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Sample records for credit default swap

  1. Credit Default Swap Valuation with Counterparty Risk

    OpenAIRE

    Leung, Seng Yuen; Kwok, Yue Kuen

    2005-01-01

    Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases when the default of another party occurs. We explore how settlement risk and replacement cost affect th...

  2. Credit default swaps and risk-shifting

    NARCIS (Netherlands)

    Campello, M.; Matta, R.

    2012-01-01

    Credit default swaps (CDSs) are thought to ease borrowing by protecting lenders against default. This paper develops a model of the demand for CDS when borrowers choose the riskiness of investment and verification is imperfect. The model shows that CDSs may lead to risk-shifting, increasing the

  3. Credit Default Swaps networks and systemic risk

    Science.gov (United States)

    Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

    2014-11-01

    Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

  4. Credit Default Swaps networks and systemic risk.

    Science.gov (United States)

    Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

    2014-11-04

    Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

  5. ORIGIN CREDIT-DEFAULT SWAPS, AND IDIOSYNCRATIC THEIR FUNCTIONING

    Directory of Open Access Journals (Sweden)

    Марсель Альбертович Шарипов

    2013-04-01

    Full Text Available Credit-default swaps as well as all derivatives have appeared as a result of policy of a decontrol the American government of bank sector of economy.In article attempt to open motives of unfair use swaps is lead by some states, and modern anti-recessionary decisions concerning derivatives are considered. The objective of research consist it is revealing history and the reasons by occurrence the credit-default swaps, also the history of development the institutional infrastructures for stable and not causing suspicions functioning of the market of credit-default swaps by national regulators.  The research of the given problem in modern aspect of its progress has outstanding of novelty character. The reaction of regulators for the crisis are remarkable which events caused by shadow use of derivative financial tools including and credit-default swaps. In research the authors come to following conclusions. First, credit-default swaps are compatible to qualitative variations in corporate economy and answers to modern calls of more globalized financial system. The second, the functioning of the market of derivatives is really idiosyncratic that predetermines a final adage of that sort that arising problems with derivatives occurs not in their essence, but in purposefulness of their use.DOI: http://dx.doi.org/10.12731/2218-7405-2013-1-40

  6. Pricing constant maturity credit default swaps under jumo dynamics

    NARCIS (Netherlands)

    Jönsson, H.; Schoutens, W.

    2009-01-01

    In this paper we discuss the pricing of Constant Maturity Credit Default Swaps (CMCDS) under single sided jump models. The CMCDS offers default protection in exchange for a floating premium which is periodically reset and indexed to the market spread on a CDS with constant maturity tenor written on

  7. CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK

    Directory of Open Access Journals (Sweden)

    O. Solodka

    2015-03-01

    Full Text Available In the article the economic nature and the functioning of CDS in terms of efficient redistribution of credit risk. The features of the dynamics of the nominal volume of the world market CDS, the gross market value and net market value of the CDS. Proved that more objective indicators of total credit risk shenerovanoho financial institutions are gross market value of the CDS and the net market value of CDS. We consider the variety and scope of CDS. Studied objectivity CDS valuation depending on the basis for valuation of CDS. In the mechanism of functioning CDS credit event as defined default “subject matter”, the features of conventional and technical default. Noted that a credit event for the use of CDS may also restructuring the company, bankruptcy or downgrade economic entity. In the article the types of CDS, including Basket Default Swap and First-of- Basket-to-Default Swap. We consider the application of CDS, namely hedge the credit risk of the underlying asset, which issued CDS; hedging credit risk of other assets by CDS; speculative trading in CDS. Depending on the particular basis for valuation of CDS, investigated objective valuation based on the value of CDS hedging; valuation CDS, based on the intensity of default; CDS valuation based on credit rating; valuation CDS, based on the value of the company. Proved that hedging through CDS will be effective only for the low correlation between the default of the underlying asset and counterparty default on swaps. It is proved that the accuracy and redutsyrovanyh structural models strongly depends on the “a long history of trading” underlying assets, asset must have a long history of trading, be the subject of in-depth analysis of a wide range of analysts and traders.

  8. Introduction of Credit Derivatives and Valuation of Credit Default Swap

    OpenAIRE

    Han, Lu

    2006-01-01

    The credit derivative market was established at the beginning of the 1990s since the emergence of credit derivatives fits the rapid development of the whole derivatives market. However, compare to other derivative market, this market is still small and incomplete. As with other derivatives, credit derivatives can be used to either take more risk or hedge it, hence various credit derivatives instruments are accepted and widely used by market participants such as banks, insurance companies, etc...

  9. 75 FR 64710 - Joint Public Roundtable on Issues Related to the Clearing of Credit Default Swaps

    Science.gov (United States)

    2010-10-20

    ... certain issues related to the clearing of Credit Default Swaps in the context of the Agencies rulemaking... comments must be in English or be accompanied by an English translation. All submissions provided to either...

  10. Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market

    NARCIS (Netherlands)

    Bongaerts, D.; de Jong, F.; Driessen, J.

    2008-01-01

    We derive a theoretical asset-pricing model for derivative contracts that allows for expected liquidity and liquidity risk, and estimate this model for the market of credit default swaps (CDS). Our model extends the LCAPM of Acharya and Pedersen (2005) to a setting with derivative instruments and

  11. Does Central Bank Quality Determine Sovereign Ratings and Credit Default Swap Spreads: Evidence from the World?

    Directory of Open Access Journals (Sweden)

    Ramlall Indranarain

    2016-09-01

    Full Text Available This study innovates from prior research which focuses on the determinants of sovereign ratings and credit default swap spreads for a large sample of countries by incorporating the quality of central banks, let alone refined proxies. Findings show that the explanatory power of both sovereign ratings and CDS spreads model improve by a hefty 11 percent in case of sovereign ratings and 6 to 9 percent in the case of CDS spreads when central bank quality is incorporated. Such a finding bolters the notion that institutional quality does play a preponderant role when it comes to assessing country risk, making it a systematic component of institutional quality. The effect of labour participation implies that countries buffeted by stronger effects of an ageing population have greater propensity of increases in CDS spreads. Evidence is also found as to the driving dynamics of CDS spreads and sovereign ratings to be distinct. Our results hold robust post tackling for endogeneity problem.

  12. The pricing of credit default swaps under a generalized mixed fractional Brownian motion

    Science.gov (United States)

    He, Xinjiang; Chen, Wenting

    2014-06-01

    In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to be able to effectively capture the long-range dependence of the stock returns. To develop the pricing mechanics of the CDS, we firstly derive a sufficient condition for the market modeled under the GMFBM to be arbitrage free. Then under the risk-neutral assumption, the CDS is fairly priced by investigating the two legs of the cash flow involved. The price we obtained involves elementary functions only, and can be easily implemented for practical purpose. Finally, based on numerical experiments, we analyze quantitatively the impacts of different parameters on the prices of the CDS. Interestingly, in comparison with all the other FBM models documented in the literature, the results produced from the GMFBM model are in a better agreement with those calculated from the classical Black-Scholes model.

  13. An Empirical Comparison of Default Swap Pricing Models

    NARCIS (Netherlands)

    P. Houweling (Patrick); A.C.F. Vorst (Ton)

    2002-01-01

    textabstractAbstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the

  14. Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

    Directory of Open Access Journals (Sweden)

    Muhsin Kar

    2016-07-01

    Full Text Available In this study, we aim to investigate the impacts of credit default swaps (CDS premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015.

  15. Credit default swap (CDS) ındexes and their usage in risk management by Turkish banks

    OpenAIRE

    Cafrı, Sinan

    2008-01-01

    115 pages Avrupa ve Amerika'da finansal işletmelerin ve bankaların risk yönetiminde Kredi Temerrüt Swap endekslerini her geçen gün artarak kullanmaları, bu endekslerin risk yönetiminde verimli bir araç olduğuna işaret etmektedir. Bu çalışmanın amacı, Kredi Temerrüt Swap endekslerinin risk yönetiminde kullanımını analiz edip bu endekslerin Türkiye'deki kullanım olasılıklarını değerlendirmektir. Dolayısıyla, ilk aşamada Kredi Temerrüt Swaplarının ve Kredi Temerrüt Swap endekslerinin genel bi...

  16. Gezi Parkı Olaylarının Türkiye Kredi Temerrüt Swapları (CDS Üzerine Etkisi (The Effects of Gezi Park Protests on Turkey’s Credit Default Swaps (CDS

    Directory of Open Access Journals (Sweden)

    Musa GÜN

    2016-03-01

    Full Text Available Credit default swap is also referred to as a credit derivative contract where the counterparty of the swap makes payments up until the maturity date of a financial contract. In this study, whether Gezi Park events which happened in 2013 are on a significant impact on Turkey credit default swap spread or not tested with the VAR(Vector Auto-Regressive method. In the analysis, investigated the long-term relationship with Johansen co-integration test and causality with Granger test. In addition, variance decomposition and impulse response analysis are performed. According to the results found significant correlations between Gezi Park events and CDS and also Eurobonds interest, the BIST 100 index, a basket of currencies with CDS spreads have been identified.

  17. Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets

    DEFF Research Database (Denmark)

    Feldhütter, Peter; Nielsen, Mads Stenbo

    2012-01-01

    We present a new estimation approach that allows us to extract from spreads in synthetic credit markets the contribution of systematic and idiosyncratic default risk to total default risk. Using an extensive dataset of 90,600 credit default swap and collateralized debt obligation (CDO) tranche...... spreads on the North American Investment Grade CDX index, we conduct an empirical analysis of an intensity-based model for correlated defaults. Our results show that systematic default risk is an explosive process with low volatility, while idiosyncratic default risk is more volatile but less explosive...

  18. Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

    NARCIS (Netherlands)

    Campi, L.; Sbuelz, A.

    2005-01-01

    Equity Default Swaps are new equity derivatives designed as a product for credit investors.Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.

  19. Assessing Credit with Equity : A CEV Model with Jump to Default

    NARCIS (Netherlands)

    Campi, L.; Polbennikov, S.Y.; Sbuelz, A.

    2005-01-01

    Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero

  20. Modelling Counterparty Credit Risk in Czech Interest Rate Swaps

    Directory of Open Access Journals (Sweden)

    Lenka Křivánková

    2017-01-01

    Full Text Available According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults. Therefore, from 2015, the Third Basel Accord (EU, 2013a and (EU, 2013b instructed banks to calculate the capital requirement for the risk of credit valuation adjustment (CVA. Banks are trying to model CVA to hold the prescribed standards and also reach the lowest possible impact on their profit. In this paper, we try to model CVA using methods that are in compliance with the prescribed standards and also achieve the smallest possible impact on the bank’s earnings. To do so, a data set of interest rate swaps from 2015 is used. The interest rate term structure is simulated using the Hull-White one-factor model and Monte Carlo methods. Then, the probability of default for each counterparty is constructed. A safe level of CVA is reached in spite of the calculated the CVA achieving a lower level than CVA previously used by the bank. This allows a reduction of capital requirements for banks.

  1. 76 FR 57684 - Swap Exclusion for Section 1256 Contracts

    Science.gov (United States)

    2011-09-16

    ... that the term ``section 1256 contract'' shall not include-- any interest rate swap, currency swap... rule for credit default swaps. (B) Special rule for nonfunctional currency notional principal contracts... 57688

  2. Credit risk exposure with interest and currency swaps

    NARCIS (Netherlands)

    Coppes, R.C.; Stokking, E.J.

    1996-01-01

    The increased use of financial derivatives like interest rate and currency swap contracts has drawn much attention, as it exposes banks to non-performance by their counterparts. This credit risk exposure is of great concern to monetary authorities, e.g. the Bank for International Settlements. Ln

  3. Fundamental determinants of credit default risk for European and American banks

    Directory of Open Access Journals (Sweden)

    Patrycja Chodnicka-Jaworska

    2017-10-01

    Full Text Available The aim of the paper is to identify the fundamental variables driving banks’ credit default swaps. Quarterly data from 2004 to 2015 for European and American banks have been used. The analysis has been prepared through static panel data models. The following hypothesis has been put forward: the earnings potential, and economic uncertainty significantly influence credit risk. The independent variables used are CAMELS factors – Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. The CDS spreads are most sensitive to the market risk factors whereas capital adequacy, earnings and liquidity indicators have weaker impact.

  4. Loss given default models incorporating macroeconomic variables for credit cards

    OpenAIRE

    Crook, J.; Bellotti, T.

    2012-01-01

    Based on UK data for major retail credit cards, we build several models of Loss Given Default based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with macroeconomic variables perform best for forecasting Loss Given Default at the account and portfolio levels on independent hold-out data sets. The inclusion of macroeconomic conditions in the model is important, since it provides a means to m...

  5. The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions

    Directory of Open Access Journals (Sweden)

    Dirk Tasche

    2015-12-01

    Full Text Available The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo simulation, it becomes impractical for two or more simultaneous defaults as then the conditioning event is extremely rare. We provide an analytical approach to the calculation of the conditional loss distribution for the CreditRisk + portfolio model with independent random loss given default distributions. The analytical solution for this case can be used to check the accuracy of an approximation to the conditional loss distribution whereby the unconditional model is run with stressed input probabilities of default (PDs. It turns out that this approximation is unbiased. Numerical examples, however, suggest that the approximation may be seriously inaccurate but that the inaccuracy leads to overestimation of tail losses and, hence, the approach errs on the conservative side.

  6. Determinants of Banking Credit Default in Indonesia: A Comparative Analysis

    Directory of Open Access Journals (Sweden)

    Muhammad Imaduddin

    2008-08-01

    Full Text Available This study aims to analyze the determinants of Islamic banking credit default compared with conventional banking in Indonesia. This study utilized timeseries analysis, by which ordinary least square method is adopted. 40 monthly data observations from January 2003 until April 2006 are used. The study is divided into two models, namely Islamic banking model and conventional banking model. The values of non-performing financing (NPF in Islamic banking and non-performing loan (NPL in conventional banking are treated as the dependent variables. The results showed that two-month lagged of non-performing financing (NPF, total asset (ASSET, the amount of thirdparty-funds (TPF, one-month lagged of total financing (DFIN, and growthof gross-domestic product (GDPG variables have significant impact to the ratio of non-performing financing (NPF in Islamic banking. Meanwhile, the three-month lagged of non-performing loan (DDDNPL, total asset (CASSET, three-month as well as two-month period lagged of total loan (DDDCRED and DDCRED, inter-bank money market (PUAB, and growth of gross-domestic (GDPG are significant to influence the ratio of non-performing loan (NPL in conventional banking. The result also implied that the general election in 2004 had a significant influence to the ratio of non-performing financing (NPF in Islamic banking.Even tough from the outset, it seems Islamic banking has a better performance than conventional banking by having a relatively low NPF, this study, however, has found the opposite. Albeit, Islamic banking showing a good long-runas well as short-run dynamics among all variables in the beginning, after modifying the model into autoregressive in the main analysis, results showed that conventional banking has a better performance than Islamic banking with higher correlation of determination. In this regard, we cannot assume thatIslamic banking is performing poorly in managing credit default problems. This is because the result

  7. Mortgage Default Risk

    DEFF Research Database (Denmark)

    Chauvet, Marcelle; Gabriel, Stuart; Lutz, Chandler

    2016-01-01

    We use Google search query data to develop a broad-based and real-time index of mortgage default risk. Unlike established indicators, our Mortgage Default Risk Index (MDRI) directly reflects households’concerns regarding their risk of mortgage default. The MDRI predicts housing returns, mortgage ...... delinquency indicators, and subprime credit default swaps. These results persist both in- and out-of-sample and at multiple data frequencies. Together, research findings suggest internet search queries yield valuable new insights into household mortgage default risk....

  8. On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach

    OpenAIRE

    Weißbach, Rafael; von Lieres und Wilkau, Carsten

    2005-01-01

    Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats ...

  9. College on Credit: A Multilevel Analysis of Student Loan Default

    Science.gov (United States)

    Hillman, Nicholas W.

    2014-01-01

    This study updates and expands the literature on student loan default. By applying multilevel regression to the Beginning Postsecondary Students survey, four key findings emerge. First, attending proprietary institutions is strongly associated with default, even after accounting for students' socioeconomic and academic backgrounds. Second,…

  10. 77 FR 73106 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Withdrawal of Proposed Rule Change...

    Science.gov (United States)

    2012-12-07

    ... default swaps and European Corporate Single-Name credit default swaps. Notice of the proposed rule change... Organizations; ICE Clear Credit LLC; Notice of Withdrawal of Proposed Rule Change To Add Rules Related to the Clearing of iTraxx Europe Index CDS and European Corporate Single-Name CDS December 3, 2012. On September...

  11. Optional Defaultable Markets

    Directory of Open Access Journals (Sweden)

    Mohamed N. Abdelghani

    2017-10-01

    Full Text Available The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces, which was not presented before. The paper is a foundation paper and contains a number of fundamental results on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default under such conditions. Moreover, several important examples are presented: a new pricing formula for a defaultable bond and a new pricing formula for credit default swap. Furthermore, some results on the absence of arbitrage for markets on unusual probability spaces and markets with default are also provided.

  12. Credit Default Risk and its Determinants of Microfinance Industry in ...

    African Journals Online (AJOL)

    user

    limitations prevailed in the selected 6 MFIs in Ethiopia schemed by determining the ... the probit model show that education, income, loan supervision, suitability of repayment ..... of Ethiopia as Large, Medium, and Small MFIs. ..... /sigma. 0.5177089. 0.0467682. *significant at 1%. ***significant at 10% .... businesses default.

  13. Markov Chain Model with Catastrophe to Determine Mean Time to Default of Credit Risky Assets

    Science.gov (United States)

    Dharmaraja, Selvamuthu; Pasricha, Puneet; Tardelli, Paola

    2017-11-01

    This article deals with the problem of probabilistic prediction of the time distance to default for a firm. To model the credit risk, the dynamics of an asset is described as a function of a homogeneous discrete time Markov chain subject to a catastrophe, the default. The behaviour of the Markov chain is investigated and the mean time to the default is expressed in a closed form. The methodology to estimate the parameters is given. Numerical results are provided to illustrate the applicability of the proposed model on real data and their analysis is discussed.

  14. Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans

    Directory of Open Access Journals (Sweden)

    Arnildo da Silva Correa

    2014-09-01

    Full Text Available We use microdata from the Credit Information System (SCR of the Central Bank of Brazil to study the relationship between credit default and business cycles. In particular, we study the first part of the argument underlying the discussion about procyclicality related to the Basel II Accord: that recessions might increase credit defaults and have adverse impacts on the losses in portfolios of lender institutions. We explore both time series and cross-sectional variation in the data. Our data on the individual level are composed of retail loan transactions in two modalities-Consumer Credit and Vehicle Financing-from 2003 to 2008. Our results support the idea of a negative relationship between business cycles and credit default, but less strong than suggested in previous studies that use corporate data. We also find low and dispersed default correlations, and smaller losses in Value at Risk (VaR experiments than those found in the literature. These results may be possibly explained by the fact that, in the retail sector, loans are given to a large number of individuals, which may help to diversify risks.

  15. Low default credit scoring using two-class non-parametric kernel density estimation

    CSIR Research Space (South Africa)

    Rademeyer, E

    2016-12-01

    Full Text Available This paper investigates the performance of two-class classification credit scoring data sets with low default ratios. The standard two-class parametric Gaussian and non-parametric Parzen classifiers are extended, using Bayes’ rule, to include either...

  16. P2P Network Lending, Loss Given Default and Credit Risks

    Directory of Open Access Journals (Sweden)

    Guangyou Zhou

    2018-03-01

    Full Text Available Peer-to-peer (P2P network lending is a new mode of internet finance that still holds credit risk as its main risk. According to the internal rating method of the New Basel Accord, in addition to the probability of default, loss given default is also one of the important indicators of evaluation credit risks. Proceeding from the perspective of loss given default (LGD, this paper conducts an empirical study on the probability distribution of LGDs of P2P as well as its influencing factors with the transaction data of Lending Club. The results show that: (1 the LGDs of P2P loans presents an obvious unimodal distribution, the peak value is relatively high and tends to concentrate with the decrease of the borrower’s credit rating, indicating that the distribution of LGDs of P2P lending is similar to that of unsecured bonds; (2 The total asset of the borrower has no significant impact on LGD, the credit rating and the debt-to-income ratio exert a significant negative impact, while the term and amount of the loan produce a relatively strong positive impact. Therefore, when evaluating the borrower’s repayment ability, it is required to pay more attention to its assets structure rather than the size of its total assets. When carrying out risk control for the P2P platform, it is necessary to give priority to the control of default rate.

  17. Optimal replenishment and credit policy in supply chain inventory model under two levels of trade credit with time- and credit-sensitive demand involving default risk

    Science.gov (United States)

    Mahata, Puspita; Mahata, Gour Chandra; Kumar De, Sujit

    2018-03-01

    Traditional supply chain inventory modes with trade credit usually only assumed that the up-stream suppliers offered the down-stream retailers a fixed credit period. However, in practice the retailers will also provide a credit period to customers to promote the market competition. In this paper, we formulate an optimal supply chain inventory model under two levels of trade credit policy with default risk consideration. Here, the demand is assumed to be credit-sensitive and increasing function of time. The major objective is to determine the retailer's optimal credit period and cycle time such that the total profit per unit time is maximized. The existence and uniqueness of the optimal solution to the presented model are examined, and an easy method is also shown to find the optimal inventory policies of the considered problem. Finally, numerical examples and sensitive analysis are presented to illustrate the developed model and to provide some managerial insights.

  18. Two retailer-supplier supply chain models with default risk under trade credit policy.

    Science.gov (United States)

    Wu, Chengfeng; Zhao, Qiuhong

    2016-01-01

    The purpose of the paper is to formulate two uncooperative replenishment models with demand and default risk which are the functions of the trade credit period, i.e., a Nash equilibrium model and a supplier-Stackelberg model. Firstly, we present the optimal results of decentralized decision and centralized decision without trade credit. Secondly, we derive the existence and uniqueness conditions of the optimal solutions under the two games, respectively. Moreover, we present a set of theorems and corollary to determine the optimal solutions. Finally, we provide an example and sensitivity analysis to illustrate the proposed strategy and optimal solutions. Sensitivity analysis reveals that the total profits of supply chain under the two games both are better than the results under the centralized decision only if the optimal trade credit period isn't too short. It also reveals that the size of trade credit period, demand, retailer's profit and supplier's profit have strong relationship with the increasing demand coefficient, wholesale price, default risk coefficient and production cost. The major contribution of the paper is that we comprehensively compare between the results of decentralized decision and centralized decision without trade credit, Nash equilibrium and supplier-Stackelberg models with trade credit, and obtain some interesting managerial insights and practical implications.

  19. Using non-performing loan ratios as default rates in the estimation of credit losses and macroeconomic credit risk stress testing: A case from Turkey

    Directory of Open Access Journals (Sweden)

    Guray Kucukkocaoglu

    2016-02-01

    Full Text Available In this study, inspired by the Credit Portfolio View approach, we intend to develop an econometric credit risk model to estimate credit loss distributions of Turkish Banking System under baseline and stress macro scenarios, by substituting default rates with non-performing loan (NPL ratios. Since customer number based historical default rates are not available for the whole Turkish banking system’s credit portfolio, we used NPL ratios as dependent variable instead of default rates, a common practice for many countries where historical default rates are not available. Although, there are many problems in using NPL ratios as default rates such as underestimating portfolio losses as a result of totally non-homogeneous total credit portfolios and transferring non-performing loans to asset management companies from banks’ balance sheets, our aim is to underline and limit some ignored problems using accounting based NPL ratios as default rates in macroeconomic credit risk modeling. Developed models confirm the strong statistical relationship between systematic component of credit risk and macroeconomic variables in Turkey. Stress test results also are compatible with the past experiences

  20. Derivative pricing with liquidity risk : Theory and evidence from the credit default swap market

    NARCIS (Netherlands)

    Bongaerts, D.; de Jong, F.C.J.M.; Driessen, J.J.A.G.

    2011-01-01

    We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short-selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short-sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of

  1. Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices

    Directory of Open Access Journals (Sweden)

    YHLAS SOVBETOV

    2018-01-01

    Full Text Available This paper investigates both short and long-run interaction between BIST-100 index and CDS prices over January 2008 to May 2015 using ARDL technique. The paper documents several findings. First, ARDL analysis shows that 1 TL increase in CDS shrinks BIST-100 index by 22.5 TL in short-run and 85.5 TL in long-run. Second, 1000 TL increase in BIST index price causes 25 TL and 44 TL reducation in Turkey's CDS prices in short- and long-run respectively. Third, a percentage increase in interest rate shrinks BIST index by 359 TL and a percentage increase in inflation rate scales CDS prices up to 13.34 TL both in long-run. In case of short-run, these impacts are limited with 231 TL and 5.73 TL respectively. Fourth, a kurush increase in TL/USD exchange rate leads 24.5 TL (short-run and 78 TL (long-run reductions in BIST, while it augments CDS prices by 2.5 TL (short-run and 3 TL (long-run respectively. Fifth, each negative political events decreases BIST by 237 TL in short-run and 538 TL in long-run, while it increases CDS prices by 33 TL in short-run and 89 TL in long-run. These findings imply the highly dollar indebted capital structure of Turkish firms, and overly sensitivity of financial markets to the uncertainties in political sphere. Finally, the paper provides evidence for that BIST and CDS with control variables drift too far apart, and converge to a long-run equilibrium at a moderate monthly speed.

  2. Credit Risk Research

    DEFF Research Database (Denmark)

    Zamore, Stephen; Ohene Djan, Kwame; Alon, Ilan

    2018-01-01

    This article provides a comprehensive review of scholarly research on credit risk measurement during the last 57 years applying bibliometric citation analysis and elaborates an agenda for future research. The bibliography is compiled using the Institute for Scientific Information (ISI) Web...... of Science (WOS) database and includes all articles with citations over the period 1960–2016. Specifically, the review is carried out using 1695 articles across 72 countries published in 442 journals by 2928 authors. The findings suggest that credit risk research is multifaceted and can be classified...... into six streams: (1) defaultable security pricing, (2) default intensity modeling, (3) comparative analysis of credit models, (4) comparative analysis of credit markets, (5) credit default swap (CDS) pricing, and (6) loan loss provisions. The article contributes through synthesizing and identifying...

  3. Credit Derivatives and Loan Pricing

    NARCIS (Netherlands)

    Norden, L.; Wagner, W.B.

    2007-01-01

    This paper examines the relationship between the new markets for credit default swaps (CDS) and the pricing of syndicated loans to U.S. corporates. We find that changes in CDS spreads have a significantly positive coefficient and explain about 25% of subsequent monthly changes in aggregate loan

  4. Grading the probabilities of credit default risk for Malaysian listed companies by using the KMV-Merton model

    Science.gov (United States)

    Anuwar, Muhammad Hafidz; Jaffar, Maheran Mohd

    2017-08-01

    This paper provides an overview for the assessment of credit risk specific to the banks. In finance, risk is a term to reflect the potential of financial loss. The risk of default on loan may increase when a company does not make a payment on that loan when the time comes. Hence, this framework analyses the KMV-Merton model to estimate the probabilities of default for Malaysian listed companies. In this way, banks can verify the ability of companies to meet their loan commitments in order to overcome bad investments and financial losses. This model has been applied to all Malaysian listed companies in Bursa Malaysia for estimating the credit default probabilities of companies and compare with the rating given by the rating agency, which is RAM Holdings Berhad to conform to reality. Then, the significance of this study is a credit risk grade is proposed by using the KMV-Merton model for the Malaysian listed companies.

  5. A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis

    NARCIS (Netherlands)

    Knaup, M.; Wagner, W.B.

    2009-01-01

    We propose a new method for measuring the quality of banks' credit portfolios. This method makes use of information impounded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit

  6. A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis

    NARCIS (Netherlands)

    Knaup, M.; Wagner, W.B.

    2009-01-01

    We propose a new method for measuring the quality of banks credit portfolios. This method makes use of information impounded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit

  7. Default probabilities, CDS premiums and downgrades : A probit-MIDAS analysis

    NARCIS (Netherlands)

    Freitag, L.

    2014-01-01

    This paper examines the relationship between sovereign credit default swaps (CDS) and sovereign rating changes of European countries. To this aim, a new estimator is introduced which merges mixed data sampling (MIDAS) with probit regression. Simulations show that the estimator has good properties in

  8. 77 FR 27255 - Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change To...

    Science.gov (United States)

    2012-05-09

    ... Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change To Reduce the Current Level of Risk Mutualization Among Clearing Participants and To Modify the Initial Margin Risk Model So That It Is Easier for... modifications to its risk model for clearing credit default swaps (``CDS'') contracts. For the first...

  9. Energy swaps

    International Nuclear Information System (INIS)

    Kellett, Jack

    1999-01-01

    This chapter reviews the range of available energy swap structures giving details of the plain vanilla, differential, margin or crack, participation, double-up, extendable, pre-paid, off-market, and curve-lock and backwardation swaps. The application of energy swaps, end-user benefits and concerns, the structure of the swap market, comparisons with other swap markets, market sectors, and energy swaps in financing structures are described. The role of the intermediary, and future developments are examined. The pricing of a swap and success in the swaps market are discussed

  10. Credit risk transfer activities and systemic risk : How banks became less risky individually but posed greater risks to the financial system at the same time

    NARCIS (Netherlands)

    Wagner, W.B.; Nijskens, R.G.M.

    2011-01-01

    A main cause of the crisis of 2007–2009 is the various ways through which banks have transferred credit risk in the financial system. We study the systematic risk of banks before the crisis, using two samples of banks respectively trading Credit Default Swaps (CDS) and issuing Collateralized Loan

  11. Default predictors in retail credit scoring: evidence from Czech banking data

    Czech Academy of Sciences Publication Activity Database

    Kočenda, Evžen; Vojtek, M.

    2011-01-01

    Roč. 47, č. 6 (2011), s. 80-98 ISSN 1540-496X R&D Projects: GA ČR GA402/09/1595; GA MŠk LC542 Institutional research plan: CEZ:MSM0021620846 Keywords : banking sector * credit scoring * discrimination analysis Subject RIV: AH - Economics Impact factor: 0.953, year: 2011

  12. Sovereign Credit Risk, Liquidity, and European Central Bank Intervention

    DEFF Research Database (Denmark)

    Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide

    2016-01-01

    We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the eurozone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity of the market. A 10% change in the credit default swap (CDS) spread leads...... to a 13% change in the bid-ask spread, the relation being stronger when the CDS spread exceeds 500 basis points. The Long-Term Refinancing Operations of the ECB weakened the sensitivity of market makers’ liquidity provision to credit risk, highlighting the importance of funding liquidity measures...

  13. Why do Investors Buy Sovereign Default Insurance?

    DEFF Research Database (Denmark)

    Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, Marti G.

    local and regional channels that may explain the trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related outlook changes, (b) the announcement and issuance of domestic and international debt, (c) macroeconomic sentiment derived from......We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross positions...... of the variation in sovereign CDS net notional amounts outstanding. Moreover, unlike for CDS spreads, common global factors explain very little of the variation in sovereign CDS trading and net notional amounts outstanding, suggesting that it is driven primarily by idiosyncratic country risk. We analyze several...

  14. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Nils; Wagner, Christian; Zechner, Josef

    Structural models a la Merton (1974) imply that rms' risk premia in equity and credit markets are related. We explore this relation, using the joint crosssection of stock returns and risk premia estimated from forward credit default swap (CDS) spreads. Consistent with structural models, we nd...... that rms' equity returns and Sharpe ratios increase with estimated credit risk premia and that the returns of buying high and selling low credit risk premium rms cannot be explained by traditional risk factors. Credit risk premia contain equity-relevant information neither captured by risk-neutral nor...

  15. Empty creditors and strong shareholders: The real effects of credit risk trading. Second draft

    OpenAIRE

    Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca

    2016-01-01

    Credit derivatives give creditors the possibility to transfer debt cash flow rights to other market participants while retaining control rights. We use the market for credit default swaps (CDSs) as a laboratory to show that the real effects of such debt unbundling crucially hinge on shareholder bargaining power. We find that creditors buy more CDS protection when facing strong shareholders to secure themselves a valuable outside option in distressed renegotiations. After the start of CDS trad...

  16. Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

    NARCIS (Netherlands)

    Koopman, S.J.; Lucas, A.; Schwaab, B.

    2012-01-01

    We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into latent components for (1) macroeconomic/financial risk, (2) autonomous default dynamics (frailty), and (3) industry-specific effects. We analyze discrete

  17. Sovereign Credit Risk, Liquidity and ECB Intervention

    DEFF Research Database (Denmark)

    Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide

    This paper explores the interaction between credit risk and liquidity, in the context of the intervention by the European Central Bank (ECB), during the Euro-zone crisis. The laboratory for our investigation is the Italian sovereign bond market, the largest in the Euro-zone. We use a unique data...... between changes in Italian sovereign credit risk and liquidity in the secondary bond market, conditional on the level of credit risk, measured by the Italian sovereign credit default swap (CDS) spread. We demonstrate the existence of a threshold of 500 basis points (bp) in the CDS spread, above which...... there is a structural change in this relationship. Other global systemic factors also a ffect market liquidity, but the speci c credit risk of primary dealers plays only a modest role in a ffecting market liquidity, especially under conditions of stress. Moreover, the data indicate that there is a clear structural...

  18. Swap Bribery

    Science.gov (United States)

    Elkind, Edith; Faliszewski, Piotr; Slinko, Arkadii

    In voting theory, bribery is a form of manipulative behavior in which an external actor (the briber) offers to pay the voters to change their votes in order to get her preferred candidate elected. We investigate a model of bribery where the price of each vote depends on the amount of change that the voter is asked to implement. Specifically, in our model the briber can change a voter’s preference list by paying for a sequence of swaps of consecutive candidates. Each swap may have a different price; the price of a bribery is the sum of the prices of all swaps that it involves. We prove complexity results for this model, which we call swap bribery, for a broad class of voting rules, including variants of approval and k-approval, Borda, Copeland, and maximin.

  19. Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing

    Directory of Open Access Journals (Sweden)

    Colin Turfus

    2018-04-01

    Full Text Available We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA, where the correlation between rates and credit is often uncertain or unmodelled. We take the rates model to be Hull–White (normal and the credit model to be Black–Karasinski (lognormal. We summarise recent work furnishing highly accurate analytic pricing formulae for credit default swaps (CDS including with defaultable Libor flows, extending this to the situation where they are capped and/or floored. We also consider the pricing of contingent CDS with an interest rate swap underlying. We derive therefrom explicit expressions showing how the dependence of model prices on the uncertain parameter(s can be captured in analytic formulae that are readily amenable to computation without recourse to Monte Carlo or lattice-based computation. In so doing, we crucially take into account the impact on model calibration of the uncertain (or unmodelled parameters.

  20. 13 CFR 120.938 - Default.

    Science.gov (United States)

    2010-01-01

    ... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false Default. 120.938 Section 120.938... Program (504) 504 Loans and Debentures § 120.938 Default. (a) Upon occurrence of an event of default... occurrence of an event of default which does not require automatic acceleration, SBA may forbear acceleration...

  1. Loan Defaults in Africa

    OpenAIRE

    Svetlana Andrianova; Badi H Baltagi; Panicos O Demetriades

    2011-01-01

    African financial deepening is beset by a high rate of loan defaults, which encourages banks to hold liquid assets instead of lending. We put forward a novel theoretical model that captures the salient features of African credit markets which shows that equilibrium with high loan defaults and low lending can arise when contract enforcement institutions are weak, investment opportunities are relatively scarce and information imperfections abound. We provide evidence using a panel of 110 banks ...

  2. 75 FR 76139 - Real-Time Public Reporting of Swap Transaction Data

    Science.gov (United States)

    2010-12-07

    ... among asset class categories? If not, why? Should the Commission classify cross-currency rate swaps as... fixed and floating rates. The currency asset class would encompass the underlying of any swap that is... asset class would encompass the underlying of any swap not included in the credit, currency, equity or...

  3. Credit derivatives in emerging markets

    OpenAIRE

    Romain Rancière

    2002-01-01

    Credit Derivatives are securities that offer protection against credit or default risk of bonds or loans. The credit derivatives emerging market has grown rapidly and credit derivatives are widely used. This paper describes the emerging credit derivatives market structure. The current market activity is analyzed through elementary pricing dynamics and the study of the term structure of default risk. Focusing on the performance of credit derivatives in stress situation, including legal and mar...

  4. Default probabilities and default correlations

    OpenAIRE

    Erlenmaier, Ulrich; Gersbach, Hans

    2001-01-01

    Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence, portfolio standard deviation can increase substantially when loan default probabilities rise. This result has two important implications. First, relative prices of loans with different default probabili...

  5. Robustness of Distance-to-Default

    DEFF Research Database (Denmark)

    Jessen, Cathrine; Lando, David

    2015-01-01

    Distance-to-default (DD) is a measure of default risk derived from observed stock prices and book leverage using the structural credit risk model of Merton (1974). Despite the simplifying assumptions that underlie its derivation, DD has proven empirically to be a strong predictor of default. We use...

  6. 12 CFR 622.81 - Default.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Default. 622.81 Section 622.81 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM RULES OF PRACTICE AND PROCEDURE Rules and Procedures... Default. If the subject individual fails to file a petition for a hearing, or fails to appear at a hearing...

  7. 76 FR 23732 - Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants

    Science.gov (United States)

    2011-04-28

    ... the currency in which payment obligations under the swap are required to be settled; Any obligation... RIN 3038--AC97 Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants... the Commission to adopt capital and initial and variation margin requirements for certain swap dealers...

  8. Cross currency swap valuation

    OpenAIRE

    Boenkost, Wolfram; Schmidt, Wolfgang M.

    2004-01-01

    Cross currency swaps are powerful instruments to transfer assets or liabilities from one currency into another. The market charges for this a liquidity premium, the cross currency basis spread, which should be taken into account by the valuation methodology. We describe and compare two valuation methods for cross currency swaps which are based upon using two different discounting curves. The first method is very popular in practice but inconsistent with single currency swap valuation methods....

