In a default event, several obligors simultaneously experience financial difficulty in servicing their debt to the point where entire market can sudden yet significant jump credit default. To help protect lenders against jump-to-default regulators require banks hold capital equivalent risk charge as buffer losses they may incur. The Basel regulatory committee has articulated and set modelling g...

OBJECTIVES Diesel exhaust fumes emission is a significant source of ultrafine particles, the size of which is expressed in nanometers. People occupationally exposed to diesel exhaust particles include mainly workers servicing vehicles with engines of this type. This article presents the analysis of measurements of ultrafine particle concentrations occurring in the bus depot premises during the ...

This paper studies a dynamic equilibrium model of financial innovation with heterogeneous beliefs and competition among sellers of a new security. We show that both volume and price of the security after it is introduced are sensitive to the differing beliefs of participating players. We present conditions for the innovator to continue issuing the new security and for the imitator to enter the ...

The collateralised debt obligation (CDO) market has grown rapidly, both globally and in Australia, over recent years. CDOs are securities that are issued against a pool of assets that can include bonds, loans or asset-backed securities (ABS) including other CDOs.2 Increasingly, this exposure is being created synthetically by the use of derivatives written on these assets, rather than physically...

The prevalent consensus in critical social sciences is that finance articulates the world economy as a global hierarchy of creditor-debtor relations reproduce and further aggravate existing income wealth inequalities. Class struggle correspondingly understood conflict between elite creditors, who are members top 1% holders, mass debtors, burdened by growing costs servicing public private debts....

In 1976 Black and Cox proposed a structural model where an obligor defaults when the value of its assets hits a certain barrier. In 2001 Zhou showed how the model can be extended to two obligors whose assets are correlated. In this paper we show how the model can be extended to a large number of different obligors. The correlations between the assets of the obligors are determined by one or mor...

ONETIZING the debt” conjures up fearsome images of excessive money stock growth resulting from Federal Reserve purchases of Treasury debt. Many analysts fear that debt monetization may produce undesirable economic consequences, such as more rapid inflation and, thus, higher nominal interest rates. There appears to be some confusion, however, over what debt monetization means, whether or to what...

The objective of this study is to develop a warranty servicing strategy, based on imperfect and minimal repairs, that minimises the total warranty servicing cost. For pre-specified degrees of repair, the expected warranty servicing cost is minimised by optimally partitioning a two-dimensional rectangular warranty region into n disjoint subregions. We numerically illustrate the imperfect repair ...

Space robotics has been considered one of the most promising approaches for on-orbit services (OOS) such as docking, berthing, refueling, repairing, upgrading, transporting, rescuing, and orbit cleanup. Many enabling techniques have been developed recently and several technology demonstration missions have been completed. Several manned servicing missions were also successfully accomplished but...

In this paper, we present an intensity-based common factor model that is used to analyze the valuation of common systematic risks in multi-name credit and equity markets. In particular, we use a hybrid intensity model to price single-name credit instruments such as credit default swaps (CDSs), multi-name credit derivatives such as collateralized debt obligations (CDOs), and equity index options...