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

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)

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)

The present study aimed to explore the effect of subliminal priming on team trust and the mechanism through the mediating role of perceived trustworthiness. A total of 144 participants were asked to complete a lexical decision task that was embedded with the “trust” or “suspicion” Chinese words as the subliminal stimuli. Then, they played a public good game and evaluated the perceived trustworthiness of the team. The results of the study showed that subliminal stimuli had a significant effect on team (...) trust [β = –0.99, 95% CI = (−1.64, −0.33)]. Perceived trustworthiness was found to have a significant mediating effect between the priming condition and team trust [β = −0.35, 95% CI = (−0.72, −0.02)]. The current study revealed the underlying mechanism through which subliminal priming techniques influence team trust and informed efforts by altering perceived trustworthiness. (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)

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)

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 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)

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.

Chinese international students who studied in the United States received “double stigmatization” from American and Chinese authorities because of the “political othering” tactic during COVID-19. The research used a phenomenological approach to examine why and how specifically the transnational identity of Chinese international students in the United States shifted during the double stigmatization. The researcher conducted a total of three rounds of interviews with 15 Chinese international students who studied in the United States and returned to China between 2018 and (...) 2020, which culminated in 45 interviews through a longitudinal study to probe the transnational identities of this population before and during the double stigmatization; the study also examined how the mindsponge mechanism worked during the identity shifts and the interplay among stigmatization, transnational identity shifts, and the mindsponge mechanism. The study concluded that before COVID-19, Chinese international students had been stigmatized in both China and the United States. (shrink)

Ang papel ay paglalagom ng itinuturing na pinakamahalagang yugto ng buhay ni José Rizal—ang kanyang pagkakatapon sa Dapitan, sa lente ng konseptong “bagani” ng ating mga ninuno. Sa pagbanggit sa lang nauna nang pag-aaral ukol kay Rizal, ipapakitang kung papaanong ang yugto sa Dapitan ay ang katuparan ng kanyang mga layunin sa La Liga Filipina, na kanyang isinabuhay kasama ang bayan. Sa lente ng kasalukuyang pandemyang COVID 19, makikita natin na tila naranasan din ni Rizal sa kanyang pagkakatapon ang ilang (...) bagay na ating dinaranas ngayon, na tila siya isang frontliner na nasa lockdown, inilagay sa kuwarentena, nag-homeschooling, nagkaroon ng lockdown sickness at namahagi ng ayudang pangkabuhayan sa mga mamamayan ng isang natutulog na bayan upang ito ay sumiglang muli. Nawa ay maging inspirasyon sa bayan na anuman ang hamon at mga balakid, walang makapipigil sa isang Pilipino na magsilbi sa bayan gamit ang kanyang mga talento at manatiling liwanag ng katotohanan at kaalaman. (shrink)

Improvements of the happiness of the rural population are an essential sign of the effectiveness of relative poverty governance. In the context of today’s digital economy, assessing the relationship between digital literacy and the subjective happiness of rural low-income groups is of great practicality. Based on data from China Family Panel Studies, the effect of digital literacy on the subjective well-being of rural low-income groups was empirically tested. A significant happiness effect of digital literacy on rural low-income groups was found. (...) Digital literacy promotes the subjective happiness of rural low-income groups through income increase and consumption growth effects. The observed happiness effect is heterogeneous among different characteristic groups, and digital literacy significantly positively impacts the subjective happiness of rural low-income groups. Decomposition of subjective happiness into life satisfaction and job satisfaction shows that digital literacy significantly positively affects the job and life satisfaction of rural low-income groups. This paper demonstrates that digital literacy induces a practical happiness effect. To further strengthen the subjective welfare effect of digital literacy in the construction of digital villages, the government should focus on cultivating digital literacy among low-income groups from the demand side. The construction of digital infrastructure should be actively promoted from the supply side. (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 intends to briefly discuss the relevant knowledge and experience of cognitive science research, and also to seek advice from colleagues in the academic circle and all scholars who are concerned about the development of cognitive science.