  9. Liquidity crisis detection: An application of log-periodic power law structures to default prediction

    Science.gov (United States)

    Wosnitza, Jan Henrik; Denz, Cornelia

    2013-09-01

    We employ the log-periodic power law (LPPL) to analyze the late-2000 financial crisis from the perspective of critical phenomena. The main purpose of this study is to examine whether LPPL structures in the development of credit default swap (CDS) spreads can be used for default classification. Based on the different triggers of Bear Stearns’ near bankruptcy during the late-2000 financial crisis and Ford’s insolvency in 2009, this study provides a quantitative description of the mechanism behind bank runs. We apply the Johansen-Ledoit-Sornette (JLS) positive feedback model to explain the rise of financial institutions’ CDS spreads during the global financial crisis 2007-2009. This investigation is based on CDS spreads of 40 major banks over the period from June 2007 to April 2009 which includes a significant CDS spread increase. The qualitative data analysis indicates that the CDS spread variations have followed LPPL patterns during the global financial crisis. Furthermore, the univariate classification performances of seven LPPL parameters as default indicators are measured by Mann-Whitney U tests. The present study supports the hypothesis that discrete scale-invariance governs the dynamics of financial markets and suggests the application of new and fast updateable default indicators to capture the buildup of long-range correlations between creditors.

  10. Fracking and mortgage default

    OpenAIRE

    Cunningham, Christopher R.; Gerardi, Kristopher; Shen, Yannan

    2017-01-01

    This paper finds that increased hydraulic fracturing, or "fracking", along the Marcellus Formation in Pennsylvania had a significant, negative effect on mortgage credit risk. Controlling for potential endogeneity bias by utilizing the underlying geologic properties of the land as instrumental variables for fracking activity, we find that mortgages originated before the 2007 boom in shale gas, were, post-boom, significantly less likely to default in areas with greater drilling activity. The we...

  11. The role of currency swaps in the domestic banking system and the functioning of the swap market during the crisis

    OpenAIRE

    Páles, Judit; Kuti, Zsolt; Csávás, Csaba

    2011-01-01

    The basic purpose of this study is to didactically demonstrate the factors shaping the currency swap stock of domestic banks prior to the crisis and to provide a descriptive analysis of how the structure and the functioning of the market changed during the crisis. The main conclusions of the study are as follows. In addition to the wide ranging applicability of the transaction, the rise in the currency swap stock of domestic credit institutions is also attributable to macroeconomic factors. T...

  12. The role of currency swaps in the domestic banking system and the functioning the swap market during the crisis

    OpenAIRE

    Judit Páles; Zsolt Kuti; Csaba Csávás

    2011-01-01

    The basic purpose of this study is to didactically demonstrate the factors shaping the currency swap stock of domestic banks prior to the crisis and to provide a descriptive analysis of how the structure and the functioning of the market changed during the crisis. The main conclusions of the study are as follows. In addition to the wide ranging applicability of the transaction, the rise in the currency swap stock of domestic credit institutions is also attributable to macroeconomic factors. T...

  13. Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s

    OpenAIRE

    Shinada, Naoki

    2005-01-01

    Cross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been many empirical studies about actual markets. This study addresses factors of USD/JPY swap rates from the late 1990s to the present, and demonstrates that differences in credit risk premiums, forward exchange rates and assets swaps of foreign investors from JP...

  14. China's Bilateral Currency Swap Lines

    OpenAIRE

    Zhitao, Lin; Wenjie, Zhan; Cheung, Yin-Wong

    2016-01-01

    We study the determinants of China’s bilateral local currency swap lines that were established since the recent global finance crisis. It is found that economic factors, political considerations, and institutional characteristics including trade intensity, economic size, strategic partnership, free trade agreement, corruption, and stability affect the decision of signing a swap line agreement. Once a swap line agreement decision is made, the size of the swap line is then mainly affected by tr...

  15. 76 FR 22833 - Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition Swaps

    Science.gov (United States)

    2011-04-25

    ... arising in the context of cross-border transactions).\\36\\ Another commenter urged that U.S. swap data... swaps, currency swaps, and other commodity swaps. This same distinction is made in the Commission's Swap..., currency swaps, and other commodity swaps, this proposed rule also limits continuation data reporting...

  16. Default values

    International Nuclear Information System (INIS)

    1987-08-01

    In making calculations for the purposes of radiation protection, numerical values for parameters used in the calculations are selected. In some cases, data directly applicable to the set of conditions for which the calculations are to be made are unavailable. Therefore, the selection of the values for these parameters may be based on more general data available from the literature or other sources. These values may be referred to as 'default values', that is, values used in default of those based on directly applicable data. The following policy will be applied by Atomic Energy Control Board (AECB) staff in reviewing the radiation protection aspects of submissions associated with licensing, in participating with other organizations in the development of codes and standards, and in any other work which relies to some extent on using default values

  17. Interest Rate Swaps

    Directory of Open Access Journals (Sweden)

    Marina Pepić

    2014-12-01

    Full Text Available Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk. Financial derivatives are a relatively simple way of protection from adverse changes in interest rates. Interest rate swaps are particularly popular because they reduce interest rate risk to a minimum with a relatively low initial cost and without great risk, but also because of the fact that there are manymodifications of the standard swap created to better satisfy the different needs of market players.

  18. 12 CFR 615.5280 - Retirement in event of default.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Retirement in event of default. 615.5280... Dividends § 615.5280 Retirement in event of default. (a) When the debt of a holder of eligible borrower... association or agricultural credit association is in default, such institution may, but shall not be required...

  19. Why credit risk markets are predestined for exhibiting log-periodic power law structures

    Science.gov (United States)

    Wosnitza, Jan Henrik; Leker, Jens

    2014-01-01

    Recent research has established the existence of log-periodic power law (LPPL) patterns in financial institutions’ credit default swap (CDS) spreads. The main purpose of this paper is to clarify why credit risk markets are predestined for exhibiting LPPL structures. To this end, the credit risk prediction of two variants of logistic regression, i.e. polynomial logistic regression (PLR) and kernel logistic regression (KLR), are firstly compared to the standard logistic regression (SLR). In doing so, the question whether the performances of rating systems based on balance sheet ratios can be improved by nonlinear transformations of the explanatory variables is resolved. Building on the result that nonlinear balance sheet ratio transformations hardly improve the SLR’s predictive power in our case, we secondly compare the classification performance of a multivariate SLR to the discriminative powers of probabilities of default derived from three different capital market data, namely bonds, CDSs, and stocks. Benefiting from the prompt inclusion of relevant information, the capital market data in general and CDSs in particular increasingly outperform the SLR while approaching the time of the credit event. Due to the higher classification performances, it seems plausible for creditors to align their investment decisions with capital market-based default indicators, i.e., to imitate the aggregate opinion of the market participants. Since imitation is considered to be the source of LPPL structures in financial time series, it is highly plausible to scan CDS spread developments for LPPL patterns. By establishing LPPL patterns in governmental CDS spread trajectories of some European crisis countries, the LPPL’s application to credit risk markets is extended. This novel piece of evidence further strengthens the claim that credit risk markets are adequate breeding grounds for LPPL patterns.

  20. Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?

    Directory of Open Access Journals (Sweden)

    Paulo Pereira da Silva

    2014-03-01

    Full Text Available This paper addresses the relationship between stock markets and credit default swaps (CDS markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of correlations, Granger causality, cointegration, and the results of an error-correction model represented in a state space form show a close link between these markets, but do not evidence that the co-movement increases in periods of financial distress. I also analyze the transmission of volatility between the two markets. The results do not support the hypothesis that volatility propagation surges during financial distress periods. On the contrary, for some cases, the data suggests that the lead-lag relationships between the two markets volatility are stronger during stable periods.

  1. Credit Spread Modeling: Macro-financial versus HOC Approach

    Directory of Open Access Journals (Sweden)

    Sanja Dudaković

    2014-12-01

    Full Text Available The aim of this paper is to throw light on the relationship between credit spread changes and past changes of U.S. macro-financial variables when invariants do not have Gaussian distribution. The first part presents the empirical analysis which is based on 10-year AAA corporate bond yields and 10-year Treasury bond yields. Explanatory variables include lagged U.S. leading index, Russell 2000 returns, BBB bond price changes interest rate swaps, exchange rates EUR/ USD, Repo rates, S& P 500 returns and S&P 500 volatility, Treasury bill changes, liquidity index-TRSW, LIBOR rates, Moody’s default rates; credit spread volatility and Treasury bills volatility. The proposed dynamical model explains 73% of the U.S. credit spread variance for the period 1999:07-2013:07. The second part of the article introduces the parameter estimation method based on higher order cumulants. It is demonstrated empirically that much of the information about variability of Credit Spread can be extracted from higher order cumulant function (85%.

  2. Debt swaps as an innovative tool for financing renewable energies

    International Nuclear Information System (INIS)

    Gugler, A.

    1999-01-01

    The emergence of a so-called 'secondary market' for Third World debt papers laid the foundations for different types of debt swaps or debt conversions. A debt conversion is a financial transaction in which a 'converter' (or investor) exchanges (swaps) a debt denominated in a hard currency for a domestic debt payable in local currency by the debtor government. This operation is attractive for the investor because it can imply a significant leverage, since the debt paper is purchased at an often substantial discount on the secondary market, whereas the debtor government will redeem it at a rate above the purchase price. Debt swaps can play a role as an additional source of development finance, but their contribution should not be overestimated. Over the last ten years, debt-for-development and debt-for-nature swaps have generated an estimated US$ 1 billion in local currency. In recent years, debt swaps originating with non-governmental organizations have considerably slowed, probably due to rising prices for commercial debt titles. On the other hand, it is expected that there will be an increase of official debt conversions in the future. Since they can be an attractive financing tool, debt swaps could also be used in order to fund investments in or credit facilities for alternative energies. (orig.)

  3. Interest Rate Swaps

    OpenAIRE

    Marina Pepic

    2014-01-01

    Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk. Financial derivatives are a relatively simple way of protection from adverse changes in interest rates. Interest rate swaps are particularly popular because they reduce interest rate risk to a minimum with a relatively low initial cost and without great risk, but also because of the fact that there are many modific...

  4. The African Credit Trap

    OpenAIRE

    Svetlana Andrianova; Badi H. Baltagi; Panicos O. Demetriades; David Fielding

    2010-01-01

    We put forward a plausible explanation of African financial underdevelopment in the form of a bad credit market equilibrium. Utilising an appropriately modified IO model of banking, we show that the root of the problem could be unchecked moral hazard (strategic loan defaults) or adverse selection (a lack of good projects). We provide empirical evidence from a large panel of African banks which suggests that loan defaults are a major factor inhibiting bank lending when the quality of regulatio...

  5. Consumer default risk assessment in a banking institution

    Science.gov (United States)

    Costa e Silva, Eliana; Lopes, Isabel Cristina; Correia, Aldina; Faria, Susana

    2016-12-01

    Credit scoring is an application of financial risk forecasting to consumer lending. In this study, statistical analysis is applied to credit scoring data from a financial institution to evaluate the default risk of consumer loans. The default risk was found to be influenced by the spread, the age of the consumer, the number of credit cards owned by the consumer. A lower spread, a higher number of credit cards and a younger age of the borrower are factors that decrease the risk of default. Clients receiving the salary in the same banking institution of the loan have less chances of default than clients receiving their salary in another institution. We also found that clients in the lowest income tax echelon have more propensity to default.

  6. Credit Risk Evaluation : Modeling - Analysis - Management

    OpenAIRE

    Wehrspohn, Uwe

    2002-01-01

    An analysis and further development of the building blocks of modern credit risk management: -Definitions of default -Estimation of default probabilities -Exposures -Recovery Rates -Pricing -Concepts of portfolio dependence -Time horizons for risk calculations -Quantification of portfolio risk -Estimation of risk measures -Portfolio analysis and portfolio improvement -Evaluation and comparison of credit risk models -Analytic portfolio loss distributions The thesis contributes to the evaluatio...

  7. Trade Credit and Informational Asymmetry.

    OpenAIRE

    Smith, Janet Kiholm

    1987-01-01

    Commonly used trade credit terms implicitly define a high interest rate that operates as an efficient screening device where information about buyer default risk is asymmetrically held. By offering trade credit, a seller can identify prospective defaults more quickl y than if financial institutions were the sole providers of short-ter m financing. The information is valuable in cases where a seller has made nonsalvageable investments in buyers since it enables the seller to take actions to pr...

  8. Capital Requirements and Credit Rationing

    OpenAIRE

    Itai Agur

    2010-01-01

    This paper analyzes the trade-off between financial stability and credit rationing that arises when increasing capital requirements. It extends the Stiglitz-Weiss model of credit rationing to allow for bank default. Bank capital structure then matters for lending incentives. With default and rationing endogenous, optimal capital requirements can be analyzed. Introducing bank financiers, the paper also shows that uninsured funding raises the sensitivity of rationing to capital requirements. In...

  9. Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods

    Directory of Open Access Journals (Sweden)

    Qian Liu

    2015-01-01

    Full Text Available Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically. We examine this issue using interest rate swaps. This largely traded financial product allows us to well identify the risk profiles of both institutions and their counterparties. Concretely, Hull-White model for rate and mean-reverting model for default intensity have proven to be in correspondence with the reality and to be well suited for financial institutions. Besides, we find that least square Monte Carlo method is quite efficient in the calculation of credit valuation adjustment (CVA, for short as it avoids the redundant step to generate inner scenarios. As a result, it accelerates the convergence speed of the CVA estimators. In the second part, we propose a new method to calculate bilateral CVA to avoid double counting in the existing bibliographies, where several copula functions are adopted to describe the dependence of two first to default times.

  10. Remarks on entanglement swapping

    International Nuclear Information System (INIS)

    Song, Daegene

    2004-01-01

    In two partially entangled states, entanglement swapping by Bell measurement will yield the weaker entanglement of the two. This scheme is optimal because the average entanglement cannot increase under local operation and classical communication. However, for more than two states, this scheme does not always yield the weakest link. We consider projective measurements other than Bell-type measurement and show, numerically, that while Bell measurement may not be unique, it is indeed optimal among these projective measurements. We also discuss the non-uniqueness of Bell measurements. (letter to the editor)

  11. Continuous-Variable Entanglement Swapping

    Directory of Open Access Journals (Sweden)

    Kevin Marshall

    2015-05-01

    Full Text Available We present a very brief overview of entanglement swapping as it relates to continuous-variable quantum information. The technical background required is discussed and the natural link to quantum teleportation is established before discussing the nature of Gaussian entanglement swapping. The limitations of Gaussian swapping are introduced, along with the general applications of swapping in the context of to quantum communication and entanglement distribution. In light of this, we briefly summarize a collection of entanglement swapping schemes which incorporate a non-Gaussian ingredient and the benefits of such schemes are noted. Finally, we motivate the need to further study and develop such schemes by highlighting requirements of a continuous-variable repeater.

  12. Hawkes-diffusion process and the conditional probability of defaults in the Eurozone

    Science.gov (United States)

    Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

    2016-05-01

    This study examines market information embedded in the European sovereign CDS (credit default swap) market by analyzing the sovereign CDSs of 13 Eurozone countries from January 1, 2008, to February 29, 2012, which includes the recent Eurozone debt crisis period. We design the conditional probability of defaults for the CDS prices based on the Hawkes-diffusion process and obtain the theoretical prices of CDS indexes. To estimate the model parameters, we calibrate the model prices to empirical prices obtained from individual sovereign CDS term structure data. The estimated parameters clearly explain both cross-sectional and time-series data. Our empirical results show that the probability of a huge loss event sharply increased during the Eurozone debt crisis, indicating a contagion effect. Even countries with strong and stable economies, such as Germany and France, suffered from the contagion effect. We also find that the probability of small events is sensitive to the state of the economy, spiking several times due to the global financial crisis and the Greek government debt crisis.

  13. Multiple Layers of Credit and Mortgage Crises

    OpenAIRE

    Paula Hernandez-Verme

    2011-01-01

    I examine a production economy with a financial sector that contains multiple layers of credit. Such layers are designed to constitute credit chains which are inclusive of a simple mortgage market. The focus is on the nature and contagion properties of credit chains in an economy where the financial sector plays a real allocative role and agents have a nontrivial choice of whether to default on mortgages or not. Multiple equilibria with different rates of default are observed, due to the pres...

  14. 76 FR 27801 - Capital Requirements of Swap Dealers and Major Swap Participants

    Science.gov (United States)

    2011-05-12

    ... swaps, debt or equity securities, foreign currency, physical commodities, and other derivatives. The..., 23, and 140 Capital Requirements of Swap Dealers and Major Swap Participants; Proposed Rule #0;#0...

  15. Analytical Pricing of Defaultable Bond with Stochastic Default Intensity

    OpenAIRE

    O, Hyong-Chol; Wan, Ning

    2013-01-01

    We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1)expected default recovery is the same with unexpected default recovery; 2) default intensity follows one of 3 special cases of Willmott model; 3) default intensity is uncorr...

  16. Analysis of Default Risk of Agricultural Loan by Some Selected ...

    African Journals Online (AJOL)

    ... to reduce default rate and loan diversions since members can serve as watch dog to each other. Banks should also prevent unnecessary delay in loan disbursement to allow for timely use of the loan. Banks should also explore the Agricultural credit guarantee scheme (ACGS) to offset part of the risk in case of default.

  17. Parametric modeling of probability of bank loan default in Kenya ...

    African Journals Online (AJOL)

    This makes the study on probability of a customer defaulting very useful while analyzing the credit risk policies. In this paper, we use a raw data set that contains demographic information about the borrowers. The data sets have been used to identify which risk factors associated with the borrowers contribute towards default.

  18. First Significant Digits and the Credit Derivative Market During the Financial Crisis

    Directory of Open Access Journals (Sweden)

    Paul Hofmarcher

    2013-06-01

    Full Text Available The Credit Default Swap (CDS market has both been lauded for its ability to stabilize the financial system through credit risk transfers and been the source of regulatory concern due to its size and lack of transparency. As a decentralized over-the-counter market, detailed information about pricing mechanisms is rather scarce. To investigate reported CDS prices (spreads more closely, we make use of empirical First Significant Digit (FSD distributions and analyze daily CDS prices for European and US entities during the financial crisis starting in 2007. We find that on a time-aggregated level, the European and US markets obey empirical FSD distributions similar to the theoretical ones. Surprising differences are observed in the development of the FSD distributions between the US and European markets. Whereas the FSD distribution of the US derivative market behaves nearly constantly during the last financial crisis, we find huge fluctuations in the FSD distribution of the European market. One reason for these differences might be the possibility of strategic default for US companies due to Chapter 11 and avoided contagion effects.

  19. 77 FR 35462 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Immediate Effectiveness...

    Science.gov (United States)

    2012-06-13

    ... Default Swap Contracts and the Reference Obligation International Securities Identification Number... contracts (Exelon Corporation, Beam Inc., and XLIT Ltd.) and the Contract Reference Obligation International Securities Identification Number (``Contract Reference Obligation ISIN'') for one single name CDS contract...

  20. Application of decision analysis in debt-for-environment swaps

    Energy Technology Data Exchange (ETDEWEB)

    Abu-Taleb, M.F. [Department of Civil Engineering, Applied Science University, PO Box 40, 11831, Amman (Jordan)

    2003-03-01

    Through a mandate by the Government of Jordan, a debt-for-environment swap initiative was designed to mobilize resources for programs that improve the Jordanian environment within a broad spectrum of conservation, water supply, sanitation, resource management, ecological protection, environmental education, and pollution abatement technology. As a debtor country, Jordan faces a severe debt burden (with debt-per-capita levels among the highest in the world), and is facing difficulty obtaining further credit to fill the gaps in hard currency requirements for imports. Debt swap converts outstanding debt obligations into local currency for approved national environmental programs and projects. With creditor countries favoring debt swap over debt forgiveness in general, and debt swap for environmental technology projects in particular, the initiative was launched to ensure both fiscal and environmental quality benefits. With donors requiring that project development and selection procedures be fair, unbiased, and transparent, a mechanism for ultimate selection was developed by the author solely for the initiative based on multiple objective optimization techniques. This paper formulates the necessary decision-analytic principles for the initiative and presents a discrete, defensible, and transparent model for selection of projects. The model ranks the projects in terms of environment and economic objectives and can be used for other generalized applications. (orig.)

  1. 24 CFR 201.22 - Credit requirements for borrowers.

    Science.gov (United States)

    2010-04-01

    ... consumer credit report stating the credit accounts and payment history of the borrower and of any co-maker... months or more. (c) Evidence of delinquency, default or misrepresentation. Except with the prior approval...

  2. 77 FR 35199 - Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition Swaps

    Science.gov (United States)

    2012-06-12

    .... Summary of the Proposed Part 46 Rule 1. Fundamental Goals 2. Historical Swap Recordkeeping 3. Historical... Consumer Protection Act, Public Law 111-203, 124 Stat. 1376 (2010). The text of the Dodd- Frank Act may be...-enactment swaps and transition swaps as ``historical swaps.'' \\16\\ Subsection (A) of CEA Section 2(h)(5...

  3. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

    NARCIS (Netherlands)

    Anagnostou, I.; Sourabh, S.; Kandhai, D.

    2018-01-01

    Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of

  4. 76 FR 49291 - Agricultural Swaps

    Science.gov (United States)

    2011-08-10

    ...) Pursuant to Section 4(c) of the Commodity Exchange Act, Permitting the Kansas City Board of Trade Clearing Corporation To Clear Over-the-Counter Wheat Calendar Swaps and (2) Pursuant to Section 4d of the Commodity... businesses that produce, process, and merchandize energy commodities at retail and wholesale levels; National...

  5. The effect of the subprime crisis on the credit risk in global scale

    Science.gov (United States)

    Lee, Sangwook; Kim, Min Jae; Lee, Sun Young; Kim, Soo Yong; Ban, Joon Hwa

    2013-05-01

    Credit default swap (CDS) has become one of the most actively traded credit derivatives, and its importance in finance markets has increased after the subprime crisis. In this study, we analyzed the correlation structure of credit risks embedded in CDS and the influence of the subprime crisis on this topological space. We found that the correlation was stronger in the cluster constructed according to the location of the CDS reference companies than in the one constructed according to their industries. The correlation both within a given cluster and between different clusters became significantly stronger after the subprime crisis. The causality test shows that the lead lag effect between the portfolios (into which reference companies are grouped by the continent where each of them is located) is reversed in direction because the portion of non-investable and investable reference companies in each portfolio has changed since then. The effect of a single impulse has increased and the response time relaxation has become prolonged after the crisis as well.

  6. 76 FR 6715 - Swap Trading Relationship Documentation Requirements for Swap Dealers and Major Swap Participants

    Science.gov (United States)

    2011-02-08

    ... facilitating reporting to swap data repositories.\\14\\ \\14\\ These benefits were articulated by the Financial... . Product and process standardization are also key conditions for increased automation and central clearing... in these products. The ``Big Bang Protocol'' further standardized a number of critical operational...

  7. Empirical estimation of default and asset correlation of large corporates and banks in India

    OpenAIRE

    Bandyopadhyay, Arindam; Ganguly, Sonali

    2011-01-01

    Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for the estimation of default dependence. Measurement and management of correlation risk in the credit portfolio of banks has also become an important area of concern for bank regulators worldwide. The BCBS (2006) has specifically included an asset correlation ...

  8. On strategic default and liquidity risk

    OpenAIRE

    Tambakis, Demosthenes N

    2002-01-01

    How does the uncertain provision of external finance affect investment projects' default probability and liquidity risk? In this paper, I study the strategic interaction between many creditors and a single borrower in the context of a two-period investment project requiring external credit. Loans mature in one period but the project requires two periods to complete. The key working assumptions are that creditors are risk-averse and that any uncertainty is common knowledge: information about ...

  9. Defaults and Donations

    DEFF Research Database (Denmark)

    Altmann, Steffen; Falk, Armin; Heidhues, Paul

    We study how website defaults affect consumer behavior in the domain of charitable giving. In a field experiment that was conducted on a large platform for making charitable donations over the web, we exogenously vary the default options in two distinct choice dimensions. The first pertains...

  10. Sovereign default risk assessment

    NARCIS (Netherlands)

    Rijken, H.A.; Altman, E.I.

    2013-01-01

    We propose a new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation's private corporate sector. Models can be utilised to measure the probability of default of the non-financial sector cumulatively for five years, both as an absolute

  11. DETERMINANTS OF BUSINESS LOAN DEFAULT IN GHANA

    Directory of Open Access Journals (Sweden)

    Akwaa-Sekyi, Ellis Kofi

    2015-05-01

    Full Text Available The initiation, funding, servicing and monitoring of loans by financial intermediaries has been done without regard to some critical factors which could have averted the likelihood of default. The study aimed at measuring the extent that owner-specific, borrower-specific, loan and lender-specific characteristics could determine the probability of loan default. The study used logistic regression for 224 business customers of a bank in Ghana from its nation-wide branches. The study found that owner’s extra income (ownership characteristics, multiple borrowing, diversion of loan purpose (borrower characteristics, loan price, loan purpose, loan age, repayment plan (loan characteristics and underfunding (lender characteristics significantly determined the probability of business loan default. The overall model predicted up to 78.5% of variations in the likelihood of default. The hierarchy of strong determinants given by their odd ratios were loan purpose (47.9 times, underfunding (19.2 times, diversion of loan purpose (11.7 times multiple borrowing (9.4 times and owner’s extra income (8.2 times. The study can conclude that financial intermediaries should be wary of the credit granting process taking cognisance of ownership, borrower, loan and lender characteristics especially the significant predictors. Combining quantitative and qualitative variables as determinants of default could be considered in future.

  12. Trade credit, collateral liquidation, and borrowing constraints

    NARCIS (Netherlands)

    Fabbri, D.; Menichini, A.M.C.

    2010-01-01

    Assuming that firms’ suppliers are better able to extract value from the liquidation of assets in default and have an information advantage over other creditors, the paper derives six predictions on the use of trade credit. (1) Financially unconstrained firms (with unused bank credit lines) take

  13. Credit Ratings and Bank Monitoring Ability

    NARCIS (Netherlands)

    Nakamura, L.I.; Roszbach, K.

    2010-01-01

    In this paper we use credit rating data from two Swedish banks to elicit evidence on these banks’ loan monitoring ability. We do so by comparing the ability of bank ratings to predict loan defaults relative to that of public ratings from the Swedish credit bureau. We test the banks’ abilility to

  14. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

    Directory of Open Access Journals (Sweden)

    Ioannis Anagnostou

    2018-01-01

    Full Text Available Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of such a conditional independence framework to accommodate for the occasional default clustering has been questioned repeatedly. Thus, financial institutions have relied on stressed correlations or alternative copulas with more extreme tail dependence. In this paper, we propose a different remedy—augmenting systematic risk factors with a contagious default mechanism which affects the entire universe of credits. We construct credit stress propagation networks and calibrate contagion parameters for infectious defaults. The resulting framework is implemented on synthetic test portfolios wherein the contagion effect is shown to have a significant impact on the tails of the loss distributions.

  15. 77 FR 48207 - Further Definition of “Swap,” “Security-Based Swap,” and “Security-Based Swap Agreement”; Mixed...

    Science.gov (United States)

    2012-08-13

    ... Swaps and Cross-Currency Swaps (c) Interpretation Regarding Foreign Exchange Spot Transactions (d... Exchange Act, 15 U.S.C. 78c(a)(68). This new security-based swap definition also is cross-referenced in new... Securities and Exchange Commission 17 CFR Parts 230, 240 and 241 Further Definition of ``Swap,'' ``Security...

  16. Default risk modeling with position-dependent killing

    Science.gov (United States)

    Katz, Yuri A.

    2013-04-01

    Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One “stylized fact” is fundamental for our consideration: empirically default is a rather rare event, especially in the investment grade categories of credit ratings. Hence, the action of killing may be considered as a small parameter. In a number of special cases we derive closed-form expressions for the entire term structure of the cumulative probability of default, its hazard rate, and intensity. Comparison with historical data on aggregate global corporate defaults confirms the validity of the perturbation method for estimations of long-term probability of default for companies with high credit quality. On a single company level, we implement the derived formulas to estimate the one-year likelihood of default of Enron on a daily basis from August 2000 to August 2001, three months before its default, and compare the obtained results with forecasts of traditional structural models.

  17. Implementing OWL Defaults

    National Research Council Canada - National Science Library

    Kolovski, Vladimir; Parsia, Bijan; Katz, Yarden

    2006-01-01

    ...) have often requested some form of non-monotonic reasoning. In this paper, we present preliminary optimizations and an implementation of a restricted version of Reiter's default logic as an extension to the description logic fragment of OWL, OWL DL...

  18. Improving default risk prediction using Bayesian model uncertainty techniques.

    Science.gov (United States)

    Kazemi, Reza; Mosleh, Ali

    2012-11-01

    Credit risk is the potential exposure of a creditor to an obligor's failure or refusal to repay the debt in principal or interest. The potential of exposure is measured in terms of probability of default. Many models have been developed to estimate credit risk, with rating agencies dating back to the 19th century. They provide their assessment of probability of default and transition probabilities of various firms in their annual reports. Regulatory capital requirements for credit risk outlined by the Basel Committee on Banking Supervision have made it essential for banks and financial institutions to develop sophisticated models in an attempt to measure credit risk with higher accuracy. The Bayesian framework proposed in this article uses the techniques developed in physical sciences and engineering for dealing with model uncertainty and expert accuracy to obtain improved estimates of credit risk and associated uncertainties. The approach uses estimates from one or more rating agencies and incorporates their historical accuracy (past performance data) in estimating future default risk and transition probabilities. Several examples demonstrate that the proposed methodology can assess default probability with accuracy exceeding the estimations of all the individual models. Moreover, the methodology accounts for potentially significant departures from "nominal predictions" due to "upsetting events" such as the 2008 global banking crisis. © 2012 Society for Risk Analysis.

  19. Conceptual and Statistical Issues Regarding the Probability of Default and Modeling Default Risk

    Directory of Open Access Journals (Sweden)

    Emilia TITAN

    2011-03-01

    Full Text Available In today’s rapidly evolving financial markets, risk management offers different techniques in order to implement an efficient system against market risk. Probability of default (PD is an essential part of business intelligence and customer relation management systems in the financial institutions. Recent studies indicates that underestimating this important component, and also the loss given default (LGD, might threaten the stability and smooth running of the financial markets. From the perspective of risk management, the result of predictive accuracy of the estimated probability of default is more valuable than the standard binary classification: credible or non credible clients. The Basle II Accord recognizes the methods of reducing credit risk and also PD and LGD as important components of advanced Internal Rating Based (IRB approach.

  20. Default from tuberculosis treatment in Tashkent, Uzbekistan; who are these defaulters and why do they default?

    NARCIS (Netherlands)

    Hasker, Epco; Khodjikhanov, Maksad; Usarova, Shakhnoz; Asamidinov, Umid; Yuldashova, Umida; van der Werf, Marieke J.; Uzakova, Gulnoz; Veen, Jaap

    2008-01-01

    In Tashkent (Uzbekistan), TB treatment is provided in accordance with the DOTS strategy. Of 1087 pulmonary TB patients started on treatment in 2005, 228 (21%) defaulted. This study investigates who the defaulters in Tashkent are, when they default and why they default. We reviewed the records of 126

  1. Understanding Emerging Market Sovereign Bond Yield Spread: Role of Default and Non-Default Determinants

    Directory of Open Access Journals (Sweden)

    Adelia Surya Pratiwi

    2015-04-01

    Full Text Available This paper is motivated by the fact that emerging market assets size has been expanding and trying to use sovereign debt market as part of capital market as main research focus. It is highlighting the distinction between default and non-default determinants and examining their significance in explaining emerging market sovereign bond yield spread. Using Cross-Sectional Fixed-Effect Panel Estimator, we found that both default (as proxied by Credit Rating and Outlook Index and non-default (as proxied by 3-month Fed Funds Futures determinants has significant explanatory power to sovereign bond yield spread. Extensively, we also found the significance to add volatility of 3-month Fed Funds Futures and Fed Target Rate basis and volatility of advanced stock markets as variables to stand for non-default determinants in the model. The significance of the latter model is strengthened by higher forecasting as well as indicates the significant role of US market to emerging market sovereign bond market.

  2. 75 FR 55574 - Joint Public Roundtable on Swap Execution Facilities and Security-Based Swap Execution Facilities

    Science.gov (United States)

    2010-09-13

    ...; File No. 4-612] Joint Public Roundtable on Swap Execution Facilities and Security-Based Swap Execution Facilities AGENCY: Commodity Futures Trading Commission (``CFTC'') and Securities and Exchange Commission... discuss swap execution facilities and security-based swap execution facilities in the context of certain...

  3. 78 FR 33605 - Process for a Designated Contract Market or Swap Execution Facility To Make a Swap Available to...

    Science.gov (United States)

    2013-06-04

    ... indexed swap (OIS)); currency (e.g., U.S. dollar, euro, British pound, Japanese yen); floating rate index... 37 and 38 Process for a Designated Contract Market or Swap Execution Facility To Make a Swap Available to Trade, Swap Transaction Compliance and Implementation Schedule, and Trade Execution Requirement...

  4. 76 FR 42395 - Business Conduct Standards for Security-Based Swap Dealers and Major Security-Based Swap...

    Science.gov (United States)

    2011-07-18

    ... Business Conduct Standards for Security-Based Swap Dealers and Major Security-Based Swap Participants...-11] RIN 3235-AL10 Business Conduct Standards for Security-Based Swap Dealers and Major Security-Based...'') relating to external business conduct standards for security-based swap dealers (``SBS Dealers'') and major...

  5. The spillover of money market turbulence to FX swap and cross-currency swap markets

    OpenAIRE

    Naohiko Baba; Frank Packer; Teppei Nagano

    2008-01-01

    We analyse the spillover of the turmoil in money markets in the second half of 2007 to FX swap and long-term cross-currency basis swap markets. We find that the use of swap markets to overcome US dollar funding shortages by non-US financial institutions resulted in marked deviations from covered interest parity conditions and the impairment of liquidity in these markets.

  6. A HEALTHY DOSE OF PESSIMISM? INFLUENCE OF THE UKRAINIAN ECONOMY ON ITS BANKING SECTOR CREDIT RATINGS

    Directory of Open Access Journals (Sweden)

    Svitlana Pokrason

    2017-09-01

    Full Text Available The purpose of the research is to identify the influence of Ukraine’s economic development on the international agencies' credit rating of its banking system. The instability and ambiguous geopolitical position of Ukraine are complicating any predictions for its economic developments. In the meanwhile, massive restructuring of all sectors of the economy became the necessary minimum for the reformation of the country and the achievement of the international standards. It is interesting to see how exactly these international standards, as represented by the evaluation of the rating agencies, appraise Ukraine, and particularly its banking sector. The methodology involves the analysis of the three major Ukrainian banks – PrivatBank, Oschadbank, and Ukreximbank using Fitch’s credit quality assessment systematic as an example. The comparative analysis was performed using Tier 1 capital ratio and loan-to-deposit ratio of these banks, year-to-year quarterly GDP growth, consumer price index (CPI year-to-year change, UAH/USD exchange rate, 2-year and 5-year government bond yield, as well as 2-year and 5-year credit default swap (CDS. Results show that the most influential credit rating drivers for Ukrainian banks are: exchange rate; funding and liquidity; capital position and asset quality; sovereign risk. The research showed that the 2-year and 5-year government bond yield in USD and 2-year and 5-year CDS were influenced by similar trends. The yield on short-dated Ukrainian governmental bonds has shown a parallel increase with the corresponding CDS that indicated the market’s evaluation of the stressed condition of the country’s government and economy. Additionally, conventional yield structures displayed inversed nature with 2-year governmental bond yield in USD trading at significantly higher yields than 5-year government bond yield in USD during times of economic distress. Although longer maturity instruments should usually trade at a higher

  7. Estimation of Corporate Credit Rating Quality in Emerging Markets

    African Journals Online (AJOL)

    information that is not already readily available to investors. In order to ... is institutionalisation: that is, the increased use of credit ratings in financial ..... three financial ratios are included in the model to account for within-firm default risks.

  8. Default from tuberculosis treatment in Tashkent, Uzbekistan; who are these defaulters and why do they default?

    Science.gov (United States)

    Hasker, Epco; Khodjikhanov, Maksad; Usarova, Shakhnoz; Asamidinov, Umid; Yuldashova, Umida; van der Werf, Marieke J; Uzakova, Gulnoz; Veen, Jaap

    2008-07-22

    In Tashkent (Uzbekistan), TB treatment is provided in accordance with the DOTS strategy. Of 1087 pulmonary TB patients started on treatment in 2005, 228 (21%) defaulted. This study investigates who the defaulters in Tashkent are, when they default and why they default. We reviewed the records of 126 defaulters (cases) and 132 controls and collected information on time of default, demographic factors, social factors, potential risk factors for default, characteristics of treatment and recorded reasons for default. Unemployment, being a pensioner, alcoholism and homelessness were associated with default. Patients defaulted mostly during the intensive phase, while they were hospitalized (61%), or just before they were to start the continuation phase (26%). Reasons for default listed in the records were various, 'Refusal of further treatment' (27%) and 'Violation of hospital rules' (18%) were most frequently recorded. One third of the recorded defaulters did not really default but continued treatment under 'non-DOTS' conditions. Whereas patient factors such as unemployment, being a pensioner, alcoholism and homelessness play a role, there are also system factors that need to be addressed to reduce default. Such system factors include the obligatory admission in TB hospitals and the inadequately organized transition from hospitalized to ambulatory treatment.

