We examine the correlation in credit risk using credit default swap (CDS) data. We find that the observable risk factors at the firm, industry, and market levels and the macroeconomic variables cannot fully explain the correlation in CDS spread changes, leaving at least 30 percent of the correlation unaccounted for. This finding suggests that contagion is not only statistically but also economi...

We examine the correlation in credit risk using credit default swap (CDS) data. We find that the observable risk factors at the firm, industry, and market levels and the macroeconomic variables cannot fully explain the correlation in CDS spread changes, leaving at least 30 percent of the correlation unaccounted for. This finding suggests that contagion is not only statistically but also economi...

We used magneto-encephalography to study the temporal dynamics of band-limited power correlation at rest within and across six brain networks previously defined by prior functional magnetic resonance imaging (fMRI) studies. Epochs of transiently high within-network band limited power (BLP) correlation were identified and correlation of BLP time-series across networks was assessed in these epoch...

Article history: Received 12 July 2010 Received in revised form 5 May 2011 Accepted 12 May 2011 Available online 18 May 2011 Traditional credit risk models adopt the linear correlation as a measure of dependence and assume that credit losses are normally-distributed. However some studies have shown that credit losses are seldom normal and the linear correlation does not give accurate assessment...

In this paper we present a model which is, by construction, consistent with observed market quotes for standard CDO tranches. The model is closely related to implied tree methods which can be used for valuing exotic equity derivatives consistent with observed market quotes for vanilla European call and put options. Rather than modelling default events for each name in the basket, the total bask...

Default dependency structure is crucial in pricing multi-name credit derivatives as well as in credit risk management. In this paper, we extend the first passage model for one name with stochastic volatility (Fouque-Sircar-Sølna, Applied Mathematical Finance 2006) to the multi-name case. Correlation of defaults is generated by correlation between the Brownian motions driving the individual name...

Heightened systematic risk in the credit crisis has created challenges to CDO pricing and risk management. One important focus has been on the modeling of stochastic recovery. Different approaches within the Gaussian Copula framework have been proposed, but a consistent model was lacking until the recent paper of Bennani and Maetz [6] which shifted the modeling from period recovery to spot reco...

Previous work has shown that acupuncture stimulation evokes deactivation of a limbic-paralimbic-neocortical network (LPNN) as well as activation of somatosensory brain regions. This study explores the activity and functional connectivity of these regions during acupuncture vs. tactile stimulation and vs. acupuncture associated with inadvertent sharp pain. Acupuncture during 201 scans and tactil...

A better understanding of carbon dioxide (CO(2)) effect on brain activity may have a profound impact on clinical studies using CO(2) manipulation to assess cerebrovascular reserve and on the use of hypercapnia as a means to calibrate functional magnetic resonance imaging (fMRI) signal. This study investigates how an increase in blood CO(2), via inhalation of 5% CO(2), may alter brain activity i...