In the Black-Cox model, a firm makes default when its value hits an exponential barrier. Here, we propose an hybrid model that generalizes this framework. The default intensity can take two different values and switches when the firm value crosses the barrier. Of course, the intensity level is higher below the barrier. We get an analytic formula for the Laplace transform of the default time and...

The NMR signals of 113Cd have been observed in powder samples of the cadmium halides CdF,, CdCl2, CdBr2 '4H20, Cdl 2 , of the cadmium chalcogenides CdO, CdS, CdSe, CdTe and of CdC03 . For m C d in CdCl2 , CdBr2-4H20, CdS and in CdSe anisotropics of the nuclear magnetic shielding have been detected. The shielding tensor in these powders is axially symmetric. For the other specimens no anisotropi...

The photocatalytic production of molecular hydrogen (H2) on ternary composites of Pt, CdS, and sodium trititanate nanotubes (NaxH2-xTi3O7, TNTs) is examined in an aqueous 2-propanol (IPA) solution (typically 5 vol%) at a circum-neutral pH under visible light (λ > 420 nm). The H2 production rates are dependent on the Pt-loading level, and the optimum production rate in the Pt/CdS/TNTs is approxi...

This research work investigates the theoretical foundations and computational aspects of constructing optimal bespoke CDO structures. Due to the evolutionary nature of the CDO design process, stochastic search methods that mimic the metaphor of natural biological evolution are applied. For efficient searching the optimal solution, the nondominating sort genetic algorithm NSGA-II is used, which ...

The objective of this paper is to help a bank originator of a Collateralized Debt Obligation (CDO) to build a maximally profitable CDO. We consider an optimization framework for structuring CDOs. The objective is to select attachment/detachment points and underlying instruments in the CDO pool. In addition to ”standard” CDOs we study so called ”step-up” CDOs. In a standard CDO contract the atta...

Semiconductor nanoparticles (NPs) are being actively explored for applications in medical diagnostics and therapy and numerous electronic devices including solar cells. In this paper we demonstrate the influence of the third generation rigid polyphenylenepyridyl dendrimers (PPPDs) of a different architecture on the formation of well-defined CdS NPs. A high temperature approach to the synthesis ...

CdxTeyOz/CdS/ZnO heterostructures were obtained by the SILAR method using ionic electrolytes. A CdS film was formed as a buffer layer for better adhesion of cadmium-tellurium oxides to substrate surface. In turn, ZnO previously prepared electrochemical etching form rough textured addition, an annealing mode used in oxygen stream complete oxidation process heterostructure The resulting nanocompo...

This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian copula model for the pricing of CDO-squared tranches. Several approximations of the recursive approach are considered: a full Monte Carlo approximation, a multivariate Normal approximation of the joint inner CDO loss distribution and a multivariate Poisson approximation of the joint number of defau...

The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high. The counterparty default recovery rate is also a critical input. Counterparty credit risk is an important topic today with credit crunch affecti...

The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high. The counterparty default recovery rate is also a critical input. Counterparty credit risk is an important topic today with credit crunch affecti...