This paper puts forward the idea of five levels of human cognition: neural cognition, psychological cognition, linguistic cognition, thinking cognition and cultural cognition. It distinguishes the differences between low-order cognition and high-order cognition. Human cognition, that is, high-order cognition, is based on language and characterized by thinking and culture. The five levels of human cognition are divided according to the scientific standard, which means divided according to the level of cognitive process in human mind. This kind of division is the (...) basis of scientific research, too. The cognition of five levels determines the development of cognitive science, and their cross connection determines the development of more interdisciplinary subjects. This paper discusses in detail the present situation and achievements of research on the cognition of five levels, which helps us see not only the relationship between all levels, but also the relations between scientific research on cognitive science and its discipline development. The classification of five levels has important theoretical significance and practical value. (shrink)

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 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)

According to the PubMed resource from the U.S. National Library of Medicine, over 750,000 scientific articles have been published in the ~5000 biomedical journals worldwide in the year 2007 alone. The vast majority of these publications include results from hypothesis-driven experimentation in overlapping biomedical research domains. Unfortunately, the sheer volume of information being generated by the biomedical research enterprise has made it virtually impossible for investigators to stay aware of the latest findings in their domain of interest, let alone to (...) be able to assimilate and mine data from related investigations for purposes of meta-analysis. While computers have the potential for assisting investigators in the extraction, management and analysis of these data, information contained in the traditional journal publication is still largely unstructured, free-text descriptions of study design, experimental application and results interpretation, making it difficult for computers to gain access to the content of what is being conveyed without significant manual intervention. In order to circumvent these roadblocks and make the most of the output from the biomedical research enterprise, a variety of related standards in knowledge representation are being developed, proposed and adopted in the biomedical community. In this chapter, we will explore the current status of efforts to develop minimum information standards for the representation of a biomedical experiment, ontologies composed of shared vocabularies assembled into subsumption hierarchical structures, and extensible relational data models that link the information components together in a machine-readable and human-useable framework for data mining purposes. (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.

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)

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 paper explores the connections between being Chinese in various senses and the study of Chinese philosophy.

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In this essay, we will follow Tang Junyi’s lead in exploring issues related to Chinese diaspora and Chinese philosophy. While we largely endorse Tang’s call for overseas Chinese to establish themselves in their adopted lands, we will argue for a more nuanced view on the identity of Chinese people outside China: they are not marginalized individuals scattered out of “homeland” China, rather they are people legitimately established in their own respective countries. In this connection, we will also advance a view (...) of future Chinese philosophy as a world philosophy that takes roots in China as well as in the world at large. In our view, although Chinese immigrant thinkers in the past century have played a major role in promoting Chinese philosophy outside China, the importance of such a role is likely to decline along with the success of Chinese philosophy becoming a world philosophy. (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)

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)

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.

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 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)

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)

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.

This study, by using 142 groups of data from 1990 to 2007 and the method of cross-temporal meta-analysis, researched the changing trend of status of mental health of 108736 members of the Chinese Army along with the change of years. All the data came from 94 related research reports, and all the research reports used SCL-90 (the Symptom Checklist 90) as the testing tool of mental health. The study found that: (1) mental health of members of the Chinese Army steadily (...) improved between 1990 and 2007; (2) during those 18 years, the Interpersonal Sensitivity factor of SCL-90 of Chinese Army members changed most significantly, and the least significantly changed factor was Somatization; (3) Chinese Army members showed evidence of fewest problems on the Photic Anxiety factor, in contrast to the consistent problems indicated by scores on the Obsessive-Compulsive and Interpersonal Sensitivity scales; (4) Chinese Army members from single-child families (N =1,944) showed significant lower evidence of positive mental health than soldiers from multiple child families (N =2,649); (5) The mental health of soldiers from non-agricultural backgrounds (N =7,808) was less positive than that of soldiers from agricultural households(N =11,459); (6) Chinese Army members with senior high school education level (N = 10,189) had less positive mental health than those with junior high school (N = 8,407) or university education (N = 863). (shrink)

With the rapid development of information technology, the electricity consumption of Internet Data Centers (IDCs) increases drastically, resulting in considerable carbon emissions that need to be reduced urgently. In addition to the introduction of Renewable Energy Sources (RES), the joint use of the spatial migration capacity of IDC workload and the temporal flexibility of the demand of Electric Vehicle Charging Stations (EVCSs) provides an important means to change the carbon footprint of the IDC. In this paper, a sustainability improvement strategy (...) for the IDC carbon emission reduction was developed by coordinating the spatial-temporal dispatch flexibilities of the IDC workload and the EVCS demand. Based on the Minkowski sum algorithm, a generalized flexible load model of the EVCSs, considering traffic flow and Road Impedance (RI) was formulated. The case studies show that the proposed method can effectively increase the renewable energy consumption, reduce the overall carbon emissions of multi-IDCs, reduce the energy cost of the DCO, and utilize the EV dispatching potential. Discussions are also provided on the relationship between workload processing time delay and the renewable energy consumption rate. (shrink)

