This paper is dedicated to the risk analysis of credit portfolios. Assuming that default indicators form an exchangeable sequence of Bernoulli random variables and as a consequence of de Finetti’s theorem, default indicators are Binomial mixtures. We can characterize the supermodular order between two exchangeable Bernoulli random vectors in terms of the convex ordering of their corresponding m...

Bovine tuberculosis is a common disease affecting cattle and wildlife worldwide. Mycobacterium bovis circulation in decreases the efficacy of surveillance control programs cattle. Strains European 3 clonal complex are most frequent France. The aim our work was hence to investigate role played by species two M. strains circulation. WGS collected between 2010 2017 distinct areas (Nouvelle-Aquitai...

Cadmium oxide rhombus-shaped nanostructure was synthesized using hydrothermal process followed by heating treatment. Clearly, X-ray diffraction pattern demonstrated the formation of CdO crystalline phase. Scanning electron microscopy (SEM) showed that the obtained rhombus-like structure is composed of nanoparticles with the average size of 29 nm. In addition, we evaluated adsorption of org...

The zinc-cadmium oxide (ZnO-CdO) nanocomposites with different weight percentages of cadmium oxide (CdO) nanoparticles were successfully synthesized by the sonochemical method using zinc and cadmium nitrates as precursors to probe their nano-structured surfaces for the decomposition reactions of chloroethyl phenyl sulfide (CEPS) as a surrogate of sulfur mustard agent simulant. Scanning electron...

: Collateralized debt obligatons (CDOs) constitute an important subclass of asset backed securities. The evaluation of CDOs relies on mathematical modeling and on simulation as well as analytic and semi-analytic approaches, depending on the underlying asset pool and the cash flow structure of the transaction. This paper is an introductory survey on CDO modeling. It starts with a ‘mini course’ o...

We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based on a dual quantization operator which posses an intrinsic stationarity and therefore automatically leads to a second order error bound for the weak approximation. We illustrate the numerical perform...

Bu çalışmada, magnezyum oksit (MgO), kadmiyum (CdO) ve MgO-CdO nanoparçacıkları sol-jel sentezleme yöntemiyle üretildi. Magnezyum kaynağı olarak asetat tetrahidrat Mg(CH3COO)2•4H2O, dihidrat (C₄H₆CdO4·2H₂O) kullanıldı. Sol-jel nanoparçacık işleminde çözücüler 80°C sıcaklıkta 4 saat manyetik karıştırıcıda çözündürülerek gerçekleştirildi. Çözünen nanoparçacıkların süzme, kurutma, havanda dövme ta...

We develop a completely new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the Variance Gamma model for stock price evolution. Solving a simple equation calibrates each name to its credit spread curve and we show that the overall model can be calibrated to the market base correlation curve of a tranched CDO index. Once this ...

The rapid pace of innovation in the market for credit risk has given rise to a liquid market in synthetic collateralised debt obligation (CDO) tranches on standardised portfolios. To the extent that tranche spreads depend on default dependence between different obligors in the reference portfolio, quoted spreads can be seen as aggregating the market views on this dependence. In a manner reminis...

We study risk and return characteristics of CDOs using the market standard models. We find that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. Our results imply that credit ratings are not sufficient for pricing, which is surprising given their central role in structured finance markets. This illustrates limitations of the rating methodologies...