27,270 research outputs found
A default system with overspilling contagion
In classical contagion models, default systems are Markovian conditionally on
the observation of their stochastic environment, with interacting intensities.
This necessitates that the environment evolves autonomously and is not
influenced by the history of the default events. We extend the classical
literature and allow a default system to have a contagious impact on its
environment. In our framework, contagion can either be contained within the
default system (i.e., direct contagion from a counterparty to another) or spill
from the default system over its environment (indirect contagion). This type of
model is of interest whenever one wants to capture within a model possible
impacts of the defaults of a class of debtors on the more global economy and
vice versa
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Just Who Is the Orphan Boy? Or, How Jo Brought Empathy Back into the Middle Class
This paper won an honorable mention writing flag award in the critical/persuasive category. It was written for Carol MacKay's E 349S class, "Charles Dickens".MacKay, CarolUndergraduate Studie
From the decompositions of a stopping time to risk premium decompositions
We build a general model for pricing defaultable claims. In addition to the
usual absence of arbitrage assumption, we assume that one defaultable asset (at
least) looses value when the default occurs. We prove that under this
assumption, in some standard market filtrations, default times are totally
inaccessible stopping times; we therefore proceed to a systematic construction
of default times with particular emphasis on totally inaccessible stopping
times. Surprisingly, this abstract mathematical construction, reveals a very
specific and useful way in which default models can be built, using both market
factors and idiosyncratic factors. We then provide all the relevant
characteristics of a default time (i.e. the Az\'ema supermartingale and its
Doob-Meyer decomposition) given the information about these factors. We also
provide explicit formulas for the prices of defaultable claims and analyze the
risk premiums that form in the market in anticipation of losses which occur at
the default event. The usual reduced-form framework is extended in order to
include possible economic shocks, in particular jumps of the recovery process
at the default time. This formulas are not classic and we point out that the
knowledge of the default compensator or the intensity process is not anymore a
sufficient quantity for finding explicit prices, but we need indeed the Az\'ema
supermartingale and its Doob-Meyer decomposition
Revisiting Feminism: Who’s Afraid of the F Word?
While preparing for today I discovered that I had already used the \u27F\u27 word in a panel presentation at Sarah Lawrence College almost 15 years ago. This was something I had completely forgotten. But that time I was questioning feminism itself: what’s wrong with the \u27F\u27 word
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