‘Spirit consonance engendering a sense of life’ (Qi Yun Sheng Dong) as the first law of Chinese painting, originally proposed by Xie He (active 500–535?) in his six laws of painting, has been commonly echoed by numerous later Chinese artists up to this day. Tracing back the meaning of each character of ‘Qi Yun Sheng Dong’ from Pre-Qin up to the Six Dynasties, along with a comparative analysis on the renderings of ‘Qi Yun Sheng Dong’ by experts in Western academia, (...) I establish ‘spirit consonance’ as the rendering of ‘Qi Yun’. By examining texts on painting by significant critics in Chinese art history, and by referring to specific works by painters from the Six Dynasties up to the Yuan Dynasty, I present the merits and demerits of the different interpretations by Western experts, and explore the essence of ‘Qi Yun’. Once the painter successfully captures ‘spirit consonance’ as the essential character or ‘internal reality’ of the object, and transmits it into the work, ‘Qi Yun’ further implies the expressive quality of the work beyond formal representation. Additionally, the fusion of expressive and representative functions also leaves space for further explaining the aesthetic interaction among artist, object, work, and audience. From the Six Dynasties onwards, Chinese painters have practised the expressive pursuit beyond epresentation on the basis of the unification of ‘Qi Yun’ (spirit consonance) and formal representation, although spirit consonance was valued more highly than formal likeness. (shrink)

What is gender and on what should gender classification be based? Dembroff (2018) has recently claimed that, for reasons of social justice, gender classification should not track extant gender kinds. They further argue for ontological pluralism—the existence of many gender kinds, and recommend that we combat oppression by imitating the gender kinds and classification practices in non-oppressive communities. Contra Dembroff, I argue that the analysis is subject to a number of internal problems, including a misguided self-characterization and a tension between (...) ontological pluralism and imitation. In addition, I sketch a different perspective on the relation between gender kinds and gender classification practices that upholds Dembroff’s intended goal but ameliorates the unintended complications. (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)

The article explores the inner logic and defining features of Daoist freedom. It argues that Daoist freedom can be meaningfully understood as psychological hygiene, and it suggests that Daoist xuan-jie (懸解) can be rendered possible only if one can rid oneself of intensional suffering—an idea ultimately inspired by Friedrich Nietzsche. This comparative approach enables the article to contribute to the received way of understanding Daoist freedom by stressing its dialectics: by being at ease with one’s social and political environment, Daoist (...) freedom demands social criticism, calling for room for people to be able to act spontaneously so that all can nurture their distinctive natures and have a full and free exercise of their natural abilities. The article aims to achieve two objectives at once: it aims to argue for the understanding of Daoist freedom as psychological hygiene, and it defends this reading by bringing two dimensions of Daoist freedom into a consistent whole. In a constantly changing and increasingly pluralistic world, psychological hygiene and social criticism are both necessary for leading a robust and healthy human life. (shrink)

This article offers a critical overview of a set of normative theories, namely Tianxia 天下 (all-under-heaven), whose purpose is to provide a renewed conceptual framework for the improvement of the world system. First, the article introduces the origins, main features, and differences within Tianxia, before discussing two major criticisms leveled against it. The article then argues that the most powerful parts of these criticisms come from the challenges posed against Tianxia’s legitimacy. The article elaborates on this and introduces two additional (...) challenges of the same kind which were not discussed before. While the article leaves open the question of whether Tianxia is a realistic utopia, it insists that meaningful discussion of Tianxia must take legitimacy challenges seriously. It ends with a discussion concerning whether China can be understood as a civilization-state and how this understanding affects Tianxia’s reception as a realistic utopia. (shrink)

A longstanding orthodoxy holds that the Mohists regard the promotion of li (benefit, 利) as their ultimate normative criterion, meaning that they measure what is yi (just, 義) or buyi (unjust, 不義) depending on whether it maximizes li or not. This orthodoxy dates back at least to Joseph Edkins (1859), who saw Mozi as a utilitarian and an ally of Bentham. In this paper, we will argue that this orthodoxy should be reconsidered because it does not square with several passages (...) from the Mozi. That the Mohists place a strong weight on the promotion of ‘li for the whole world (tianxia zhi li, 天下之利)’ is uncontroversial. We argue, however, that in certain cases the Mohist moral calculus diverges in its rationale or outcome from li-promotionalism. This position rejects the orthodoxy by showing that Mohism and li-promotionalism are not entirely coterminous. (shrink)

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)

This paper introduces and evaluates a possible truthmaking argument for a robust conception of aboutness commitment. According to the argument, the pure aboutness-based account of truthmaking and the thesis of Truthmaker Commitment entails that a truthbearer is ontologically committed to what it is about in an appropriate sense of “aboutness”. However, this argument encounters challenges, notably an inherent explanatory circularity within the robust conception of aboutness commitment, and a radical inconsistency between its two premises in terms of their underlying motivations. (...) To address these issues, this paper proposes a more moderate conception of aboutness commitment, drawing inspiration from B. Smith’s mixed aboutness-based account of truthmaking. According to this moderate proposal, the representationalist notion of intended aboutness, or the anti-representationalist notion of general aboutness, constrains, but does not determine, the notion of ontological commitment, which in turn contributes to a stronger notion of genuine or satisfied aboutness. This modified moderate conception not only sidesteps the explanatory circularity, but also aligns more closely with the objective of providing a fundamental ontology. Therefore, it is recommended as a fitting approach to engaging in the relation between aboutness and ontological commitment. (shrink)

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

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.

