Introduction: The development of advanced sewage technologies empowers the industry to produce high-quality recycled water, which greatly influences human’s life and health. Thus, this study investigates the mechanism of individuals’ adoption of recycled water from the technology adoption perspective. -/- Methods: Employing the mixed method of structural equation modeling and artificial neural network analysis, we examined a research model developed from the extended Unified Theory of Acceptance and Use of Technology (UTAUT2) framework. To examine the research model, this study employs (...) a leading web-survey company (Sojump) to collect 308 valid samples from the residents in mainland China. -/- Results: The structural equation modeling results verified the associations between the six predictors (performance expectancy, effort expectancy, social influence, facilitating conditions, environmental motivation, and price value), individuals’ cognitive and emotional attitudes, and acceptance intention. The artificial neural network analysis validates and complements the structural equation modeling results by unveiling the importance rank of the significant determinants of the acceptance decisions. -/- Discussion: The study provides theoretical implications for recycled water research and useful insights for practitioners and policymakers to reduce the environmental hazards of water scarcity. (shrink)

Objectives: The growing rate of retraction of scientific publications has attracted much attention within the academic community, but there is little knowledge about the nature of such retractions in schizophrenia-related research. This study aimed to analyze the characteristics of retractions of schizophrenia-related publications.

Temporal Changes in Ovarian Gonadotropin-Releasing Hormone mRNA Levels by Gonadotropins in the Rat Sung Ho Lee, Eun-Seob Song, Sun Kyeong Yu, Changmee Kim, Dae Kee Lee, Wan Sung Choi l and Kyungjin Kim* Department of Molecular Biofogy and SRC for Cell Differentiation, Seoul National University, Seoul 150-742, Korea; IDepartment of Anatomy, College of Medicine, Gyeongsanf; National University, Chinju 660-280, Korea (Recei·. cd on December 29, 1993) The present study examines whether gonadotropins are involved in the regulation of ovarian GnRH (...) gene expression and how ovarian GnRH gene expression temporalJy correlates with alterations in hypothalamic GnRH, pituitary LH~ gene expression in respons to gonadotropins. Hypothalamic and ovarian GnRH mRNA and pituitary LH~ mRNA levels were determined by respective RNA-blot hybridizations, and ovarian GnRH and estradiol contents and serum LH levels were measured by respective radioimmunoassays. Three animal models such as 1) PMSG-treated, 2) PMSG and heG-treated immature rats and 3) proestrous stage of adult rats were used. Immature rats (25-days old) were administered with PMSG (10 iu) at 10:00 hand 48 h later with heG (10 iu) to induce ovulation. In the PMSG-injected model, hypothalamic GnRH mRNA levels were markedly augmented about 9-fold at 50 h, and pituitary LH mRNA 3-fold at 52 h after PMSG administration. Serum LH levels were increased to the preovulatory surge levels at 56 h, and ovarian GnRH mRNA levels were augmented 4-fold at 60 h after PMSG injection. Administration of heG also induced a marked enhancement in ovarian GnRH mRNA levels in comparison to the values shown in both intact and PMSGtreated rats at 52 hand 54 h, respectively. In the proestrous stage of normal adult rats, pituitary LH~ mRNA levels were peaked at 16:00 h. The preovulatory LH surge was evident at 4 h before increment in ovarian GnRH mRNA levels as shown in PMSG-treated rats. The present study clearly showed the sequential increase in hypothalamic GnRH mRNA, pituitary LH~ mRNA and ovarian GnRH mRNA levels, indicating that ovarian GnRH may play a possible role in the control of follicular maturation and the ovulation process. (shrink)

For the political naturalist, skepticism about political obligations only arises because of a basic confusion about the necessity of the state for human well-being. From this perspective, human beings are naturally political animals and cannot flourish outside of political relationships. In this paper, I suggest that this idea can be developed in two basic ways. For the thick naturalist, political institutions are constitutive of the best life. For the thin naturalist, they secure the basic background conditions of peace and stability (...) that are necessary for any minimally decent human life. Both approaches, however, are problematic, and while political institutions might have a special kind of value for human well-being, it is difficult to convert this claim into a justification for political obligations. (shrink)

Lack of a historical sense is the hereditary defect of philosophers. … So what is needed from now on is historical philosophizing, and with it the virtue of modesty.

