced uncertainty quantification of soil N 2 O, NO and CO 2 emission from Höglwald spruce forest (Germany) using the LandscapeDNDC model

Assessing the uncertainties of simulation results of ecological models is becoming increasingly important, specifically if these models are used to estimate greenhouse gas emissions on site to regional/national levels. Four general sources of uncertainty effect the outcome of process-based models: (i) uncertainty of information used to initialise and drive the model, (ii) uncertainty of model parameters describing specific ecosystem processes, (iii) uncertainty of the model structure, and (iv) accurateness of measurements (e.g., soil-atmosphere greenhouse gas exchange) which are used for model testing and development. The aim of our study was to assess the simulation uncertainty of the process-based biogeochemical model LandscapeDNDC. For this we set up a Bayesian framework using a Markov Chain Monte Carlo (MCMC) method, to estimate the joint model parameter distribution. Data for model testing, parameter estimation and uncertainty assessment were taken from observations of soil fluxes of nitrous oxide (N2O), nitric oxide (NO) and carbon dioxide (CO2) as observed over a 10 yr period at the spruce site of the Höglwald Forest, Germany. By running four independent Markov Chains in parallel with identical properties (except for the parameter start values), an objective criteria for chain convergence developed by Gelman et al. (2003) could be used. Our approach shows that by means of the joint parameter distribution, we were able not only to limit the parameter space and specify the probability of parameter values, but also to assess the complex dependencies among model parameters used for simulating soil C and N trace gas emissions. This helped to improve the understanding of the behaviour of the complex LandscapeDNDC model while simulating soil C and N turnover processes and associated C and N soil-atmosphere exchange. In a final step the parameter distribution of the most sensitive parameters determining soil-atmosphere C and N exchange were used to obtain the parameter-induced uncertainty of simulated N2O, NO and CO2 emissions. These were compared to observational data of an calibration set (6 yr) and an independent validation set of 4 yr. The comparison showed that most of the annual observed trace gas emissions were in the range of simulated values and were predicted with a high certainty (Root-mean-squared error (RMSE) NO: 2.4 to 18.95 g N ha−1 d−1, N2O: 0.14 to 21.12 g N ha−1 d−1, CO2: 5.4 to 11.9 kg C ha−1 d−1). However, LandscapeDNDC simulations were sometimes still limited to accurately predict observed seasonal variations in fluxes

Untersuchungen zur Wirkung von alternativen Saatgutbehandlungsmitteln gegen den Schneeschimmel an Weizen

Der Schneeschimmel (Microdochium nivale) ist eine wichtige samenbürtige Krankheit in der ökologischen Weizen-, Triticale- und Roggenproduktion. Sie führt besonders bei niedrigen Bodentemperaturen zu einem geringeren Feldaufgang. Einige wirksame Saatgutbehandlungen für die ökologische Landwirtschaft wurden bereits gefunden. In der vorliegenden Studie wurden auch neue Saatgutbehandlungen geprüft. In beiden Jahren zeigten die Saatgutbehandlungsmethoden gute Ergebnisse, indem der Feldaufgang verbessert wurde. Die beste Ergebnisse zeigte die Warmwasserbehandlung

Gibt es bei Körnererbsen Sortenunterschiede in der Anfälligkeit gegenüber bodenbürtigen Krankheiten?

Soil borne diseases cause damage in production of peas on many organic farms. Several varieties and breeding lines from Czech Republic and the United States were compared with German varieties in naturally infected soils. Because of very dry weather conditions a field trial with spring peas did not show diseases. In pot trials some varieties with colored flowers (containing tannine) and some winter peas were included in the trials. Some genotypes showed a tendency to a lower level of infection and to higher plant weights compared to plants grown in soil being treated with heat. But in most cases there were no statistic significances. Nevertheless there is a potential for plant breeding to develop peas varieties with a better tolerance against soil borne diseases. Differential diagnosis can be used for testing varieties

Untersuchungen zur Wirkung von alternativen Saatgutbehandlungsmitteln gegen die Netzfleckenkrankheit der Gerste

Die Netzfleckenkrankheit der Gerste (Drechslera teres) ist eine wichtige samenbürtige Krankheit im der ökologischen Sommergerstenproduktion. Einige wirksame Saatgutbehandlungen für die ökologische Landwirtschaft wurden bereits gefunden. Essigsäure als neue Saatgutbehandlung war die wirksamste Behandlung in den Versuchen, die von 2007 bis 2009 stattfanden. Die Reduzierung der Wassermenge von 4 auf 2 Liter pro 100 kg Saatgut in der Ethanol-Behandlung (70%)führte zu einer geringeren Wirkung. Diese Wirkung konnte durch den Einsatz von Haftmitteln nicht verbessert werden. Die Methode der Ethanol-Behandlung hatte eine sichtbare Wirkung auf den Krankheitsbefall. Saatgut, das direkt nach der Behandlung getrocknet wurde, zeigte einen höheren Befall mit Netzflecken als Saatgut, das nach der Behandlung langsamer getrocknet wurde

Preprosubtilisin Carlsberg processing and secretion is blocked after deletion of amino acids 97-101 in the mature part of the enzyme

During an investigation into the substrate specificity and processing of subtilisin Carlsberg from Bacillus licheniformis, two major independent findings were made: (i) as has been shown previously, a stretch of five amino acids (residues 97-101 of the mature enzyme) that loops out into the binding cleft is involved in substrate binding by subtilisin Carlsberg. In order to see whether this loop element also determines substrate specificity, the coding region for these five amino acids was deleted from the cloned gene for subtilisin Carlsberg by site-directed mutagenesis. Unexpectedly the resulting mutant preproenzyme (P42c, Mr=42 kDa) was not processed to the mature form (Mr = 30 kDa) and was not released into the medium by a proteasedeficient B. subtilis host strain; rather, it accumulated in the cell membrane. This result demonstrates that the integrity of this loop element, which is very distant from the processing cleavage sites in the preproenzyme, is required for secretion of subtilisin Carlsberg. (ii) In culture supernatants from B. subtilis harbouring the cloned wild-type subtilisin Carlsberg gene the transient appearance (at 0-3 h after onset of stationary phase) of a processing intermediate (P38c, Mr = 38 kDa) oftbis protease could be demonstrated. P38c very probably represents a genuine proform of subtilisin Carlsberg