  9. Default from tuberculosis treatment in Tashkent, Uzbekistan; Who are these defaulters and why do they default?

    Directory of Open Access Journals (Sweden)

    Yuldashova Umida

    2008-07-01

    Full Text Available Abstract Background In Tashkent (Uzbekistan, TB treatment is provided in accordance with the DOTS strategy. Of 1087 pulmonary TB patients started on treatment in 2005, 228 (21% defaulted. This study investigates who the defaulters in Tashkent are, when they default and why they default. Methods We reviewed the records of 126 defaulters (cases and 132 controls and collected information on time of default, demographic factors, social factors, potential risk factors for default, characteristics of treatment and recorded reasons for default. Results Unemployment, being a pensioner, alcoholism and homelessness were associated with default. Patients defaulted mostly during the intensive phase, while they were hospitalized (61%, or just before they were to start the continuation phase (26%. Reasons for default listed in the records were various, 'Refusal of further treatment' (27% and 'Violation of hospital rules' (18% were most frequently recorded. One third of the recorded defaulters did not really default but continued treatment under 'non-DOTS' conditions. Conclusion Whereas patient factors such as unemployment, being a pensioner, alcoholism and homelessness play a role, there are also system factors that need to be addressed to reduce default. Such system factors include the obligatory admission in TB hospitals and the inadequately organized transition from hospitalized to ambulatory treatment.

  10. A Scheme of Controlled Quantum State Swapping

    International Nuclear Information System (INIS)

    Zha Xinwei; Zou Zhichun; Qi Jianxia; Song Haiyang

    2012-01-01

    A scheme for controlled quantum state swapping is presented using maximally entangled five-qubit state, i.e., Alice wants to transmit an entangled state of particle a to Bob and at the same time Bob wants to transmit an entangled state of particle b to Alice via the control of the supervisor Charlie. The operations used in this swapping process including C-not operation and a series of single-qubit measurements performed by Alice, Bob, and Charlie.

  11. Multivariate Complexity Analysis of Swap Bribery

    Science.gov (United States)

    Dorn, Britta; Schlotter, Ildikó

    We consider the computational complexity of a problem modeling bribery in the context of voting systems. In the scenario of Swap Bribery, each voter assigns a certain price for swapping the positions of two consecutive candidates in his preference ranking. The question is whether it is possible, without exceeding a given budget, to bribe the voters in a way that the preferred candidate wins in the election.

  12. Automatic Battery Swap System for Home Robots

    Directory of Open Access Journals (Sweden)

    Juan Wu

    2012-12-01

    Full Text Available This paper presents the design and implementation of an automatic battery swap system for the prolonged activities of home robots. A battery swap station is proposed to implement battery off-line recharging and on-line exchanging functions. It consists of a loading and unloading mechanism, a shifting mechanism, a locking device and a shell. The home robot is a palm-sized wheeled robot with an onboard camera and a removable battery case in the front. It communicates with the battery swap station wirelessly through ZigBee. The influences of battery case deflection and robot docking deflection on the battery swap operations have been investigated. The experimental results show that it takes an average time of 84.2s to complete the battery swap operations. The home robot does not have to wait several hours for the batteries to be fully charged. The proposed battery swap system is proved to be efficient in home robot applications that need the robots to work continuously over a long period.

  13. The Regulation of the Credit Card Market in Turkey

    OpenAIRE

    Ahmet Faruk Aysan; L. Yildiz

    2006-01-01

    The rapid growth in Turkish credit card market brought together new issues. Card holders and consumer unions complain about the high interest rates, economists complain about the default rates and banks complain about the amnesties. After all of these complaints coinciding with the accelerating suicide incidences due to credit card debts, regulation has been enacted in the credit card market in Turkey. In 2003, credit cards had been taken into the scope of the Consumer Protection Law. This wa...

  14. Greener by Default

    DEFF Research Database (Denmark)

    Sunstein, Cass R.; Reisch, Lucia A.

    . The underlying reasons include the power of suggestion; inertia and procrastination; and loss aversion. If well-chosen, climate-friendly defaults are likely to have large effects in reducing the economic and environmental harms associated with various products and activities. In deciding whether to establish...

  15. Temporalized Epistemic Default Logic

    NARCIS (Netherlands)

    van der Hoek, W.; Meyer, J.J.; Treur, J.; Gabbay, D.

    2001-01-01

    The nonmonotonic logic Epistemic Default Logic (EDL) [Meyer and van der Hoek, 1993] is based on the metaphore of a meta-level architecture. It has already been established [Meyer and van der Hoek, 1993] how upward reflection can be formalized by a nonmonotonic entailment based on epistemic states,

  16. Temporalizing Epistemic Default Logic

    NARCIS (Netherlands)

    van der Hoek, Wiebe; Meyer, John Jules; Treur, Jan

    1998-01-01

    We present an epistemic default logic, based on the metaphore of a meta-level architecture. Upward reflection is formalized by a nonmonotonic entailment relation, based on the objective facts that are either known or unknown at the object level. Then, the meta (monotonic) reasoning process generates

  17. Financing the clean development mechanism through debt-for-efficiency swaps? Case study evidence from a Uruguayan wind farm project

    DEFF Research Database (Denmark)

    Cassimon, Danny; Prowse, Martin; Essers, Dennis

    2011-01-01

    As one of Kyoto’s three flexibility mechanisms for reducing the cost of compliance, the Clean Development Mechanism (CDM) allows the issuance of Certified Emission Reduction (CER) credits from offset projects in non-Annex I countries. Whilst much attention has focused on the widespread use...... this through analysing the use of a debt swap between Uruguay and Spain within a CDM wind farm project in Uruguay. The paper assesses this transaction according to a simple framework by which debt swaps can be evaluated: whether it delivers additional resources to the debtor country and/or debtor government...

  18. Default risk in project finance

    NARCIS (Netherlands)

    Klompjan, R.; Wouters, Marc

    2002-01-01

    Understanding default risk in project finance is relevant to investors. This article investigates which factors are most strongly associated with the occurrence of project finance default, using data from 210 projects, of which 37 were in default. The authors found that the use of proven technology,

  19. Credit Risk Transfer and Crunches

    DEFF Research Database (Denmark)

    Wigan, Duncan

    2010-01-01

    Rather than in terms of the inevitable demise of a destabilising process of speculation, this article explores the ‘credit crunch’ as a window on the fabrication, and measure of the proportions of a political shift driven by market actors and financial innovation. The Basel process reconceptualised...... banks as risk navigators and generated a competitive hierarchy within the global banking industry determined on a gauge of this capacity. This private regulatory regime promoted market inflation and rendered institutional liquidity and risk transfer definitive of market power. In turn, a ballooning...... credit derivatives market broke the limits of financial production and defined state actions in the face of crisis. A shift from a central concern with solvency to that of liquidity thinly masks a profound redistribution of power from the public to the private. By swapping private assets of uncertain...

  20. 24 CFR 320.15 - Default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Default. 320.15 Section 320.15... SECURITIES Pass-Through Type Securities § 320.15 Default. (a) Issuer default. Any failure or inability of the... default of the issuer. (b) Action upon default. Upon any default by the issuer, the Association may: (1...

  1. Bond Pricing with Default Risk

    OpenAIRE

    Saa-Requejo, Jesus; Santa-Clara, Pedro

    1997-01-01

    We offer a new model for pricing bonds subject to default risk. The event of default is remodeled as the first time that a state variable that captures the solvency of the issue goes below a certain level. The payoff to the bond in case of default is a constant fraction of the value of a security with the same promised payoffs but without the risk of default. We show that our model is very tractable under different models of interest rate risk and of the interaction between default risk and i...

  2. CREDIT SYSTEM AND CREDIT GUARANTEE PROGRAMS

    OpenAIRE

    Turgay GECER

    2012-01-01

    Credit system is an integrated architecture consisted of financial information, credit rating, credit risk management, receivables and credit insurance systems, credit derivative markets and credit guarantee programs. The main purpose of the credit system is to provide the functioning of all credit channels and to make it easy to access of credit sources demanded by all of real and legal persons in any economic system. Credit guarantee program, the one of prominent elements of the credit syst...

  3. Managing Student Loan Default Risk: Evidence from a Privately Guaranteed Portfolio.

    Science.gov (United States)

    Monteverde, Kirk

    2000-01-01

    Application of the statistical techniques of survival analysis and credit scoring to private education loans extended to law students found a pronounced seasoning effect for such loans and the robust predictive power of credit bureau scoring of borrowers. Other predictors of default included school-of-attendance, school's geographic location, and…

  4. TINJAUAN ASPEK PAJAK PENGHASILAN ATAS TRANSAKSI INSTRUMEN KEUANGAN DERIVATIF SWAP

    Directory of Open Access Journals (Sweden)

    Yenni Mangoting

    2003-01-01

    Full Text Available The use of foreign currency is sensitive enough to the exchange rate fluctuation. To protect assets and liabilities that vulnerable to exchange rate fluctuation interest rate, taxpayers may use swap derivative financial instrument. Through this instrument, the risk which is caused by the changing of exchange rate can be avoded or minimized. Moreover with hedging, taxpayers will be able create gain from shifting the risk. Therefore hedging through the use of derivative instrument specially swap is an interesting phenomena to determine tax imposition. Taxpayers may apply kinds of such as swap, interest rate swap or currency swap. An interest rate is an exchange transaction which one party agree to pay the other on a notional principal amount. Whereas a currency swaps provide for the exchange (actual or notional between the two parties of a fixed amount of one currency for fixed amount of another one. Income characterization is an important problem in swap transaction. There is tendency from taxpayer to classify the income from swap transaction as an interest income, whereas in fact swap transaction is not borrowing-lending transaction. Abstract in Bahasa Indonesia : Pengunaan mata uang asing memang cukup rentan terhadap risiko fluktuasi nilai tukar mata uang dan tingkat suku bunga. Untuk melindungi aktiva atau pasiva yang rentan terhadap perubahan nilai tukar mata uang dan tingkat suku bunga, Wajib Pajak dapat menggunakan instrumen keuangan derivatif Swap. Melalui instrumen keuangan derivatif Swap, risiko kerugian akibat perubahan-perubahan tersebut dapat dihindari atau diperkecil. Bahkan dengan lindung nilai (hedging, Wajib Pajak dapat menciptakan keuntungan melalui pergeseran risiko. Oleh karena itu, perlindungan nilai melalui penggunaan istrumen derivatif, khususnya Swap, merupakan fenomena menarik untuk menentukan pengenaan pajaknya. Wajib Pajak dapat menggunakan Swap jenis interest rate swap atau currency swap. Interest rate swap merupakan

  5. Correlation Structures of Correlated Binomial Models and Implied Default Distribution

    Science.gov (United States)

    Mori, Shintaro; Kitsukawa, Kenji; Hisakado, Masato

    2008-11-01

    We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches and some popular probabilistic models, including the Gaussian copula model, Beta binomial distribution model and long-range Ising model. We interpret the differences in their profiles in terms of the correlation structures. The implied default distribution has singular correlation structures, reflecting the credit market implications. We point out two possible origins of the singular behavior.

  6. Credit concession through credit scoring: Analysis and application proposal

    Directory of Open Access Journals (Sweden)

    Oriol Amat

    2017-01-01

    Full Text Available Purpose: The study herein develops and tests a credit scoring model which can help financial institutions in assessing credit requests.  Design/methodology/approach: The empirical study has the objective of answering two questions: (1 Which ratios better discriminate the companies based on their being solvent or insolvent? and (2 What is the relative importance of these ratios? To do this, several statistical techniques with a multifactorial focus have been used (Multivariate Analysis of Variance, Linear Discriminant Analysis, Logit and Probit Models. Several samples of companies have been used in order to obtain and to test the model.  Findings: Through the application of several statistical techniques, the credit scoring model has been proved to be effective in discriminating between good and bad creditors.  Research limitations:  This study focuses on manufacturing, commercial and services companies of all sizes in Spain; Therefore, the conclusions may differ for other geographical locations. Practical implications:  Because credit is one of the main drivers of growth, a solid credit scoring model can help financial institutions assessing to whom to grant credit and to whom not to grant credit. Social implications: Because of the growing importance of credit for our society and the fear of granting it due to the latest financial turmoil, a solid credit scoring model can strengthen the trust toward the financial institutions assessment’s.  Originality/value: There is already a stream of literature related to credit scoring. However, this paper focuses on Spanish firms and proves the results of our model based on real data. The application of the model to detect the probability of default in loans is original.

  7. 76 FR 80233 - Amendment to July 14, 2011 Order for Swap Regulation

    Science.gov (United States)

    2011-12-23

    ... of provisions follows. Category 1 covers statutory provisions which by their express terms require a... define'' certain terms used in title VII, including the terms ``swap,'' ``swap dealer,'' ``major swap... Commission to adopt a rule to ``further define'' the terms ``swap,'' ``swap dealer,'' ``major swap...

  8. Proposed Entanglement Swapping in Continuous Variable Systems via Braiding

    International Nuclear Information System (INIS)

    Su Hongyi; Chen Jingling; Deng Dongling; Wu Chunfeng

    2010-01-01

    We study entanglement swapping in continuous variable systems by using braiding transformations. It is found that entanglement swapping in two-mode squeezed vacuum states and squeezed coherent states can be realized based on the braiding operators. (general)

  9. Portfolio Allocation Subject to Credit Risk

    Directory of Open Access Journals (Sweden)

    Rogerio de Deus Oliveira

    2003-12-01

    Full Text Available Credit Risk is an important dimension to be considered in the risk management procedures of financial institutions. Is a particularly useful in emerging markets where default rates on bank loan products are usually high. It is usually calculated through highly costly Monte Carlo simulations which consider different stochastic factors driving the uncertainly associated to the borrowers liabilities. In this paper, under some restrictions, we drive closed form formulas for the probability distributions of default rates of bank loans products involving a big number of clients. This allows us to quickly obtain the credit risk of such products. Moreover, using these probability distributions, we solve the problem of optimal portfolio allocation under default risk.

  10. Understanding Credit Risk: A Classroom Experiment

    Science.gov (United States)

    Servatka, Maros; Theocharides, George

    2011-01-01

    This classroom experiment introduces students to the notion of credit risk and expected return, by allowing them to trade on comparable corporate bond issues from two types of markets: investment-grade and high-yield markets. Investment-grade issues have a lower probability of default than high-yield issues and thus provide a lower yield.…

  11. Credit Risk Evaluation System: An Artificial Neural Network Approach

    African Journals Online (AJOL)

    On the other hand, this kind of bank's activity is connected with high risk as big amount of bad decisions may even cause bankruptcy. The key problem consists of distinguishing good (that surely repay) and bad (that likely default) credit applicants. Credit risk evaluation is an important and interesting management science ...

  12. New Sliding Puzzle with Neighbors Swap Motion

    OpenAIRE

    Prihardono, Ariyanto; Kawagoe, Kenichi

    2015-01-01

    The sliding puzzles (15-puzzle, 8-puzzle, 5-puzzle) are known to have 2 kind of puz-zle: solvable puzzle and unsolvable puzzle. In this thesis, we make a new puzzle with only 1 kind of it, solvable puzzle. This new puzzle is made by adopting sliding puzzle with several additional rules from M13 puzzle; the puzzle that is formed form The Mathieu group M13. This puzzle has a movement that called a neighbors swap motion, a rule of movement that enables every neighboring points to swap. This extr...

  13. Default risk modeling beyond the first-passage approximation: Extended Black-Cox model

    Science.gov (United States)

    Katz, Yuri A.; Shokhirev, Nikolai V.

    2010-07-01

    We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm’s ability to avoid default even if company’s liabilities momentarily exceeding its assets. Diffusion in a linear potential with the radiation boundary condition is used to mimic a company’s default process. The exact solution of the corresponding Fokker-Planck equation allows for derivation of analytical expressions for the cumulative probability of default and the relevant hazard rate. Obtained closed formulas fit well the historical data on global corporate defaults and demonstrate the split behavior of credit spreads for bonds of companies in different categories of speculative-grade ratings with varying time to maturity. Introduction of the finite rate of default at the boundary improves valuation of credit risk for short time horizons, which is the key advantage of the proposed model. We also consider the influence of uncertainty in the initial distance to the default barrier on the outcome of the model and demonstrate that this additional source of incomplete information may be responsible for nonzero credit spreads for bonds with very short time to maturity.

  14. On the spillover of exchange rate risk into default risk

    Directory of Open Access Journals (Sweden)

    Božović Miloš

    2009-01-01

    Full Text Available In order to reduce the exchange-rate risk, banks in emerging markets are typically denominating their loans in foreign currencies. However, in the event of a substantial depreciation of the local currency, the payment ability of a foreign-currency borrower may be reduced significantly, exposing the lender to additional default risk. This paper analyses how the exchange-rate risk of foreign currency loans spills over into default risk. We show that in an economy where foreign currency loans are a dominant source of financing economic activity, depreciation of the local currency establishes a negative feedback mechanism that leads to higher default probabilities, reduced credit supply, and reduced growth. This finding has some important implications that may be of special interest for regulators and market participants in emerging economies.

  15. 77 FR 9733 - Business Conduct Standards for Swap Dealers and Major Swap Participants With Counterparties

    Science.gov (United States)

    2012-02-17

    ... electronic media, as to the value of or the advisability of trading in any swap, among other CEA..., at 6, 19-21, 24, and 34-35; BDA Feb. 22 Letter, at 2. \\70\\ See, e.g., SIFMA/ISDA Feb. 17 Letter, at... publications, writings, or electronic media, as to the value of or the advisability of trading in any swap.\\77...

  16. 45 CFR 672.10 - Default order.

    Science.gov (United States)

    2010-10-01

    ... 45 Public Welfare 3 2010-10-01 2010-10-01 false Default order. 672.10 Section 672.10 Public... HEARING PROCEDURES § 672.10 Default order. (a) Default. The Presiding Officer may find a party in default.... No finding of default on the basis of a failure to appear at a hearing shall be made against the...

  17. 40 CFR 22.17 - Default.

    Science.gov (United States)

    2010-07-01

    ... 40 Protection of Environment 1 2010-07-01 2010-07-01 false Default. 22.17 Section 22.17 Protection... Procedures § 22.17 Default. (a) Default. A party may be found to be in default: after motion, upon failure to... hearing. Default by respondent constitutes, for purposes of the pending proceeding only, an admission of...

  18. 40 CFR 305.24 - Default order.

    Science.gov (United States)

    2010-07-01

    ... 40 Protection of Environment 27 2010-07-01 2010-07-01 false Default order. 305.24 Section 305.24... Default order. (a) Default. A party may be found to be in default: after motion, upon failure of the... default on the basis of failure to appear at a hearing shall be made against the Claims Official unless...

  19. Solvent selection methodology for pharmaceutical processes: Solvent swap

    DEFF Research Database (Denmark)

    Papadakis, Emmanouil; Kumar Tula, Anjan; Gani, Rafiqul

    2016-01-01

    A method for the selection of appropriate solvents for the solvent swap task in pharmaceutical processes has been developed. This solvent swap method is based on the solvent selection method of Gani et al. (2006) and considers additional selection criteria such as boiling point difference...... in pharmaceutical processes as well as new solvent swap alternatives. The method takes into account process considerations such as batch distillation and crystallization to achieve the swap task. Rigorous model based simulations of the swap operation are performed to evaluate and compare the performance...

  20. Mechanism and accounting treatment of interest rate swap

    OpenAIRE

    Prošić Danica

    2015-01-01

    Interest rate swap is a derivative which is today routinely used in the financial sector worldwide. As opposed to that, the swap market in Serbia is reduced to basic versions of interest rate swaps only, and is limited to the major users and providers of services in the financial market. Banks in Serbia have been introducing and promoting interest rate swaps as one of their services rather slowly, which can be deduced from various information on interest rate swaps and non-innovative offers o...

  1. 75 FR 54020 - Federal Housing Administration Risk Management Initiatives: New Loan-to-Value and Credit Score...

    Science.gov (United States)

    2010-09-03

    ... Housing Administration Risk Management Initiatives: New Loan-to-Value and Credit Score Requirements AGENCY... acceptable risks of financial loss, not unacceptable risks.\\2\\ \\2\\ While the Federal Credit Reform Act of..., specific to each applicant. Lower credit scores indicate greater risk of default on any new credit extended...

  2. Analysis of swaps in Radix selection

    DEFF Research Database (Denmark)

    Elmasry, Amr Ahmed Abd Elmoneim; Mahmoud, Hosam

    2011-01-01

    Radix Sort is a sorting algorithm based on analyzing digital data. We study the number of swaps made by Radix Select (a one-sided version of Radix Sort) to find an element with a randomly selected rank. This kind of grand average provides a smoothing over all individual distributions for specific...

  3. Variance Swap Replication: Discrete or Continuous?

    Directory of Open Access Journals (Sweden)

    Fabien Le Floc’h

    2018-02-01

    Full Text Available The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.

  4. Secure key distribution by swapping quantum entanglement

    International Nuclear Information System (INIS)

    Song, Daegene

    2004-01-01

    We report two key distribution schemes achieved by swapping quantum entanglement. Using two Bell states, two bits of secret key can be shared between two distant parties that play symmetric and equal roles. We also address eavesdropping attacks against the schemes

  5. Ensemble Learning or Deep Learning? Application to Default Risk Analysis

    Directory of Open Access Journals (Sweden)

    Shigeyuki Hamori

    2018-03-01

    Full Text Available Proper credit-risk management is essential for lending institutions, as substantial losses can be incurred when borrowers default. Consequently, statistical methods that can measure and analyze credit risk objectively are becoming increasingly important. This study analyzes default payment data and compares the prediction accuracy and classification ability of three ensemble-learning methods—specifically, bagging, random forest, and boosting—with those of various neural-network methods, each of which has a different activation function. The results obtained indicate that the classification ability of boosting is superior to other machine-learning methods including neural networks. It is also found that the performance of neural-network models depends on the choice of activation function, the number of middle layers, and the inclusion of dropout.

  6. Determinants of Default in P2P Lending.

    Directory of Open Access Journals (Sweden)

    Carlos Serrano-Cinca

    Full Text Available This paper studies P2P lending and the factors explaining loan default. This is an important issue because in P2P lending individual investors bear the credit risk, instead of financial institutions, which are experts in dealing with this risk. P2P lenders suffer a severe problem of information asymmetry, because they are at a disadvantage facing the borrower. For this reason, P2P lending sites provide potential lenders with information about borrowers and their loan purpose. They also assign a grade to each loan. The empirical study is based on loans' data collected from Lending Club (N = 24,449 from 2008 to 2014 that are first analyzed by using univariate means tests and survival analysis. Factors explaining default are loan purpose, annual income, current housing situation, credit history and indebtedness. Secondly, a logistic regression model is developed to predict defaults. The grade assigned by the P2P lending site is the most predictive factor of default, but the accuracy of the model is improved by adding other information, especially the borrower's debt level.

  7. Determinants of Default in P2P Lending.

    Science.gov (United States)

    Serrano-Cinca, Carlos; Gutiérrez-Nieto, Begoña; López-Palacios, Luz

    2015-01-01

    This paper studies P2P lending and the factors explaining loan default. This is an important issue because in P2P lending individual investors bear the credit risk, instead of financial institutions, which are experts in dealing with this risk. P2P lenders suffer a severe problem of information asymmetry, because they are at a disadvantage facing the borrower. For this reason, P2P lending sites provide potential lenders with information about borrowers and their loan purpose. They also assign a grade to each loan. The empirical study is based on loans' data collected from Lending Club (N = 24,449) from 2008 to 2014 that are first analyzed by using univariate means tests and survival analysis. Factors explaining default are loan purpose, annual income, current housing situation, credit history and indebtedness. Secondly, a logistic regression model is developed to predict defaults. The grade assigned by the P2P lending site is the most predictive factor of default, but the accuracy of the model is improved by adding other information, especially the borrower's debt level.

  8. 77 FR 62275 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Order Granting...

    Science.gov (United States)

    2012-10-12

    ... to its Rules to implement the enhanced margin segregation model for cleared swaps that the Commodity... on a customer-by-customer basis, and (iii) change the default ``waterfall'' to limit ICC's ability to... margin requirement,'' and ``Participant excess margin'' have been deleted to reflect the LSOC model and...

  9. Mortgage credit default : an empirical analysis of the Portuguese Market

    OpenAIRE

    Lima, Terry Carreiro

    2013-01-01

    Dissertação de mestrado em Economia Monetária, Bancária e Financeira O crédito hipotecário tornou-se numa das obrigações financeiras mais importantes das famílias portuguesas, mas por outro lado, este tipo de crédito tem sido capaz de aumentar alguns sectores económicos em Portugal. É importante estudar o incumprimento no crédito hipotecário, devido ao seu impacto sobre as famílias, e também sobre a banca e mercado imobiliário. O objetivo deste trabalho é duplo. Em primeiro lug...

  10. Dependent defaults and losses with factor copula models

    Directory of Open Access Journals (Sweden)

    Ackerer Damien

    2017-12-01

    Full Text Available We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

  11. Defaultable Game Options in a Hazard Process Model

    Directory of Open Access Journals (Sweden)

    Tomasz R. Bielecki

    2009-01-01

    Full Text Available The valuation and hedging of defaultable game options is studied in a hazard process model of credit risk. A convenient pricing formula with respect to a reference filteration is derived. A connection of arbitrage prices with a suitable notion of hedging is obtained. The main result shows that the arbitrage prices are the minimal superhedging prices with sigma martingale cost under a risk neutral measure.

  12. Estimating Probability of Default on Peer to Peer Market – Survival Analysis Approach

    Directory of Open Access Journals (Sweden)

    Đurović Andrija

    2017-05-01

    Full Text Available Arguably a cornerstone of credit risk modelling is the probability of default. This article aims is to search for the evidence of relationship between loan characteristics and probability of default on peer-to-peer (P2P market. In line with that, two loan characteristics are analysed: 1 loan term length and 2 loan purpose. The analysis is conducted using survival analysis approach within the vintage framework. Firstly, 12 months probability of default through the cycle is used to compare riskiness of analysed loan characteristics. Secondly, log-rank test is employed in order to compare complete survival period of cohorts. Findings of the paper suggest that there is clear evidence of relationship between analysed loan characteristics and probability of default. Longer term loans are more risky than the shorter term ones and the least risky loans are those used for credit card payoff.

  13. Credit risk identification and suggestions of electricity market

    Science.gov (United States)

    He, Chuan; Wang, Haichao; Chen, Zhongyuan; Hao, Yuxing; Jiang, Hailong; Qian, Hanhan; Wang, Meibao

    2018-03-01

    The power industry has a long history of credit problems, and the power industry has credit problems such as power users defaulting on electricity bills before the new electricity reform. With the reform of the power system, the credit problems in the power industry will be more complicated. How to effectively avoid the risk factors existing in the course of market operation and how to safeguard the fairness and standardization of market operation is an urgent problem to be solved. This paper first describes the credit risk in power market, and analyzes the components of credit risk identification in power market, puts forward suggestions on power market risk management.

  14. Sato Processes in Default Modeling

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Nicolato, Elisa

    2010-01-01

    In reduced form default models, the instantaneous default intensity is the classical modeling object. Survival probabilities are then given by the Laplace transform of the cumulative hazard defined as the integrated intensity process. Instead, recent literature tends to specify the cumulative haz...

  15. Default options and training participation

    NARCIS (Netherlands)

    Borghans, L.; Golsteyn, B.H.H.

    2013-01-01

    This paper analyzes whether defaults affect the choice for courses followed at work. In addition, we analyze whether the size of the default effect varies with employees’ personality and skill-deficiencies. We perform an experiment in which workers are hypothetically offered three courses which they

  16. Default options and training participation

    NARCIS (Netherlands)

    Borghans, L.; Golsteyn, B.H.H.

    2013-01-01

    This paper analyzes whether defaults affect the choice for courses followed at work. In addition, we analyze whether the size of the default effect varies with employees' personality and skill- deficiencies. We perform an experiment in which workers are hypothetically offered three courses which

  17. Sato Processes in Default Modeling

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Nicolato, Elisa

    In reduced form default models, the instantaneous default intensity is classically the modeling object. Survival probabilities are then given by the Laplace transform of the cumulative hazard defined as the integrated intensity process. Instead, recent literature has shown a tendency towards...

  18. Cohort Default Rates in Context

    Science.gov (United States)

    Looney, Shannon M.

    2011-01-01

    Burgeoning student loan debt indicates problems not only for the country's borrowers but also for the postsecondary system. The rise in student loan defaults signifies a rise in institutional cohort default rates (CDRs)--a measure of accountability that informs the government and the general public how well an institution prepares its students for…

  19. Market Microstructure Effects on Firm Default Risk Evaluation

    Directory of Open Access Journals (Sweden)

    Flavia Barsotti

    2016-07-01

    Full Text Available Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined inside a Merton-like structural model. To estimate the volatility risk component of a firm we use high-frequency equity data: market microstructure noise is introduced as a direct effect of observing noisy high-frequency equity prices. A Monte Carlo simulation analysis is conducted to (i test the performance of alternative non-parametric equity volatility estimators in their capability of filtering out the microstructure noise and backing out the true unobservable asset volatility; (ii study the effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non-parametric volatility estimators on risk evaluation is not negligible: a sensitivity analysis defined for alternative values of the leverage parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper estimator to consider from a credit risk perspective.

  20. Risk Factors of Loan Default Payment in Ghana: A case study of Akuapem Rural Bank

    OpenAIRE

    Samuel Antwi; Ebenezer Fiifi Emire Atta Mills; Gifty Atta Mills; Xicang Zhao

    2012-01-01

    This study seeks to determine some risk factors that influence loan default repayment among customers in Akuapem rural bank. Secondary data on some variables which influence customer loan default was obtained from the credit department of Akuapem rural bank. Data was collected for the period 2006 to 2010. A logistic regression model was fitted to the data. It was found that among the variables that were used, Security and Type of Loan were significant to the study whereas Sex, Marital Status,...

  1. Public-Private Partnership’s Contract in Malaysia: Some Areas of Concern in a Land Swap Arrangement

    Directory of Open Access Journals (Sweden)

    Suzana Muhamad Said

    2017-12-01

    Full Text Available AbstractThis paper seeks to explore the public-private partnership initiative and salient provisions of government contracts in Malaysia. This paper further examines some areas of concern emphasising on a land swap type of contract. There are still many other provisions that need to be addressed for example on obligations, design and constructions, choosing the right type of contracts, operations and maintenance, sub-contracts, relief events, liability and damages, performance security, default and termination and dispute resolutions which is not dealt in this paper.

  2. Credit scoring for individuals

    Directory of Open Access Journals (Sweden)

    Maria DIMITRIU

    2010-12-01

    Full Text Available Lending money to different borrowers is profitable, but risky. The profits come from the interest rate and the fees earned on the loans. Banks do not want to make loans to borrowers who cannot repay them. Even if the banks do not intend to make bad loans, over time, some of them can become bad. For instance, as a result of the recent financial crisis, the capability of many borrowers to repay their loans were affected, many of them being on default. That’s why is important for the bank to monitor the loans. The purpose of this paper is to focus on credit scoring main issues. As a consequence of this, we presented in this paper the scoring model of an important Romanian Bank. Based on this credit scoring model and taking into account the last lending requirements of the National Bank of Romania, we developed an assessment tool, in Excel, for retail loans which is presented in the case study.

  3. 75 FR 64643 - Reporting of Security-Based Swap Transaction Data

    Science.gov (United States)

    2010-10-20

    ...; (IV) a rate collar; (V) a cross-currency rate swap; (VI) a basis swap; (VII) a currency swap; (VIII) a... 3235-AK73 Reporting of Security-Based Swap Transaction Data AGENCY: Securities and Exchange Commission... swaps entered into before July 21, 2010, the terms of which had not expired as of that date (``pre...

  4. Modelling the predictive performance of credit scoring

    Directory of Open Access Journals (Sweden)

    Shi-Wei Shen

    2013-07-01

    Research purpose: The purpose of this empirical paper was to examine the predictive performance of credit scoring systems in Taiwan. Motivation for the study: Corporate lending remains a major business line for financial institutions. However, in light of the recent global financial crises, it has become extremely important for financial institutions to implement rigorous means of assessing clients seeking access to credit facilities. Research design, approach and method: Using a data sample of 10 349 observations drawn between 1992 and 2010, logistic regression models were utilised to examine the predictive performance of credit scoring systems. Main findings: A test of Goodness of fit demonstrated that credit scoring models that incorporated the Taiwan Corporate Credit Risk Index (TCRI, micro- and also macroeconomic variables possessed greater predictive power. This suggests that macroeconomic variables do have explanatory power for default credit risk. Practical/managerial implications: The originality in the study was that three models were developed to predict corporate firms’ defaults based on different microeconomic and macroeconomic factors such as the TCRI, asset growth rates, stock index and gross domestic product. Contribution/value-add: The study utilises different goodness of fits and receiver operator characteristics during the examination of the robustness of the predictive power of these factors.

  5. 75 FR 80173 - Further Definition of “Swap Dealer,” “Security-Based Swap Dealer,” “Major Swap Participant...

    Science.gov (United States)

    2010-12-21

    ...\\ As one example, a non-financial company that engages in both swap dealing and other commercial... reduce risk, increase transparency, and promote market integrity within the financial system, including... swaps with more counterparties than do non-dealers, and in some markets, non-dealers tend to constitute...

  6. SWAP-70 contributes to spontaneous transformation of mouse embryo fibroblasts

    Energy Technology Data Exchange (ETDEWEB)

    Chang, Yu-Tzu; Shu, Chung-Li; Lai, Jing-Yang; Lin, Ching-Yu; Chuu, Chih-Pin [Institute of Cellular and System Medicine National Health Research Institute, Zhunan Town 35053, Miaoli County, Taiwan, ROC (China); Morishita, Kazuhiro; Ichikawa, Tomonaga [Division of Tumor and Cellular Biochemistry Department of Medical Sciences Faculty of Medicine University of Miyazaki, 5200 Kihara, Kiyotake, Miyazaki-shi, Miyazaki 889-1692 Japan (Japan); Jessberger, Rolf [Faculty of Medicine Carl Gustav Carus, Institute of Physiological Chemistry, Dresden University of Technology, Dresden (Germany); Fukui, Yasuhisa, E-mail: 990412@nhri.org.tw [Institute of Cellular and System Medicine National Health Research Institute, Zhunan Town 35053, Miaoli County, Taiwan, ROC (China)

    2016-07-15

    Mouse embryo fibroblasts (MEFs) grow slowly after cultivation from animals, however, after an extended period of cultivation, their growth accelerates. We found that SWAP-70 deficient MEFs failed to increase growth rates. They maintain normal growth rates and proliferation cycles for at least 5 years. Complementing SWAP-70 deficiency in one of these MEF clones, MEF1F2, by expressing human SWAP-70 resulted in fast growth of the cells after further cultivation for a long period. The resulting cells show a transformation phenotype, since they grow on top of each other and do not show contact inhibition. This phenotype was reverted when sanguinarine, a putative SWAP-70 inhibitor, was added. Two SWAP-70 expressing clones were examined in detail. Even after cell density became very high their cdc2 and NFκB were still activated suggesting that they do not stop growing. One of the clones formed colonies in soft agar and formed tumors in nude mice. Lately, one more clone became transformed being able to make colonies in soft agar. We maintain 4 human SWAP-70 expressing MEF1F2 cell lines. Three out of 4 clones exhibited transforming phenotypes. The mouse SWAP-70 gene also promoted transformation of MEFs. Taken together our data suggest that SWAP-70 is not a typical oncogene, but is required for spontaneous transformation of MEFs. - Highlights: • Mouse embryo fibroblasts (MEFs) lacking SWAP-70 do not cause spontaneous transform. • Adding back of SWAP-70 to SWAP-70-deficient MEFs induces spontaneous transformation. • SWAP-70 is required for spontaneous transformation of MEFs.

  7. Green Team Hosts Plant Swap to Encourage Gardening | Poster

    Science.gov (United States)

    By Carolynne Keenan, Contributing Writer What started out as a way for Howard Young, Ph.D., to thin out his garden last fall turned into the NCI at Frederick Green Team’s Plant Swap. The group held its Fall Plant Swap on October 24, encouraging all members of the Fort Detrick community to pick up a free plant or swap a plant of theirs for another. “Those who love to garden

  8. 48 CFR 252.217-7009 - Default.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 3 2010-10-01 2010-10-01 false Default. 252.217-7009... Clauses 252.217-7009 Default. As prescribed in 217.7104(a), use the following clause: Default (DEC 1991... of default to the Contractor, terminate the whole or any part of a job order if the Contractor fails...

  9. 24 CFR 241.1235 - Cross default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Cross default. 241.1235 Section 241... Rights and Obligations § 241.1235 Cross default. In the event the borrower commits a default under a prior recorded insured mortgage and the holder thereof initiates a foreclosure proceeding, said default...

  10. 40 CFR 209.24 - Default order.

    Science.gov (United States)

    2010-07-01

    ... 40 Protection of Environment 24 2010-07-01 2010-07-01 false Default order. 209.24 Section 209.24... Orders Issued Under Section 11(d) of the Noise Control Act § 209.24 Default order. (a) Default. Respondent may be found to be in default upon failure to comply with a prehearing or hearing ruling of the...

  11. Mechanism and accounting treatment of interest rate swap

    Directory of Open Access Journals (Sweden)

    Prošić Danica

    2015-01-01

    Full Text Available Interest rate swap is a derivative which is today routinely used in the financial sector worldwide. As opposed to that, the swap market in Serbia is reduced to basic versions of interest rate swaps only, and is limited to the major users and providers of services in the financial market. Banks in Serbia have been introducing and promoting interest rate swaps as one of their services rather slowly, which can be deduced from various information on interest rate swaps and non-innovative offers of these instruments. On the other hand, companies are unable to recognize interest rate swaps as instruments of hedge against the negative effects of interest rate fluctuations, and a way to gain competitive edge in relation to other market participants. One of the obstacles for using interest rate swaps is unwillingness of companies to get informed and educated, and to enter new transactions. The volume of conducted swap transactions depends on the level of understanding on the part of their participants. Expansion of knowledge helps bridge the gap between theory and practice, thereby encouraging a more intensive implementation of interest rate swaps in the future.