Cải tiến phương pháp lượng giá tài nguyên và di sản sử dụng nguyên lý bán dẫn giá trị và hệ xử lý thông tin SM3D. Lý thuyết sử dụng trong bài: • Total economic value (Adger et al., 1995) • Mindsponge theory (Quan-Hoang Vuong, 2023) và khung ra quyết định mindspongeconomics (Khuc, 2022) • Tháp văn hóa (Khuc, 2023) • Lý thuyết nguyên lý bán dẫn giá trị (Q.-H. Vuong, 2021) • Hệ xử lý thông tin (lý thuyết quản (...) trị tri thức) SM3D (Nguyen, 2023; Q. H. Vuong et al., 2022) . (shrink)

Thuật ngữ "sự thông thái" hay "trí tuệ" thường được sử dụng và truyền đạt qua các thế hệ như một hình thức thể hiện cơ sở hiểu biết chung về cách thức sống, được tích lũy và kế thừa từ một nền văn hóa sang nền văn hóa khác. Có trí tuệ hay trở nên thông thái là khao khát của nhiều người bởi lẽ nó không chỉ biểu hiện của sự thông minh, mà còn liên quan đến khả (...) năng hiểu biết, sự linh hoạt trong tư duy, và khả năng thích ứng với môi trường xã hội. Khả năng lắng nghe, sẵn sàng học hỏi từ người khác và khả năng cân nhắc kỹ lưỡng về những hậu quả ngắn hạn hay lâu dài là những phẩm chất quan trọng của một người có trí tuệ và khôn ngoan. (shrink)

Thức ăn đóng vai trò cực kỳ quan trọng trong cuộc sống. Nó không chỉ cung cấp năng lượng và chất dinh dưỡng cho sự sống và phát triển của con người, mà đôi khi nó còn là hình thức để con người đạt thỏa mãn các nhu cầu văn hóa và xã hội. Việc dân số toàn cầu đang gia tăng nhanh chóng qua từng năm, thức ăn lại ngày càng trở nên quan trọng để đảm bảo an ninh (...) lương thực. Tuy nhiên, các hoạt động nông nghiệp và sử dụng đất đai cho sản xuất thực phẩm là một trong những nguồn phát thải nhà kính chính, góp phần làm biến đổi khí hậu. (shrink)

Xóm Bến 10-6-2023 -/- Cải tiến chất lượng và quá trình peer review (bình duyệt) nhằm tăng độ tin cậy kết quả khoa học và giảm bớt gánh nặng (chi phí hoặc thời gian, công sức) là chuyện dài tập. Bàn mãi không hết. Những ý kiến như Alberts et al. đã đủ nói lên mức độ cấp bách, từ 2008 rồi.

Đánh thức lương tri khi đối diện với cái đói quả thật nan giải.

TS Vương Quân Hoàng (Đại học Thành Tây, Hà Nội và ULB, Bỉ) đề xuất trên Scientific Data Updates việc kết hợp bộ ba yếu tố dữ liệu mở, phản biện mở và đối thoại cộng đồng mở như một giải pháp đáp ứng đòi hỏi của xã hội đối với độ tin cậy của các kết quả nghiên cứu.

Bài viết tập trung vào những nội dung sau: 1. Tình hình phân phối, lưu thông của Việt Nam những năm đầu sau ngày giải phóng miền Nam, thống nhất đất nước 2. Quyết định làm cho sản xuất "bung ra" của Đảng Cộng sản Việt Nam 3. Các bước cải tiến phân phối, lưu thông.

TTCT - Những đứa trẻ thuộc thế hệ Alpha (sinh từ năm 2011-2025) khi vừa chào đời đã được bủa vây bởi công nghệ. Chính vì thế, nhu cầu về ứng dụng công nghệ trong học tập không chỉ dừng lại ở công cụ lưu trữ, giao tiếp thông thường, mà trở nên bao trùm và ranh giới giữa học tập, giải trí và việc thể hiện lối sống bị xóa nhòa.