Ratio, Volume 34, Issue 4, Page 303-311, December 2021.

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This (...) finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. (shrink)

This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In contrast to previous studies, the model relies on the probability distribution of a default time/jump rather than the default time itself, as the default time is usually inaccessible. As such, the model can achieve a high order of accuracy with a relatively easy implementation. We find that the valuation of a defaultable derivative is normally determined via backward induction when their payoffs could be (...) positive or negative. Moreover, the model can naturally capture wrong or right way risk. (shrink)

In this thesis, I explore motivational internalism and externalism, which concern the relationship between moral judgments and motivation. I first introduce the basic terms and different forms of internalism and externalism, including the externalist objections to internalism based on the famous counterexamples. I then argue against externalism by defending and developing Michael Smith’s fetishism argument. I not only respond to the externalist objections to the fetishism argument but also further argue against different externalist explanations of moral motivation that intend to (...) avoid the fetishism charge. Finally, I re-examine different forms of internalism in order to argue for a new form of internalism that can better preserve our internalist intuitions whilst accommodating the externalist counterexamples. My ultimate conclusion will be that the most plausible form of internalism to accept is constitutional, unconditional, relatively strong, direct internalism that is formulated in terms of dispositional desires. (shrink)

Among the most popular strategies for justifying political obligations are those that appeal to the principle of fairness. These theories face the challenge, canonically articulated by Robert Nozick, of explaining how it is that persons are obligated to schemes when they receive goods that they do not ask for but cannot reject. John Simmons offers one defense of the principle of fairness, arguing that people could be bound by obligations of fairness if they voluntarily accept goods produced by a cooperative (...) scheme. Simmons, however, thinks that such a theory will do little work in justifying political obligations, since virtually no one voluntarily accepts state goods. This paper attempts to advance just such a theory by arguing that states are in fact genuine cooperative schemes and that Simmons is overly pessimistic in his appraisal of whether the majority of citizens accept the goods provided by their states. (shrink)

The Evaluative Judgment Theories of Emotion mainly suggest that emotions can be reduced to evaluative beliefs or judgments. Specifically, evaluative beliefs are necessary but not sufficient conditions for evaluative judgments. And reducing emotions to evaluative judgments requires the subject’s conceptualizing ability. However, the Evaluative Judgment Theories of Emotion has many problems, including that evaluative beliefs are neither sufficient nor necessary for emotions; the evaluative judgment theory of emotion presupposes the subject’s conceptual content, but conceptual content is not a necessary and (...) sufficient condition for emotions; the requirement of conceptualization ability for evaluative judgments is too high, which makes emotions overintellectualize; and the add-on strategy of emotions cannot save the evaluative judgment theory of emotions as well. (shrink)

Very little attention has been paid towards examining John Rawls’s liberal principle of legitimacy as a self-standing theory. Nevertheless, it offers a highly original way of thinking about state legitimacy. In this paper, I will offer a sketch of what such an account might look like. At its heart is the idea that the legitimacy of the state resides not in the consent of the governed, nor in the state’s conformity with the appropriate principles of justice, but rather in citizens’ (...) endorsement of the state and its underlying constitutional principles on the basis of their own comprehensive conceptions of justice. Such an account offers a stable middle ground between popular alternatives, and has a way of not just solving, but dissolving, the problem of legitimacy. (shrink)

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on (...) valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one. (shrink)

Since 2019, Northeastern post-industrial culture has been a popular topic of discussion; the general public refers to it as the Northeastern Renaissance. Crises of identity, honor, and faith have been recurring themes in several Northeastern films released in recent years. Furthermore, these cinematic narratives frequently generate somber humor by presenting an enormous contrast between ideals and actuality. The article examines how the post-industrial narrative context of Northeast China has influenced audio-visual cultural products and contemporary Chinese popular culture. To elucidate the (...) fundamental aspect of the Northeast narrative, the article’s author employs the absurd theory of Albert Camus. The main structure and viewpoints of the article are as follows: The first is after presenting individuals’ contemplations on the Northeastern Renaissance-instigated post-industrial narrative of the Northeast. In the following sections, the article explores the narrative context of post-industrial audio-visual works in Northeast China, focusing on the absurdity depicted in the documentary Tie Xi Qu: West of the Tracks (2002). The authors’ analysis reveals how the documentary captures the socio-economic decline and the resulting human experiences of absurdity and dislocation. Key findings indicate that the narrative structure and visual style effectively convey the bleak realities of post-industrial life, offering critical insights into the region’s socio-cultural transformation. These findings suggest that future research should explore the intersection of visual media and social change in other post-industrial contexts. -/- . (shrink)