  12. Calibration of a Credit Rating Scale for Polish Companies

    Directory of Open Access Journals (Sweden)

    Aleksandra Wójcicka

    2012-01-01

    Full Text Available Increasing number of bankruptcy announcements means that even greater attention is being paid to the correct evaluation of the probability of default (PD and decisions made on the basis of it. Reliable estimation of the likelihood of a company's bankruptcy reduces risk, not only for the company itself but also for all co-operating companies and financial institutions. The financial crisis has led to a tightening up of the conditions for gaining finance from banks. However, it is not only the evaluation of PD itself that is so important but also the correct classification of companies according to their PD level ("good" or "bad" companies. There is very little consideration about possible adjustments of the credit risk scale, as usually the American scale is adopted with no changes which seems incorrect.This paper stresses the importance of correct calibration of the credit rating scale. It should not be assumed (as it was in the past that once a scale is defined it remains fixed and independent of the country. Therefore, the research carried out on Polish companies shows that the credit rating scale should be changed and the default point (i.e. "cut-off" point should be higher than in the past. The author uses a modified classification matrix based on the probability of default. The paper compares the classification of quoted Polish companies according to their credit risk level (PD with the actual occurrence of default when various default "cut-off" points are used. (original abstract

  13. 78 FR 21045 - Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship...

    Science.gov (United States)

    2013-04-09

    ... COMMODITY FUTURES TRADING COMMISSION 17 CFR Part 23 RIN 3038-AC96 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship Documentation Requirements for Swap Dealers... CFTC published final rules setting forth requirements for swap confirmation, portfolio reconciliation...

  14. Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors

    Czech Academy of Sciences Publication Activity Database

    Gapko, Petr; Šmíd, Martin

    2012-01-01

    Roč. 62, č. 2 (2012), s. 125-140 ISSN 0015-1920 R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965 Grant - others:Univerzita Karlova(CZ) GAUK 46108 Institutional research plan: CEZ:AV0Z10750506 Keywords : credit risk * probability of default * loss given default * credit loss * credit loss distribution * Basel II Subject RIV: AH - Economics Impact factor: 0.340, year: 2012 http://library.utia.cas.cz/separaty/2012/E/smid-dynamic multi-factor credit risk model with fat-tailed factors.pdf

  15. Using a transactor/revolver scorecard to make credit and pricing decisions

    OpenAIRE

    So, M.C.; Thomas, L.C.; Seow, H-V; Mues, C.

    2014-01-01

    In consumer lending the traditional approach is to develop a credit scorecard which ranks borrowers according to their risk of defaulting. Bads have a high risk of default and Goods have a low risk. To maximise the profitability of credit card customers, a second classification between revolvers and transactors becomes important. Building a transactor/revolver scorecard together with a Good/Bad scorecard over the revolvers, gives rise to a risk decision system whose ranking of risk is compara...

  16. THE DETERMINANTS OF HOUSEHOLD DEBT DEFAULT

    OpenAIRE

    ALFARO, RODRIGO; GALLARDO, NATALIA

    2012-01-01

    In this paper, we study household debt default behavior in Chile using survey data. Previous research in this area suggests financial and personal variables help estimate individual and group probabilities of default. We study mortgage and consumer default separately, as the default decisions and overall borrower behavior are different for each type of debt. Our study finds that income and income-related variables are the only significant and robust variables that explain default for both typ...

  17. The Role of Credit in Predicting US Recessions

    DEFF Research Database (Denmark)

    Pönkä, Harri

    are useful predictors of US recessions over and above the control variables both in and out of sample. Especially the excess bond premium, capturing the cyclical changes in the relationship between default risk and credit spreads, is found to be a powerful predictor. Overall, models that combine credit......We study the role of credit in forecasting US recession periods with probit models. We employ both classical recession predictors and common factors based on a large panel of financial and macroeconomic variables as control variables. Our findings suggest that a number of credit variables...

  18. 76 FR 44508 - Acceptance of Public Submissions for a Study on International Swap Regulation Mandated by Section...

    Science.gov (United States)

    2011-07-26

    ... must be submitted in English or, if not, accompanied by an English translation. Comments will be posted... terms ``swap'' and ``swaps'' to include both swap(s) and security-based swap(s) in the context of this... Section 719(c) and request that commenters include a description, either in English or accompanied by an...

  19. 75 FR 71379 - Registration of Swap Dealers and Major Swap Participants

    Science.gov (United States)

    2010-11-23

    ... with the Commission as a registered futures association,'' to date, NFA is the sole association that... traders and floor brokers, is extensively set forth in Part 3 of the regulations. Replication in new Part... categories (such as floor broker or floor trader), such that they would not pertain to swaps entities. B...

  20. CONTINGENCIES FOR MEASUREMENT OF THE CREDIT RISK

    Directory of Open Access Journals (Sweden)

    Marinela BARBULESCU

    2015-12-01

    Full Text Available The Global Financial Crisis, which affected various banks, some of them very important banks, highlighted the importance of an accurate credit risk measurement in order to be able to overcome it. There are a variety of such credit risk measurement models, so we can say that banks face a real dilemma when having to choose the most appropriate one. The aim of this paper is to examine the most popular methods used to measure the credit risk and to identify the strengths and the weaknesses of each one of it. The research was accomplished from a double perspective, in which the conceptual methodological approach is correlated to a variety of references to practical actions aiming the measurement and the prevention of credit risk. The study includes the presentation of the objectives of credit risk analysis, the most appropriate moments for doing such an analysis, the steps that have to be done in order to measure the credit risk, the errors that can overcome in the credit risk measurement system, generated by the misclassifications of the studied company, and the presentation of the specific information of financial creditors. The findings expressed in this paper were mainly the result of a qualitative analysis which showed that there is no best model for credit risk measurement, each one having both strengths and weaknesses, some providing a comprehensive analysis of the individual customer’s financial strength others allowing banks permanently monitor fluctuating default risk and identify the possibly problems at an early stage.

  1. Amino-acid composition after loop deletion drives domain swapping.

    Science.gov (United States)

    Nandwani, Neha; Surana, Parag; Udgaonkar, Jayant B; Das, Ranabir; Gosavi, Shachi

    2017-10-01

    Rational engineering of a protein to enable domain swapping requires an understanding of the sequence, structural and energetic factors that favor the domain-swapped oligomer over the monomer. While it is known that the deletion of loops between β-strands can promote domain swapping, the spliced sequence at the position of the loop deletion is thought to have a minimal role to play in such domain swapping. Here, two loop-deletion mutants of the non-domain-swapping protein monellin, frame-shifted by a single residue, were designed. Although the spliced sequence in the two mutants differed by only one residue at the site of the deletion, only one of them (YEIKG) promoted domain swapping. The mutant containing the spliced sequence YENKG was entirely monomeric. This new understanding that the domain swapping propensity after loop deletion may depend critically on the chemical composition of the shortened loop will facilitate the rational design of domain swapping. © 2017 The Protein Society.

  2. Book Swap Now Open to All Employees | Poster

    Science.gov (United States)

    Not only did the year 2000 mark the start of a new millennium, the beginning of the Human Genome Project, and the opening of the International Space Station, but it was also the first year that the Scientific Library held its annual Book & Media Swap. Starting Nov. 12, the 15th annual Book Swap is open to all NCI at Frederick employees.

  3. Numerical ability predicts mortgage default.

    Science.gov (United States)

    Gerardi, Kristopher; Goette, Lorenz; Meier, Stephan

    2013-07-09

    Unprecedented levels of US subprime mortgage defaults precipitated a severe global financial crisis in late 2008, plunging much of the industrialized world into a deep recession. However, the fundamental reasons for why US mortgages defaulted at such spectacular rates remain largely unknown. This paper presents empirical evidence showing that the ability to perform basic mathematical calculations is negatively associated with the propensity to default on one's mortgage. We measure several aspects of financial literacy and cognitive ability in a survey of subprime mortgage borrowers who took out loans in 2006 and 2007, and match them to objective, detailed administrative data on mortgage characteristics and payment histories. The relationship between numerical ability and mortgage default is robust to controlling for a broad set of sociodemographic variables, and is not driven by other aspects of cognitive ability. We find no support for the hypothesis that numerical ability impacts mortgage outcomes through the choice of the mortgage contract. Rather, our results suggest that individuals with limited numerical ability default on their mortgage due to behavior unrelated to the initial choice of their mortgage.

  4. Numerical ability predicts mortgage default

    Science.gov (United States)

    Gerardi, Kristopher; Goette, Lorenz; Meier, Stephan

    2013-01-01

    Unprecedented levels of US subprime mortgage defaults precipitated a severe global financial crisis in late 2008, plunging much of the industrialized world into a deep recession. However, the fundamental reasons for why US mortgages defaulted at such spectacular rates remain largely unknown. This paper presents empirical evidence showing that the ability to perform basic mathematical calculations is negatively associated with the propensity to default on one’s mortgage. We measure several aspects of financial literacy and cognitive ability in a survey of subprime mortgage borrowers who took out loans in 2006 and 2007, and match them to objective, detailed administrative data on mortgage characteristics and payment histories. The relationship between numerical ability and mortgage default is robust to controlling for a broad set of sociodemographic variables, and is not driven by other aspects of cognitive ability. We find no support for the hypothesis that numerical ability impacts mortgage outcomes through the choice of the mortgage contract. Rather, our results suggest that individuals with limited numerical ability default on their mortgage due to behavior unrelated to the initial choice of their mortgage. PMID:23798401

  5. Robustness of Distance-to-Default

    DEFF Research Database (Denmark)

    Jessen, Cathrine; Lando, David

    2013-01-01

    Distance-to-default is a remarkably robust measure for ranking firms according to their risk of default. The ranking seems to work despite the fact that the Merton model from which the measure is derived produces default probabilities that are far too small when applied to real data. We use...... simulations to investigate the robustness of the distance-to-default measure to different model specifications. Overall we find distance-to-default to be robust to a number of deviations from the simple Merton model that involve different asset value dynamics and different default triggering mechanisms....... A notable exception is a model with stochastic volatility of assets. In this case both the ranking of firms and the estimated default probabilities using distance-to-default perform significantly worse. We therefore propose a volatility adjustment of the distance-to-default measure, that significantly...

  6. 75 FR 63107 - Alternatives to the Use of External Credit Ratings in the Regulations of the OTS

    Science.gov (United States)

    2010-10-14

    ..., savings associations must consider the interest rate, credit, liquidity, price and other risks presented... subject only to moderate credit risk, and for whom expectations of default risk over the term of the... securities activities based on the levels and types of risks in its portfolio. As with the credit quality...

  7. 76 FR 73526 - Alternatives to the Use of External Credit Ratings in the Regulations of the OCC

    Science.gov (United States)

    2011-11-29

    ... Corn, Director for Market Risk, Credit and Market Risk Division, (202) 874-4660; Carl Kaminski, Senior... rulemaking on the agencies' use of credit ratings in risk-based capital frameworks,\\3\\ and we continue our... principal and interest and the risk of default and references credit ratings for that purpose. A broader...

  8. Energy swaps as profit motive instruments in oil markets

    International Nuclear Information System (INIS)

    Arshi, A.A.

    1992-01-01

    In this paper, I introduce oil swaps as financial instruments available to oil producers and to buyers of crude oil and products, and the positive effects they can provide for marketing profitability. In addition, I seek to underline the complementarity of oil swaps, emphasizing the benefits which can result from efficiently monitored use of such tools. I review the various criteria to be considered when implementing swap arrangements and I examine standard and non-standard examples which I believe to be of interest. Due to the unfortunate fact that exchange market liquidity is limited, I am of the opinion that producers, if they think fit, should start with only a limited amount of their availability covered by such swap arrangements. Nevertheless, I wish to draw the attention of producers and buyers of crude oil and oil products to the benefits of swap arrangements, as described in this paper. (author)

  9. Valuing Interest Rate Swap Contracts in Uncertain Financial Market

    Directory of Open Access Journals (Sweden)

    Chen Xiao

    2016-11-01

    Full Text Available Swap is a financial contract between two counterparties who agree to exchange one cash flow stream for another, according to some predetermined rules. When the cash flows are fixed rate interest and floating rate interest, the swap is called an interest rate swap. This paper investigates two valuation models of the interest rate swap contracts in the uncertain financial market. The new models are based on belief degrees, and require relatively less historical data compared to the traditional probability models. The first valuation model is designed for a mean-reversion term structure, while the second is designed for a term structure with hump effect. Explicit solutions are developed by using the Yao–Chen formula. Moreover, a numerical method is designed to calculate the value of the interest rate swap alternatively. Finally, two examples are given to show their applications and comparisons.

  10. Subsequence Automata with Default Transitions

    DEFF Research Database (Denmark)

    Bille, Philip; Gørtz, Inge Li; Skjoldjensen, Frederik Rye

    2016-01-01

    of states and transitions) of the subsequence automaton is O(nσ) and that this bound is asymptotically optimal. In this paper, we consider subsequence automata with default transitions, that is, special transitions to be taken only if none of the regular transitions match the current character, and which do...... not consume the current character. We show that with default transitions, much smaller subsequence automata are possible, and provide a full trade-off between the size of the automaton and the delay, i.e., the maximum number of consecutive default transitions followed before consuming a character......(nσ) and delay O(1), thus matching the bound for the standard subsequence automaton construction. The key component of our result is a novel hierarchical automata construction of independent interest....

  11. Subsequence automata with default transitions

    DEFF Research Database (Denmark)

    Bille, Philip; Gørtz, Inge Li; Skjoldjensen, Frederik Rye

    2017-01-01

    of states and transitions) of the subsequence automaton is O(nσ) and that this bound is asymptotically optimal. In this paper, we consider subsequence automata with default transitions, that is, special transitions to be taken only if none of the regular transitions match the current character, and which do...... not consume the current character. We show that with default transitions, much smaller subsequence automata are possible, and provide a full trade-off between the size of the automaton and the delay, i.e., the maximum number of consecutive default transitions followed before consuming a character......(1), thus matching the bound for the standard subsequence automaton construction. Finally, we generalize the result to multiple strings. The key component of our result is a novel hierarchical automata construction of independent interest....

  12. Automatic for the Borrower: How Repayment Based on Income Can Reduce Loan Defaults and Manage Risk

    Science.gov (United States)

    Baum, Sandy; Carew, Diana; Fraire, Jacob; Jacks, Kay; James, Kevin; Madzelan, Daniel; Miller, Scott E.; Simmons, Barry; Thompson, Jessica

    2014-01-01

    When borrowers default on a federal student loan, it can have catastrophic consequences. Their credit scores drop dramatically, severely curtailing their ability to afford a home or a car, and even limiting their ability to sign up for utilities. The cost of their loan rises as late fees pile up. Moreover, the federal government can garnish…

  13. Sovereign Default Analysis through Extreme Events Identification

    Directory of Open Access Journals (Sweden)

    Vasile George MARICA

    2015-06-01

    Full Text Available This paper investigates contagion in international credit markets through the use of a novel jump detection technique proposed by Chan and Maheuin (2002. This econometrical methodology is preferred because it is non-linear by definition and not a subject to volatility bias. Also, the identified jumps in CDS premiums are considered as outliers positioned beyond any stochastic movement that can and is already modelled through well-known linear analysis. Though contagion is hard to define, we show that extreme discrete movements in default probabilities inferred from CDS premiums can lead to sound economic conclusions about the risk profile of sovereign nations in international bond markets. We find evidence of investor sentiment clustering for countries with unstable political regimes or that are engaged in armed conflict. Countries that have in their recent history faced currency or financial crises are less vulnerable to external unexpected shocks. First we present a brief history of sovereign defaults with an emphasis on their increased frequency and geographical reach, as financial markets become more and more integrated. We then pass to a literature review of the most important definitions for contagion, and discuss what quantitative methods are available to detect the presence of contagion. The paper continues with the details for the methodology of jump detection through non-linear modelling and its use in the field of contagion identification. In the last sections we present the estimation results for simultaneous jumps between emerging markets CDS and draw conclusions on the difference of behavior in times of extreme movement versus tranquil periods.

  14. 76 FR 46668 - Business Conduct Standards for Security-Based Swap Dealers and Major Security-Based Swap...

    Science.gov (United States)

    2011-08-03

    ... SECURITIES AND EXCHANGE COMMISSION 17 CFR Part 240 [Release No. 34-64766; File No. S7-25-11] RIN 3235-AL10 Business Conduct Standards for Security-Based Swap Dealers and Major Security-Based Swap Participants Correction In proposed rule document number 2011-16758, appearing on pages 42396-42455 in the...

  15. 75 FR 71391 - Implementation of Conflicts of Interest Policies and Procedures by Swap Dealers and Major Swap...

    Science.gov (United States)

    2010-11-23

    ... regulations establish conflicts of interest requirements for swap dealers (SDs) and major swap participants...-AC96 and SD-MSP Conflicts of Interest, by any of the following methods: Agency Web site, via its... mandates that the required conflicts of interest systems and procedures ``address such other issues as the...

  16. Default neglect in attempts at social influence.

    Science.gov (United States)

    Zlatev, Julian J; Daniels, David P; Kim, Hajin; Neale, Margaret A

    2017-12-26

    Current theories suggest that people understand how to exploit common biases to influence others. However, these predictions have received little empirical attention. We consider a widely studied bias with special policy relevance: the default effect, which is the tendency to choose whichever option is the status quo. We asked participants (including managers, law/business/medical students, and US adults) to nudge others toward selecting a target option by choosing whether to present that target option as the default. In contrast to theoretical predictions, we find that people often fail to understand and/or use defaults to influence others, i.e., they show "default neglect." First, in one-shot default-setting games, we find that only 50.8% of participants set the target option as the default across 11 samples ( n = 2,844), consistent with people not systematically using defaults at all. Second, when participants have multiple opportunities for experience and feedback, they still do not systematically use defaults. Third, we investigate beliefs related to the default effect. People seem to anticipate some mechanisms that drive default effects, yet most people do not believe in the default effect on average, even in cases where they do use defaults. We discuss implications of default neglect for decision making, social influence, and evidence-based policy.

  17. MODELING CREDIT RISK THROUGH CREDIT SCORING

    OpenAIRE

    Adrian Cantemir CALIN; Oana Cristina POPOVICI

    2014-01-01

    Credit risk governs all financial transactions and it is defined as the risk of suffering a loss due to certain shifts in the credit quality of a counterpart. Credit risk literature gravitates around two main modeling approaches: the structural approach and the reduced form approach. In addition to these perspectives, credit risk assessment has been conducted through a series of techniques such as credit scoring models, which form the traditional approach. This paper examines the evolution of...

  18. Overlapping defaults. The case of intertemporal choices

    Directory of Open Access Journals (Sweden)

    Sawicki Przemysław

    2017-12-01

    Full Text Available People make different choices depending on which decision is the default option. In intertemporal choices, the default option is typically imposed externally. For example, people expect more for delaying the gain (default in the present than are willing to pay for accelerating the future gain over the same period (default in the future. We claim that apart from the external default, people’s choices are also influenced by the internal (natural default such as the time perspective resulting in the reference point in the present. By manipulating the congruency between the internal and external defaults, we show that incongruence between defaults decreases the strength of discounting of gains, but not of losses.

  19. 77 FR 65177 - Swap Data Repositories: Interpretative Statement Regarding the Confidentiality and...

    Science.gov (United States)

    2012-10-25

    ... COMMODITY FUTURES TRADING COMMISSION Swap Data Repositories: Interpretative Statement Regarding...\\ which requires all swaps-- whether cleared or uncleared--to be reported to swap data repositories... of the CEA to add a definition of the term ``swap data repository.'' Pursuant to CEA section 1a(48...

  20. Firm default and aggregate fluctuations

    NARCIS (Netherlands)

    Jacobson, Tor; Linde, Jesper; Roszbach, Kasper

    This paper studies the relationship between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. By using a panel data set for virtually all incorporated Swedish businesses over 1990-2009, a period which includes

  1. Climate-friendly Default Rules

    DEFF Research Database (Denmark)

    Sunstein, Cass R.; Reisch, Lucia A.

    . The underlying reasons include the power of suggestion; inertia and procrastination; and loss aversion. If well-chosen, climate-friendly defaults are likely to have large effects in reducing the economic and environmental harms associated with various products and activities. In deciding whether to establish...

  2. The joint estimation of term structures and credit spreads

    NARCIS (Netherlands)

    Houweling, P.; Hoek, J.; Kleibergen, F.R.

    1999-01-01

    We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that result

  3. 75 FR 71397 - Regulations Establishing and Governing the Duties of Swap Dealers and Major Swap Participants

    Science.gov (United States)

    2010-11-23

    ...; \\7\\ (2) credit risk; \\8\\ (3) liquidity risk; \\9\\ (4) foreign currency risk; \\10\\ (5) legal risk; \\11... market prices, and the sensitivity of option positions to other market factors. \\8\\ Credit risk includes... management program that takes into account market risk, credit risk, liquidity risk, foreign currency risk...

  4. 17 CFR 201.155 - Default; motion to set aside default.

    Science.gov (United States)

    2010-04-01

    ... 17 Commodity and Securities Exchanges 2 2010-04-01 2010-04-01 false Default; motion to set aside default. 201.155 Section 201.155 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION RULES OF PRACTICE Rules of Practice General Rules § 201.155 Default; motion to set aside default. (a) A...

  5. 49 CFR 1112.3 - Default for failure to comply with schedule; effect of default.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 8 2010-10-01 2010-10-01 false Default for failure to comply with schedule; effect of default. 1112.3 Section 1112.3 Transportation Other Regulations Relating to Transportation... § 1112.3 Default for failure to comply with schedule; effect of default. If a party fails to comply with...

  6. 39 CFR 965.7 - Default.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default. 965.7 Section 965.7 Postal Service UNITED STATES POSTAL SERVICE PROCEDURES RULES OF PRACTICE IN PROCEEDINGS RELATIVE TO MAIL DISPUTES § 965.7 Default. A party who fails to file the submittal required by § 965.5 may be held in default and the...

  7. 15 CFR 280.208 - Default.

    Science.gov (United States)

    2010-01-01

    ... 15 Commerce and Foreign Trade 1 2010-01-01 2010-01-01 false Default. 280.208 Section 280.208... Enforcement § 280.208 Default. (a) General. Failure of the respondent to file an answer within the time...) Petition to set aside default—(1) Procedure. Upon petition filed by a respondent against whom a default...

  8. 31 CFR 10.64 - Answer; default.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 1 2010-07-01 2010-07-01 false Answer; default. 10.64 Section 10.64... SERVICE Rules Applicable to Disciplinary Proceedings § 10.64 Answer; default. (a) Filing. The respondent's... need be adduced at a hearing. (d) Default. Failure to file an answer within the time prescribed (or...

  9. 22 CFR 128.4 - Default.

    Science.gov (United States)

    2010-04-01

    ... 22 Foreign Relations 1 2010-04-01 2010-04-01 false Default. 128.4 Section 128.4 Foreign Relations DEPARTMENT OF STATE INTERNATIONAL TRAFFIC IN ARMS REGULATIONS ADMINISTRATIVE PROCEDURES § 128.4 Default. (a... default. The case shall then be referred to the Administrative Law Judge for consideration in a manner as...

  10. What should your DC default be?

    NARCIS (Netherlands)

    Cui, J.

    2009-01-01

    As reported, most DC pension scheme participants simply follow proposed defaults, even though they have the freedom to choose. Consequently, default designs have dramatic impacts on individuals’retirement saving outcomes. Given the fact that the default design matters, this paper evaluates

  11. 39 CFR 952.11 - Default.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default. 952.11 Section 952.11 Postal Service... AND LOTTERY ORDERS § 952.11 Default. (a) If the Respondent fails to file an answer within the time specified in the notice of answer and hearing, he shall be deemed in default, and to have waived hearing and...

  12. 10 CFR 820.33 - Default order.

    Science.gov (United States)

    2010-01-01

    ... 10 Energy 4 2010-01-01 2010-01-01 false Default order. 820.33 Section 820.33 Energy DEPARTMENT OF ENERGY PROCEDURAL RULES FOR DOE NUCLEAR ACTIVITIES Enforcement Process § 820.33 Default order. (a) Default. The Presiding Officer, upon motion by a party or the filing of a Notice of Intent to issue a...

  13. 24 CFR 320.31 - Default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Default. 320.31 Section 320.31 Housing and Urban Development Regulations Relating to Housing and Urban Development (Continued) GOVERNMENT... SECURITIES Bond-Type Securities § 320.31 Default. Upon default of the issuer, the Association has the right...

  14. 24 CFR 886.314 - Financial default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 4 2010-04-01 2010-04-01 false Financial default. 886.314 Section... Program for the Disposition of HUD-Owned Projects § 886.314 Financial default. In the event of a financial default under the project mortgage, HUD shall have the right to make subsequent housing assistance...

  15. 10 CFR 110.110 - Default.

    Science.gov (United States)

    2010-01-01

    ... 10 Energy 2 2010-01-01 2010-01-01 false Default. 110.110 Section 110.110 Energy NUCLEAR REGULATORY COMMISSION (CONTINUED) EXPORT AND IMPORT OF NUCLEAR EQUIPMENT AND MATERIAL Hearings § 110.110 Default. When a participant fails to act within a specified time, the presiding officer may consider him in default, issue an...

  16. 24 CFR 201.16 - Default provision.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Default provision. 201.16 Section... PROPERTY IMPROVEMENT AND MANUFACTURED HOME LOANS Loan and Note Provisions § 201.16 Default provision. The... default by the borrower. ...

  17. 39 CFR 953.7 - Default; Appearances.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default; Appearances. 953.7 Section 953.7 Postal... § 953.7 Default; Appearances. If a timely reply to the appeal is not filed, the presiding officer shall... Inspector or his or her designee is in default. Whenever the General Counsel or the Chief Postal Inspector...

  18. 15 CFR 766.7 - Default.

    Science.gov (United States)

    2010-01-01

    ... 15 Commerce and Foreign Trade 2 2010-01-01 2010-01-01 false Default. 766.7 Section 766.7 Commerce... PROCEEDINGS § 766.7 Default. (a) General. Failure of the respondent to file an answer within the time provided... aside default—(1) Procedure. Upon petition filed by a respondent against whom a default order has been...

  19. 24 CFR 902.79 - Substantial default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 4 2010-04-01 2010-04-01 false Substantial default. 902.79 Section... PUBLIC HOUSING ASSESSMENT SYSTEM PHAS Incentives and Remedies § 902.79 Substantial default. (a) Events or conditions that constitute substantial default. The following events or conditions shall constitute...

  20. 29 CFR 4043.67 - Loan default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Loan default. 4043.67 Section 4043.67 Labor Regulations... CERTAIN OTHER NOTIFICATION REQUIREMENTS Advance Notice of Reportable Events § 4043.67 Loan default. (a) Reportable event and information required. Advance notice is required for a loan default, as described in...

  1. 27 CFR 41.116 - Default.

    Science.gov (United States)

    2010-04-01

    ... 27 Alcohol, Tobacco Products and Firearms 2 2010-04-01 2010-04-01 false Default. 41.116 Section 41... Deferred Payment of Tax in Puerto Rico on Tobacco Products § 41.116 Default. Where a check or money order... the full amount of tax due thereunder, or where a bonded manufacturer is otherwise in default in...

  2. Reasoning by cases in Default Logic

    NARCIS (Netherlands)

    Roos, N.; Roos, Nico

    1998-01-01

    Reiter's Default Logic is one of the most popular formalisms for describing default reasoning. One important defect of Default Logic is, however, the inability to reason by cases. Over the years, several solutions for this problem have been proposed. All these proposals deal with deriving new

  3. 10 CFR 800.304 - Default.

    Science.gov (United States)

    2010-01-01

    ... 10 Energy 4 2010-01-01 2010-01-01 false Default. 800.304 Section 800.304 Energy DEPARTMENT OF... ASSISTANCE Loan Administration § 800.304 Default. (a) In the event that the borrower fails to perform the terms and conditions of the loan, the borrower shall be in default and the Secretary shall have the...

  4. 39 CFR 963.11 - Default.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default. 963.11 Section 963.11 Postal Service... PANDERING ADVERTISEMENTS STATUTE, 39 U.S.C. 3008 § 963.11 Default. If a petitioner, without notice or cause... thereupon may find the petitioner to be in default and refer the matter to the Judicial Officer for...

  5. 39 CFR 959.10 - Default.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default. 959.10 Section 959.10 Postal Service... STATUTES § 959.10 Default. (a) If the respondent fails to file an answer within the time specified in the notice of hearing, the respondent shall be deemed in default and to have waived hearing and further...

  6. 24 CFR 26.41 - Default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 1 2010-04-01 2010-04-01 false Default. 26.41 Section 26.41... PROCEDURES Hearings Pursuant to the Administrative Procedure Act Prehearing Procedures § 26.41 Default. (a) General. The respondent may be found in default, upon motion, for failure to file a timely response to the...

  7. 29 CFR 4043.34 - Loan default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Loan default. 4043.34 Section 4043.34 Labor Regulations... CERTAIN OTHER NOTIFICATION REQUIREMENTS Post-Event Notice of Reportable Events § 4043.34 Loan default. (a) Reportable event. A reportable event occurs for a plan whenever there is a default by a member of the plan's...

  8. 7 CFR 1951.891 - Liquidation; default.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 14 2010-01-01 2009-01-01 true Liquidation; default. 1951.891 Section 1951.891... Liquidation; default. (a) In the event that FmHA or its successor agency under Public Law 103-354 takes over... Public Law 103-354 in connection with any default or breach of conditions under any loan made hereunder...

  9. 19 CFR 210.16 - Default.

    Science.gov (United States)

    2010-04-01

    ... 19 Customs Duties 3 2010-04-01 2010-04-01 false Default. 210.16 Section 210.16 Customs Duties UNITED STATES INTERNATIONAL TRADE COMMISSION INVESTIGATIONS OF UNFAIR PRACTICES IN IMPORT TRADE ADJUDICATION AND ENFORCEMENT Motions § 210.16 Default. (a) Definition of default. (1) A party shall be found in...

  10. Robustness of Distance-to-Default

    DEFF Research Database (Denmark)

    Jessen, Cathrine; Lando, David

    2013-01-01

    . A notable exception is a model with stochastic volatility of assets. In this case both the ranking of firms and the estimated default probabilities using distance-to-default perform significantly worse. We therefore propose a volatility adjustment of the distance-to-default measure, that significantly...

  11. A Macroeconomic Model of Credit Risk in Uruguay

    Directory of Open Access Journals (Sweden)

    Gabriel Illanes

    Full Text Available In this paper we evaluate credit risk of the economy as a whole, aiming at the study of the financial stability. This analysis uses as proxy the credit granted by the banking system. We use a non-linear parametric model based on Merton's structural framework for the analysis of the risk associated to a loan portfolio. In this model, default occurs when the return of an economic agent falls under certain threshold which depends on different macroeconomic variables. We use this model to assess the credit risk module in stress tests for the local banking system. We also estimate the "elasticities" of credit categories correspondig to corporate credit and consumer credit, both in national currency and american dollars. We obtain the parameters for the model using maximum likelihood, where the likelihood function contains a random latent factor which is assumed to follow a normal distribution.

  12. Valuing Catastrophe Bonds Involving Credit Risks

    Directory of Open Access Journals (Sweden)

    Jian Liu

    2014-01-01

    Full Text Available Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data. Then we get the catastrophe bonds value by the Monte Carlo method.

  13. Inventory and Credit Decisions under Day-Terms Credit Linked Demand and Allowance for Bad Debts

    Directory of Open Access Journals (Sweden)

    K. K. Aggarwal

    2014-01-01

    Full Text Available In order to stimulate demand of their product, firms generally give credit period to their customers. However, selling on credit exposes the firms to the additional dimension of bad debts expense (i.e., customer’s default. Moreover, credit period through its influence on demand becomes a determinant of inventory decisions and inventory sold on credit gets converted to accounts receivable indicating the interaction between the two. Since inventory and credit decisions are interrelated, inventory decisions must be determined jointly with credit decisions. Consequently, in this paper, a mathematical model is developed to determine inventory and credit decisions jointly. The demand rate is assumed to be a logistic function of credit period. The accounts receivable carrying cost along with an explicit consideration of bad debt expense which have been often ignored in previous models are incorporated in the present model. The discounted cash flow approach (DCF is used to develop the model and the objective is to maximize the present value of the firm’s net profit per unit time. Finally, numerical example and sensitivity analysis have been done to illustrate the effectiveness of the proposed model.

  14. Comment on Geoengineering with seagrasses: is credit due where credit is given?

    Science.gov (United States)

    Oreska, Matthew P. J.; McGlathery, Karen J.; Emmer, Igino M.; Needelman, Brian A.; Emmett-Mattox, Stephen; Crooks, Stephen; Megonigal, J. Patrick; Myers, Doug

    2018-03-01

    In their recent review, ‘Geoengineering with seagrasses: is credit due where credit is given?,’ Johannessen and Macdonald (2016) invoke the prospect of carbon offset-credit over-allocation by the Verified Carbon Standard as a pretense for their concerns about published seagrass carbon burial rate and global stock estimates. Johannessen and Macdonald (2016) suggest that projects seeking offset-credits under the Verified Carbon Standard methodology VM0033: Methodology for Tidal Wetland and Seagrass Restoration will overestimate long-term (100 yr) sediment organic carbon (SOC) storage because issues affecting carbon burial rates bias storage estimates. These issues warrant serious consideration by the seagrass research community; however, VM0033 does not refer to seagrass SOC ‘burial rates’ or ‘storage.’ Projects seeking credits under VM0033 must document greenhouse gas emission reductions over time, relative to a baseline scenario, in order to receive credits. Projects must also monitor changes in carbon pools, including SOC, to confirm that observed benefits are maintained over time. However, VM0033 allows projects to conservatively underestimate project benefits by citing default values for specific accounting parameters, including CO2 emissions reductions. We therefore acknowledge that carbon crediting methodologies such as VM0033 are sensitive to the quality of the seagrass literature, particularly when permitted default factors are based in part on seagrass burial rates. Literature-derived values should be evaluated based on the concerns raised by Johannessen and Macdonald (2016), but these issues should not lead to credit over-allocation in practice, provided VM0033 is rigorously followed. These issues may, however, affect the feasibility of particular seagrass offset projects.

  15. Connectedness between US industry level credit markets and determinants

    Science.gov (United States)

    Shahzad, Syed Jawad Hussain; Kayani, Ghulam Mujtaba; Raza, Syed Ali; Shah, Nida; Al-Yahyaee, Khamis H.

    2018-02-01

    We examine the connectedness between US industry-level credit markets, using both Credit Default Spread (CDS) changes and volatilities, over the period from December 17, 2007, to November 13, 2015. The total, net directional and pairwise spillovers are estimated based on the generalized VAR framework developed by Diebold and Yilmaz (2012). The empirical analysis shows strong interactions for CDS spread change and volatility among all ten industries. Consumer Services and Basic Materials are the significant risk transmitters. Economic policy uncertainty and different market volatilities significantly determine credit market risk spillovers which also increase during market turbulence situations indicating a possible contagion effect. Implications of the findings are discussed.

  16. Determinants of default in p2p lending: the Mexican case

    Directory of Open Access Journals (Sweden)

    Carlos Eduardo Canfield

    2018-03-01

    Full Text Available P2P lending is a new method of informal finance that uses the internet to directly connect borrowers with on-line communities. With a unique dataset provided by Prestadero, the largest on-line lending platform with national presence in Mexico, this research explores the effect of credit scores and other variables related to loan and borrower´s traits, in determining default behavior in P2P lending. Moreover, using a logistic regression model, it tested whether investors might benefit from screening loan applicants by gender after controlling for loan quality. The results showed that information provided by the platform is relevant for analyzing credit risk, yet not conclusive. In congruence with the literature, on a scale going from the safest to the riskiest, loan quality is positively associated with default behavior. Other determinants for increasing the odds of default are the payment-to-income ratio and refinancing on the same platform. On the contrary loan purpose and being a female applicant reduce such odds. No categorical evidence for differential default behavior was found for gender´s case-discrimination, under equal credit conditions. However it was found that controlling for loan quality, women have longer loan survival times than men. This is one of the first studies about debt crowdfunding in Latin America and Mexico. Implications for lenders, researchers and policy-makers are also discussed.

  17. Crossover between spin swapping and Hall effect in disordered systems

    KAUST Repository

    Saidaoui, Hamed Ben Mohamed

    2015-07-16

    We theoretically study the crossover between spin Hall effect and spin swapping, a recently predicted phenomenon that consists of the interchange between the current flow and its spin polarization directions [M. B. Lifshits and M. I. Dyakonov, Phys. Rev. Lett. 103, 186601 (2009)]. Using a tight-binding model with spin-orbit coupled disorder, spin Hall effect, spin relaxation, and spin swapping are treated on equal footing. We demonstrate that spin swapping and spin Hall effect present very different dependencies as a function of the spin-orbit coupling and disorder strengths and confirm that the former exceeds the latter in the parameter range considered. Three setups are proposed for the experimental observation of the spin swapping effect.

  18. Crossover between spin swapping and Hall effect in disordered systems

    KAUST Repository

    Saidaoui, Hamed Ben Mohamed; Otani, Y.; Manchon, Aurelien

    2015-01-01

    We theoretically study the crossover between spin Hall effect and spin swapping, a recently predicted phenomenon that consists of the interchange between the current flow and its spin polarization directions [M. B. Lifshits and M. I. Dyakonov, Phys. Rev. Lett. 103, 186601 (2009)]. Using a tight-binding model with spin-orbit coupled disorder, spin Hall effect, spin relaxation, and spin swapping are treated on equal footing. We demonstrate that spin swapping and spin Hall effect present very different dependencies as a function of the spin-orbit coupling and disorder strengths and confirm that the former exceeds the latter in the parameter range considered. Three setups are proposed for the experimental observation of the spin swapping effect.

  19. Single photon SWAP gate using electromagnetically induced transparency

    International Nuclear Information System (INIS)

    Yavuz, D.D.

