The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...

This paper focuses on modeling and predicting the loss distribution for credit risky assets such as bonds or loans. We directly model the two components of loss — the default probabilities and the recovery rates given default, and capture the dependence between them through shared covariates. Using an extensive default and recovery data set, we demonstrate the limitations of standard metrics of...

The default mode network is a functionally connected network of brain regions that show highly synchronized intrinsic neuronal activation during rest. However, less is known about the structural connections of this network, which could play an important role in the observed functional connectivity patterns. In this study, we examined the microstructural organization of the cingulum tract in rel...

We modify the model of Itkin, Shcherbakov and Veygman (ISV), proposed for pricing Quanto CDS risky bonds, in several ways. First, recovery rate could significantly vary right before or at default, therefore, here we treat it as stochastic. Second, assume domestic interest to be deterministic, because, shown by ISV, its volatility does not contribute much spread. Finally, solve corresponding sys...

We investigated auditory, dorsal attention, and default mode networks in adults with tinnitus and hearing loss in a resting state functional connectivity study. Data were obtained using continuous functional magnetic resonance imaging (fMRI) while the participants were at "rest" and were not performing any task. Participants belonged to one of three groups: middle-aged adults with tinnitus and ...

INTRODUCTION The default mode network and the working memory network are known to be anti-correlated during sustained cognitive processing, in a load-dependent manner. We hypothesized that functional connectivity among nodes of the two networks could be dynamically modulated by task phases across time. METHODS To address the dynamic links between default mode network and the working memory ne...