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration (...) is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround. (shrink)

“Non-Self from the perspective of the Gene” November 2021, Buddhism and Culture (a Korean-language Buddhist magazine sponsored by the Foundation for the Promotion of Korean Buddhism), Korea.

CONTENT 1. Misconceptions of Darwin's Theory of Evolution 2. Darwinism against Essentialism and the Concept of Species 3. Function and Biological Explanation 4. The Gene 목차 1. 다윈의 진화론에 대한 오해들 2. 본질주의에 대한 진화론의 반대와 종(Species)의 개념 3. 기능(function)과 생명과학적 설명 4. 유전자 맺음말.

Both motivational internalism and externalism need to explain why sometimes moral judgments tend to motivate us. In this paper, I argue that Dreier’ second-order desire model cannot be a plausible externalist alternative to explain the connection between moral judgments and motivation. I explain that the relevant second-order desire is merely a constitutive requirement of rationality because that desire makes a set of desires more unified and coherent. As a rational agent with the relevant second-order desire is disposed towards coherence, she (...) will have some motivation to act in accordance with her moral judgments. Dreier’s second-order desire model thus collapses into a form of internalism and cannot be a plausible externalist option to explain the connection between moral judgments and motivation. (shrink)

This paper connects the hard problem of consciousness to the interpretation of quantum mechanics. It shows that constitutive Russellian pan(proto)psychism (CRP) is compatible with Everett’s relative-state (RS) interpretation. Despite targeting different problems, CRP and RS are related, for they both establish symmetry between micro- and macrosystems, and both call for a deflationary account of Subject. The paper starts from formal arguments that demonstrate the incompatibility of CRP with alternative interpretations of quantum mechanics, followed by showing that RS entails Russellian pan(proto)psychism. (...) Therefore, CRP and RS are mutually supportive. It then provides a unified ontological picture by combining CRP and RS. The challenge faced by CRP, the combination problem, can be resolved by adopting a RS version of quantum mechanics. Technically, this is achieved by a co-consciousness relation capable of explaining the difference between first-person and third-person perspectives. The hierarchical structure of the relation removes any concern on the structural mismatch between the physical and the phenomenal. (shrink)

Machery et al. presented data suggesting the existence of cross-cultural variation in judgments about the reference of proper names. In this paper, we examine a previously overlooked confound in the subsequent studies that attempt to replicate the results of Machery et al. using East Asian languages. Machery et al. and Sytsma et al. claim that they have successfully replicated the original finding with probes written in Chinese and Japanese, respectively. These studies, however, crucially rely on uses of articleless, ‘bare noun (...) phrases’ in Chinese and Japanese, which according to the linguistic literature are known to be multiply ambiguous. We argue that it becomes questionable whether the extant studies using East Asian languages revealed genuine cross-cultural variation when the probes are reevaluated based on a proper linguistic understanding of Chinese and Japanese bare noun phrases and English definite descriptions. We also present two experiments on native Japanese speakers that controlled the use of ambiguous bare noun phrases, the results of which suggest that the judgments of Japanese speakers concerning the reference of proper names may not diverge from those of English speakers. (shrink)

죽고 다시 태어나는 반복의 과정을 논하는 불교의 윤회설은 끊임없이 변화하는 생명현상의 본래 모습을 그대로 보여준다. 어느 생명체도 변하지 않고 영구한 것은 없다. 오래된 개체의 삶이 끝나고 새로운 삶이 시작되는 반복의 자연현상이 윤회이다. 본고는 윤회를 생명과학적으로 해석하며 삼라만상에서 일어나는 윤회란 개체들뿐만 아니라 세포와 분자선상에서도 일어나는 자연스런 생명현상임을 밝히겠다.