In lieu of Abstract: With inequality of various sorts ballooning worldwide, a critique of democracy has come of age, and a change of political ethos is underway. Against this background, the critique of democracy becomes not only possible but also popular, and examples in China and many Western democracies abound. It is no exaggeration to say, in this context, that sufficient momentum has gathered to qualify the situation as "democratic recession," despite people may have different understandings as to the exact (...) nature of this recession and how long it will last. Accompanying this recession, Confucian political meritocracy, whose aim is to correct the wrongs of democracy, is constructed as an alternative to liberal democracy. Many argue that the end of history is not nigh but will continue in and by Confucian political meritocracy... (shrink)

Xunzi’s pessimistic understanding of human nature and his endorsement of the intrinsically valuable virtue of yi (義) put him in a vulnerable position. To defend this position, Xunzi needs to conquer what the essay calls “the compatibility problems,” the first of which concerns the compatibility between bad human nature and virtue, while the second is between Xunzi’s functional understanding of virtue and his understanding of virtue as possessing intrinsic value. If Xunzi’s moral philosophy were to fail to solve these two (...) problems, it would be guilty of inconsistency. In reconstructing a genealogy of Xunzi’s philosophy, I argue that he can successfully resolve the two compatibility problems, and his genealogy perspicuously shows that virtue can grow out of vicious human nature. (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.

This paper presents a new anti-criterialist view, Brutal Personal Identity (BPI). According to BPI, personal identity is a quasi-fundamental fact, which is metaphysically grounded in brute facts about absolutely fundamental personhood. By reversing the order of metaphysical explanation, BPI is not a form of identity mysticism as Dean Zimmerman asserts. Instead, BPI has even the potential to lay a solid foundation for developing an appropriate account of mentality and first-person perspectives. Furthermore, a comparison between BPI and soul theory is provided (...) to show why BPI is better than its main anti-criterialist rival. This provides us a compelling reason for considering BPI in the debate over personal identity. (shrink)

This paper explores the correlation between economic indicators and economic development, focusing on common economic indicators such as GDP, Purchasing Power Parity (PPP), economic growth rate, and unemployment rate. It compares and analyzes data from Taiwan, Japan, South Korea, the United States, and China. The study finds that a single economic indicator cannot fully reflect a country's economic development and that multiple indicators must be considered to assess the economic situation more accurately. The paper also discusses differences in economic growth (...) among countries, the impact of income disparity and unemployment rates on economic development, and emphasizes the importance of PPP in cross-country comparisons. Finally, it points out that in addition to GDP, factors such as income distribution and social welfare should also be considered when evaluating economic development. -/- Keywords: Economic Indicators, Gross Domestic Product (GDP), Purchasing Power Parity (PPP), Economic Growth Rate, Unemployment Rate. (shrink)

I demonstrate that the explanation of the world in terms of existence and relations leads to an infinite dimension. Existence encompasses everything and forms relationships, and the reverse also holds true. Furthermore, I argue that even time and space are forms of existence, and everything is interconnected.

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)

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.

With self-determination as its implication, freedom can create room for such psychological mechanism as internalization to perform the function of transforming the external social regulation into self-regulation. For this transformation to be viable, however, subject needs to be formed and subsequently social regulation becomes redundant, thanks to the formation of subject. Freedom as a necessary condition for the subject formation and this transfiguration of social regulation is often neglected in favor of social order. Drawing on various intellectual resources, this article (...) explores the inner logic and consequence of Legalism, in its segregation of politics (social order) and morality. (shrink)

本論文探討了經濟指標與經濟發展之間的相關性，著重於 GDP、購買力平 價（PPP）、經濟成長率、失業率等常見的經濟指標，並對台灣、日本、韓國、 美國和中國等國家的數據進行比較分析。研究發現，單一經濟指標無法全面反 映一國的經濟發展，需要結合多個指標來更準確地評估經濟狀況。論文也討論 了各國在經濟成長中的表現差異，以及貧富差距和失業率對經濟發展的影響， 並強調了購買力平價在跨國比較中的重要性。最後，文章指出在衡量經濟發展 時，除了 GDP，還應考慮收入分配及社會福祉等因素。 -/- 關鍵詞：經濟指標、國內生產毛額 (GDP)、購買力平價 (PPP)、經濟成長率、 失業率 .