    2005-01-01

    We describe a scheme that performs a SWAP gate between two photons at different wavelengths with near 100% fidelity. The essential idea is the preparation of a near-maximal atomic coherence using electromagnetically induced transparency

  20. Inequality and Sovereign Default under Democracy

    Directory of Open Access Journals (Sweden)

    YONG KYUN KIM

    2017-06-01

    Full Text Available Do differences in the inequality of income affect the likelihood that democratic governments decide not to honor their foreign debt contracts? I argue that sovereign default involves an intertemporal tradeoff between an immediate consumption boost and a future tax increase. Since a poorer voter internalizes less of the future cost of default, as the median is poorer, the majority’s demand for default increases. Therefore, greater income inequality implies a higher default risk. I then present a signaling game that models strategic selection that a sovereign must go through to get to the default decision node. I show that sovereign default is most likely to actually occur when the level of income inequality is intermediate. The intuition is that sovereign default occurs when risky sovereigns successfully induce creditors to provide a loan, but the most risky ones are among those least able to do so. Empirical findings support the claim.

  1. Sato Processes in Default Modeling

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Nicolato, Elisa

    -change of a homogeneous Levy process. While the processes in these two classes share the same average behavior over time, the associated intensities exhibit very different properties. Concrete specifications are calibrated to data on the single names included in the iTraxx Europe index. The performances are compared......In reduced form default models, the instantaneous default intensity is classically the modeling object. Survival probabilities are then given by the Laplace transform of the cumulative hazard defined as the integrated intensity process. Instead, recent literature has shown a tendency towards...... specifying the cumulative hazard process directly. Within this framework we present a new model class where cumulative hazards are described by self-similar additive processes, also known as Sato processes. Furthermore we also analyze specifications obtained via a simple deterministic time...

  2. Variance swap payoffs, risk premia and extreme market conditions

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco

    This paper estimates the Variance Risk Premium (VRP) directly from synthetic variance swap payoffs. Since variance swap payoffs are highly volatile, we extract the VRP by using signal extraction techniques based on a state-space representation of our model in combination with a simple economic....... The latter variables and the VRP generate different return predictability on the major US indices. A factor model is proposed to extract a market VRP which turns out to be priced when considering Fama and French portfolios....

  3. The Annual Fall Book Swap Is On! | Poster

    Science.gov (United States)

    The Scientific Library staff is happy to announce that our 17th Annual Book and Media Swap will be held again this year beginning on Wednesday, November 1 from 10:00 a.m. to 2:00 p.m. in Building 549. If you need to make room for new books, are looking for new homes for your old books, or are tired of viewing those same old DVDs over and over, then the Swap is for you.

  4. Quantum Secure Direct Intercommunication with Superdense Coding and Entanglement Swapping

    International Nuclear Information System (INIS)

    Huang Dazu; Guo Ying; Zeng Guihua

    2008-01-01

    A quantum secure direct intercommunication scheme is proposed to exchange directly the communicators' secret messages by making use of swapping entanglement of Bell states. It has great capacity to distribute the secret messages since these messages have been imposed on high-dimensional Bell states via the local unitary operations with superdense coding. The security is ensured by the secure transmission of the travel sequences and the application of entanglement swapping

  5. Green Team Readies for Spring with Plant Swap | Poster

    Science.gov (United States)

    By Carolynne Keenan, Contributing Writer Those looking for a cost-effective way to spruce up their yards this spring can stop by the National Cancer Institute at Frederick Green Team’s booth during the Spring Research Festival (SRF) on May 7 and 8. Pick up a free plant, donate overgrown plants from your yard, or swap for a new plant. Everyone is invited to participate in the swap, whether you have plants to donate or not.

  6. Entanglement Swapping in the Presence of White and Color Noise

    Science.gov (United States)

    Dotsenko, Ivan S.; Korobka, R.

    2018-02-01

    The influence of white and color noise on the outcome of the entanglement swapping process is investigated in a four-qubit system. Critical degree of noise in initial state, that could destroy entanglement in a result state is presented. The entanglement characteristics, such as concurrence, tangle, etc. are compared. Results could be helpful for experiments regarding entanglement swapping as conditions for initial quantum entangled states, to obtain entangled result state.

  7. Correlated Default and Financial Intermediation

    OpenAIRE

    Gregory Phelan

    2015-01-01

    Financial intermediation naturally arises when knowledge about the aggregate state is valuable for managing investments and lenders cannot easily observe the aggregate state. I show this using a costly enforcement model in which lenders need ex-post incentives to enforce payments from defaulted loans and borrowers' payoffs are correlated. When projects have correlated outcomes, learning the state of one project (via enforcement) provides information about the states of other projects. A large...

  8. An Empirical Analysis of the Default Rate of Informal Lending—Evidence from Yiwu, China

    Science.gov (United States)

    Lu, Wei; Yu, Xiaobo; Du, Juan; Ji, Feng

    This study empirically analyzes the underlying factors contributing to the default rate of informal lending. This paper adopts snowball sampling interview to collect data and uses the logistic regression model to explore the specific factors. The results of these analyses validate the explanation of how the informal lending differs from the commercial loan. Factors that contribute to the default rate have particular attributes, while sharing some similarities with commercial bank or FICO credit scoring Index. Finally, our concluding remarks draw some inferences from empirical analysis and speculate as to what this may imply for the role of formal and informal financial sectors.

  9. Credit Management System

    Data.gov (United States)

    US Agency for International Development — Credit Management System. Outsourced Internet-based application. CMS stores and processes data related to USAID credit programs. The system provides information...

  10. Companies Credit Risk Assessment Methods for Investment Decision Making

    Directory of Open Access Journals (Sweden)

    Dovilė Peškauskaitė

    2017-06-01

    Full Text Available As the banks have tightened lending requirements, companies look for alternative sources of external funding. One of such is bonds issue. Unfortunately, corporate bonds issue as a source of funding is rare in Lithuania. This occurs because companies face with a lack of information, investors fear to take on credit risk. Credit risk is defined as a borrower’s failure to meet its obligation. Investors, in order to avoid credit risk, have to assess the state of the companies. The goal of the article is to determine the most informative methods of credit risk assessment. The article summarizes corporate lending sources, analyzes corporate default causes and credit risk assessment methods. The study based on the SWOT analysis shows that investors before making an investment decision should evaluate both the business risk,using qualitative method CAMPARI, and the financial risk, using financial ratio analysis.

  11. Credit: A Teaching Unit.

    Science.gov (United States)

    Clanton, Brandolyn; And Others

    Intended for teachers of secondary school students, five lessons on consumer credit are presented. In the first lesson students identify and evaluate sources of credit, compare some of the costs and benefits of credit, and learn to apply criteria used in evaluating applications for credit. In the second lesson, students learn about two basic types…

  12. Refundable Tax Credits

    OpenAIRE

    Congressional Budget Office

    2013-01-01

    In 1975, the first refundable tax credit—the earned income tax credit (EITC)—took effect. Since then, the number and cost of refundable tax credits—credits that can result in net payments from the government—have grown considerably. Those credits will cost $149 billion in 2013, CBO estimates, mostly for the EITC and the child tax credit.

  13. NCA & Credit Guarantees

    African Journals Online (AJOL)

    stooppn

    purposes of the National Credit Act; what the definition of a credit guarantee set out ...... Scholtz et al National Credit Act in para 8.2.4; Scott et al Law of Commerce ..... Eitelberg E "Autonomy of Documentary Credit Undertakings in South African.

  14. Federal Student Loans: Oversight of Defaulted Loan Rehabilitation Needs Strengthening. Testimony before the Subcommittee on Higher Education and Workforce Training, Committee on Education and the Workforce, House of Representatives. GAO-14-426T

    Science.gov (United States)

    Emrey-Arras, Melissa

    2014-01-01

    As of September 2013 about $94 billion--over 11 percent of federal student loan volume in repayment--was in default. Loan rehabilitation allows borrowers who make nine on-time monthly payments within 10 months to have the default removed from their credit reports. Department of Education (Education) contracts with collection agencies to assist…

  15. 76 FR 29817 - Further Definition of “Swap,” “Security-Based Swap,” and “Security-Based Swap Agreement”; Mixed...

    Science.gov (United States)

    2011-05-23

    ... Securities Exchanges H. Method of Settlement of Index CDS I. Security-Based Swaps as Securities Under the.... 20, 2010 (``SFAA Letter''); Letter from J. Stephen Zielezienski, Senior Vice President & General... Stephen E. Roth, James M. Cain, and W. Thomas Conner, Sutherland Asbill & Brennan LLP, for the Committee...

  16. Risk Profile Indicators and Spanish Banks’ Probability of Default from a Regulatory Approach

    Directory of Open Access Journals (Sweden)

    Pilar Gómez-Fernández-Aguado

    2018-04-01

    Full Text Available This paper analyses the relationships between the traditional bank risk profile indicators and a new measure of banks’ probability of default that considers the Basel regulatory framework. First, based on the SYstemic Model of Bank Originated Losses (SYMBOL, we calculated the individual probabilities of default (PD of a representative sample of Spanish credit institutions during the period of 2008–2016. Then, panel data regressions were estimated to explore the influence of the risk indicators on the PD. Our findings on the Spanish banking system could be important to regulatory and supervisory authorities. First, the PD based on the SYMBOL model could be used to analyse bank risk from a regulatory approach. Second, the results might be useful for designing new regulations focused on the key factors that affect the banks’ probability of default. Third, our findings reveal that the emphasis on regulation and supervision should differ by type of entity.

  17. Multiscale implementation of infinite-swap replica exchange molecular dynamics.

    Science.gov (United States)

    Yu, Tang-Qing; Lu, Jianfeng; Abrams, Cameron F; Vanden-Eijnden, Eric

    2016-10-18

    Replica exchange molecular dynamics (REMD) is a popular method to accelerate conformational sampling of complex molecular systems. The idea is to run several replicas of the system in parallel at different temperatures that are swapped periodically. These swaps are typically attempted every few MD steps and accepted or rejected according to a Metropolis-Hastings criterion. This guarantees that the joint distribution of the composite system of replicas is the normalized sum of the symmetrized product of the canonical distributions of these replicas at the different temperatures. Here we propose a different implementation of REMD in which (i) the swaps obey a continuous-time Markov jump process implemented via Gillespie's stochastic simulation algorithm (SSA), which also samples exactly the aforementioned joint distribution and has the advantage of being rejection free, and (ii) this REMD-SSA is combined with the heterogeneous multiscale method to accelerate the rate of the swaps and reach the so-called infinite-swap limit that is known to optimize sampling efficiency. The method is easy to implement and can be trivially parallelized. Here we illustrate its accuracy and efficiency on the examples of alanine dipeptide in vacuum and C-terminal β-hairpin of protein G in explicit solvent. In this latter example, our results indicate that the landscape of the protein is a triple funnel with two folded structures and one misfolded structure that are stabilized by H-bonds.

  18. Geographically Weighted Logistic Regression Applied to Credit Scoring Models

    Directory of Open Access Journals (Sweden)

    Pedro Henrique Melo Albuquerque

    Full Text Available Abstract This study used real data from a Brazilian financial institution on transactions involving Consumer Direct Credit (CDC, granted to clients residing in the Distrito Federal (DF, to construct credit scoring models via Logistic Regression and Geographically Weighted Logistic Regression (GWLR techniques. The aims were: to verify whether the factors that influence credit risk differ according to the borrower’s geographic location; to compare the set of models estimated via GWLR with the global model estimated via Logistic Regression, in terms of predictive power and financial losses for the institution; and to verify the viability of using the GWLR technique to develop credit scoring models. The metrics used to compare the models developed via the two techniques were the AICc informational criterion, the accuracy of the models, the percentage of false positives, the sum of the value of false positive debt, and the expected monetary value of portfolio default compared with the monetary value of defaults observed. The models estimated for each region in the DF were distinct in their variables and coefficients (parameters, with it being concluded that credit risk was influenced differently in each region in the study. The Logistic Regression and GWLR methodologies presented very close results, in terms of predictive power and financial losses for the institution, and the study demonstrated viability in using the GWLR technique to develop credit scoring models for the target population in the study.

  19. Factors Affecting the Behavior of University Community to Use Credit Card

    Directory of Open Access Journals (Sweden)

    Maya Sari

    2011-12-01

    Full Text Available This study was aimed to gain insights and tested the factors that influence credit cards usage in university community of UPI through Theory of Planned Behavior model approach. Using Path Analysis to explain the direct and indirect influence of attitude, subjective norm and behavioral control to intention and behavior of credit card usage. The results showed all respondents have a positive attitude towards credit cards usage, with high influence of subjective norm, high behavior control, high intention to use credit cards and all respondents used credit cards wisely. There was positive and significant effect either simultaneously or partially between behavioral attitudes, subjective norms, and behavior control toward the intention to use credit card. The partial test results showed behavioral attitude has the greatest influence on the intention to use credit card. There was a positive and significant influence both simultaneously and partially between behavioral attitudes, subjective norms, and behavioral control on default-risk debt behavior. The partial results showed that attitude gives the greatest influence on default debt risk behavior. The result also proved there was a positive and significant influence of the intention to use credit card on default debt risk behavior.

  20. Influence of magnetic field on swap operation in Heisenberg XXZ model

    Energy Technology Data Exchange (ETDEWEB)

    Liu Jia [Department of Physics, Beijing University of Aeronautics and Astronautics, Beijing 100083 (China); Zhang Guofeng, E-mail: gf1978zhang@buaa.edu.c [Department of Physics, Beijing University of Aeronautics and Astronautics, Beijing 100083 (China); Chen Ziyu [Department of Physics, Beijing University of Aeronautics and Astronautics, Beijing 100083 (China)

    2009-05-01

    Swap operation based on a two-qubit Heisenberg XXZ model under a uniform magnetic field in arbitrary direction and magnitude is investigated. It is shown that swap gate can be implemented on some conditions and its feasibility is established.

  1. Influence of magnetic field on swap operation in Heisenberg XXZ model

    International Nuclear Information System (INIS)

    Liu Jia; Zhang Guofeng; Chen Ziyu

    2009-01-01

    Swap operation based on a two-qubit Heisenberg XXZ model under a uniform magnetic field in arbitrary direction and magnitude is investigated. It is shown that swap gate can be implemented on some conditions and its feasibility is established.

  2. Spin-Swapping Transport and Torques in Ultrathin Magnetic Bilayers

    KAUST Repository

    Saidaoui, Hamed Ben Mohamed; Manchon, Aurelien

    2016-01-01

    Planar spin transport in disordered ultrathin magnetic bilayers comprising a ferromagnet and a normal metal (typically used for spin pumping, spin Seebeck and spin-orbit torque experiments) is investigated theoretically. Using a tight-binding model that puts the extrinsic spin Hall effect and spin swapping on equal footing, we show that the nature of spin-orbit coupled transport dramatically depends on the ratio between the layer thickness d and the mean free path λ. While the spin Hall effect dominates in the diffusive limit (d≫λ), spin swapping dominates in the Knudsen regime (d≲λ). A remarkable consequence is that spin swapping induces a substantial fieldlike torque in the Knudsen regime.

  3. Spin-Swapping Transport and Torques in Ultrathin Magnetic Bilayers

    KAUST Repository

    Saidaoui, Hamed Ben Mohamed

    2016-07-12

    Planar spin transport in disordered ultrathin magnetic bilayers comprising a ferromagnet and a normal metal (typically used for spin pumping, spin Seebeck and spin-orbit torque experiments) is investigated theoretically. Using a tight-binding model that puts the extrinsic spin Hall effect and spin swapping on equal footing, we show that the nature of spin-orbit coupled transport dramatically depends on the ratio between the layer thickness d and the mean free path λ. While the spin Hall effect dominates in the diffusive limit (d≫λ), spin swapping dominates in the Knudsen regime (d≲λ). A remarkable consequence is that spin swapping induces a substantial fieldlike torque in the Knudsen regime.

  4. Preliminary Results on Irradiance Measurements from Lyra and Swap

    Directory of Open Access Journals (Sweden)

    S. T. Kumara

    2012-01-01

    the period from 01 April 2010 to 15 Mar 2011. We found that there is a good correlation between these parameters. This indicates that the spatial resolution of SWAP complements the high temporal resolution of LYRA. Hence SWAP can be considered as an additional radiometric channel. Also the K emission index is the integrated intensity (or flux over a 1 Å band centered on the K line and is proportional to the total emission from the chromosphere; this comparison clearly explains that the LYRA irradiance variations are due to the various magnetic features, which are contributing significantly. In addition to this we have made an attempt to segregate coronal features from full-disk SWAP images. This will help to understand and determine the actual contribution of the individual coronal feature to LYRA irradiance variations.

  5. Rural Credit in Vietnam

    DEFF Research Database (Denmark)

    Barslund, Mikkel Christoffer; Tarp, Finn

    This paper uses a survey of 932 rural households to uncover how the rural credit market operates in four provinces of Vietnam. Households obtain credit through formal and informal lenders, but formal loans are almost entirely for production and asset accumulation. Interest rates fell from 1997...... to 2002, reflecting increased market integration; but the determinants of formal and informal credit demand are distinct. Credit rationing depends on education and credit history, but we find no evidence of a bias against women. Regional differences are striking, and a ‘one size fits all’ approach...... to credit policy is clearly inappropriate....

  6. 7 CFR 2201.33 - Defaults.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 15 2010-01-01 2010-01-01 false Defaults. 2201.33 Section 2201.33 Agriculture Regulations of the Department of Agriculture (Continued) LOCAL TELEVISION LOAN GUARANTEE BOARD LOCAL TELEVISION LOAN GUARANTEE PROGRAM-PROGRAM REGULATIONS Loan Guarantees § 2201.33 Defaults. (a) In determining...

  7. 31 CFR 501.716 - Default.

    Science.gov (United States)

    2010-07-01

    ... Administrative Law Judge (or the Secretary's designee) pursuant to § 501.729(b). (b) In deciding whether to determine the proceedings against a party deemed to be in default, the Administrative Law Judge shall... default and the Administrative Law Judge (or the Secretary's designee during review proceedings) may...

  8. 39 CFR 964.6 - Default.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default. 964.6 Section 964.6 Postal Service UNITED STATES POSTAL SERVICE PROCEDURES RULES OF PRACTICE GOVERNING DISPOSITION OF MAIL WITHHELD FROM DELIVERY PURSUANT TO 39 U.S.C. 3003, 3004 § 964.6 Default. If a Petitioner fails to appear at the hearing without...

  9. 14 CFR 302.409 - Default.

    Science.gov (United States)

    2010-01-01

    ... 14 Aeronautics and Space 4 2010-01-01 2010-01-01 false Default. 302.409 Section 302.409 Aeronautics and Space OFFICE OF THE SECRETARY, DEPARTMENT OF TRANSPORTATION (AVIATION PROCEEDINGS) PROCEDURAL REGULATIONS RULES OF PRACTICE IN PROCEEDINGS Rules Applicable to Enforcement Proceedings § 302.409 Default...

  10. 10 CFR 2.320 - Default.

    Science.gov (United States)

    2010-01-01

    ... 10 Energy 1 2010-01-01 2010-01-01 false Default. 2.320 Section 2.320 Energy NUCLEAR REGULATORY COMMISSION RULES OF PRACTICE FOR DOMESTIC LICENSING PROCEEDINGS AND ISSUANCE OF ORDERS Rules of General... § 2.320 Default. If a party fails to file an answer or pleading within the time prescribed in this...

  11. A proof theory for constructive default logic

    NARCIS (Netherlands)

    Y-H. Tan (Yao-Hua)

    1993-01-01

    textabstractWe present what we call Constructive Default Logic (CDL) - a default logic in which the fixed-point definition of extensions is replaced by a constructive definition which yield so-called constructive extensions. Selection functions are used to represent explicitly the control of the

  12. 39 CFR 954.9 - Default.

    Science.gov (United States)

    2010-07-01

    ... 39 Postal Service 1 2010-07-01 2010-07-01 false Default. 954.9 Section 954.9 Postal Service UNITED STATES POSTAL SERVICE PROCEDURES RULES OF PRACTICE IN PROCEEDINGS RELATIVE TO THE DENIAL, SUSPENSION, OR REVOCATION OF PERIODICALS MAIL PRIVILEGES § 954.9 Default. If a publisher fails to appear at the hearing, the...

  13. 48 CFR 245.7309-7 - Default.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 3 2010-10-01 2010-10-01 false Default. 245.7309-7 Section 245.7309-7 Federal Acquisition Regulations System DEFENSE ACQUISITION REGULATIONS SYSTEM... Default. If the successful Bidder fails to make full payment, remove property by the specified date, or...

  14. Error probabilities in default Bayesian hypothesis testing

    NARCIS (Netherlands)

    Gu, Xin; Hoijtink, Herbert; Mulder, J,

    2016-01-01

    This paper investigates the classical type I and type II error probabilities of default Bayes factors for a Bayesian t test. Default Bayes factors quantify the relative evidence between the null hypothesis and the unrestricted alternative hypothesis without needing to specify prior distributions for

  15. On the importance of default breach remedies

    NARCIS (Netherlands)

    Sloof, R.; Oosterbeek, H.; Sonnemans, J.

    2007-01-01

    Theory predicts that default breach remedies are immaterial whenever contracting costs are negligible. Some experimental studies, however, suggest that in practice default rules do matter, as they may affect parties' preferences over contract terms. This paper presents results from an experiment

  16. 12 CFR 508.8 - Default.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 5 2010-01-01 2010-01-01 false Default. 508.8 Section 508.8 Banks and Banking OFFICE OF THRIFT SUPERVISION, DEPARTMENT OF THE TREASURY REMOVALS, SUSPENSIONS, AND PROHIBITIONS WHERE A CRIME IS CHARGED OR PROVEN § 508.8 Default. If the subject individual fails to file a petition for a...

  17. Strategic default and equity risk across countries

    NARCIS (Netherlands)

    Favara, G.; Schroth, E.; Valta, P.

    2010-01-01

    We test whether the firm’s systematic equity risk reflects the shareholders’ incentives to default strategically on the firm’s debt. We use a real options model to relate the shareholders’ strategic default behavior to frictions in the debt renegotiation procedure. We test the model’s predictions

  18. Exchange rate policy under sovereign default risk

    OpenAIRE

    Schabert, Andreas

    2011-01-01

    We examine monetary policy options for a small open economy where sovereign default might occur due to intertemporal insolvency. Under interest rate policy and floating exchange rates the equilibrium is indetermined. Under a fixed exchange rate the equilibrium is uniquely determined and independent of sovereign default.

  19. Quadratic Hedging Methods for Defaultable Claims

    International Nuclear Information System (INIS)

    Biagini, Francesca; Cretarola, Alessandra

    2007-01-01

    We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity

  20. 75 FR 75207 - Regulation SBSR-Reporting and Dissemination of Security-Based Swap Information

    Science.gov (United States)

    2010-12-02

    ... Dissemination of Security-Based Swap Information; Proposed Rule #0;#0;Federal Register / Vol. 75 , No. 231... Dissemination of Security-Based Swap Information AGENCY: Securities and Exchange Commission. ACTION: Proposed... SBSR--Reporting and Dissemination of Security-Based Swap Information (``Regulation SBSR'') under the...

  1. Default options and neonatal resuscitation decisions.

    Science.gov (United States)

    Haward, Marlyse Frieda; Murphy, Ryan O; Lorenz, John M

    2012-12-01

    To determine whether presenting delivery room management options as defaults influences decisions to resuscitate extremely premature infants. Adult volunteers recruited from the world wide web were randomised to receive either resuscitation or comfort care as the delivery room management default option for a hypothetical delivery of a 23-week gestation infant. Participants were required to check a box to opt out of the default. The primary outcome measure was the proportion of respondents electing resuscitation. Data were analysed using χ(2) tests and multivariate logistic regression. Participants who were told the delivery room management default option was resuscitation were more likely to opt for resuscitation (OR 6.54 95% CI 3.85 to 11.11, pmanipulation. Further, this effect may operate in ways that a decision maker is not aware of and this raises questions of patient autonomy. Presenting delivery room options for extremely premature infants as defaults may compromise autonomous decision-making.

  2. Credit Card Quiz.

    Science.gov (United States)

    Marks, Jeff

    2000-01-01

    Describes an activity in which students design credit cards and discover for themselves the mathematical realities of buying on credit. Employs multiple-intelligence theory to increase the chance that all students will be reached. (YDS)

  3. Credit Union Headquarters

    Data.gov (United States)

    Department of Homeland Security — The National Credit Union Administration (NCUA) is the independent federal agency that charters and supervises federal credit unions. NCUA, backed of the full faith...

  4. Credit Card Security

    OpenAIRE

    G.C., Anup

    2013-01-01

    Author: Anup G.C. Year: 2013 Subject of thesis: Credit Card Security Number of pages: 36+2 Credit Card is a widely used electronic chip for easy transactions. The main purpose of the report was to show the security measures of transaction by credit cards. The purpose was to give information about credit cards and how they were introduced. The thesis reportcontained the types of card theft with examples and sited the various protocols used for online ...

  5. Credit Market Information Feedback

    OpenAIRE

    Balasubramanyan, Lakshmi; Craig, Ben R.; Thomson, James B.; Zaman, Saeed

    2015-01-01

    We examine how a combination of credit market and asset quality information can jointly be used in assessing bank franchise value. We find that expectations of future credit demand and future asset quality explain contemporaneous bank franchise value, indicative of the feedback in credit market information and its consequent impact on bank franchise value.

  6. Boundedly rational credit cycles

    OpenAIRE

    Sáez, María

    1996-01-01

    We propose an evolutionary model of a credit market. We show that the economy exhibits credit cycles. The model predicts dynamics which are consistent with some evidence about the Great Depression. Real shocks trigger episodes of credit--crunch which are observed in the process of adjustment towards the post shock equilibrium.

  7. Modernization of credit relations

    Directory of Open Access Journals (Sweden)

    S.V. Volosovich

    2015-03-01

    Full Text Available Nowadays it is essential to modernize credit relations in the conditions of global economy transformations. This is due to the influence of integration processes on credit relations and transformation of the risks inherent in the credit field. The purpose of this article is to develop measures that help to improve the efficiency of interaction of credit relations’ participants. Modernization of credit relations is based on the interaction of its main and indirect subjects who belong to the subsystems of loans granting, deposits attraction and provision of related services. Its goal is to pass from extensive to intensive model of interaction between the subjects of credit relations. Components of the credit relations modernization are the following: institutional modernization, which is based on the interaction of credit relations’ subjects, and ensures the development of competition in all credit market’s segments, the creation of its corresponding infrastructure, qualitative change in the approaches of regulation and supervision; technological modernization, which involves the formation of joint products on the credit market and the formation of an integrated informational and analytical system. In the result of the credit relations’ modernization it is expected to achieve synergies between the subjects of credit relations, that will lead to changes in the business architecture of the financial market.

  8. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Nils; Wagner, Christian; Zechner, Josef

    2014-01-01

    We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory......, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. This sheds new light on the “distress puzzle”—the lack of a positive relation between equity...

  9. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Niels; Wagner, Christian; Zechner, Josef

    We explore the link between a firm's stock returns and its credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent...... with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or by risk-neutral default probabilities alone. This sheds new light on the "distress puzzle", i.e. the lack of a positive relation...

  10. Asset correlations and credit portfolio risk: an empirical analysis

    OpenAIRE

    Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian

    2007-01-01

    In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabi...

  11. Fixed-premium deposit insurance and international credit crunches

    OpenAIRE

    Mark M. Spiegel

    1996-01-01

    This article introduces a monopolistically competitive model of foreign lending in which both explicit and implicit fixed-premium deposit insurance increase the degree to which bank participation in relending to problem debtors falls below its globally optimal level. This provides a channel for fixed-premium deposit insurance to inhibit credit extension in bad states, resulting in an increase in the expected default percentage and an increase in the expected burden on the deposit insurance in...

  12. Risk, Credit, and Insurance in Peru: Field Experimental Evidence

    OpenAIRE

    Galarza, Francisco

    2009-01-01

    This paper reports the results of behavioral economic experiments conducted in Peru to examine the relationship amongst risk preferences, loan take-up, and insurance purchase decisions. This area-based yield insurance can help reduce people's vulnerability to large scale covariate shocks, and can also lower the loan default probability under extreme negative covariate shocks. In a context of collateralized formal credit markets, we provide suggestive evidence that insurance may help reduce th...

  13. Asymmetric default bias in dishonesty – how defaults work but only when in one’s favor

    DEFF Research Database (Denmark)

    Fosgaard, Toke Reinholt

    Based on a dice rolling task where participants can cheat on the outcome, this paper asks if default answers change dishonesty? The paper finds that various default answers have asymmetric effects. Compared to not having a default answer at all, providing a low default answer, or adding the expec......Based on a dice rolling task where participants can cheat on the outcome, this paper asks if default answers change dishonesty? The paper finds that various default answers have asymmetric effects. Compared to not having a default answer at all, providing a low default answer, or adding...

  14. Multiparty secret sharing of quantum information based on entanglement swapping

    International Nuclear Information System (INIS)

    Li Yongmin; Zhang Kuanshou; Peng Kunchi

    2004-01-01

    A protocol of multiparty secret sharing of quantum information based on entanglement swapping is analyzed. In this protocol, Bell states are needed in order to realize the quantum information secret sharing and it is convenient to realize the quantum secret sharing among the members of any subset of users

  15. 77 FR 2135 - Swap Data Recordkeeping and Reporting Requirements

    Science.gov (United States)

    2012-01-13

    ... Banks (``FHLB'') February 7, 2011 (``CL- FHLB''); (46) Global Foreign Exchange Division (``Global Forex'') February 7, 2011 (``CL-Global Forex''); (47) Green Exchange, LLC (``GreenEx'') June 3, 2011 (``CL-GreenEx... (``Global Forex'') suggested that after termination of the swap, real time access should only be required...

  16. 75 FR 76573 - Swap Data Recordkeeping and Reporting Requirements

    Science.gov (United States)

    2010-12-08

    ..., counterparties verify the primary or essential economic terms of their swap with each other in some fashion... Omissions in Previously Reported Data Appendix 1 to Part 45--Tables of Minimum Primary Economic Terms Data..., as a response to the global economic crisis, the G-20 met in Washington. In September 2009, G-20...

  17. Management of Liquidity Risk Using Foreign Exchange Swap Contracts

    Directory of Open Access Journals (Sweden)

    Ivica Prga

    2009-12-01

    Full Text Available Croatian banks, like the other world banks, are exposed to liquidity risk. This is very significant question to them, particularly in this complex and crisis time. Therefore, the Croatian banks pay much attention to the management of liquidity. In these attempts, the banks use various derivative financial instruments of which the foreign exchange swap contracts are particularly remarkable.

  18. Credit cycles and macro fundamentals

    NARCIS (Netherlands)

    Koopman, S.J.; Kraeussl, R.G.W.; Lucas, A.; Monteiro, A.

    2009-01-01

    We use an intensity-based framework to study the relation between macroeconomic fundamentals and cycles in defaults and rating activity. Using Standard and Poor's U.S. corporate rating transition and default data over the period 1980-2005, we directly estimate the default and rating cycle from micro

  19. Federal Reserve Swap Lines – International Lender of the Last Resort

    Directory of Open Access Journals (Sweden)

    Miroslav Titze

    2016-08-01

    Full Text Available After 2007, financial market turmoil began and shortage of dollar funding liquidity disrupted not only the US dollar funding market but also overseas. To address the shortage of dollar liquidity, the FED introduced swap lines with systematic important central banks, including emerging markets. The paper discusses the main feature of the FED’s swap lines in the context of the funding pressures on the FX swap market. The main objective of the paper is to reveal technical aspects and effectiveness of the swap lines. The paper explains connectivity between un/secured money markets and the FX swap market during the financial and debt crises. The FX swap market was hit significantly. During the liquidity crisis of 2007–2010, the main driver of the deviation from covered interest parity was a shortage of dollar liquidity jointly with counterparty risk. During the debt crisis, the main driver was counterparty risk of the euro zone banks and sovereigns. The FED swap lines were used as a liquidity backstop. The paper concludes that the swap lines were an effective tool of cooperation between central banks and significantly alleviated the pressure on the FX swap market. In addition, the swap lines were flexible, supported financial stability, no losses were recorded, the problem of adverse selection was avoided and exit was successful. Finally, the swap lines have become a permanent tool for solving temporary shortages of foreign currency liquidity in national banking systems.

  20. Entanglement swapping of noisy states: A kind of superadditivity in nonclassicality

    International Nuclear Information System (INIS)

    Sen, Aditi; Sen, Ujjwal; Brukner, Caslav; Buzek, Vladimir; Zukowski, Marek

    2005-01-01

    We address the question as to whether an entangled state that satisfies local realism will give a violation of the same after entanglement swapping in a suitable scenario. We consider such a possibility as a kind of superadditivity in nonclassicality. Importantly, it will indicate that checking for violation of local realism, in the state obtained after entanglement swapping, can be a method for detecting entanglement in the input state of the swapping procedure. We investigate various entanglement swapping schemes, which involve mixed initial states. The strength of violation of local realism by the state obtained after entanglement swapping is compared with the one for the input states. We obtain a kind of superadditivity of violation of local realism for Werner states, consequent upon entanglement swapping involving Greenberger-Horne-Zeilinger-state measurements. We also discuss whether entanglement swapping of specific states may be used in quantum repeaters with a substantially reduced need to perform the entanglement distillation step

  1. 17 CFR 12.23 - Setting aside of default.

    Science.gov (United States)

    2010-04-01

    ... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Setting aside of default. 12... aside of default. (a) Default order not final. In order to prevent injustice or for good cause shown, and on such conditions as may be appropriate, a non-final default order (including any award therein...

  2. 46 CFR 298.41 - Remedies after default.

    Science.gov (United States)

    2010-10-01

    ... 46 Shipping 8 2010-10-01 2010-10-01 false Remedies after default. 298.41 Section 298.41 Shipping... Defaults and Remedies, Reporting Requirements, Applicability of Regulations § 298.41 Remedies after default... governing remedies after a default, which relate to our rights and duties, the rights and duties of the...

  3. 24 CFR 241.840 - Date of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Date of default. 241.840 Section... § 241.840 Date of default. In computing loan insurance benefits, the date of default shall be considered... of the lender's acceleration of the debt because of the borrower's default under the first...

  4. 24 CFR 232.850 - Notice of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Notice of default. 232.850 Section....850 Notice of default. (a) If the default is not cured within the 30 day grace period, as defined in... default. (b) The lender shall give notice in writing to the Commissioner of the failure of the borrower to...

  5. 24 CFR 241.850 - Notice of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Notice of default. 241.850 Section... § 241.850 Notice of default. (a) If the default is not cured within the 30 day grace period, as defined... such default. (b) The lender shall give notice in writing to the Commissioner of the failure of the...

  6. 48 CFR 1349.402-3 - Procedure for default

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 5 2010-10-01 2010-10-01 false Procedure for default 1349... MANAGEMENT TERMINATION OF CONTRACTS Termination for Default 1349.402-3 Procedure for default No action relating to a default termination, including issuance of a show cause letter, cure notice, or notice of...

  7. Market-implied risk-neutral probabilities, actual probabilities, credit risk and news

    Directory of Open Access Journals (Sweden)

    Shashidhar Murthy

    2011-09-01

    Full Text Available Motivated by the credit crisis, this paper investigates links between risk-neutral probabilities of default implied by markets (e.g. from yield spreads and their actual counterparts (e.g. from ratings. It discusses differences between the two and clarifies underlying economic intuition using simple representations of credit risk pricing. Observed large differences across bonds in the ratio of the two probabilities are shown to imply that apparently safer securities can be more sensitive to news.

  8. Effect of internal controls on credit risk among listed Spanish banks

    OpenAIRE

    Akwaa-Sekyi, Ellis Kofi; Moreno Gené, Jordi

    2016-01-01

    Purpose: The paper examines the effectiveness of internal control systems, explores the exposure of Spanish banks to the dangers of default as a result of internal control systems and establishes a relationship between internal controls and credit risk. Design/Methodology/Approach: Quantitative research approach is used to test hypotheses on the relationship between internal controls and credit risk among listed banks in Spain. Data from Bankscope and company websites from 2004-2013 were used...

  9. Credit risk transfer

    OpenAIRE

    Bank for International Settlements

    2003-01-01

    Executive summary Techniques for transferring credit risk, such as financial guarantees and credit insurance, have been a long-standing feature of financial markets. In the past few years, however, the range of credit risk transfer (CRT) instruments and the circumstances in which they are used have widened considerably. A number of factors have contributed to this growth, including: greater focus by banks and other financial institutions on risk management; a more rigorous approach to risk/re...

  10. Modern bank's credit risk

    Directory of Open Access Journals (Sweden)

    Šabović Šerif

    2015-01-01

    Full Text Available Credit risk is the most important risk banks have to face with. It occurs due to an obligation created because of debtors' capital and interest rate nonpayment. Debtors obligations non-fulfilment may lead to great losses and insolvency in bank's business. Credit risk is the crucial reason of bank's insolvency. Over 80% of bank's balance sheet is exposed to credit risk.

  11. The Welfare Cost of Sovereign Default and Liquidity Injections

    OpenAIRE

    Guangling Liu

    2014-01-01

    This paper develops a dynamic general equilibrium model with endogenous default on entrepreneur loans and funds borrowed from the central bank (liquidity injections) and investigates the welfare cost of sovereign default. The results show that sovereign default affects production through households' investment decisions and the bank's asset portfolio adjustment. The effect of sovereign default on entrepreneurs tends to be in favor of production. Sovereign default reduces the variability of th...

  12. q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations

    Science.gov (United States)

    Katz, Yuri A.; Tian, Li

    2013-10-01

    We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006-2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of q-Gaussian distributions with the Tsallis entropic parameter within the interval 1distributions imply a much higher probability of extreme movements in a company’s leverage ratio than forecasted by the normal distribution (q=1). Motivated by these findings, we develop a q-Gaussian generalization of traditional structural models of default. Derived exact analytical expressions for the probability distribution of a first stopping time and its intensity forecast significantly higher probability of default and much wider credit spreads at short time-horizons. Our findings are broadly consistent with the results of empirical studies in equity markets and are essential for single-name default forecasting as well as valuations of portfolio credit risk and economic capital, which might be underestimated by a classic theory of diversified portfolio optimization.

  13. Spin Hall and spin swapping torques in diffusive ferromagnets

    KAUST Repository

    Pauyac, C. O.