Recent studies have demonstrated neural overlap between resting state activity and self-referential processing. This “rest-self” overlap occurs especially in anterior cortical midline structures like the perigenual anterior cingulate cortex (PACC). However, the exact neurotemporal and biochemical mechanisms remain to be identified. Therefore, we conducted a combined electroencephalography (EEG)-magnetic resonance spectroscopy (MRS) study. EEG focused on pre-stimulus (e.g., prior to stimulus presentation or perception) power changes to assess the degree to which those changes can predict subjects’ perception (and judgment) of subsequent (...) stimuli as high or low self-related. MRS measured resting state concentration of glutamate, focusing on PACC. High pre-stimulus (e.g., prior to stimulus presentation or perception) alpha power significantly correlated with both perception of stimuli judged to be highly self-related and with resting state glutamate concentrations in the PACC. In sum, our results show (i) pre-stimulus (e.g., prior to stimulus presentation or perception) alpha power and resting state glutamate concentration to mediate rest-self overlap that (ii) dispose or incline subjects to assign high degrees of self-relatedness to perceptual stimuli. (shrink)

With the increasing degrees A.I.s and machines are applied across different social contexts, the need for implementing ethics in A.I.s is pressing. In this paper, we argue for a pluralist hybrid model for the implementation of moral A.I.s. We first survey current approaches to moral A.I.s and their inherent limitations. Then we propose the pluralist hybrid approach and show how these limitations of moral A.I.s can be partly alleviated by the pluralist hybrid approach. The core ethical decision-making capacity of an (...) A.I. based on the pluralist hybrid approach consists of two systems. The first is a deterministic algorithm system that incorporates different moral rules for making explicit moral decisions. The second is a machine learning system that calculates the value of the variables required by the application of moral principles. The pluralist hybrid system is better than the existing proposals as (i) it better addresses the moral disagreement problem of the top-down approach by including different moral principles, while (ii) it reduces the opacity of ethical decision-making compared with a bottom-up system by implementing explicit moral principles for moral decision making. (shrink)

Supporters of the Evaluative Judgment Theories of Emotion mainly explore emotions from the perspective of cognitive evaluation and advocate that emotions are evaluative judgments. The Perceptual Theories of Emotion have made some modifications to the evaluative judgment of emotions, attempting to propose better theories. The Perceptual Theories of Emotion advocate verifying the similarities between emotions and perceptions through analogical reasoning. However, the Perceptual Theories of Emotion also have their problems. Compared to the Evaluative Judgment Theories of Emotion and the Perceptual (...) Theories of Emotion, the Embodied Emotion Theory has significant advantages, mainly reflected in avoiding the drawbacks of over-intellectualize emotions by evaluative judgments; infants and animals can also understand emotions through non-conceptualized ways of self-awareness and understanding of social rules and norms; the core relational property of emotions revealed in the embodied emotion theory demonstrates the action orientation of emotions, connects the organism’s body and external environment, and integrates both biological and social aspects, further clarifying the complexity and diversity of emotions. (shrink)

The present study examines the physiological alterations in prolactin (PRL) messenger ribonucleic acid (mRNA) and serum PRL levels during the rat estrous cycle and the effed of naloxone, an endogenous opioid peptide receptor antagonist, on PRL gene expression during the rat estrous cycle. Adult female rats exhibiting at least two consecutive 4-day estrous cycles were used in this study. A single injection of naloxone (2mg/kg b.w.) or saline was given sc 30 mm prior to decapitation. Animals were sacrificed at 10:00 (...) h of each stage of the estrous cycle, and at 2-h intervals from 10:00 h to 20:00 h during the proestrus. PRL mRNA and serum PRL levels were determined by an RNA-blot hybridization with the rat PRL cDNA probe and by a PRL radioimmunoassay, respectively. PRL mRNA and serum PRL levels were not dramatically altered in the morning of each stage of diestrus I, II, and proestrus, and naloxone failed to modify the two parameters. During estrus naloxone clearly suppressed serum PRL levels, but it was unable to modify PRL mRNA levels. A more detailed examination of the proestrus stage revealed that PRL mRNA and serum PRL levels fluctuated as a function of time: PRL mRNA levels reached a maximum level at 12:00 h and gradually decreased until 18:00 h. PRL mRNA levels then rose at 20:00 h. No difference in PRL mRNA levels between the control and naloxone-treated groups was observed. Changes in serum PRL level during proestrus were conversely related to changes in PRL mRNA: serum PRL levels were low from 10:00 h to 14:00 h, then increased and reached a maximum level at 16:00-18:00 h. Following then, serum PRL levels were decreased. Naloxone was effective in suppressing the characteristic afternoon surge of PRL from 16:00 h to 20:00 h. These data clearly showed that alterations in PRL mRNA levels were conversely correlated with changes in serum PRL levels on proestrus, indicating differential regulation of PRL gene expression and secretion. (shrink)