As a main challenge to the growing block theory (GBT), the epistemic objection is intended to show that GBT is untenable because it leads to the ignorance of the objective present. What is worse, extant solutions to this objection, the dead past view (DPV) and strong tense views (STV), are unsatisfactory on the ground that their semantic explanations of tensed statements undermine the purported semantic unity of GBT and thus make GBT collapse into a version of presentism. In contrast to (...) extant solutions, I recommend growing blockists to adopt a new “biting the bullet” solution: They should accept the ignorance of the absolute present for the dual purpose of retaining GBT’s semantic unity and theoretical independence. Moreover, I argue that ignorance is not a big loss for growing blockists: Although they lose the so-called “Moorean common advantage” over B-theorists and include some “deeply mysterious” and epistemically inaccessible fundamental posit in their ontology, growing blockists thereby protect the semantic unity of their theory and most of ordinary knowledge about B-relations between moments of time and their temporal locations. Theory choice, in essence, is a matter of balancing benefits and costs. I believe that versions of GBT which accept the ignorance of the objective present are indeed tenable intermediate positions in the philosophical debate about the nature of time, and they deserve serious considerations of B-theorists. (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 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 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)

Contextualist accounts of “woman,” including Saul (2012), Diaz-Leon (2016), and Ichikawa (2020), aim to capture the variability of the meaning of the term, and do justice to the rights of trans women. I argue that (i) there is an internal tension between a contextualist stance and the commitment to trans-inclusive language, and that (ii) we should recognize and tackle the broader and deeper theoretical and practical difficulties implicit in the semantic debates, rather than collapsing them all into semantics. Moving on, (...) I sketch three strategies to help us advance feminist philosophical endeavors, including how attending to contextual matters can lead us to further reflect on the meta-contextual, such as our role in shaping contexts and whether the working of language is indicative of a larger oppressive social structure. (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)

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.

Reluctance to adopt mask-wearing as a preventive measure is widely observed in many Western societies since the beginning of the COVID-19 pandemics. This reluctance toward mask adoption, like any other complex social phenomena, will have multiple causes. Plausible explanations have been identified, including political polarization, skepticism about media reports and the authority of public health agencies, and concerns over liberty, amongst others. In this paper, we propose potential explanations hitherto unnoticed, based on the framework of epistemic injustice. We show how (...) testimonial injustice and hermeneutical injustice may be at work to shape the reluctant mask adoption at both the societal and individual levels. We end by suggesting how overcoming these epistemic injustices can benefit the global community in this challenging situation and in the future. (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)

[Purposes] This paper aims to summarize the research outcome on publishing ethics of scientific journals abroad, which is expected to serve as a reference for the research on related topics in China. [Methods] Literature review method and content coding method were adopted to systematically sum up related research abroad. Then, the status quo and development trend were analyzed. [Findings] There are five main research topics: anomy of publishing ethics, elements of publishing ethics norms, status quo of publishing ethics implementation, knowledge (...) of authors and editors on publishing ethics and their attitudes, and management of publishing ethics. [Conclusions] Foreign research on publishing ethics of scientific journals has achieved fruitful results with obvious characteristics, but there is a lack of research scope definition and systematic analysis of ethical norms. Chinese scientific journals should take international research outcome as a reference and strengthen the research on ethical norms to enhance the development of publishing ethics. (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 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 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)

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 chapter addresses the assumed connection between de se attitude ascription and logophoricity in the case of Chinese ziji. It is widely believed that logophors are among the paradigm cases of de se marking, and that long-distance ziji is logophoric. Drawing on a critical examination of a variety of analyses, this chapter argues that long-distance anaphora, de se interpretation, and logophoric marking are overlapping but distinct phenomena. Even if ziji is logophoric, it does not automatically trigger de se requirement. A (...) de se-neutral analysis of ziji is consistent with pragmatic derivations of interpretations that emphasize the self. The findings point to a new approach to long-distance binding, and identify the blocking effect as the key issue for further research. (shrink)

The phenomenon of intentional identity has bemused philosophical communities since Geach (1967). I argue that the phenomenon is ubiquitous and much more significant than previously acknowledged. The foundations of the problem are implicated in many other well-knownpuzzles, such as Kripke’s (1979) puzzles about beliefs. Thus, the need for a proper analysis is eminently pressing. I specify a template for generalizing intentional identity, identify the challenges involved, and argue that positing a level of representational entity in both philosophy of mind and (...) language(e.g., mental files) is a promising approach to tackling the problem across the board. (shrink)

Bishop sentences such as “If a bishop meets a bishop, he blesses him” have long been considered problematic for the descriptivist (or E-type) approach of donkey anaphora (e.g. Evans, 1977; Heim, 1990; and Neale, 1990). Elbourne (2005) offers a situational descriptivist analysis that allegedly solves the problem, and furthermore extends its explanatory coverage to bishop sentence with coordinate subjects. However, I throw serious doubts on Elbourne’s analysis. Specifically, I argue that the purported solution is committed to the use of unbound (...) anaphora, and it cannot sustain the claimed empirical adequacy. (shrink)

I argues that quantificational adverbs are unselective binders over individuals. The Lewisian analysis, however, fails to recognize the ambiguity in some quantificationally modified conditionals. That the Lewisian approach cannot predict some attested reading is known as the “proportion problem.” I propose a solution based on the following ideas: (a) quantificational adverbs bind selectively; (b) a singular indefinite and its anaphoric pronoun may introduce a plural discourse referent, and (c) plural predication is elusive.

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 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 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)

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)

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)