Consistent Valuation Across Curves Using Pricing Kernels

The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit and liquidity risk characteristics. The proposed framework precludes arbitrage within each market, while the definition of a curve-conversion factor process links all markets in a consistent arbitrage-free manner. A pricing formula is then derived, referred to as the across-curve pricing formula, which enables consistent valuation and hedging of financial instruments across curves (and markets). As a natural application, a consistent multi-curve framework is formulated for emerging and developed inter-bank swap markets, which highlights an important dual feature of the curve-conversion factor process. Given this multi-curve framework, existing multi-curve approaches based on HJM and rational pricing kernel models are recovered, reviewed and generalised, and single-curve models extended. In another application, inflation-linked, currency-based, and fixed-income hybrid securities are shown to be consistently valued using the across-curve valuation method.Comment: 56 page

Poultry producers’ perceptions of changing market conditions : a field study of the poultry production in Khartoum state of Sudan

Sudan has always showed great potential in the poultry industry, but it has not been until now that this potential has blossomed and is growing quickly. As large agribusinesses1are taking over the market shares within the urban areas, smallholders2 have been put out of business. They are not able to compete with mass production and lack financial assets to improve their production techniques. Contract farming is defined as initiatives from agro industrial companies to secure access to smallholder produce and has in developing countries become a way of allowing the poor to participate in a larger market (Farrington, 1999). The aim with this study was to investigate the suitability of implementing the contract farming concept within the poultry industry in Sudan today. The study is a qualitative field study and the authors have conducted qualitative interviews with respondents involved in the poultry industry in Sudan. For an overall perspective the respondents represented different parts of the poultry industry. The empirical results were later analysed in relation to the assumptions of agency theory. The results found imply that it would be difficult to introduce contract farming in Sudan’s poultry industry today. This is mainly explained by the agribusinesses unwillingness to take on more responsibility as they already are under stress because of government interference. Other findings are that the agribusinesses see no benefits from entering a contract agreement with a smallholder. The study also found that nor the smallholders did see much benefits other than financial from cooperation with the agribusinesses. Political issues cause problems for agribusinesses as well as smallholders, and have created a nervous society where independence seems to be the goal of each party. 1 Agribusiness refers to the various businesses that are connected with producing, preparing and selling farm product (www.dictionary.cambridge.org, 2012). 2 Smallholder refers to farmers operating a farm of 2 ha or less (www.ifpri.org , 2007).Sudan har alltid visat stor potential för kycklingproduktion men det är först nu som denna potential tillåts blomstra och växer snabbt. Då stora företag tar över marknadsandelar i städerna, tvingas småproducenterna lägga ner sin verksamhet. De inte har möjlighet att konkurrera med massproduktion och saknar finansiella tillgångar för att förbättra sina produktionssystem. Kontraktsproduktion definieras som initiativ tagna av stora företag för att säkra tillgången till småföretagarnas produktion och har i utvecklingsländer varit ett sätt för småproducenter att nå en större marknad (Farrington, 1999). Syftet med denna studie var att undersöka lämpligheten att införa kontraktsproduktion inom fjäderfäindustrin i Sudan i dag. Studien är en kvalitativ fältstudie och författarna har genomfört kvalitativa intervjuer med respondenter involverade i Sudans fjäderfäindustri. För ett helhetsperspektiv representerade de intervjuade olika delar av fjäderfäbranschen. De empiriska resultaten analyserades i förhållande till Agenteorins teorier. Resultaten antyder att det skulle vara svårt att införa kontraktsproduktion inom Sudans fjäderfäindustri idag. Detta förklaras främst av att de stora företagens ovilja att ta ett större ansvar, eftersom de redan är under stress på grund av regeringens inblandning. Dessutom ser de stora företagen inga fördelar med att ingå avtal med småproducenter. Studien fann även att även småproducenterna såg få förmåner utöver finansiella från samarbete med stora företag. Politiska problem gör det svårt för både företag och småproducenter och har skapat ett oroligt samhälle där autonomi tycks vara varje parts mål

Evaluating probabilistic programming languages for simulating quantum correlations

This article explores how probabilistic programming can be used to simulate quantum correlations in an EPR experimental setting. Probabilistic programs are based on standard probability which cannot produce quantum correlations. In order to address this limitation, a hypergraph formalism was programmed which both expresses the measurement contexts of the EPR experimental design as well as associated constraints. Four contemporary open source probabilistic programming frameworks were used to simulate an EPR experiment in order to shed light on their relative effectiveness from both qualitative and quantitative dimensions. We found that all four probabilistic languages successfully simulated quantum correlations. Detailed analysis revealed that no language was clearly superior across all dimensions, however, the comparison does highlight aspects that can be considered when using probabilistic programs to simulate experiments in quantum physics.Comment: 24 pages, 8 figures, code is available at https://github.com/askoj/bell-ppl

Carotid Artery Stent Continued Expansion Days After Deployment, Without Post Stent Deployment Angioplasty.

This is a carotid artery stent (CAS) case report, which avoids post-stent deployment angioplasty (Post-SDA), with duplex confirmed continued stent expansion at 1, 3 and 30-day post deployment. This report confirms that self-expanding nitinol stents in the carotid artery may not require Post-SDA. We believe CAS can be performed without Post-SDA, which helps reduce the occurrence of intraoperative hemodynamic depression

Bank-Insurance Integration Level In Ukraine: Science-Methodological Approach

The methodological approach to the assessment of bank-insurance integration (BII) level in Ukraine based on the calculation of integration index using of binary characteristics and matrix analyses instruments is given in the following paper. The proposed approach considers the presence of part (full) integration of bank capital and insurance companies, and the connection between these financial intermediaries in spheres of life and risk insurance in terms of the absence of their mutual participation in capital (bancassurance). Our findings evidence a low value of BII level in Ukraine during 2002-2013 in conditions of the gradual integration processes’ acceleration and the appearance of new innovative forms of bank-insurance cooperation

Early Warning of Bank Failure in the Arab Region: A Logit Regression Approach

The global financial crisis of 2008 taught the biggest lesson of anticipating a financial crisis. The current study aimed to highlight the importance of central banks to build early warning systems to reduce the costs of resolution procedures of weak banks. The data was obtained from published annual reports and balance sheets of 60 commercial banks in the Arab region for the period 2000-2010. Using the logistic regression model to predict the performance of banks or anticipating the possibility of bank failure and build an early warning system, the study identified a few financial indicators such as Capital Adequacy Ratio (CAR); Liquidity (LIQ); Cost to Income Ratio CIR; Return On. Assets (ROA); and Non-Performing Loans (NPL). The impact of the GDP variable on bank`s failure was also determined to capture economic risks. The results showed that financial soundness indicators (FSI) can be used efficiently to predict bank failure, that the variables of ROA and CAR had the greatest impact on the probability of the bank’s survival, while no statistical significance was seen for the GDP variable. The paper recommends the importance of the financial stability and banking supervision departments to build early warning systems. The study would provide useful insights to both household and corporate sectors to look for early warning signs that predict the performance of the banking sector in the Arab countries. The FSIs suggested in the study would also play a prominent role in predicting the success or failure of banks in the Arab region