Equity-linked securities with a guaranteed return become popular in a volatile market environment. This paper presents a new model for valuing guaranteed equity-linked notes. We consider a security whose value depends on the performance of a basket of equities averaged over certain points in time, but that is floored by a guaranteed amount. We show that the security’s price is given by the sum of the guaranteed amount plus the price of an Asian style option on the basket above. The (...) model provides analytical formulas for the security’s price as well as for corresponding hedge ratios; these respective formulas appear to be accurate over a wide range of underlying security parameter values, based on numerical testing against a Monte Carlo benchmark, Finally, we apply our method to value a type of segregated fund with a maturity guarantee. (shrink)

This article proposes a term structure model for dual-currency interest rate markets. The model assumes that volatility is a deterministic function of time alone. This volatility structure can reduce the dimension of the required state variables. An important special case is presented, which corresponds essentially to a Vasicek/Hull-White yield curve model in each currency. The model is very useful for pricing cross-currency derivatives.

The present study examined the endogenous release of luteinizing hormone-releasing hormone (LHRH) from superfused hypothalamic slices derived from Korean native cattie (KNC). In addition, the in vitro secretory pattern of LHRH release in '(NC was compared with that in imported cattle such as Holstein cow. The median eminences (ME) of hypothalamic tissues were dissected out, sliced, and quickly placed in an ice-cold superfusion chamber. Superfusion chambers containing ME slices were maintained in a constant temperature water-bath at 37∘C. Effluents were collected (...) on the ice at 10 min intervals for a 4 hr superfusion period and kept -20∘C prior to LHRH radioimmunoassay. LHRH release was analyzed by the PULSAR algorithm. The spontaneous release of LHRH from both cows was episodic during a 4 hr superfusion period. The mean LHRH release, pulse amplitude and pulse interval m KNC were 11.08± 1.50 pg/min/mg x 10-2, 21.43 1 7.28 pg/mg x 10-2, and 39.42 ± 3.08 min, which was quite similar to those observed in Holstein cows. The basic characteristics of the LHRH pulse generator of KNC appear important for a better understanding about the endocrine function of KNC. (shrink)

In this article, we apply the notion of interval neutrosophic sets to ideal theory in BCK/BCI-algebras.

This article presents a new methodology for pricing and hedging commodity derivatives. A generic model calibration is provided. The calibration procedure consists of an offline step where the mean reversion rates, the ratio of the long and short factor volatilities and the correlation between the long and short factors are determined via historical analysis. This offline step is performed relatively infrequently. There’s also an online step of the calibration which happens every time the model is used to price an option (...) or to simulate price paths. Empirical study shows that the model is quite accurate. (shrink)

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible. As such, the model can back out the market prices of convertible bonds. A prevailing belief in the market is that convertible arbitrage is mainly due (...) to convertible underpricing. Empirically, however, we do not find evidence supporting the underpricing hypothesis. Instead, we find that convertibles have relatively large positive gammas. As a typical convertible arbitrage strategy employs delta-neutral hedging, a large positive gamma can make the portfolio highly profitable, especially for a large movement in the underlying stock price. (shrink)

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in (...) the CDS market. (shrink)

A combinatorial analysis of intrinsicality takes intrinsic properties to be independent of accompaniment: a property is intrinsic only if it is possible for a lonely or an accompanied thing to have it or lack it (I). Cameron argues that the combinatorial analysis in Langton & Lewis (1998) faces an epistemic circularity, which makes (I) suspicious. In this paper, I examine two approaches to free the combinatorial analyses from the circularity and find them all fail. Then I provide an outline of (...) an argument for (I) by appealing to the grounding analyses of intrinsicality, which shows an advantage of the grounding analyses over the combinatorial ones. (shrink)

