changes in credit risk may arise when either the value or the risk of corporate assets changes. changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. the indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage,...

This paper provides an alternative credit risk model based on information reduction where the market only observes the firm’s asset value when it crosses certain levels, interpreted as changes significant enough for the firm’s management to make a public announcement. For a class of diffusion processes we are able to provide explicit expressions for the firm’s default intensity process and its ...

In this paper a simulation approach for defaultable yield curve is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process when the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. Cox process properties and the Monte Carlo simulations technique...

The XRT technique is a further special X-ray microdiffraction method where local X-ray interferences are produced by directing an X-ray or synchrotron beam from an external source with default monochromatic radiation of high intensity and a small diameter (e.g. application of capillary optics) on a crystalline region of a sample. Thereby for each diffracting net plane set a cone can be indicate...

Our study aimed to quantify the effect of the Measurement Uncertainty function on planar dosimetry pass rates, as measured and analyzed with the Sun Nuclear Corporation MapCHECK 2 array and its associated software. This optional function is toggled in the program preferences of the software (though turned on by default upon installation), and automatically increases the dose difference toleranc...

Nowadays, one of the most important topics in risk management of banks, financial, and credit institutions is credit risk management. In this research, the researchers used survival analytic methods for credit risk modeling in terms of the conditional distribution function of default time. As a practical task, the authors considered the reward credit portfolio of Tose'e Ta'avon Bank of Guilan P...

Dynamic reduced form models of portfolio credit risk can be distinguished by the way in which the intensity of the default process is specified. In a bottom up model, the portfolio intensity is an aggregate of the constituent intensities. In a top down model, the portfolio intensity is specified without reference to the constituents. This expository article contrasts these modeling approaches. ...

A mechanistic model of N2O emission from agricultural soil (DeNitrification-DeCompositionFDNDC) was modified for application to the UK, and was used as the basis of an inventory of N2O emission from UK agriculture in 1990. UK-specific input data were added to DNDC’s database and the ability to simulate daily C and N inputs from grazing animals and applied animal waste was added to the model. Th...

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale subject to default. This class of models allows for local volatility, local default intensity and a locally dependent Lévy measure. Generalizing and extending the novel adjoint expansion technique of Pagliarani, Pascucci and Riga [SIAM J. Financial Math. 4 (2013) 265–296], we...