Credit dynamics in a first passage time model with jumps

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in [Overbeck and Schmidt, 2005] to address these issues. In the extended a model, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility. Using a representation of the credit quality process as a time-changed Brownian motion, we derive formulas for conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy-driven Ornstein-Uhlenbeck process. We show that jumps in the volatility translate into jumps in credit spreads. We examine the dynamics of the OS-model and the extended model and provide examples. --gap risk,credit spreads,credit dynamics,first passage time models,Lévy processes,general Ornstein-Uhlenbeck processes

Credit gap risk in a first passage time model with jumps

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models, we consider a model that addresses these issues. The principal idea is to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility. Using a representation of the credit quality process as a time-changed Brownian motion, one can derive formulas for conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy-driven Ornstein-Uhlenbeck process. The model can be implemented efficiently using a technique called Panjer recursion. Calibration to a wide range of dynamics is supported. We illustrate the effectiveness of the model by valuing a leveraged credit-linked note. --gap risk,credit spreads,credit dynamics,first passage time models,stochastic volatility,general Ornstein-Uhlenbeck processes

Synthesis and catalytic performance of CeOCl in Deacon reaction

Surface chlorinated CeO2 is an efficient material for HCl oxidation, which raises the question whether an oxychloride phase could be also active in the same reaction. CeOCl was synthesized by solid state reaction of cerium oxide with anhydrous cerium chloride and tested in HCl oxidation using various feed compositions at 703 K. X-ray diffraction of post-reaction samples revealed that CeOCl is unstable, in both oxygen-rich and -lean conditions. Applying oxygen over-stoichiometric feeds led to complete transformation of CeOCl into CeO2. Considerable HCl conversions were obtained only after this transformation, which confirms the essential role of bulk cerium oxide in this catalytic system

How are turbulent sensible heat fluxes and snow melt rates affected by a changing snow cover fraction?

The complex interaction between the atmospheric boundary layer and the heterogeneous land surface is typically not resolved in numerical models approximating the turbulent heat exchange processes. In this study, we consider the effect of the land surface heterogeneity on the spatial variability of near-surface air temperature fields and on snow melt processes. For this purpose we calculated turbulent sensible heat fluxes and daily snow depth depletion rates with the physics-based surface process model Alpine3D. To account for the effect of a heterogeneous land surface (such as patchy snow covers) on the local energy balance over snow, Alpine3D is driven by twodimensional atmospheric fields of air temperature and wind velocity, generated with the non-hydrostatic atmospheric model Advanced Regional Prediction System. The atmospheric model is initialized with a set of snow distributions [snow cover fraction (SCF) and number of snow patches] and atmospheric conditions (wind velocities) for an idealized flat test site. Numerical results show that the feedback of the heterogeneity of the land surface (snow, no snow) on the near-surface variability of the atmospheric fields result in a significant increase in the mean air temperature ΔTa = 1.8 K (3.7 and 4.9 K) as the SCF is decreased from a continuous snow cover to 55% (25 and 5%). Mean air temperatures over snow heavily increase with increasing initial wind velocities and weakly increase with an increasing number of snow patches. Surface turbulent sensible heat fluxes and daily snow depth depletion rates are strongly correlated to mean air temperatures, leading to 22–40% larger daily snow depth depletion rates for patchy snow covers. Numerical results from the idealized test site are compared with a test site in complex terrain. As slope-induced atmospheric processes (such as the development of katabatic flows) modify turbulent sensible heat fluxes, the variation of the surface energy balance is larger in complex terrain than for an idealized flat test site

Platinum Black by XPS

XPS spectra of Pt black in the as received state showed O and C impurities along with Pt. An in situ treatment by O2 and H2 increased Pt intensity and removed a part of oxygen and carbon impurities. The quasihomogeneous model was used for quantitative evaluation applying atomic sensitivity factors published in the literature (Ref. 1). Decomposition of the O 1s region indicated the presence of adsorbed O, OH, and H2O as well as CO and CO species, whereas the C 1s region could be decomposed to give Pt–C, graphite, CxHy polymer, and oxidized C entitie