    2017-12-08

    A complete set of the generalized drift-diffusion equations for a coupled charge and spin dynamics in ferromagnets in the presence of extrinsic spin-orbit coupling is derived from the quantum kinetic approach, covering major transport phenomena, such as the spin and anomalous Hall effects, spin swapping, spin precession and relaxation processes. We argue that the spin swapping effect in ferromagnets is enhanced due to spin polarization, while the overall spin texture induced by the interplay of spin-orbital and spin precessional effects displays a complex spatial dependence that can be exploited to generate torques and nucleate/propagate domain walls in centrosymmetric geometries without use of external polarizers, as opposed to the conventional understanding of spin-orbit mediated torques.

  14. Spin Hall and spin swapping torques in diffusive ferromagnets

    KAUST Repository

    Pauyac, C. O.; Chshiev, M.; Manchon, Aurelien; Nikolaev, S. A.

    2017-01-01

    A complete set of the generalized drift-diffusion equations for a coupled charge and spin dynamics in ferromagnets in the presence of extrinsic spin-orbit coupling is derived from the quantum kinetic approach, covering major transport phenomena, such as the spin and anomalous Hall effects, spin swapping, spin precession and relaxation processes. We argue that the spin swapping effect in ferromagnets is enhanced due to spin polarization, while the overall spin texture induced by the interplay of spin-orbital and spin precessional effects displays a complex spatial dependence that can be exploited to generate torques and nucleate/propagate domain walls in centrosymmetric geometries without use of external polarizers, as opposed to the conventional understanding of spin-orbit mediated torques.

  15. Bulk locality and entanglement swapping in AdS/CFT

    Energy Technology Data Exchange (ETDEWEB)

    Kelly, William R. [Center for Quantum Mathematics and Physics (QMAP),Department of Physics, University of California,Davis, CA 95616 (United States)

    2017-03-29

    Localized bulk excitations in AdS/CFT are produced by operators which modify the pattern of entanglement in the boundary state. We show that simple models — consisting of entanglement swapping operators acting on a qubit system or a free field theory — capture qualitative features of gravitational backreaction and reproduce predictions of the Ryu-Takayanagi formula. These entanglement swapping operators naturally admit multiple representations associated with different degrees of freedom, thereby reproducing the code subspace structure emphasized by Almheiri, Dong, and Harlow. We also show that the boundary Reeh-Schlieder theorem implies that equivalence of certain operators on a code subspace necessarily breaks down when non-perturbative effects are taken into account (as is expected based on bulk arguments).

  16. Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models

    NARCIS (Netherlands)

    Banachewicz, K.P.; Lucas, A.

    2008-01-01

    Recent models for credit risk management make use of hidden Markov models (HMMs). HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially misspecified. In this paper, we focus on

  17. Efficient PDE based numerical estimation of credit and liquidity risk measures for realistic derivative portfolios

    NARCIS (Netherlands)

    de Graaf, C.S.L.

    2016-01-01

    In the Basel III accords in 2013, it was stated that financial institutions should charge Credit Value Adjustment (CVA) to their counterparties for (previously under-regulated) Over-The-Counter (OTC) trades. This CVA can be used to hedge a possible default of the counterparty. One important

  18. Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte Carlo Method

    NARCIS (Netherlands)

    de Graaf, C.S.L.; Kandhai, D.; Sloot, P.M.A.

    According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one of the biggest challenges in risk management. Here, we introduce an efficient method for the

  19. Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method

    NARCIS (Netherlands)

    C.S.L. de Graaf (Kees); B.D. Kandhai; P.M.A. Sloot

    2017-01-01

    htmlabstractAccording to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one of the biggest challenges in risk management. Here, we introduce an efficient method

  20. Default Mode Network Connectivity in Stroke Patients.

    Science.gov (United States)

    Tuladhar, Anil Man; Snaphaan, Liselore; Shumskaya, Elena; Rijpkema, Mark; Fernandez, Guillén; Norris, David G; de Leeuw, Frank-Erik

    2013-01-01

    The pathophysiology of episodic memory dysfunction after infarction is not completely understood. It has been suggested that infarctions located anywhere in the brain can induce widespread effects causing disruption of functional networks of the cortical regions. The default mode network, which includes the medial temporal lobe, is a functional network that is associated with episodic memory processing. We investigated whether the default mode network activity is reduced in stroke patients compared to healthy control subjects in the resting state condition. We assessed the whole brain network properties during resting state functional MRI in 21 control subjects and 20 'first-ever' stroke patients. Patients were scanned 9-12 weeks after stroke onset. Stroke lesions were located in various parts of the brain. Independent component analyses were conducted to identify the default mode network and to compare the group differences of the default mode network. Furthermore, region-of-interest based analysis was performed to explore the functional connectivity between the regions of the default mode network. Stroke patients performed significantly worse than control subjects on the delayed recall score on California verbal learning test. We found decreased functional connectivity in the left medial temporal lobe, posterior cingulate and medial prefrontal cortical areas within the default mode network and reduced functional connectivity between these regions in stroke patients compared with controls. There were no significant volumetric differences between the groups. These results demonstrate that connectivity within the default mode network is reduced in 'first-ever' stroke patients compared to control subjects. This phenomenon might explain the occurrence of post-stroke cognitive dysfunction in stroke patients.

  1. TINJAUAN ASPEK PAJAK PENGHASILAN ATAS TRANSAKSI INSTRUMEN KEUANGAN DERIVATIF SWAP

    OpenAIRE

    Yenni Mangoting

    2003-01-01

    The use of foreign currency is sensitive enough to the exchange rate fluctuation. To protect assets and liabilities that vulnerable to exchange rate fluctuation interest rate, taxpayers may use swap derivative financial instrument. Through this instrument, the risk which is caused by the changing of exchange rate can be avoded or minimized. Moreover with hedging, taxpayers will be able create gain from shifting the risk. Therefore hedging through the use of derivative instrument specially swa...

  2. Threshold quantum state sharing based on entanglement swapping

    Science.gov (United States)

    Qin, Huawang; Tso, Raylin

    2018-06-01

    A threshold quantum state sharing scheme is proposed. The dealer uses the quantum-controlled-not operations to expand the d-dimensional quantum state and then uses the entanglement swapping to distribute the state to a random subset of participants. The participants use the single-particle measurements and unitary operations to recover the initial quantum state. In our scheme, the dealer can share different quantum states among different subsets of participants simultaneously. So the scheme will be very flexible in practice.

  3. Braiding transformation, entanglement swapping, and Berry phase in entanglement space

    International Nuclear Information System (INIS)

    Chen Jingling; Ge Molin; Xue Kang

    2007-01-01

    We show that braiding transformation is a natural approach to describe quantum entanglement by using the unitary braiding operators to realize entanglement swapping and generate the Greenberger-Horne-Zeilinger states as well as the linear cluster states. A Hamiltonian is constructed from the unitary R i,i+1 (θ,φ) matrix, where φ=ωt is time-dependent while θ is time-independent. This in turn allows us to investigate the Berry phase in the entanglement space

  4. Dual Credit Report

    Science.gov (United States)

    Light, Noreen

    2016-01-01

    In 2015, legislation to improve access to dual-credit programs and to reduce disparities in access and completion--particularly for low income and underrepresented students--was enacted. The new law focused on expanding access to College in the High School but acknowledged issues in other dual-credit programs and reinforced the notion that cost…

  5. Default mode network connectivity during task execution.

    Science.gov (United States)

    Vatansever, D; Menon, D K; Manktelow, A E; Sahakian, B J; Stamatakis, E A

    2015-11-15

    Initially described as task-induced deactivations during goal-directed paradigms of high attentional load, the unresolved functionality of default mode regions has long been assumed to interfere with task performance. However, recent evidence suggests a potential default mode network involvement in fulfilling cognitive demands. We tested this hypothesis in a finger opposition paradigm with task and fixation periods which we compared with an independent resting state scan using functional magnetic resonance imaging and a comprehensive analysis pipeline including activation, functional connectivity, behavioural and graph theoretical assessments. The results indicate task specific changes in the default mode network topography. Behaviourally, we show that increased connectivity of the posterior cingulate cortex with the left superior frontal gyrus predicts faster reaction times. Moreover, interactive and dynamic reconfiguration of the default mode network regions' functional connections illustrates their involvement with the task at hand with higher-level global parallel processing power, yet preserved small-world architecture in comparison with rest. These findings demonstrate that the default mode network does not disengage during this paradigm, but instead may be involved in task relevant processing. Copyright © 2015 Elsevier Inc. All rights reserved.

  6. Is there Needed an Industry Approach on Corporate Default Risk? Case Study on Companies Listed on Romanian Stock Exchange

    Directory of Open Access Journals (Sweden)

    Cristina Maria Triandafil

    2009-02-01

    Full Text Available This paper focuses on applying Black and Scholes structural approach on credit risk in the case of the companies listed on Romanian Stock Exchange. We conduct a case-study on 35 companies belonging to five industries (energetic, materials, chemistry, pharmaceuticals, equipments during a period of 10 years in order to highlight out default point/threshold and its essential factors evolution across industries. Research approach is concentrated also on the specific characteristics of the Romanian capital market (especially in terms of illiquidity and lack of transparency additional costs, macroeconomic environment and corporate finance decision process. We compute default point from the perspective of the arbitrage between assets and leverage; in accordance with the most recent theories on specific features corporate default within emerging countries (Galytskyy, 2006, a key element will be represented by the assets volatility which will be correlated with the country risk premium in order to highlight out a potential macroeconomic impact on corporate failure.

  7. Weather swap as an instrument for weather risk management in wheat production

    Directory of Open Access Journals (Sweden)

    Marković Todor

    2012-01-01

    Full Text Available A special type of weather derivatives are weather forwards and they exists mostly in the form of weather swaps. Hedging effectiveness in wheat production with and without weather swap was analyzed in this paper using stochastic dominance. The results show that the effect of risk reduction is significant using weather swap, but geographical- basis risk and production-related basis risk are important factor that reduce the utility of weather derivatives.

  8. MANAGEMENT OF CREDIT LOSSES

    Directory of Open Access Journals (Sweden)

    Natalya P. Anoshkina

    2018-06-01

    Full Text Available The paper is devoted to the problem of credit loss management topical for modern Russian science and banking practice. The bank’s lending activity is an integral and the most profitable sphere of banking activity. Banks need to take credit risks inherent in their core business and minimize their impact through the establishment of advanced risk management systems. The study, reflected in the present paper, has been conducted in order to determine approaches to the organization of credit loss management in banking. Analysis of the system of management of credit risks and credit losses has shown that they have different scope, object and purpose. In this connection, there is an objective necessity to create a special subsystem for the management of credit losses in banks. On the basis of common bank approaches to credit risk management, the paper develops models of credit loss management: a multi-level management model in the area of ‘operational-tactical-strategic management’ and a functional management model in the area of ‘technology-execution-control’. These models are important for the modern theory and practice of banking, as they allow the bank to manage credit losses on the entire time horizon of the management process, thus opening a wide range of opportunities for the creation and implementation of large-scale programs, as well as specific techniques. This study allows drawing a conclusion about the need to consider control credit losses as a strictly regulated multi-level process, in which each division is assigned with specific objectives, tasks, functions, formally enshrined in the relevant lists, job descriptions and other legal documents.

  9. Measuring the default risk of sovereign debt from the perspective of network

    Science.gov (United States)

    Chuang, Hongwei; Ho, Hwai-Chung

    2013-05-01

    Recently, there has been a growing interest in network research, especially in the fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the perspective of network. In this article, we construct a network model according to the debt-credit relations instead of using the conventional methodology to measure the default risk. Based on the model, a risk index is examined using the quarterly report of consolidated foreign claims from the Bank for International Settlements (BIS) and debt/GDP ratios among these reporting countries. The empirical results show that this index can help the regulators and practitioners not only to determine the status of interconnectivity but also to point out the degree of the sovereign debt default risk. Our approach sheds new light on the investigation of quantifying the systemic risk.

  10. The Financial Crisis through the Lens of Foreign Exchange Swap Markets

    OpenAIRE

    Crystal Ossolinski; Andrew Zurawski

    2010-01-01

    During the financial crisis, non-US banks relied increasingly on foreign exchange swap markets to fund their US dollar asset holdings. This caused the cost of borrowing US dollars via the swap market to rise above the measured cost of borrowing US dollars directly in money markets – an apparent deviation from the covered interest parity condition. Pricing in the Australian dollar foreign exchange swap market, and to a lesser degree the cross-currency swap market, also reflected the global s...

  11. Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis

    OpenAIRE

    Yasuaki Amatatsu; Naohiko Baba

    2007-01-01

    This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-arbitrage relationship by allowing for differential risk premiums. Second, we empirically investigate the relative role of price discovery using the structural-form approach based on the state space models. Main finding are as ...

  12. Financial sustainability in savings and credit programmes.

    Science.gov (United States)

    Havers, M

    1996-05-01

    This article provides a framework for determining, justifying, and improving financial sustainability of savings and credit programs. Credit programs have income from interest and fees. Income must pay for the cost of funds, loan write-offs, operating costs, and inflation. Reference is made to Otero and Rhyne's four levels of self-sufficiency in credit programs. The Grameen Bank is an example of Level 3 and most credit unions are level 4. Nongovernmental groups in the United Kingdom are level 1 or 2. Experience has shown that removal of subsidies did not affect the quality of services or shift benefits away from the poor. Success in serving poorer people better is attributed 1) to more money being available for lending under tighter management practices, 2) to greater openness to a variety of clients from removal of subsidy restrictions, 3) to a shift to higher interest rates that eliminate richer borrowers, and 4) to a shift to serious collection of loans which is a disincentive to more privileged borrowers. Percentages of loan loss, administration costs, cost of funds, and inflation are useful in measuring the sustainability of credit programs. Interest and fee income must also be measured. Fee repayment rates do not have a common definition of arrears, default, and write-off. A simple measure is the percentage of total costs covered by income. The World Bank recommends the Subsidy Dependence Index. Women tend to be better at repaying loans. Loan size should be related to borrowers' ability to handle the amount of the loan. Low and subsidized interest rates deter depositors and attract richer borrowers. Poorer borrowers are attracted by access to credit and not the cost of credit. Interest rates should be based on market rates. The loan payment should be no longer than necessary. Small groups of borrowers can guarantee each others loans. Group-based loan schemes work best. NGOs must project an image of being serious about loan collections and must take action

  13. Default mode contributions to automated information processing.

    Science.gov (United States)

    Vatansever, Deniz; Menon, David K; Stamatakis, Emmanuel A

    2017-11-28

    Concurrent with mental processes that require rigorous computation and control, a series of automated decisions and actions govern our daily lives, providing efficient and adaptive responses to environmental demands. Using a cognitive flexibility task, we show that a set of brain regions collectively known as the default mode network plays a crucial role in such "autopilot" behavior, i.e., when rapidly selecting appropriate responses under predictable behavioral contexts. While applying learned rules, the default mode network shows both greater activity and connectivity. Furthermore, functional interactions between this network and hippocampal and parahippocampal areas as well as primary visual cortex correlate with the speed of accurate responses. These findings indicate a memory-based "autopilot role" for the default mode network, which may have important implications for our current understanding of healthy and adaptive brain processing.

  14. Effects of economic interactions on credit risk

    International Nuclear Information System (INIS)

    Hatchett, J P L; Kuehn, R

    2006-01-01

    We study a credit-risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative and competitive business relations is taken into account. We provide an analytic solution of the model in a limit where the number of business relations of each company is large, but the overall fraction of the economy with which a given company interacts may be small. While the effects of economic interactions are relatively weak in typical (most probable) scenarios, they are pronounced in situations of economic stress, and thus lead to a substantial fattening of the tails of loss distributions in large loan portfolios. This manifests itself in a pronounced enhancement of the value at risk computed for interacting economies in comparison with their non-interacting counterparts

  15. Closed-form pricing formula for exchange option with credit risk

    International Nuclear Information System (INIS)

    Kim, Geonwoo; Koo, Eunho

    2016-01-01

    In this paper, we study the valuation of Exchange option with credit risk. Since the over-the-counter (OTC) markets have grown rapidly in size, the counterparty default risk is very important and should be considered for the valuation of options. For modeling of credit risk, we use the structural model of Klein [13]. We derive the closed-form pricing formula for the price of the Exchange option with credit risk via the Mellin transform and provide the experiment results to illustrate the important properties of option with numerical graphs.

  16. 75 FR 75162 - Protection of Cleared Swaps Customers Before and After Commodity Broker Bankruptcies

    Science.gov (United States)

    2010-12-02

    ... their models for sizing their default waterfalls, and/or the size of the components of those default... changes in the model for sizing default waterfalls would be to increase clearing members' default fund.... (3) Moving Customers to the Back of the Waterfall--This model is similar to Model 2 above, Legal...

  17. Trust and Credit

    DEFF Research Database (Denmark)

    Harste, Gorm

    The present paper is an answer to the question, how did trust and credit emerge. The systems of trust and credit reduce the environmental and contextual complexities in which trust and credit are embedded. The paper analyses the forms of this reduction in a number of stages in the evolution...... of history from the present risk of modern systems back to early modernity, the Reformation and the high medieval Revolutions in law, organization and theology. It is not a history of economics, but a history of the conditions of some communication codes used in economic systems....

  18. Credit Risk Modeling

    DEFF Research Database (Denmark)

    Lando, David

    Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers...... and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand...

  19. Offering within-category food swaps to reduce energy density of food purchases: a study using an experimental online supermarket.

    Science.gov (United States)

    Forwood, Suzanna E; Ahern, Amy L; Marteau, Theresa M; Jebb, Susan A

    2015-06-25

    Swaps are often used to encourage healthier food choices, but there is little evidence of their effectiveness. The current study assessed the impact of offering swaps on groceries purchased within a bespoke online supermarket; specifically the objective was to measure the impact on energy density (ED) of food purchases following the offer of lower ED alternatives (a) at point of selection or at checkout, and (b) with or without explicit consent to receive swap prompts. Participants were asked to complete a 12-item shopping task within an online shopping platform, developed for studying food purchasing. 1610 adults were randomly assigned to a no swap control condition or to one of four interventions: consented swaps at selection; consented swaps at checkout; imposed swaps at selection; or imposed swaps at checkout. Each swap presented two lower ED options from the same category as the participant's chosen food. Swap acceptance rate and purchased food ED were the primary outcomes. Of the mean 12.36 (SD 1.26) foods purchased, intervention participants were offered a mean of 4.1 (SD 1.68) swaps, with the potential to reduce the ED of purchased food (effect (95% CI): -83 kJ/100 g (-110 - -56), p = food ED (effect (95% CI): -24 kJ/100 g (4 - -52), p = 0.094). More swaps were accepted when offered at selection than at checkout (OR (95% CI) = 1.224 (1.11 - 1.35), p food ED was unaffected by point of swap or consent, but reduced with number of swaps accepted (effect per swap (95% CI) = -24 kJ/100 g (-35 - -14), p category swaps did not reduce the ED of food purchases reflecting the observation that the use of swaps within an on-line shopping platform offered small potential gains in ED and a minority was accepted.

  20. Credit risk management in banks

    OpenAIRE

    Pětníková, Tereza

    2014-01-01

    The subject of this diploma thesis is managing credit risk in banks, as the most significant risk faced by banks. The aim of this work is to define the basic techniques, tools and methods that are used by banks to manage credit risk. The first part of this work focuses on defining these procedures and describes the entire process of credit risk management, from the definition of credit risk, describing credit strategy and policy, organizational structure, defining the most used credit risk mi...

  1. Public Service? Tax Credits?

    Science.gov (United States)

    Shanker, Albert

    1982-01-01

    Acknowledges the good work of private schools but resists the provision of further direct or indirect government aid to these schools. Argues that tax credits will adversely affect public education and American society. (Author/WD)

  2. Burnup credit in Spain

    International Nuclear Information System (INIS)

    Conde, J.M.; Recio, M.

    2001-01-01

    The status of development of burnup credit for criticality safety analyses in Spain is described in this paper. Ongoing activities in the country in this field, both national and international, are resumed. Burnup credit is currently being applied to wet storage of PWR fuel, and credit to integral burnable absorbers is given for BWR fuel storage. It is envisaged to apply burnup credit techniques to the new generation of transport casks now in the design phase. The analysis methodologies submitted for the analyses of PWR and BWR fuel wet storage are outlined. Analytical activities in the country are described, as well as international collaborations in this field. Perspectives for future research and development of new applications are finally resumed. (author)

  3. 77 FR 14848 - Self-Regulatory Organizations; Financial Industry Regulatory Authority, Inc.; Notice of Filing...

    Science.gov (United States)

    2012-03-13

    ... credit risk posed by CDS, including, among other things, risks to the financial system arising from credit risk resulting from bilateral CDS transactions and from a concentration of credit risk to a... Requirements for Credit Default Swaps) March 7, 2012. Pursuant to Section 19(b)(1) of the Securities Exchange...

  4. The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast

    Directory of Open Access Journals (Sweden)

    Tomáš Vaněk

    2017-01-01

    Full Text Available In this paper we propose a straightforward, flexible and intuitive computational framework for the multi-period probability of default estimation incorporating macroeconomic forecasts. The concept is based on Markov models, the estimated economic adjustment coefficient and the official economic forecasts of the Czech National Bank. The economic forecasts are taken into account in a separate step to better distinguish between idiosyncratic and systemic risk. This approach is also attractive from the interpretational point of view. The proposed framework can be used especially when calculating lifetime expected credit losses under IFRS 9.

  5. Microcredit Loan Repayment Default among Small Scale ...

    African Journals Online (AJOL)

    The model is applied to primary data from a survey of 200 small scale entrepreneurs in the Upper West Region of Ghana. Results show that enterprise size, interest rate, loan duration, level of profit and loan amount are the simultaneous determinants of probability and rate of default. The study recommends that the National ...

  6. Student Loan Default and Repayment in Kentucky

    Science.gov (United States)

    Kentucky Council on Postsecondary Education, 2016

    2016-01-01

    As college costs continue to rise, student loan default and repayment are issues of increasing concern to students and families, colleges and universities, and state and federal governments. Helping students borrow responsibly and manage their debt are vitally important to maintaining college access and affordability and increasing the education…

  7. Student Loan Default Rates in Minnesota, 2007

    Science.gov (United States)

    Grimes, Tricia

    2010-01-01

    While Minnesota undergraduates are more likely to take out student loans, they are substantially less likely than their peers nationally to default on federal student loans. Fifty-four percent of Minnesota undergraduates took out student loans in 2007-2008, compared to 39 percent of undergraduates across the U.S. Minnesota undergraduates were also…

  8. Default from neoadjuvant chemotherapy in premenopausal female ...

    African Journals Online (AJOL)

    Seventeen (38.6%) patients dropped out of treatment, before, during or after completing NAC. Ten of these defaulted due to inadequate funds to procure chemotherapy, three patients because they insisted on immediate mastectomy, and four of these patients refused surgery when they achieved complete clinical response, ...

  9. Updating default depths in the ISC bulletin

    Science.gov (United States)

    Bolton, Maiclaire K.; Storchak, Dmitry A.; Harris, James

    2006-09-01

    The International Seismological Centre (ISC) publishes the definitive global bulletin of earthquake locations. In the ISC bulletin, we aim to obtain a free depth, but often this is not possible. Subsequently, the first option is to obtain a depth derived from depth phases. If depth phases are not available, we then use the reported depth from a reputable local agency. Finally, as a last resort, we set a default depth. In the past, common depths of 10, 33, or multiples of 50 km have been assigned. Assigning a more meaningful default depth, specific to a seismic region will increase the consistency of earthquake locations within the ISC bulletin and allow the ISC to publish better positions and magnitude estimates. It will also improve the association of reported secondary arrivals to corresponding seismic events. We aim to produce a global set of default depths, based on a typical depth for each area, from well-constrained events in the ISC bulletin or where depth could be constrained using a consistent set of depth phase arrivals provided by a number of different reporters. In certain areas, we must resort to using other assumptions. For these cases, we use a global crustal model (Crust2.0) to set default depths to half the thickness of the crust.

  10. Collective strategic defaults: Bailouts and repayment incentives

    NARCIS (Netherlands)

    Vlahu, R.

    2008-01-01

    This paper shows that under a global games approach banks may be subject to risk of failure even when fundamentals are strong due to a coordination problem among debtors. As a result of collective strategic default a financially sound firm may claim inability to repay if it expects a sufficient

  11. Controlled mutual quantum entity authentication using entanglement swapping

    International Nuclear Information System (INIS)

    Kang, Min-Sung; Hong, Chang-Ho; Heo, Jino; Lim, Jong-In; Yang, Hyung-Jin

    2015-01-01

    In this paper, we suggest a controlled mutual quantum entity authentication protocol by which two users mutually certify each other on a quantum network using a sequence of Greenberger–Horne–Zeilinger (GHZ)-like states. Unlike existing unidirectional quantum entity authentication, our protocol enables mutual quantum entity authentication utilizing entanglement swapping; moreover, it allows the managing trusted center (TC) or trusted third party (TTP) to effectively control the certification of two users using the nature of the GHZ-like state. We will also analyze the security of the protocol and quantum channel. (paper)

  12. Methane Production and Carbon Capture by Hydrate Swapping

    DEFF Research Database (Denmark)

    Mu, Liang; von Solms, Nicolas

    2017-01-01

    There are essentially two different approaches to producing methane from natural gas hydrate reservoirs, either bring the hydrate out of its thermodynamic stability region or expose the hydrate to a substance that will form a more stable hydrate structure, forcing an in situ swapping of the trapped...... experimental runs were performed to examine the influence of operating conditions on methane production by CO2/(CO2 + N2) injection in the temperature range of 274.15–277.15 K and 7.039–10.107 MPa pressure. Our results show that the use of the (CO2 + N2) binary gas mixture is advantageous compared to the use...

  13. 76 FR 25774 - Determination of Foreign Exchange Swaps and Foreign Exchange Forwards Under the Commodity...

    Science.gov (United States)

    2011-05-05

    ..., and facilitate more stable, liquid markets for derivative instruments. In general, the payment... Oversight Unlike the derivatives markets, banks are the key players in the foreign exchange swaps and... rules of a designated contract market or a swap execution facility, or that is cleared by a derivatives...

  14. 77 FR 41110 - Exemptive Order Regarding Compliance With Certain Swap Regulations

    Science.gov (United States)

    2012-07-12

    ... access to execution of a trade on terms that have a reasonable relationship to the best terms available...) for uncleared swaps; (3) trade execution; (4) trade confirmation; (5) swap trading relationship documentation; (6) real- time public reporting; (7) portfolio reconciliation and compression; (8) daily trading...

  15. 78 FR 21045 - Adaptation of Regulations to Incorporate Swaps-Records of Transactions; Correction

    Science.gov (United States)

    2013-04-09

    ... COMMODITY FUTURES TRADING COMMISSION 17 CFR Part 1 RIN 3038-AD53 Adaptation of Regulations to Incorporate Swaps--Records of Transactions; Correction AGENCY: Commodity Futures Trading Commission. ACTION...), regarding Adaptation of Regulations to Incorporate Swaps--Records of Transactions. DATES: This correction to...

  16. 76 FR 10947 - Registration and Regulation of Security-Based Swap Execution Facilities

    Science.gov (United States)

    2011-02-28

    ... SB swaps is opaque, with little, if any, pre-trade transparency (the ability of market participants... development of the SB swap market may alter some of the specific calculus for future regulation of SB SEFs..., there may be no pre-trade or post-trade transparency available to the marketplace because only the two...

  17. On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

    Directory of Open Access Journals (Sweden)

    Halim Zeghdoudi

    2014-01-01

    Full Text Available This paper focuses on the pricing of variance and volatility swaps under Heston model (1993. To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast: CAC 40 French Index to price swap on the volatility using GARCH(1,1 model.

  18. 3DSwap: Curated knowledgebase of proteins involved in 3D domain swapping

    KAUST Repository

    Shameer, Khader

    2011-09-29

    Three-dimensional domain swapping is a unique protein structural phenomenon where two or more protein chains in a protein oligomer share a common structural segment between individual chains. This phenomenon is observed in an array of protein structures in oligomeric conformation. Protein structures in swapped conformations perform diverse functional roles and are also associated with deposition diseases in humans. We have performed in-depth literature curation and structural bioinformatics analyses to develop an integrated knowledgebase of proteins involved in 3D domain swapping. The hallmark of 3D domain swapping is the presence of distinct structural segments such as the hinge and swapped regions. We have curated the literature to delineate the boundaries of these regions. In addition, we have defined several new concepts like \\'secondary major interface\\' to represent the interface properties arising as a result of 3D domain swapping, and a new quantitative measure for the \\'extent of swapping\\' in structures. The catalog of proteins reported in 3DSwap knowledgebase has been generated using an integrated structural bioinformatics workflow of database searches, literature curation, by structure visualization and sequence-structure-function analyses. The current version of the 3DSwap knowledgebase reports 293 protein structures, the analysis of such a compendium of protein structures will further the understanding molecular factors driving 3D domain swapping. The Author(s) 2011.

  19. 77 FR 26709 - Swap Data Repositories: Interpretative Statement Regarding the Confidentiality and...

    Science.gov (United States)

    2012-05-07

    ... COMMODITY FUTURES TRADING COMMISSION 17 CFR Part 49 RIN 3038-AD83 Swap Data Repositories... data repositories (``SDRs'').SDRs are new registered entities created by section 728 of the Dodd-Frank... Act amends section 1a of the CEA to add a definition of the term ``swap data repository.'' Pursuant to...

  20. Of religion and redemption : Evidence from default on Islamic loans

    NARCIS (Netherlands)

    Baele, L.T.M.; Farooq, Moazzam; Ongena, S.R.G.

    We compare default rates on conventional and Islamic loans using a comprehensive monthly dataset from Pakistan that follows more than 150,000 loans over the period 2006:04 to 2008:12. We find robust evidence that the default rate on Islamic loans is less than half the default rate on conventional

  1. 17 CFR 10.94 - Setting aside of default.

    Science.gov (United States)

    2010-04-01

    ... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Setting aside of default. 10... PRACTICE Disposition Without Full Hearing § 10.94 Setting aside of default. In order to prevent injustice and on such conditions as may be appropriate, (a) the Commission may at any time set aside a default...

  2. 24 CFR 232.840 - Date of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Date of default. 232.840 Section 232.840 Housing and Urban Development Regulations Relating to Housing and Urban Development (Continued....840 Date of default. In computing loan insurance benefits, the date of default shall be considered as...

  3. 48 CFR 252.237-7007 - Termination for default.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 3 2010-10-01 2010-10-01 false Termination for default... of Provisions And Clauses 252.237-7007 Termination for default. As prescribed in 237.7003(b), use the following clause: Termination for Default (DEC 1991) (a) This clause supplements and is in addition to the...

  4. 75 FR 60258 - Federal Acquisition Regulation; Termination for Default Reporting

    Science.gov (United States)

    2010-09-29

    ..., Sequence 1] RIN 9000-AL45 Federal Acquisition Regulation; Termination for Default Reporting AGENCIES... terminations for cause or default and defective cost or pricing data, into the Past Performance Information... defective cost or pricing data and terminations for cause or default into the FAPIIS module of the PPIRS...

  5. 24 CFR 220.811 - Date of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Date of default. 220.811 Section... and Obligations-Projects Insured Project Improvement Loans § 220.811 Date of default. For the purposes of §§ 220.800 et seq., the date of default shall be considered as: (a) The date of the first...

  6. Default options and social welfare : Opt in versus opt out

    NARCIS (Netherlands)

    Bouckaert, J.M.C.; Degryse, H.A.

    2013-01-01

    We offer a social-welfare comparison of the two most prominent default options – opt in and opt out – using a two-period model of localized competition. We demonstrate that when consumers stick to the default option, the prevailing default policy shapes firms' ability to collect and use customer

  7. 24 CFR 232.830 - Definition of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Definition of default. 232.830... Insurance § 232.830 Definition of default. (a) If the borrower fails to make any payments due under or... default for the purposes of this subpart. (b) The failure to perform any other covenant under the note or...

  8. 42 CFR 23.28 - What events constitute default?

    Science.gov (United States)

    2010-10-01

    ... 42 Public Health 1 2010-10-01 2010-10-01 false What events constitute default? 23.28 Section 23.28 Public Health PUBLIC HEALTH SERVICE, DEPARTMENT OF HEALTH AND HUMAN SERVICES PERSONNEL NATIONAL HEALTH... default? The following events will constitute defaults of the loan agreement: (a) Failure to make full...

  9. 17 CFR 10.93 - Obtaining default order.

    Science.gov (United States)

    2010-04-01

    ... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Obtaining default order. 10.93... Disposition Without Full Hearing § 10.93 Obtaining default order. When a respondent has failed to (a) file an... enter findings and conclusions and a default order against that respondent based upon the matters set...

  10. 27 CFR 25.173 - Brewer in default.

    Science.gov (United States)

    2010-04-01

    ... 27 Alcohol, Tobacco Products and Firearms 1 2010-04-01 2010-04-01 false Brewer in default. 25.173... OF THE TREASURY LIQUORS BEER Tax on Beer Prepayment of Tax § 25.173 Brewer in default. (a) When a... the brewer is otherwise in default in payment of tax under § 25.164, beer may not be removed for...

  11. 48 CFR 449.402-3 - Procedure for default.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 4 2010-10-01 2010-10-01 false Procedure for default. 449.402-3 Section 449.402-3 Federal Acquisition Regulations System DEPARTMENT OF AGRICULTURE CONTRACT MANAGEMENT TERMINATION OF CONTRACTS Termination for Default 449.402-3 Procedure for default. In addition to...

  12. 48 CFR 22.1023 - Termination for default.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Termination for default... Amended 22.1023 Termination for default. As provided by the Act, any contractor failure to comply with the requirements of the contract clauses related to the Act may be grounds for termination for default (see...

  13. 24 CFR 220.810 - Definition of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Definition of default. 220.810... Contract Rights and Obligations-Projects Insured Project Improvement Loans § 220.810 Definition of default... note or security instrument and such default continues for a period of 30 days, the note or security...

  14. 29 CFR 2570.5 - Consequences of default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Consequences of default. 2570.5 Section 2570.5 Labor... ERISA Section 502(i) § 2570.5 Consequences of default. For prohibited transaction penalty proceedings... administrative law judge may set aside a default entered under this provision where there is proof of defective...

  15. 48 CFR 1449.402-3 - Procedure for default.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 5 2010-10-01 2010-10-01 false Procedure for default. 1449.402-3 Section 1449.402-3 Federal Acquisition Regulations System DEPARTMENT OF THE INTERIOR CONTRACT MANAGEMENT TERMINATION OF CONTRACTS Termination for Default 1449.402-3 Procedure for default. In...

  16. 27 CFR 40.166 - Default, prepayment of tax required.

    Science.gov (United States)

    2010-04-01

    ... 27 Alcohol, Tobacco Products and Firearms 2 2010-04-01 2010-04-01 false Default, prepayment of tax... Payment of Taxes on Tobacco Products § 40.166 Default, prepayment of tax required. Where a check or money... tax due thereunder, or where a manufacturer is otherwise in default in payment of tax on tobacco...

  17. 24 CFR 220.812 - Notice of default.

    Science.gov (United States)

    2010-04-01

    ... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Notice of default. 220.812 Section... and Obligations-Projects Insured Project Improvement Loans § 220.812 Notice of default. (a) If the default as defined in § 220.810 is not cured within the 30 day grace period, the lender shall, within 30...

  18. Retailer's optimal credit period and cycle time in a supply chain for deteriorating items with up-stream and down-stream trade credits

    Science.gov (United States)

    Mahata, Gour Chandra

    2015-09-01

    In practice, the supplier often offers the retailers a trade credit period and the retailer in turn provides a trade credit period to her/his customer to stimulate sales and reduce inventory. From the retailer's perspective, granting trade credit not only increases sales and revenue but also increases opportunity cost (i.e., the capital opportunity loss during credit period) and default risk (i.e., the percentage that the customer will not be able to pay off his/her debt obligations). Hence, how to determine credit period is increasingly recognized as an important strategy to increase retailer's profitability. Also, the selling items such as fruits, fresh fishes, gasoline, photographic films, pharmaceuticals and volatile liquids deteriorate continuously due to evaporation, obsolescence and spoilage. In this paper, we propose an economic order quantity model for the retailer where (1) the supplier provides an up-stream trade credit and the retailer also offers a down-stream trade credit, (2) the retailer's down-stream trade credit to the buyer not only increases sales and revenue but also opportunity cost and default risk, and (3) the selling items are perishable. Under these conditions, we model the retailer's inventory system as a profit maximization problem to determine the retailer's optimal replenishment decisions under the supply chain management. We then show that the retailer's optimal credit period and cycle time not only exist but also are unique. We deduce some previously published results of other researchers as special cases. Finally, we use some numerical examples to illustrate the theoretical results.

  19. Analisis Model Peramalan Status Kredit Kendaraan Bermotor pada Astra Credit Companies (ACC Cabang X Periode 2011

    Directory of Open Access Journals (Sweden)

    Tomy G. Soemapradja

    2012-05-01

    Full Text Available In order to increasing revenue, credit and financial institution, especially, automotive financing, gave lower interest rate. This, of course, will impact to the costumer with higher opportunity to have their dream which facilitated by those institutions. Despites to all economic risks and sales targets, credit and financial institutions have to empower their credit monitoring to anticipate earlier of credit defaults. Inspired by Altman’s research in 1968, about predicting bankruptcy of US companies, this research has purpose to determine which variable that significantly to the car loan status at Astra Credit Companies (ACC, and further continue to arrange prediction model of loan status and measure it’s accuracy level.. The statistic test shows there are 2 independent variables affect to dependent variable significantly, where model’s accuracy level achieves 100%.

  20. Variance Swaps in BM&F: Pricing and Viability of Hedge

    Directory of Open Access Journals (Sweden)

    Richard John Brostowicz Junior

    2010-07-01

    Full Text Available A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differences in pricing considering discrete monitoring of realized variance. It will analyze the pricing of variance swaps with payoff in dollars, since there is a OTC market that works this way and thatpotentially serve as a hedge for the variance swaps traded in BM&F. Additionally, will be tested the feasibility of hedge of variance swaps when there is liquidity in just a few exercise prices, as is the case of FX optionstraded in BM&F. Thus be assembled portfolios containing variance swaps and their replicating portfolios using the available exercise prices as proposed in (DEMETERFI et al., 1999. With these portfolios, the effectiveness of the hedge was not robust in mostly of tests conducted in this work.