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation. To correct a common mistake in the literature, we emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value. Credit value adjustment (CVA) is also (...) elaborated. A practical framework is developed for pricing defaultable derivatives and calculating their CVAs at a portfolio level. (shrink)

This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible. As such, the model can back out the market prices of convertible bonds. A prevailing belief in the market is that convertible arbitrage is mainly due to convertible underpricing. Empirically, however, we do not find evidence (...) supporting the underpricing hypothesis. Instead, we find that convertibles have relatively large positive gammas. As a typical convertible arbitrage strategy employs delta-neutral hedging, a large positive gamma can make the portfolio highly profitable, especially for a large movement in the underlying stock price. (shrink)

From Groundwork for the metaphysics of morals and Critique of practical reason, we can deduce Kant's interpretation of the concept of freedom, which has undergone a change from practical freedom to transcendental freedom, and the deduction of freedom has been perfected, the rational facts have been put forward to provide the basis of free deduction. The reason for the change is that freedom as the basis of theoretical practice is assumed and predetermined, how the cause and effect of freedom as (...) will may not be explained, and the nature of freedom is not defined clearly, the legitimacy and authority of the moral law is not established. After the transformation, the problem was solved. Although rigour raises questions about the universality of Kant’s moral law, Onora Sylvia O’Neill and others argue that Kant’s moral law is a product of virtue ethics, not a normative ethic, Kant's moral law still can instruct us in ethical life. (shrink)

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a (...) better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread. (shrink)

This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized counterparty risk. This framework is very useful for pricing outstanding defaultable financial contracts. By using a unique data set, we are able to achieve a clean (...) decomposition of prices into their credit risk factors. We find empirical evidence that counterparty risk is not overly important in credit-related spreads. Only the joint effects of collateralization and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of financial contracts. We also analyze the difference between cleared and OTC markets. (shrink)

This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to (...) a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in the CDS market. (shrink)

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and concentration in an integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be generated. The second Monte Carlo simulation is (...) the random draws based on the constant level of risk assumption. It convolutes the copies of the single loss distribution to produce one year loss distribution. The aggregation of different subportfolios with different liquidity horizons is addressed. Moreover, the methodology for equity is also included, even though it is optional in IRC. (shrink)

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

During the lifetime of a structured product, payment events and cancellation events mainly affect the value of the option. This article presents a model for pricing generic cancellable option. The model is used to build most common kinds of cancellation schedules and compute the cancellation probability.

Democracy is rule by the demos, but by what criteria is the demos constituted? Theorists of democracy have tended to assume that the demos is properly defined by national boundaries or by the territorial boundaries of the modern state. In a recent turn, many democratic theorists have advanced the principles of affected interests and coercion as the basis for defining the boundaries of democracy. According to these principles, it is not co-nationals or fellow citizens but all affected or all subjected (...) to coercion who constitute the demos. In this paper, I argue that these recent approaches to the boundary problem are insufficiently attentive to the conditions of democracy. Democracy is not merely a set of procedures; it also consists of substantive values and principles. Political equality is a constitutive condition of democracy, and solidarity is an instrumental condition of democracy. The affected interests and coercion principles create serious problems for the realization of these conditions – problems of size and stability. Building on this critique, this paper presents democratic considerations for why the demos should be bounded by the territorial boundaries of the state, grounded in the state’s role in (1) securing the constitutive conditions of democracy, (2) serving as the primary site of solidarity conducive to democratic participation, and (3) establishing clear links between representatives and their constituents. I examine and reject a third alternative, a global demos bounded by a world state, and conclude by considering some practical implications of my argument. (shrink)

The article will be divided into three parts: 1. Explain the literary origins of the nesting pattern and its relationship to cinema narrative, and analyse the nesting tactics commonly used in films under Hollywood’s classical narrative. 2. Describe the variations in nested structures in films made in the 1990s, focusing on self-reflexive nesting, which emerged as a new model beyond conventional nesting during this period. 3. Distinguish the literary style of embedded narratives from the visual recognition mode and provide an (...) example of how the latter is used in films to create impossible puzzles. (shrink)