  1. Change and status quo in decisions with defaults: The effect of incidental emotions depends on the type of default

    OpenAIRE

    Shevchenko, Yury; von Helversen, Bettina; Scheibehenne, Benjamin

    2014-01-01

    Affective states can change how people react to measures aimed at influencing their decisions such as providing a default option. Previous research has shown that when defaults maintain the status quo positive mood increases reliance on the default and negative mood decreases it. Similarly, it has been demonstrated that positive mood enhances the preference for inaction. We extend this research by investigating how mood states influence reliance on the default if the defa...

  2. CREDIT Performance Indicator Framework

    DEFF Research Database (Denmark)

    Frandsen, Anne Kathrine; Bertelsen, Niels Haldor; Haugbølle, Kim

    2010-01-01

    During the past two years the Nordic Baltic research project CREDIT (Construction and Real Estate – Developing Indicators for Transparency) has worked with the aim to improve transparency of value creation in building and real estate. One of the central deliverables of the CREDIT project was a fr......During the past two years the Nordic Baltic research project CREDIT (Construction and Real Estate – Developing Indicators for Transparency) has worked with the aim to improve transparency of value creation in building and real estate. One of the central deliverables of the CREDIT project...... was a framework of indicators relevant in building and real estate and applicable in the Nordic and Baltic countries as well as a proposal for a set of key indicators. The study resulting in CREDIT Performance Indicator Framework has been based on 28 case studies of evaluation practises in the building and real...... estate sector each addressing three interlinked levels: building/ projects level, company or enterprise level and benchmarking system level. Additionally it has been based on dialogue with researchers and professional organisation, international research and standardisation work and national building...

  3. Gender swapping and socializing in cyberspace: an exploratory study.

    Science.gov (United States)

    Hussain, Zaheer; Griffiths, Mark D

    2008-02-01

    Massively multiplayer online role-playing games (MMORPGs) are one of the most interesting innovations in the area of online computer gaming. Given the relative lack of research in the area, the main aims of the study were to examine (a) the impact of online gaming (e.g., typical playing behavior) in the lives of online gamers, (b) the effect of online socializing in the lives of gamers, and (c) why people engage in gender swapping. A self-selecting sample of 119 online gamers ranging from 18 to 69 years of age (M = 28.5 years) completed a questionnaire. The results showed that just over one in five gamers (21%) said they preferred socializing online to offline. Significantly more male gamers than female gamers said that they found it easier to converse online than offline. It was also found that 57% of gamers had engaged in gender swapping, and it is suggested that the online female persona has a number of positive social attributes in a male-oriented environment.

  4. An Empirical Research on Bank Client Credit Assessments

    Directory of Open Access Journals (Sweden)

    Quan Chen

    2018-05-01

    Full Text Available Individual microcredit loans involve large quantities and small amounts and necessitate rapid approval, therefore making simple and fast application approvals rather critical. Creditors must evaluate clients’ credit status and default risk within the shortest time when determining whether to approve or decline their applications, preventing overdue responses that negatively impact bank profits and management practices, and could trigger domestic financial crises. This study investigates client credit quality criteria, focusing on the expert opinions of bank managers. The decision-making trial and evaluation laboratory method is adopted to enable a comparison and analysis of the similarities and differences in how banks evaluate their clients’ character, ability, financial capability, and collateral. Based on causality and correlations among the criteria, we also identify the core problems and key improvement criteria in the evaluation system. Through survey results of professional managers from Taiwanese banks, this study uses the DEMATEL method to compare the differences in bank evaluation methods based on the four dimensions of clients’ character, ability, pockets, and collateral, as well as the corresponding 14 criteria. In order to improve the reliability and usefulness in bank client credit risk assessment, the assessment dimensions and indicators of bank client credit risk assessment are first discussed; second, the causal relationship and degree of mutual influence between different dimensions and criteria are researched and assessed; in the end, the paper discusses how to improve the function and the benefits of bank client credit risk assessment.

  5. Latinos in the Credit Economy

    OpenAIRE

    Ralph, Lisa M.

    2010-01-01

    Access to consumer credit as a means of building wealth is one of the least examined forms of social inequality. The recent economic crisis in the United States has brought attention to the significance of consumer credit in our nation's economy; however, less understood are the specific obstacles and barriers that prevent low-income individuals from reaching the "American Dream." In an exploratory manner, this study compared credit access, credit literacy, and credit experience of low-income...

  6. Credit derivatives and risk management

    OpenAIRE

    Michael S. Gibson

    2007-01-01

    The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A commercial bank can use credit derivatives to manage the risk of its loan portfolio. An investment bank can use credit derivatives to manage the risks it incurs when underwriting securities. An investor, such as an insurance company, asset manager, or hedge fund, can use credit derivatives to align its...

  7. Models of Credit Risk Measurement

    OpenAIRE

    Hagiu Alina

    2011-01-01

    Credit risk is defined as that risk of financial loss caused by failure by the counterparty. According to statistics, for financial institutions, credit risk is much important than market risk, reduced diversification of the credit risk is the main cause of bank failures. Just recently, the banking industry began to measure credit risk in the context of a portfolio along with the development of risk management started with models value at risk (VAR). Once measured, credit risk can be diversif...

  8. A Study of the Impact of Default Management Practices and Other Factors on Student Loan Default Rates in Public Two-Year Community Colleges

    Science.gov (United States)

    Daniels, Randell W.

    2013-01-01

    Default management practices and their relationship to the student loan default rate in public two-year community colleges was the focus of this investigation. Five research questions regarding written default management plans, default management practices, process management, accountability, and other factors impacting default guided the study.…

  9. Nudge for (the Public) Good: How Defaults Can Affect Cooperation.

    Science.gov (United States)

    Fosgaard, Toke R; Piovesan, Marco

    2015-01-01

    In this paper we test the effect of non-binding defaults on the level of contribution to a public good. We manipulate the default numbers appearing on the decision screen to nudge subjects toward a free-rider strategy or a perfect conditional cooperator strategy. Our results show that the vast majority of our subjects did not adopt the default numbers, but their stated strategy was affected by the default. Moreover, we find that our manipulation spilled over to a subsequent repeated public goods game where default was not manipulated. Here we found that subjects who previously saw the free rider default were significantly less cooperative than those who saw the perfect conditional cooperator default.

  10. Nudge for (the Public Good: How Defaults Can Affect Cooperation.

    Directory of Open Access Journals (Sweden)

    Toke R Fosgaard

    Full Text Available In this paper we test the effect of non-binding defaults on the level of contribution to a public good. We manipulate the default numbers appearing on the decision screen to nudge subjects toward a free-rider strategy or a perfect conditional cooperator strategy. Our results show that the vast majority of our subjects did not adopt the default numbers, but their stated strategy was affected by the default. Moreover, we find that our manipulation spilled over to a subsequent repeated public goods game where default was not manipulated. Here we found that subjects who previously saw the free rider default were significantly less cooperative than those who saw the perfect conditional cooperator default.

  11. Recommendations for Alternative Credit.

    Science.gov (United States)

    Lenderman, Ed; And Others

    Following a review of the mathematics topics taught in accounting, electronics, auto, food and clothing, and metals courses at Linn-Benton Community College, Albany, Oregon, recommendations were made to grant one semester of mathematics credit for completing a two-year sequence of these courses. The other required semester of mathematics should be…

  12. Earned Income Tax Credit

    NARCIS (Netherlands)

    F.M. van Oers; R.A. de Mooij (Ruud)

    1998-01-01

    textabstractIn recent policy discussions in the Netherlands, the Earned Income Tax Credit (EITC) has been put forward as an effective instrument to reduce the unemployment rate among low-skilled workers. Using the MIMIC model, this article shows that a targeted EITC at low incomes indeed seems

  13. Waiting for tax credits

    International Nuclear Information System (INIS)

    Sheinkopf, K.

    1992-01-01

    This article examines the effect of tax credits and related legislation under consideration by Congress on the economics of the renewable energy industry. The topics discussed in the article include conflicting industry opinion on financial incentives, the effectiveness of current incentives, and alternative approaches. The article also includes a sidebar on tax incentives offered by state programs

  14. Assessment of credit risk based on fuzzy relations

    Science.gov (United States)

    Tsabadze, Teimuraz

    2017-06-01

    The purpose of this paper is to develop a new approach for an assessment of the credit risk to corporate borrowers. There are different models for borrowers' risk assessment. These models are divided into two groups: statistical and theoretical. When assessing the credit risk for corporate borrowers, statistical model is unacceptable due to the lack of sufficiently large history of defaults. At the same time, we cannot use some theoretical models due to the lack of stock exchange. In those cases, when studying a particular borrower given that statistical base does not exist, the decision-making process is always of expert nature. The paper describes a new approach that may be used in group decision-making. An example of the application of the proposed approach is given.

  15. Clustering Analysis for Credit Default Probabilities in a Retail Bank Portfolio

    Directory of Open Access Journals (Sweden)

    Elena ANDREI (DRAGOMIR

    2012-08-01

    Full Text Available Methods underlying cluster analysis are very useful in data analysis, especially when the processed volume of data is very large, so that it becomes impossible to extract essential information, unless specific instruments are used to summarize and structure the gross information. In this context, cluster analysis techniques are used particularly, for systematic information analysis. The aim of this article is to build an useful model for banking field, based on data mining techniques, by dividing the groups of borrowers into clusters, in order to obtain a profile of the customers (debtors and good payers. We assume that a class is appropriate if it contains members that have a high degree of similarity and the standard method for measuring the similarity within a group shows the lowest variance. After clustering, data mining techniques are implemented on the cluster with bad debtors, reaching a very high accuracy after implementation. The paper is structured as follows: Section 2 describes the model for data analysis based on a specific scoring model that we proposed. In section 3, we present a cluster analysis using K-means algorithm and the DM models are applied on a specific cluster. Section 4 shows the conclusions.

  16. CO2 credit or energy credit in emission trading?

    International Nuclear Information System (INIS)

    Hu, E.

    2002-01-01

    Emission trading is a good concept and approach to tackle global warming. However, what ''currency'' or ''credit'' should be used in the trading has remained a debatable topic. This paper proposed an ''Energy Credit'' concept as an alternative to the ''CO 2 credit'' that is currently in place. From the thermodynamic point of view, the global warming problem is an ''energy balance'' problem. The energy credit concept is thought to be more thermodynamically correct and tackles the core of the global warming problem more directly. The Energy credit concept proposed can be defined as: the credit to offset the extra energy trapped/absorbed in the earth (and its atmosphere) due to the extra anthropogenic emission (or other activities) by a country or company. A couple of examples are given in the paper to demonstrate the concept of the Energy credit and its advantages over the CO 2 credit concept. (author)

  17. Scientific Library’s Book and Media Swap Coming April 16 | Poster

    Science.gov (United States)

    By Robin Meckley, Contributing Writer The 14th annual Book and Media Swap will be held on Wednesday, April 16, from 10 a.m. to 2 p.m., in the lobby of the Conference Center in Building 549. The staff is holding the swap to coincide with National Library Week, an annual celebration of libraries that occurs in April. As of April 10, the library had collected nearly 2,000 books, DVDs, and CDs for the swap. Employees who donated these items received book cards indicating the number of items donated. 

  18. ANALISIS PERBANDINGAN PENGGUNAAN HEDGINGANTARA FORWARD CONTRACT DENGAN CURRENCY SWAP UNTUK MEMINIMASI RISIKO FOREIGN EXCHANGE

    Directory of Open Access Journals (Sweden)

    Ni Wayan Eka Mitariani

    2013-07-01

    Full Text Available This study aims is to identifying the differences between using forward contract hedging or currencyswap hedging. Paired Sample T-Test were used to answer the problems and to test the hypothesis. The findings showthat without paying attention to the time value of money, currency swap hedging generated higher income value than forward contract hedging, whereas by paying attention to the time value of money, forwardcontracthedging generated higher income value than currency swap hedging. Significant differences were foundas far as the use of forward contract hedging and currency swap hedging are concerned, both by paying or noattention to the time value of money.

  19. Quantum secure direct communication by EPR pairs and entanglement swapping

    CERN Document Server

    Gao, T; Yan, F L; 10.1393/ncb/i2004-10090-1

    2004-01-01

    We present, a quantum secure direct communication scheme achieved by swapping quantum entanglement. In this scheme a set of ordered Einstein-Podolsky-Rosen (HPIl) pairs is used as a quantum information channel for sending secret messages directly. After insuring the safety of the quantum channel, the sender Alice encodes the secret messages directly by applying a series local operations on her particle sequences according to their stipulation. Using three EPR pairs, three bits of secret classical information can be faithfully transmitted from Alice to remote Bob without revealing any information to a potential eavesdropper. By both Alice and Bob's GHZ state measurement results, Bob is able to read out the encoded secret messages directly. The protocol is completely secure if perfect quantum channel is used, because there is not a transmission of the qubits carrying the secret message between Alice and Bob in the public channel.

  20. The multilevel four-stroke swap engine and its environment

    Science.gov (United States)

    Uzdin, Raam; Kosloff, Ronnie

    2014-09-01

    A multilevel four-stroke engine where the thermalization strokes are generated by unitary collisions with thermal bath particles is analyzed. Our model is solvable even when the engine operates far from thermal equilibrium and in the strong system-bath coupling. Necessary operation conditions for the heat machine to perform as an engine or a refrigerator are derived. We relate the work and efficiency of the device to local and non-local statistical properties of the baths (purity, index of coincidence, etc) and put upper bounds on these quantities. Finally, in the ultra-hot regime, we analytically optimize the work and find a striking similarity to results obtained for efficiency at maximal power of classical engines. The complete swap limit of our results holds for any four-stroke quantum Otto engine that is coupled to the baths for periods that are significantly longer than the thermal relaxation time.

  1. The multilevel four-stroke swap engine and its environment

    International Nuclear Information System (INIS)

    Uzdin, Raam; Kosloff, Ronnie

    2014-01-01

    A multilevel four-stroke engine where the thermalization strokes are generated by unitary collisions with thermal bath particles is analyzed. Our model is solvable even when the engine operates far from thermal equilibrium and in the strong system–bath coupling. Necessary operation conditions for the heat machine to perform as an engine or a refrigerator are derived. We relate the work and efficiency of the device to local and non-local statistical properties of the baths (purity, index of coincidence, etc) and put upper bounds on these quantities. Finally, in the ultra-hot regime, we analytically optimize the work and find a striking similarity to results obtained for efficiency at maximal power of classical engines. The complete swap limit of our results holds for any four-stroke quantum Otto engine that is coupled to the baths for periods that are significantly longer than the thermal relaxation time. (paper)

  2. A greedy double swap heuristic for nurse scheduling

    Directory of Open Access Journals (Sweden)

    Murphy Choy

    2012-10-01

    Full Text Available One of the key challenges of nurse scheduling problem (NSP is the number of constraints placed on preparing the timetable, both from the regulatory requirements as well as the patients’ demand for the appropriate nursing care specialists. In addition, the preferences of the nursing staffs related to their work schedules add another dimension of complexity. Most solutions proposed for solving nurse scheduling involve the use of mathematical programming and generally considers only the hard constraints. However, the psychological needs of the nurses are ignored and this resulted in subsequent interventions by the nursing staffs to remedy any deficiency and often results in last minute changes to the schedule. In this paper, we present a staff preference optimization framework solved with a greedy double swap heuristic. The heuristic yields good performance in speed at solving the problem. The heuristic is simple and we will demonstrate its performance by implementing it on open source spreadsheet software.

  3. Triple-server blind quantum computation using entanglement swapping

    Science.gov (United States)

    Li, Qin; Chan, Wai Hong; Wu, Chunhui; Wen, Zhonghua

    2014-04-01

    Blind quantum computation allows a client who does not have enough quantum resources or technologies to achieve quantum computation on a remote quantum server such that the client's input, output, and algorithm remain unknown to the server. Up to now, single- and double-server blind quantum computation have been considered. In this work, we propose a triple-server blind computation protocol where the client can delegate quantum computation to three quantum servers by the use of entanglement swapping. Furthermore, the three quantum servers can communicate with each other and the client is almost classical since one does not require any quantum computational power, quantum memory, and the ability to prepare any quantum states and only needs to be capable of getting access to quantum channels.

  4. A critical analysis of debtor’s right to reinstate a credit agreement & resume possession of property

    Directory of Open Access Journals (Sweden)

    Hlako Choma

    2018-03-01

    Full Text Available In terms of section 129(3(a of the South African National Credit Act 34 of 2005 a consumer may reinstate a credit agreement that is in default by paying all the money that is overdue together with default charges incurred by the credit provider and also the costs of enforcing the agreement until the agreement is reinstated. A consumer should pay costs of reinstating agreement if the credit provider has not yet cancelled the agreement. A consumer who paid the required costs will also resume possession of goods that were repossessed by the credit provider pursuant to attachment order. However a consumer is prohibited from reinstating a credit agreement after the property is sold pursuant to attachment order or surrender of property in terms of section 127 (section 129(4. A consumer is also prohibited from reinstating a credit agreement after the execution of court order enforcing that agreement or after termination of agreement in terms of the NCA (section 129(4. Therefore a question arise as to whether a consumer who fell in arrears can reinstate a credit agreement by paying the arrears and preclude a credit provider from proceeding to sell the property. In other words whether a consumer who paid arrears on credit agreement can reinstate such credit agreement and disentitling the credit provider from selling the property. This was the crisp question put to the court in the recent decision in Nkata v Firstrand Bank Limited and Others (CCT73/15 [2016] ZACC 12; 2016 (6 BCLR 794 (CC; 2016 (4 SA 257 (CC (21 April 2016. The purpose this article is to critically analyse the decision in Nkata v Firstrand Bank Limited and Others (CCT73/15 [2016] ZACC 12; 2016 (6 BCLR 794 (CC; 2016 (4 SA 257 (CC (21 April 2016 in view of the application and interpretation of section 129(3 and (4 of the NCA.

  5. Confidence sets for asset correlations in portfolio credit risk

    Directory of Open Access Journals (Sweden)

    Carlos Castro

    2012-06-01

    Full Text Available Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007.Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

  6. Consumer Handbook to Credit Protection Laws.

    Science.gov (United States)

    Board of Governors of the Federal Reserve System, Washington, DC.

    The five sections of this consumer handbook are The Cost of Credit, Applying for Credit, Credit Histories and Records, Correcting Credit Mistakes, and Complaining about Credit. Each section discusses relevant legislation: Truth in Lending, the Equal Credit Opportunity Act, and the Fair Credit Reporting Act. Topics discussed in section I include…

  7. Dynamic Virtual Credit Card Numbers

    Science.gov (United States)

    Molloy, Ian; Li, Jiangtao; Li, Ninghui

    Theft of stored credit card information is an increasing threat to e-commerce. We propose a dynamic virtual credit card number scheme that reduces the damage caused by stolen credit card numbers. A user can use an existing credit card account to generate multiple virtual credit card numbers that are either usable for a single transaction or are tied with a particular merchant. We call the scheme dynamic because the virtual credit card numbers can be generated without online contact with the credit card issuers. These numbers can be processed without changing any of the infrastructure currently in place; the only changes will be at the end points, namely, the card users and the card issuers. We analyze the security requirements for dynamic virtual credit card numbers, discuss the design space, propose a scheme using HMAC, and prove its security under the assumption the underlying function is a PRF.

  8. Treatment Default amongst Patients with Tuberculosis in Urban Morocco: Predicting and Explaining Default and Post-Default Sputum Smear and Drug Susceptibility Results

    Science.gov (United States)

    Ghali, Iraqi; Kizub, Darya; Billioux, Alexander C.; Bennani, Kenza; Bourkadi, Jamal Eddine; Benmamoun, Abderrahmane; Lahlou, Ouafae; Aouad, Rajae El; Dooley, Kelly E.

    2014-01-01

    Setting Public tuberculosis (TB) clinics in urban Morocco. Objective Explore risk factors for TB treatment default and develop a prediction tool. Assess consequences of default, specifically risk for transmission or development of drug resistance. Design Case-control study comparing patients who defaulted from TB treatment and patients who completed it using quantitative methods and open-ended questions. Results were interpreted in light of health professionals’ perspectives from a parallel study. A predictive model and simple tool to identify patients at high risk of default were developed. Sputum from cases with pulmonary TB was collected for smear and drug susceptibility testing. Results 91 cases and 186 controls enrolled. Independent risk factors for default included current smoking, retreatment, work interference with adherence, daily directly observed therapy, side effects, quick symptom resolution, and not knowing one’s treatment duration. Age >50 years, never smoking, and having friends who knew one’s diagnosis were protective. A simple scoring tool incorporating these factors was 82.4% sensitive and 87.6% specific for predicting default in this population. Clinicians and patients described additional contributors to default and suggested locally-relevant intervention targets. Among 89 cases with pulmonary TB, 71% had sputum that was smear positive for TB. Drug resistance was rare. Conclusion The causes of default from TB treatment were explored through synthesis of qualitative and quantitative data from patients and health professionals. A scoring tool with high sensitivity and specificity to predict default was developed. Prospective evaluation of this tool coupled with targeted interventions based on our findings is warranted. Of note, the risk of TB transmission from patients who default treatment to others is likely to be high. The commonly-feared risk of drug resistance, though, may be low; a larger study is required to confirm these findings

  9. Treatment default amongst patients with tuberculosis in urban Morocco: predicting and explaining default and post-default sputum smear and drug susceptibility results.

    Science.gov (United States)

    Cherkaoui, Imad; Sabouni, Radia; Ghali, Iraqi; Kizub, Darya; Billioux, Alexander C; Bennani, Kenza; Bourkadi, Jamal Eddine; Benmamoun, Abderrahmane; Lahlou, Ouafae; Aouad, Rajae El; Dooley, Kelly E

    2014-01-01

    Public tuberculosis (TB) clinics in urban Morocco. Explore risk factors for TB treatment default and develop a prediction tool. Assess consequences of default, specifically risk for transmission or development of drug resistance. Case-control study comparing patients who defaulted from TB treatment and patients who completed it using quantitative methods and open-ended questions. Results were interpreted in light of health professionals' perspectives from a parallel study. A predictive model and simple tool to identify patients at high risk of default were developed. Sputum from cases with pulmonary TB was collected for smear and drug susceptibility testing. 91 cases and 186 controls enrolled. Independent risk factors for default included current smoking, retreatment, work interference with adherence, daily directly observed therapy, side effects, quick symptom resolution, and not knowing one's treatment duration. Age >50 years, never smoking, and having friends who knew one's diagnosis were protective. A simple scoring tool incorporating these factors was 82.4% sensitive and 87.6% specific for predicting default in this population. Clinicians and patients described additional contributors to default and suggested locally-relevant intervention targets. Among 89 cases with pulmonary TB, 71% had sputum that was smear positive for TB. Drug resistance was rare. The causes of default from TB treatment were explored through synthesis of qualitative and quantitative data from patients and health professionals. A scoring tool with high sensitivity and specificity to predict default was developed. Prospective evaluation of this tool coupled with targeted interventions based on our findings is warranted. Of note, the risk of TB transmission from patients who default treatment to others is likely to be high. The commonly-feared risk of drug resistance, though, may be low; a larger study is required to confirm these findings.

  10. Treatment default amongst patients with tuberculosis in urban Morocco: predicting and explaining default and post-default sputum smear and drug susceptibility results.

    Directory of Open Access Journals (Sweden)

    Imad Cherkaoui

    Full Text Available Public tuberculosis (TB clinics in urban Morocco.Explore risk factors for TB treatment default and develop a prediction tool. Assess consequences of default, specifically risk for transmission or development of drug resistance.Case-control study comparing patients who defaulted from TB treatment and patients who completed it using quantitative methods and open-ended questions. Results were interpreted in light of health professionals' perspectives from a parallel study. A predictive model and simple tool to identify patients at high risk of default were developed. Sputum from cases with pulmonary TB was collected for smear and drug susceptibility testing.91 cases and 186 controls enrolled. Independent risk factors for default included current smoking, retreatment, work interference with adherence, daily directly observed therapy, side effects, quick symptom resolution, and not knowing one's treatment duration. Age >50 years, never smoking, and having friends who knew one's diagnosis were protective. A simple scoring tool incorporating these factors was 82.4% sensitive and 87.6% specific for predicting default in this population. Clinicians and patients described additional contributors to default and suggested locally-relevant intervention targets. Among 89 cases with pulmonary TB, 71% had sputum that was smear positive for TB. Drug resistance was rare.The causes of default from TB treatment were explored through synthesis of qualitative and quantitative data from patients and health professionals. A scoring tool with high sensitivity and specificity to predict default was developed. Prospective evaluation of this tool coupled with targeted interventions based on our findings is warranted. Of note, the risk of TB transmission from patients who default treatment to others is likely to be high. The commonly-feared risk of drug resistance, though, may be low; a larger study is required to confirm these findings.

  11. Default options in the ICU: widely used but insufficiently understood

    Science.gov (United States)

    Hart, Joanna; Halpern, Scott D.

    2015-01-01

    Purpose of review Default options dramatically influence the behavior of decision makers and may serve as effective decision support tools in the ICU. Their use in medicine has increased in an effort to improve efficiency, reduce errors, and harness the potential of healthcare technology. Recent findings Defaults often fall short of their predicted influence when employed in critical care settings as quality improvement interventions. Investigations reporting the use of defaults are often limited by variations in the relative effect across sites. Preimplementation experiments and long-term monitoring studies are lacking. Summary Defaults in the ICU may help or harm patients and clinical efficiency depending on their format and use. When constructing and encountering defaults, providers should be aware of their powerful and complex influences on decision making. Additional evaluations of the appropriate creation of healthcare defaults and their resulting intended and unintended consequences are needed. PMID:25203352

  12. Dynamic Diversification in Corporate Credit

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Jin, Xisong

    We characterize diversification in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between credit spread and equity return dependence dynamics. Modeling a decade...... the crisis and remain high as well. The most important shocks to credit dependence occur in August of 2007 and in August of 2011, but interestingly these dates are not associated with significant changes to median credit spreads....

  13. Are carbon credits effective?

    International Nuclear Information System (INIS)

    Anon.

    2010-01-01

    Is it possible to reduce greenhouse gas emissions by assigning a value to CO 2 ? That's the concept behind carbon credits. Their advantage: they set targets but let companies decide how to meet them. Of all the processes that can be used to reduce air pollution, the cap and trade system is the best way to meet global targets on a national or continental scale. The system's efficiency is based on setting a ceiling for emissions: this is the cap. The emissions quotas are negotiable goods that can be traded on a market: this is the 'trade'. No company can exceed its quotas, but it can choose how to meet them: decreasing its emissions by changing its production processes, buying carbon credits sold by companies that have exceeded their targets, or using clean development mechanisms. For a carbon credit system to function correctly on an economic level, it's essential to meet one condition: don't allocate too many emissions quotas to the companies involved. If they receive too many quotas, it's not hard for them to meet their objectives without changing their production processes. The supply of carbon credits currently exceeds demand. The price per ton of CO 2 is collapsing, and companies that have exceeded their targets are not rewarded for their efforts. Efficient though it may be, the cap and trade system cannot be the only way to fight CO 2 emissions. In Europe, it presently covers 40% of the CO 2 emissions by targeting utilities and industries that consume the most fossil fuels. But it cannot be extended to some sectors where pollution is diffuse. In transportation, for example, it's not possible to impose such a requirement. For that sector, as well as for the building sector, a suitable system of taxes might be effective and incentive

  14. Credit scoring methods

    Czech Academy of Sciences Publication Activity Database

    Vojtek, Martin; Kočenda, Evžen

    2006-01-01

    Roč. 56, 3-4 (2006), s. 152-167 ISSN 0015-1920 R&D Projects: GA ČR GA402/05/0931 Institutional research plan: CEZ:AV0Z70850503 Keywords : banking sector * credit scoring * discrimination analysis Subject RIV: AH - Economics Impact factor: 0.190, year: 2006 http://journal.fsv.cuni.cz/storage/1050_s_152_167.pdf

  15. Default Mode Dynamics for Global Functional Integration.

    Science.gov (United States)

    Vatansever, Deniz; Menon, David K; Manktelow, Anne E; Sahakian, Barbara J; Stamatakis, Emmanuel A

    2015-11-18

    The default mode network (DMN) has been traditionally assumed to hinder behavioral performance in externally focused, goal-directed paradigms and to provide no active contribution to human cognition. However, recent evidence suggests greater DMN activity in an array of tasks, especially those that involve self-referential and memory-based processing. Although data that robustly demonstrate a comprehensive functional role for DMN remains relatively scarce, the global workspace framework, which implicates the DMN in global information integration for conscious processing, can potentially provide an explanation for the broad range of higher-order paradigms that report DMN involvement. We used graph theoretical measures to assess the contribution of the DMN to global functional connectivity dynamics in 22 healthy volunteers during an fMRI-based n-back working-memory paradigm with parametric increases in difficulty. Our predominant finding is that brain modularity decreases with greater task demands, thus adapting a more global workspace configuration, in direct relation to increases in reaction times to correct responses. Flexible default mode regions dynamically switch community memberships and display significant changes in their nodal participation coefficient and strength, which may reflect the observed whole-brain changes in functional connectivity architecture. These findings have important implications for our understanding of healthy brain function, as they suggest a central role for the DMN in higher cognitive processing. The default mode network (DMN) has been shown to increase its activity during the absence of external stimulation, and hence was historically assumed to disengage during goal-directed tasks. Recent evidence, however, implicates the DMN in self-referential and memory-based processing. We provide robust evidence for this network's active contribution to working memory by revealing dynamic reconfiguration in its interactions with other networks

  16. Follow Up: Credit Card Caution

    Science.gov (United States)

    Cahill, Timothy P.

    2007-01-01

    In "Pushing Plastic," ("The New England Journal of Higher Education", Summer 2007), John Humphrey notes that many college administrators justify their credit card solicitations by suggesting that credit card access will help students learn to manage their own finances. Instead, credit card debt will teach thousands of students…

  17. Intertemporal consumption and credit constraints

    DEFF Research Database (Denmark)

    Leth-Petersen, Søren

    2010-01-01

    There is continuing controversy over the importance of credit constraints. This paper investigates whether total household expenditure and debt is affected by an exogenous increase in access to credit provided by a credit market reform that enabled Danish house owners to use housing equity...

  18. Signals analysis of fluxgate array for wire rope defaults

    International Nuclear Information System (INIS)

    Gu Wei; Chu Jianxin

    2005-01-01

    In order to detecting the magnetic leakage fields of the wire rope defaults, a transducer made up of the fluxgate array is designed, and a series of the characteristic values of wire rope defaults signals are defined. By processing the characteristic signals, the LF or LMA of wire rope are distinguished, and the default extent is estimated. The experiment results of the new method for detecting the wire rope faults are introduced

  19. The Role of Demand Response in Default Service Pricing

    International Nuclear Information System (INIS)

    Barbose, Galen; Goldman, Charles; Neenan, Bernie

    2006-01-01

    In designing default service for competitive retail markets, demand response has been an afterthought at best. But that may be changing, as states that initiated customer choice in the past five to seven years reach an important juncture in retail market design and consider an RTP-type default service for large commercial and industrial customers. The authors describe the experience to date with RTP as a default service, focusing on its role as an instrument for cultivating price-responsive demand. (author)

  20. Time of default in tuberculosis patients on directly observed treatment.

    Science.gov (United States)

    Pardeshi, Geeta S

    2010-09-01

    Default remains an important challenge for the Revised National Tuberculosis Control Programme, which has achieved improved cure rates. This study describes the pattern of time of default in patients on DOTS. Tuberculosis Unit in District Tuberculosis Centre, Yavatmal, India; Retrospective cohort study. This analysis was done among the cohort of patients of registered at the Tuberculosis Unit during the year 2004. The time of default was assessed from the tuberculosis register. The sputum smear conversion and treatment outcome were also assessed. Kaplan-Meier plots and log rank tests. Overall, the default rate amongst the 716 patients registered at the Tuberculosis Unit was 10.33%. There was a significant difference in the default rate over time between the three DOTS categories (log rank statistic= 15.49, P=0.0004). Amongst the 331 smear-positive patients, the cumulative default rates at the end of intensive phase were 4% and 16%; while by end of treatment period, the default rates were 6% and 31% in category I and category II, respectively. A majority of the smear-positive patients in category II belonged to the group 'treatment after default' (56/95), and 30% of them defaulted during re-treatment. The sputum smear conversion rate at the end of intensive phase was 84%. Amongst 36 patients without smear conversion at the end of intensive phase, 55% had treatment failure. Patients defaulting in intensive phase of treatment and without smear conversion at the end of intensive phase should be retrieved on a priority basis. Default constitutes not only a major reason for patients needing re-treatment but also a risk for repeated default.

  1. Determinants of credit risk - the case of Serbia

    Directory of Open Access Journals (Sweden)

    Jović Željko

    2017-01-01

    Full Text Available This paper examines systemic and specific factors that increased the credit risk level in the Serbian banking sector between 2008 and 2014, by applying the vector autoregression model (VAR, logit and probit. Business cycle and RSD depreciation are the most important systemic determinants of credit risk in the corporate sector, while in the retail sector these determinants represent a deterioration of the business and financial situation, based on a rise in the unemployment rate and nonperforming loans, together with domestic currency depreciation and the effects of the solidarity tax. Banks that entered the crisis with a lower level of capital, higher level of portfolio concentration in their 50 biggest borrowers, and with restrictions on the owner supporting the bank by providing additional capital in the period of credit risk increase, have been more exposed to default and more inclined to overestimate their good assets in their reports. The influence of RSD depreciation and the economic interrelation of clients represent an increase in the credit risk level.

  2. Credit risk assessment model for Jordanian commercial banks: Neural scoring approach

    Directory of Open Access Journals (Sweden)

    Hussain Ali Bekhet

    2014-01-01

    Full Text Available Despite the increase in the number of non-performing loans and competition in the banking market, most of the Jordanian commercial banks are reluctant to use data mining tools to support credit decisions. Artificial neural networks represent a new family of statistical techniques and promising data mining tools that have been used successfully in classification problems in many domains. This paper proposes two credit scoring models using data mining techniques to support loan decisions for the Jordanian commercial banks. Loan application evaluation would improve credit decision effectiveness and control loan office tasks, as well as save analysis time and cost. Both accepted and rejected loan applications, from different Jordanian commercial banks, were used to build the credit scoring models. The results indicate that the logistic regression model performed slightly better than the radial basis function model in terms of the overall accuracy rate. However, the radial basis function was superior in identifying those customers who may default.

  3. An empirical approach to the credit risk assessment of a microfinance institution in Peru

    Directory of Open Access Journals (Sweden)

    Juan Lara Rubio

    2011-06-01

    Full Text Available The growth of micro-credit along with the excellent conditions to carry out microfinance activity in the economy and financial system of the Republic of Peru are pushing for Microfinance Institutions (IMF increased competition with banks in this segment business. Like in commercial banks, in microfinance questions such as: is this customer profitable?, What is the credit limit that I must accept to his/her application?, What interest rate should I charge to him/ her?, How I can reduce the risk default?, etc., are matters to be assessed properly. We propose a method that could facilitate improvement in customer qualification between failed and not failed. To this end, we propose a methodology that analyzes credit risk in the provision of microcredit through the design of a credit scoring model that we apply to a Development Agency for Small and Micro Enterprise (EDPYME, which is an IMF under the supervision by the Banking and Insurance Superintendency (SBS.

  4. 3DSwap: Curated knowledgebase of proteins involved in 3D domain swapping

    KAUST Repository

    Shameer, Khader; Shingate, Prashant N.; Manjunath, S. C. P.; Karthika, M.; Pugalenthi, Ganesan; Sowdhamini, Ramanathan

    2011-01-01

    structures in oligomeric conformation. Protein structures in swapped conformations perform diverse functional roles and are also associated with deposition diseases in humans. We have performed in-depth literature curation and structural bioinformatics

  5. 76 FR 27563 - Margin and Capital Requirements for Covered Swap Entities

    Science.gov (United States)

    2011-05-11

    ... Comptroller of the Currency 12 CFR Part 45 Board of Governors of the Federal Reserve System 12 CFR Part 237... Housing Finance Agency 12 CFR Part 1221 Margin and Capital Requirements for Covered Swap Entities...; [[Page 27564

  6. Accelerated sampling by infinite swapping of path integral molecular dynamics with surface hopping

    Science.gov (United States)

    Lu, Jianfeng; Zhou, Zhennan

    2018-02-01

    To accelerate the thermal equilibrium sampling of multi-level quantum systems, the infinite swapping limit of a recently proposed multi-level ring polymer representation is investigated. In the infinite swapping limit, the ring polymer evolves according to an averaged Hamiltonian with respect to all possible surface index configurations of the ring polymer and thus connects the surface hopping approach to the mean-field path-integral molecular dynamics. A multiscale integrator for the infinite swapping limit is also proposed to enable efficient sampling based on the limiting dynamics. Numerical results demonstrate the huge improvement of sampling efficiency of the infinite swapping compared with the direct simulation of path-integral molecular dynamics with surface hopping.

  7. 75 FR 67277 - Process for Review of Swaps for Mandatory Clearing

    Science.gov (United States)

    2010-11-02

    ... relevant hyperlink if it is openly available on the Internet. Finally, the swap submission would have to... previously established certain definitions of ``small entities'' to be used by the Commission in evaluating...

  8. 78 FR 33475 - Core Principles and Other Requirements for Swap Execution Facilities

    Science.gov (United States)

    2013-06-04

    ... transmitting a request for a quote to no less than two market participants; and (b) each affected entity shall... investors, consumers, and businesses; lowers the risks of the swaps market to the economy; and enhances...

  9. 77 FR 1181 - Real-Time Public Reporting of Swap Transaction Data

    Science.gov (United States)

    2012-01-09

    ... relevant to the institution's external market positioning.'' Id. at p. 13. Accordingly, the Commission is... immediately may enter into a mirror swap transaction with its affiliate on the same terms as the marketing...

  10. Default Bayesian Estimation of the Fundamental Frequency

    DEFF Research Database (Denmark)

    Nielsen, Jesper Kjær; Christensen, Mads Græsbøll; Jensen, Søren Holdt

    2013-01-01

    Joint fundamental frequency and model order esti- mation is an important problem in several applications. In this paper, a default estimation algorithm based on a minimum of prior information is presented. The algorithm is developed in a Bayesian framework, and it can be applied to both real....... Moreover, several approximations of the posterior distributions on the fundamental frequency and the model order are derived, and one of the state-of-the-art joint fundamental frequency and model order estimators is demonstrated to be a special case of one of these approximations. The performance...

  11. Default contagion risks in Russian interbank market

    Science.gov (United States)

    Leonidov, A. V.; Rumyantsev, E. L.

    2016-06-01

    Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-tie structure reflecting functionality of the corresponding nodes (borrowers, lenders, borrowers and lenders simultaneously), degree distributions and disassortativity of the interbank network under consideration based on empirical data is developed. The characteristics of contagion-related systemic risk calculated with this model are shown to be in agreement with those of explicit stress tests.

  12. Shopping Center Financing: Pricing Loan Default Risk

    OpenAIRE

    Peter Chinloy; James Musumeci

    1994-01-01

    The financing structure of a shopping center is decomposed into an income security and two put options. These put options are respectively held by the borrower against the lender for default, and by the lender against an insurer or reinsurer. The prices of the put option depend on the loan-to-value ration of the loan and on the risk of the investment. The interest rate charged on the loan is the sum of four components: a riskless rate, lender production costs, and the net price of the put opt...

  13. Credit-proofing fundamentals for a solid credit policy

    Energy Technology Data Exchange (ETDEWEB)

    Lydiatt, I. [KeySpan Energy Canada, Calgary, AB (Canada)

    2003-07-01

    This Power Point presentation presented the basics of a credit policy with reference to corporate objectives, governance, credit definitions, subjective/objective elements, quantification of full risk, management, monitoring, reporting and gate-keeping processes. Options for a credit policy were described as being approval authority grids, confidentiality issues, credit scoring, corporate risk levels, follow-up collection calling, and procedures on unapproved exposures. Recommendations for setting risk and credit limits were also presented with a note emphasizing that in the past 6 months credit evaluation processes have had to deal with the media risk, a new risk that has not been seen before. This risk can be addressed by careful monitoring of stock prices. The paper also presented recommendations for what to look for as indicators and how to deal with risk in volatile price periods. Credit tools for volatile times were described. 1 tab.

  14. Credit-proofing fundamentals for a solid credit policy

    International Nuclear Information System (INIS)

    Lydiatt, I.

    2003-01-01

    This Power Point presentation presented the basics of a credit policy with reference to corporate objectives, governance, credit definitions, subjective/objective elements, quantification of full risk, management, monitoring, reporting and gate-keeping processes. Options for a credit policy were described as being approval authority grids, confidentiality issues, credit scoring, corporate risk levels, follow-up collection calling, and procedures on unapproved exposures. Recommendations for setting risk and credit limits were also presented with a note emphasizing that in the past 6 months credit evaluation processes have had to deal with the media risk, a new risk that has not been seen before. This risk can be addressed by careful monitoring of stock prices. The paper also presented recommendations for what to look for as indicators and how to deal with risk in volatile price periods. Credit tools for volatile times were described. 1 tab

  15. Are information disclosure mandates effective? Evidence from the credit card market

    OpenAIRE

    Elizondo, Alan; Seira, Enrique

    2014-01-01

    Consumer protection in financial markets in the form of information disclosure is high on governments agendas, despite the fact that the empirical evidence on its effectiveness is scarce. To measure the impact of Truth-in-Lending-Act-type disclosures on default and indebtedness, as well as of debiasing warning messages and social comparison information, we implement a randomized control trial in the credit card market for a large population of indebted cardholders. We find that providing sali...

  16. Default, non-default, markedness and complexity in the L2 English ...

    African Journals Online (AJOL)

    In the Principles and Parameters approach, parameters capture variation: languages do not differ randomly but along well-defined lines. Parameters typically take the form of a binary choice, such as yes/no or a similar option. In acquisition, a parameter is assumed to have a default setting as a starting point, which is ...

  17. Default Drug Doses in Anesthesia Information Management Systems.

    Science.gov (United States)

    Rodriquez, Luis I; Smaka, Todd J; Mahla, Michael; Epstein, Richard H

    2017-07-01

    In the United States, anesthesia information management systems (AIMS) are well established, especially within academic practices. Many hospitals are replacing their stand-alone AIMS during migration to an enterprise-wide electronic health record. This presents an opportunity to review choices made during the original implementation, based on actual usage. One area amenable to this informatics approach is the configuration in the AIMS of quick buttons for typical drug doses. The use of such short cuts, as opposed to manual typing of doses, simplifies and may improve the accuracy of drug documentation within the AIMS. We analyzed administration data from 3 different institutions, 2 of which had empirically configured default doses, and one in which defaults had not been set up. Our first hypothesis was that most (ie, >50%) of drugs would need at least one change to the existing defaults. Our second hypothesis was that for most (>50%) drugs, the 4 most common doses at the site lacking defaults would be included among the most common doses at the 2 sites with defaults. If true, this would suggest that having default doses did not affect the typical administration behavior of providers. The frequency distribution of doses for all drugs was determined, and the 4 most common doses representing at least 5% of total administrations for each drug were identified. The appropriateness of the current defaults was determined by the number of changes (0-4) required to match actual usage at the 2 hospitals with defaults. At the institution without defaults, the most frequent doses for the 20 most commonly administered drugs were compared with the default doses at the other institutions. At the 2 institutions with defaults, 84.7% and 77.5% of drugs required at least 1 change in the default drug doses (P default drug doses, 100% of the 20 most commonly administered doses (representing ≥5% of use for that drug) were included in the most commonly administered doses at the other 2

  18. Default network connectivity in medial temporal lobe amnesia.

    Science.gov (United States)

    Hayes, Scott M; Salat, David H; Verfaellie, Mieke

    2012-10-17

    There is substantial overlap between the brain regions supporting episodic memory and the default network. However, in humans, the impact of bilateral medial temporal lobe (MTL) damage on a large-scale neural network such as the default mode network is unknown. To examine this issue, resting fMRI was performed with amnesic patients and control participants. Seed-based functional connectivity analyses revealed robust default network connectivity in amnesia in cortical default network regions such as medial prefrontal cortex, posterior medial cortex, and lateral parietal cortex, as well as evidence of connectivity to residual MTL tissue. Relative to control participants, decreased posterior cingulate cortex connectivity to MTL and increased connectivity to cortical default network regions including lateral parietal and medial prefrontal cortex were observed in amnesic patients. In contrast, somatomotor network connectivity was intact in amnesic patients, indicating that bilateral MTL lesions may selectively impact the default network. Changes in default network connectivity in amnesia were largely restricted to the MTL subsystem, providing preliminary support from MTL amnesic patients that the default network can be fractionated into functionally and structurally distinct components. To our knowledge, this is the first examination of the default network in amnesia.

  19. Rational and mechanics of a peak risk variance swap for a property insurance portfolio

    OpenAIRE

    Zvezdov, Ivelin

    2012-01-01

    In this technical report we explore the motivation, structuring and detailed mechanics of a variance swap contract adapted for a property insurance portfolio. We structure, price and test sensitivities of the swap contract using real event historical and modeled natural catastrophe loss data. Our key motivation is to propose an element of financial engineering innovation to insurance portfolio risk management to allow for constructing hedging strategies that may not be possible to achieve w...

  20. More than 3,200 Books and DVDs Donated to Annual Book Swap | Poster

    Science.gov (United States)

    Robin Meckley, Contributing Writer The Scientific Library’s 14th Annual Book and Media Swap, held on April 16 in the lobby of Building 549, proved to be a popular event. When the swap was rescheduled from fall 2013 to spring 2014, the library staff was uncertain if the response would be equal to previous years, said Sue Wilson, principal manager of the Scientific Library. NCI

  1. Scientific Library’s Book and Media Swap Coming April 16 | Poster

    Science.gov (United States)

    By Robin Meckley, Contributing Writer The 14th annual Book and Media Swap will be held on Wednesday, April 16, from 10 a.m. to 2 p.m., in the lobby of the Conference Center in Building 549. The staff is holding the swap to coincide with National Library Week, an annual celebration of libraries that occurs in April. As of April 10, the library had collected nearly 2,000 books,

  2. SWAP-Assembler 2: Optimization of De Novo Genome Assembler at Large Scale

    Energy Technology Data Exchange (ETDEWEB)

    Meng, Jintao; Seo, Sangmin; Balaji, Pavan; Wei, Yanjie; Wang, Bingqiang; Feng, Shengzhong

    2016-08-16

    In this paper, we analyze and optimize the most time-consuming steps of the SWAP-Assembler, a parallel genome assembler, so that it can scale to a large number of cores for huge genomes with the size of sequencing data ranging from terabyes to petabytes. According to the performance analysis results, the most time-consuming steps are input parallelization, k-mer graph construction, and graph simplification (edge merging). For the input parallelization, the input data is divided into virtual fragments with nearly equal size, and the start position and end position of each fragment are automatically separated at the beginning of the reads. In k-mer graph construction, in order to improve the communication efficiency, the message size is kept constant between any two processes by proportionally increasing the number of nucleotides to the number of processes in the input parallelization step for each round. The memory usage is also decreased because only a small part of the input data is processed in each round. With graph simplification, the communication protocol reduces the number of communication loops from four to two loops and decreases the idle communication time. The optimized assembler is denoted as SWAP-Assembler 2 (SWAP2). In our experiments using a 1000 Genomes project dataset of 4 terabytes (the largest dataset ever used for assembling) on the supercomputer Mira, the results show that SWAP2 scales to 131,072 cores with an efficiency of 40%. We also compared our work with both the HipMER assembler and the SWAP-Assembler. On the Yanhuang dataset of 300 gigabytes, SWAP2 shows a 3X speedup and 4X better scalability compared with the HipMer assembler and is 45 times faster than the SWAP-Assembler. The SWAP2 software is available at https://sourceforge.net/projects/swapassembler.

  3. Are Swap and Bond Markets Alternatives to Each Other in Turkey?

    OpenAIRE

    Murat Duran; Doruk Kucuksarac

    2012-01-01

    Cross currency swaps are agreements to exchange interest payments and principals denominated in two different currencies and usually have one leg fixed and the other floating. The interest rate on the fixed leg is closely related to the yields on the securities of the same tenure and currency. In Turkey, cross currency swaps and treasury bonds have similar cash flow structures and risk profiles. Hence these markets are usually considered as alternatives to each other. In this context, using d...

  4. Entanglement swapping of a GHZ state via a GHZ-like state

    Energy Technology Data Exchange (ETDEWEB)

    Tsai, Chia-Wei; Hwang, Tzonelih, E-mail: hwangtl@ismail.csie.ncku.edu.t [National Cheng Kung University, Department of Computer Science and Information Engineering, No. 1 Ta-Hsueh Road, Tainan City 701, Taiwan (China)

    2011-10-15

    This study uses the Greenberger-Horne-Zeilinger (GHZ)-like state |G>= 1/2 (|001>+|010>+|100>+|111>) to establish an entanglement swapping protocol on a pure GHZ state. A quantum circuit is proposed to assist in teleporting the entanglement of the pure GHZ state. Furthermore, on the basis of the generation of the GHZ-like state, an improved protocol to reduce the number of transmitted photons required in the process of entanglement swapping is proposed.

  5. Modelling local government unit credit risk in the Republic of Croatia

    Directory of Open Access Journals (Sweden)

    Petra Posedel

    2012-12-01

    Full Text Available The objective of this paper is to determine possible indicators that affect local unit credit risk and investigate their effect on default (credit risk of local government units in Croatia. No system for the estimation of local unit credit risk has been established in Croatia so far causing many practical problems in local unit borrowing. Because of the specific nature of the operations of local government units and legislation that does not allow local government units to go into bankruptcy, conventional methods for estimating credit risk are not applicable, and the set of standard potential determinants of credit risk has to be expanded with new indicators. Thus in the paper, in addition to the usual determinants of credit risk, the hypothesis of the influence of political factors on local unit credit risk in Croatia is also tested out, with the use of a Tobit model. Results of econometric analysis show that credit risk of local government units in Croatia is affected by the political structure of local government, the proportion of income tax and surtax in operating revenue, the ratio of net operating balance, net financial liabilities and direct debt to operating revenue, as well as the ratio of debt repayment and cash, and direct debt and operating revenue.

  6. Internal controls and credit risk relationship among banks in Europe

    Directory of Open Access Journals (Sweden)

    Ellis Kofi Akwaa-Sekyi

    2017-01-01

    Full Text Available Purpose: The study purport to investigate the effectiveness of internal control mechanisms, investigate whether evidence of agency problem is found among banks in Europe and determine how internal controls affect credit risk. Design/methodology/approach: Panel data from 91 banks from 23 European Union countries were studied from 2008-2014. Hausman’s specification test suggest the use of fixed effects estimation technique of GLS. Quantitatively modelled data on 15 variables covering elements of internal controls, objectives of internal controls, agency problem, bank and country specific variables were used. Findings: There is still high credit risk in spite of measures being implemented by the European Central Bank. Banks have individual entity factors that increase or decrease credit risk. The study finds effective internal control systems because objectives of internal controls are achieved and significantly determine credit risk. Agency problem is confirmed due to significant positive relation with credit risk. There is significant effect of internal controls on credit risk with specific variables as risk assessment, return on average risk weighted assets, institutional ownership, bank size, inflation, interest rate and GDP. Research limitations/implications: Missing data prevented the use of strongly balanced panel. The lack of flexibility with using quantitative approach did not allow further scrutiny of the nature of variables. However, statistical tests were acceptable for the model used. The study has implications for management and owners of banks to be warry of agency problem because that provides incentive for reckless high risk transactions that may benefit the agent than the principal. Management must engage in actions that profile the company better and enhances value maximization. Rising default risk has tendency to impair corporate image leading to loss of reputational capital. Originality/value: The study provides the use of

  7. SWAP-Assembler: scalable and efficient genome assembly towards thousands of cores.

    Science.gov (United States)

    Meng, Jintao; Wang, Bingqiang; Wei, Yanjie; Feng, Shengzhong; Balaji, Pavan

    2014-01-01

    There is a widening gap between the throughput of massive parallel sequencing machines and the ability to analyze these sequencing data. Traditional assembly methods requiring long execution time and large amount of memory on a single workstation limit their use on these massive data. This paper presents a highly scalable assembler named as SWAP-Assembler for processing massive sequencing data using thousands of cores, where SWAP is an acronym for Small World Asynchronous Parallel model. In the paper, a mathematical description of multi-step bi-directed graph (MSG) is provided to resolve the computational interdependence on merging edges, and a highly scalable computational framework for SWAP is developed to automatically preform the parallel computation of all operations. Graph cleaning and contig extension are also included for generating contigs with high quality. Experimental results show that SWAP-Assembler scales up to 2048 cores on Yanhuang dataset using only 26 minutes, which is better than several other parallel assemblers, such as ABySS, Ray, and PASHA. Results also show that SWAP-Assembler can generate high quality contigs with good N50 size and low error rate, especially it generated the longest N50 contig sizes for Fish and Yanhuang datasets. In this paper, we presented a highly scalable and efficient genome assembly software, SWAP-Assembler. Compared with several other assemblers, it showed very good performance in terms of scalability and contig quality. This software is available at: https://sourceforge.net/projects/swapassembler.

  8. Structure of Pseudoknot PK26 Shows 3D Domain Swapping in an RNA

    Science.gov (United States)

    Lietzke, Susan E; Barnes, Cindy L.

    1998-01-01

    3D domain swapping provides a facile pathway for the evolution of oligomeric proteins and allosteric mechanisms and a means for using monomer-oligomer equilibria to regulate biological activity. The term "3D domain swapping" describes the exchange of identical domains between two protein monomers to create an oligomer. 3D domain swapping has, so far, only been recognized in proteins. In this study, the structure of the pseudoknot PK26 is reported and it is a clear example of 3D domain swapping in RNA. PK26 was chosen for study because RNA pseudoknots are required structures in several biological processes and they arise frequently in in vitro selection experiments directed against protein targets. PK26 specifically inhibits HIV-1 reverse transcriptase with nanomolar affinity. We have now determined the 3.1 A resolution crystal structure of PK26 and find that it forms a 3D domain swapped dimer. PK26 shows extensive base pairing between and within strands. Formation of the dimer requires the linker region between the pseudoknot folds to adopt a unique conformation that allows a base within a helical stem to skip one base in the stacking register. Rearrangement of the linker would permit a monomeric pseudoknot to form. This structure shows how RNA can use 3D domain swapping to build large scale oligomers like the putative hexamer in the packaging RNA of bacteriophage Phi29.

  9. 'Change4Life Smart Swaps': quasi-experimental evaluation of a natural experiment.

    Science.gov (United States)

    Wrieden, Wendy L; Levy, Louis B

    2016-09-01

    To evaluate the impact on food purchasing behaviour of the 'Change4Life Smart Swaps' campaign to encourage families to make small changes to lower-fat or lower-sugar versions of commonly eaten foods and drinks. Quasi-experimental study comparing the proportion of swaps made by an intervention group (267 families who had signed up to the 'Smart Swaps' campaign promoted through various media, including television and radio advertising in early 2014) and a comparison group (135 families resident in Wales, signed up for 'Change4Life' materials, but not directly exposed to the 'Smart Swaps' campaign). During weeks 1, 2 and 3 of the campaign participants were asked to record their purchases of dairy products, carbonated drinks and breakfast cereals, using a mobile phone app questionnaire, when making a purchase within the category. England and Wales. Families registered with 'Change4Life'. In weeks 2 and 3 a significantly higher percentage of the intervention group had made 'smart swaps' than the comparison group. After week 3, 58 % of participants had swapped to a lower-fat dairy product compared with 26 % of the comparison group (Ppurchased a lower-sugar drink compared with 19 % of the comparison group (P=0·01), and 24 % had made a change to a lower-sugar cereal compared with 12 % of the comparison group (P=0·009). In the short term a national campaign to change purchase habits towards healthier products may have some merit but the sustainability of change requires further investigation.

  10. Variations in EUV Irradiance: Comparison between LYRA, ESP, and SWAP Integrated Flux

    Directory of Open Access Journals (Sweden)

    Mehmet Sarp Yalim

    2014-01-01

    Full Text Available The Sun Watcher Using Active Pixel System Detector and Image Processing (SWAP telescope and Large Yield Radiometer (LYRA are the two Sun observation instruments on-board PROBA2. SWAP extreme ultraviolet images, if presented in terms of the integrated flux over solar disk, in general, correlate well with LYRA channel 2–4 (zirconium filter and channels QD and 18 of EVE/ESP on-board SDO between 2010 and 2013. Hence, SWAP can be considered as an additional radiometric channel. We compare in detail LYRA channel 2–4 and SWAP integrated flux in July 2010 and in particular during the solar eclipse that occurred on July 11, 2010. During this eclipse, the discrepancy between the two data channels can be explained to be related to the occultation of active region 11087 by the Moon. In the second half of July 2010, LYRA channel 2–4 and SWAP integrated flux deviate from each other, but these differences can also be explained in terms of features appearing on the solar disk such as coronal holes and active regions. By additionally comparing with timeline of EVE/ESP, we can preliminarily interpret these differences in terms of the difference between the broad bandpass of LYRA channel 2–4 and the, relatively speaking, narrower bandpass of SWAP.

  11. Risk Pricing in Emerging Economies: Credit Scoring and Private Banking in Iran

    Directory of Open Access Journals (Sweden)

    Yiannis Anagnostopoulos

    2016-01-01

    Full Text Available Iran’s banking industry as a developing country is comparatively very new to risk management practices. An inevitable predictive implication of this rapid growth is the growing concerns with regard to credit risk management which is the motivation of conducting this research. The paper focuses on the credit scoring aspect of credit risk management using both logit and probit regression approaches. Real data on corporate customers are available for conducting this research which is also a contribution to this area for all other developing countries. Our questions focus on how future customers can be classified in terms of credibility, which models and methods are more effective in better capturing risks. Findings suggest that probit approaches are more effective in capturing the significance of variables and goodness-of-fitness tests. Seven variables of the Ohlson O-Score model are used: CL_CA, INTWO, OENEG, TA_TL, SIZE, WCAP_TA, and ROA; two were found to be statistically significant in logit (ROA, TL_TA and three were statistically significant in probit (ROA, TL_TA, SIZE. Also, CL_CA, ROA, and WCAP_TA were the three variables with an unexpected correlation to the probability of default. The prediction power with the cut-off point is set equal to 26% and 56.91% for defaulted customers in both logit and probit models. However, logit achieved 54.85% correct estimation of defaulted assets, 0.37% more than what probit estimated.

  12. A default Bayesian hypothesis test for mediation.

    Science.gov (United States)

    Nuijten, Michèle B; Wetzels, Ruud; Matzke, Dora; Dolan, Conor V; Wagenmakers, Eric-Jan

    2015-03-01

    In order to quantify the relationship between multiple variables, researchers often carry out a mediation analysis. In such an analysis, a mediator (e.g., knowledge of a healthy diet) transmits the effect from an independent variable (e.g., classroom instruction on a healthy diet) to a dependent variable (e.g., consumption of fruits and vegetables). Almost all mediation analyses in psychology use frequentist estimation and hypothesis-testing techniques. A recent exception is Yuan and MacKinnon (Psychological Methods, 14, 301-322, 2009), who outlined a Bayesian parameter estimation procedure for mediation analysis. Here we complete the Bayesian alternative to frequentist mediation analysis by specifying a default Bayesian hypothesis test based on the Jeffreys-Zellner-Siow approach. We further extend this default Bayesian test by allowing a comparison to directional or one-sided alternatives, using Markov chain Monte Carlo techniques implemented in JAGS. All Bayesian tests are implemented in the R package BayesMed (Nuijten, Wetzels, Matzke, Dolan, & Wagenmakers, 2014).

  13. Default supply issues divides consumer advocates

    International Nuclear Information System (INIS)

    Anon.

    1999-01-01

    In Toronto, various agencies, all claiming to represent the best interests of consumers, have taken very different positions on the limits that should be placed on suppliers of standard electricity service, due to an unexpected effect of Ontario's market design. The debate has polarized into either support for the Market Design Committee's recommendations restricting local companies' distribution of electricity to one of passing on the spot market price to their standard customers or the view that municipal utilities should be permitted to enter into contracts for power in order to supply the needs of their standard service customers. The Independent Power Producers' Society of Ontario (IPPSO) takes the position that its member companies should have direct access to the default supply market and not to be forced to deal solely with the spot market to reach this market sector. This default market is expected to be the largest potential end use market in Ontario for the power produced and/or sold by IPPSO members. It is expected to be 70% of the total Ontario wholesale electricity market for many years to come

  14. Value of credit bureau reports

    Directory of Open Access Journals (Sweden)

    Brković Milan

    2017-01-01

    Full Text Available An efficient system of credit information sharing contributes to solving the problem of information asymmetry on the credit and financial markets in general. The consequences of the global economic and financial crisis revealed an increasing demand for reliable information and data which could close the existing gap in their insufficiency, misuse or inadequate analytical value for the economic and financial policy makers. In that sense, more attention is directed to the usefulness of credit information sharing and the practical value of information and data contained in credit bureau reports for the purposes of achieving the overall economic policy goals. The fulfillment of that role depends mostly on the credit information sharing system and its characteristics, participants, and procedures. A credit bureau report in the best possible manner reflects all advantages and disadvantages of the established credit information exchange system in terms of its analytical value for the purposes of efficient macroeconomic and macrofinancial policies.

  15. Credit Rating and Competition

    OpenAIRE

    Nelson Camanho; Pragyan Deb; Zijun Liu

    2010-01-01

    In principle, credit rating agencies are supposed to be impartial observers that bridge the gap between private information of issuers and the information available to the wider pool of investors. However, since the 1970s, rating agencies have relied on an issuer-pay model, creating a conflict of interest the largest source of income for the rating agencies are the fees paid by the issuers the rating agencies are supposed to impartially rate. In this paper, we explore the trade-off between re...

  16. Cyclicality and Firm Size in Private Firm Defaults

    DEFF Research Database (Denmark)

    Jensen, Thais Lærkholm; Lando, David; Medhat, Mamdouh

    2017-01-01

    The Basel II/III and CRD IV Accords reduce capital charges on bank loans to smaller firms by assuming that the default probabilities of smaller firms are less sensitive to macroeconomic cycles. We test this assumption in a default intensity framework using a large sample of bank loans to private...

  17. 29 CFR 2570.114 - Consequences of default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Consequences of default. 2570.114 Section 2570.114 Labor Regulations Relating to Labor (Continued) EMPLOYEE BENEFITS SECURITY ADMINISTRATION, DEPARTMENT OF LABOR... ERISA Section 502(c)(6) § 2570.114 Consequences of default. For 502(c)(6) civil penalty proceedings...

  18. 25 CFR 101.15 - Penalties on default.

    Science.gov (United States)

    2010-04-01

    ... 25 Indians 1 2010-04-01 2010-04-01 false Penalties on default. 101.15 Section 101.15 Indians BUREAU OF INDIAN AFFAIRS, DEPARTMENT OF THE INTERIOR FINANCIAL ACTIVITIES LOANS TO INDIANS FROM THE REVOLVING LOAN FUND § 101.15 Penalties on default. Unless otherwise provided in the loan agreement between...

  19. 29 CFR 2570.94 - Consequences of default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Consequences of default. 2570.94 Section 2570.94 Labor Regulations Relating to Labor (Continued) EMPLOYEE BENEFITS SECURITY ADMINISTRATION, DEPARTMENT OF LABOR... ERISA Section 502(c)(5) § 2570.94 Consequences of default. For 502(c)(5) civil penalty proceedings, this...

  20. 29 CFR 2570.64 - Consequences of default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Consequences of default. 2570.64 Section 2570.64 Labor Regulations Relating to Labor (Continued) EMPLOYEE BENEFITS SECURITY ADMINISTRATION, DEPARTMENT OF LABOR... ERISA Section 502(c)(2) § 2570.64 Consequences of default. For 502(c)(2) civil penalty proceedings, this...

  1. 49 CFR 31.10 - Default upon failure to answer.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 1 2010-10-01 2010-10-01 false Default upon failure to answer. 31.10 Section 31.10 Transportation Office of the Secretary of Transportation PROGRAM FRAUD CIVIL REMEDIES § 31.10 Default upon failure to answer. (a) If the defendant does not answer within the time prescribed in § 31.9...

  2. Are Student Loan Default Rates Linked to Institutional Capacity?

    Science.gov (United States)

    Ishitani, Terry T.; McKitrick, Sean A.

    2016-01-01

    As more undergraduates have taken out loans to attend college, the number of borrowers who fail to repay their student loans has increased. While previous research has focused on students' likelihood to default, this study employed institutional cohort default rates (CDRs) as an outcome variable. Using Integrated Postsecondary Education Data…

  3. Partitioning Default Effects: Why People Choose Not to Choose

    Science.gov (United States)

    Dinner, Isaac; Johnson, Eric J.; Goldstein, Daniel G.; Liu, Kaiya

    2011-01-01

    Default options exert an influence in areas as varied as retirement program design, organ donation policy, and consumer choice. Past research has offered potential reasons why no-action defaults matter: (a) effort, (b) implied endorsement, and (c) reference dependence. The first two of these explanations have been experimentally demonstrated, but…

  4. Cohort Default Rates: Predicting the Probability of Federal Sanctions

    Science.gov (United States)

    Hillman, Nicholas W.

    2015-01-01

    This study examines the institutional factors associated with student loan default. When a college has more than 30% of its students default on their loans, then the institution faces federal sanctions that could make them ineligible from participating in the federal student loan program. Using Integrated Postsecondary Education Data System…

  5. Re-Setting Music Education's "Default Settings"

    Science.gov (United States)

    Regelski, Thomas A.

    2013-01-01

    This paper explores the effects and problems of one highly influential default setting of the "normal style template" of music education and proposes some alternatives. These do not require abandoning all traditional templates for school music. But re-setting the default settings does depend on reconsidering the promised function of…

  6. 29 CFR 2570.134 - Consequences of default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Consequences of default. 2570.134 Section 2570.134 Labor Regulations Relating to Labor (Continued) EMPLOYEE BENEFITS SECURITY ADMINISTRATION, DEPARTMENT OF LABOR... ERISA Section 502(c)(7) § 2570.134 Consequences of default. For 502(c)(7) civil penalty proceedings...

  7. In Good Standing: "Helping Colleges Manage Student Default Rates"

    Science.gov (United States)

    Boerner, Heather

    2014-01-01

    The U.S. Department of Education estimates that 20 percent of community college students default on their student loan obligations (compared with 14.7 percent of all student loan borrowers), and that number is rising. What can community college financial officers do to keep their default numbers low? In this article, Heather Boerner describes the…

  8. 29 CFR 2570.164 - Consequences of default.

    Science.gov (United States)

    2010-07-01

    ... 29 Labor 9 2010-07-01 2010-07-01 false Consequences of default. 2570.164 Section 2570.164 Labor Regulations Relating to Labor (Continued) EMPLOYEE BENEFITS SECURITY ADMINISTRATION, DEPARTMENT OF LABOR... ERISA Section 502(c)(8) § 2570.164 Consequences of default. For 502(c)(8) civil penalty proceedings...

  9. Protecting Colleges and Students: Community College Strategies to Prevent Default

    Science.gov (United States)

    McKibben, Bryce; La Rocque, Matthew; Cochrane, Debbie

    2014-01-01

    Student loan default, defined as federal loan borrowers' failure to make any payments for at least 270 days, is an issue of increasing importance to community colleges and their students. This report takes a unique look at student loan default at nine community colleges across the nation, and how those colleges are working to help students avoid…

  10. The effect of default values in regulation matters

    International Nuclear Information System (INIS)

    Jang, Seung-cheol; Jung, Won-dea; Ha, Jae-joo; Jin, Young-ho

    1998-01-01

    Both performing and validating a detailed risk analysis of a complex system are costly and time-consuming undertakings. With the increased use of probabilistic risk analysis (PRA) in regulatory decision making, both PRA practitioners (usually, licensees) and regulators have generally favored the use of defaults because they can greatly facilitate the process of performing a PRA in the first place as well as the process of reviewing and verifying the PRA. The use of defaults can also ensure more uniform standards of PRA quality. However, different regulatory agencies differ in their approaches to the use of default values, and the implications of these differences are not yet widely understood. Moreover, large heterogeneity among licensees makes it difficult to set suitable defaults. This paper will focus on the effect of default values on estimates of risk. In particular, the following questions will be explored: ''How should defaults be set?''; and ''What are the implications of choosing different default values?'' Some insights on the effects of different levels of conservatism in setting defaults will be provided. This can help decision makers evaluate the levels of safety likely to result from regulatory decisions

  11. 6 CFR 13.10 - Default upon failure to answer.

    Science.gov (United States)

    2010-01-01

    ... 6 Domestic Security 1 2010-01-01 2010-01-01 false Default upon failure to answer. 13.10 Section 13.10 Domestic Security DEPARTMENT OF HOMELAND SECURITY, OFFICE OF THE SECRETARY PROGRAM FRAUD CIVIL REMEDIES § 13.10 Default upon failure to answer. (a) If the Defendant does not answer within the time...

  12. 24 CFR 241.830 - Definition of default.

    Science.gov (United States)

    2010-04-01

    ... SUPPLEMENTARY FINANCING FOR INSURED PROJECT MORTGAGES Contract Rights and Obligations-Multifamily Projects... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Definition of default. 241.830... § 241.830 Definition of default. (a) If the borrower fails to make any payments due under or provided to...

  13. Incorporating Employee Heterogeneity into Default Rules for Retirement Plan Selection

    Science.gov (United States)

    Goda, Gopi Shah; Manchester, Colleen Flaherty

    2013-01-01

    We study the effect of incorporating heterogeneity into default rules by examining the choice between retirement plans at a firm that transitioned from a defined benefit (DB) to a defined contribution (DC) plan. The default plan for existing employees varied discontinuously depending on their age. Employing regression discontinuity techniques,…

  14. Student Borrowing in America: Metrics, Demographics, Default Aversion Strategies

    Science.gov (United States)

    Kesterman, Frank

    2006-01-01

    The use of Cohort Default Rate (CDR) as the primary measure of student loan defaults among undergraduates was investigated. The study used data extracted from the National Student Loan Data System (NSLDS), quantitative analysis of Likert-scale survey responses from 153 student financial aid professionals on proposed changes to present metrics and…

  15. 12 CFR 561.12 - Consumer credit.

    Science.gov (United States)

    2010-01-01

    ...; loans in the nature of overdraft protection; and credit extended in connection with credit cards. ... 12 Banks and Banking 5 2010-01-01 2010-01-01 false Consumer credit. 561.12 Section 561.12 Banks... AFFECTING ALL SAVINGS ASSOCIATIONS § 561.12 Consumer credit. The term consumer credit means credit extended...

  16. Quality of urban forest carbon credits

    Science.gov (United States)

    Neelam C. Poudyala; Jacek P. Siry; J.M. Bowker

    2011-01-01

    While the urban forest is considered an eligible source of carbon offset credits, little is known about its market potential and the quality aspects of the credits. As credit suppliers increase in number and credit buyers become more interested in purchasing carbon credits, it is unclear whether and how urban forest carbon credits can perform relative to the other...

  17. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    OpenAIRE

    Röring, Johan

    2017-01-01

    Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. Two kinds of volatility derivatives are volatility swaps and variance swaps. The problem with volatility swaps and variance swaps is that they require estimations of the future variance and volati...

  18. The use of interest rate swaps by nonprofit organizations: evidence from nonprofit health care providers.

    Science.gov (United States)

    Stewart, Louis J; Trussel, John

    2006-01-01

    Although the use of derivatives, particularly interest rate swaps, has grown explosively over the past decade, derivative financial instrument use by nonprofits has received only limited attention in the research literature. Because little is known about the risk management activities of nonprofits, the impact of these instruments on the ability of nonprofits to raise capital may have significant public policy implications. The primary motivation of this study is to determine the types of derivatives used by nonprofits and estimate the frequency of their use among these organizations. Our study also extends contemporary finance theory by an empirical examination of the motivation for interest rate swap usage among nonprofits. Our empirical data came from 193 large nonprofit health care providers that issued debt to the public between 2000 and 2003. We used a univariate analysis and a multivariate analysis relying on logistic regression models to test alternative explanations of interest rate swaps usage by nonprofits, finding that more than 45 percent of our sample, 88 organizations, used interest rate swaps with an aggregate notional value in excess of $8.3 billion. Our empirical tests indicate the primary motive for nonprofits to use interest rate derivatives is to hedge their exposure to interest rate risk. Although these derivatives are a useful risk management tool, under conditions of falling bond market interest rates these derivatives may also expose a nonprofit swap user to the risk of a material unscheduled termination payment. Finally, we found considerable diversity in the informativeness of footnote disclosure among sample organizations that used interest rate swaps. Many nonprofits did not disclose these risks in their financial statements. In conclusion, we find financial managers in large nonprofits commonly use derivative financial instruments as risk management tools, but the use of interest rate swaps by nonprofits may expose them to other risks

  19. Default Mode of Brain Function in Monkeys

    Science.gov (United States)

    Mantini, Dante; Gerits, Annelis; Nelissen, Koen; Durand, Jean-Baptiste; Joly, Olivier; Simone, Luciano; Sawamura, Hiromasa; Wardak, Claire; Orban, Guy A.; Buckner, Randy L.; Vanduffel, Wim

    2013-01-01

    Human neuroimaging has revealed a specific network of brain regions—the default-mode network (DMN)—that reduces its activity during goal-directed behavior. So far, evidence for a similar network in monkeys is mainly indirect, since, except for one positron emission tomography study, it is all based on functional connectivity analysis rather than activity increases during passive task states. Here, we tested whether a consistent DMN exists in monkeys using its defining property. We performed a meta-analysis of functional magnetic resonance imaging data collected in 10 awake monkeys to reveal areas in which activity consistently decreases when task demands shift from passive tasks to externally oriented processing. We observed task-related spatially specific deactivations across 15 experiments, implying in the monkey a functional equivalent of the human DMN. We revealed by resting-state connectivity that prefrontal and medial parietal regions, including areas 9/46d and 31, respectively, constitute the DMN core, being functionally connected to all other DMN areas. We also detected two distinct subsystems composed of DMN areas with stronger functional connections between each other. These clusters included areas 24/32, 8b, and TPOC and areas 23, v23, and PGm, respectively. Such a pattern of functional connectivity largely fits, but is not completely consistent with anatomical tract tracing data in monkeys. Also, analysis of afferent and efferent connections between DMN areas suggests a multisynaptic network structure. Like humans, monkeys increase activity during passive epochs in heteromodal and limbic association regions, suggesting that they also default to internal modes of processing when not actively interacting with the environment. PMID:21900574

  20. Permit trading and credit trading

    DEFF Research Database (Denmark)

    Boom, Jan-Tjeerd; R. Dijstra, Bouwe

    This paper compares emissions trading based on a cap on total emissions (permit trading) and on relative standards per unit of output (credit trading). Two types of market structure are considered: perfect competition and Cournot oligopoly. We find that output, abatement costs and the number...... of firms are higher under credit trading. Allowing trade between permit-trading and credit-trading sectors may increase in welfare. With perfect competition, permit trading always leads to higher welfare than credit trading. With imperfect competition, credit trading may outperform permit trading....... Environmental policy can lead to exit, but also to entry of firms. Entry and exit have a profound impact on the performance of the schemes, especially under imperfect competition. We find that it may be impossible to implement certain levels of total industry emissions. Under credit trading several levels...