Although high-performance human resource practices do not directly affect corporate social performance strengths, they do positively affect CSP strengths in companies that are highly innovative or have high levels of slack. High-performance human resource management practices also directly and negatively affect CSP concerns. Drawing on the resource-based view and using secondary data from an objective, third-party database, the authors develop and test hypotheses about how high-performance HRM affects a company’s CSP strengths and concerns. Findings suggest that HRM and innovation are (...) important capabilities because they create and enhance other capabilities. (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.

Rather than re-examine the question of whether doing good generally helps a company to do well, this study draws on contingency theory to empirically examine when doing good helps a company do as well as possible. Using panel data, we examine the effects of industry life cycle, munificence, and instability on the relationship between corporate social responsibility (CSR) and corporate financial performance (CFP). Our findings indicate that life cycle has a significant impact on the CSR-CFP relationship, as does industry instability. (...) These findings suggest that CSR helps the bottom line considerably – if it is applied at the right time. (shrink)

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)

Early Chinese texts make us witnesses to debates about the power, or lack thereof, that humans had over the course of events, the outcomes of their actions, and their own lives. In the midst of these discourses on the limits of the efficacy of human agency, the notion of ming 命 took a central position. In this article, I present a common pattern of thinking about the relationship between the person and the world in early China. I call it the (...) reifying pattern because it consisted in thinking about ming as a hypostasized entity with object-like features. Although external and independent, ming was not endowed with human qualities such as the capacities for empathy, responsivity, and intersubjectivity. The reification of fate implied an understanding of ming as an external, amoral, and determining force that limited humans without accepting intercommunication with them, thereby causing feelings of alienation, powerlessness, and existential incompetence. I first show that the different meanings of ming hold a sense of prevailing external reality, and hence can be connected to the overarching meaning of fate. Then, I offer an account of the process of reification of fate in early China and its consequences, theoretical and practical, through cases study of received (Mengzi 孟子) and found (Tang Yu zhi dao 唐虞之道) texts. I end with some reflections on the implications of ming as a nonpersonal and nonsubjective type of actor for both early Chinese and twenty-first-century accounts of agency. (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.

A number of philosophers have argued that it is hard for finite agents like us to reason and make decisions relying solely on our credences and preferences. They hold that for us to cope with our cognitive limitations, we need binary beliefs as well. For they think that such beliefs, by disposing us to treat certain propositions as true, help us cut down on the number of possibilities we need to consider when we reason. But using Ross and Schroeder as (...) my stalking horse, I argue that such an appeal to binary beliefs does not work. I begin by explaining why there’s supposedly a problem for an account of reasoning that invokes only credences and preferences. I then argue that Ross and Schroeder’s account of belief—as well as other similar accounts—does not help solve the problem. Finally, I consider an alternative approach to solving the problem. This approach, unlike the accounts I criticise, does not hold that having a disposition to treat a proposition as true is necessary for believing it. (shrink)

The gig economy is a phenomenon that is rapidly expanding, redefining the nature of work and contributing to a significant change in how contemporary economies are organised. Its expansion is not unproblematic. This article provides a clear and systematic analysis of the main ethical challenges caused by the gig economy. Following a brief overview of the gig economy, its scope and scale, we map the key ethical problems that it gives rise to, as they are discussed in the relevant literature. (...) We map them onto three categories: the new organisation of work (what is done), the new nature of work (how it is done), and the new status of workers (who does it). We then evaluate a recent initiative from the EU that seeks to address the challenges of the gig economy. The 2019 report of the European High-Level Expert Group on the Impact of the Digital Transformation on EU Labour Markets is a positive step in the right direction. However, we argue that ethical concerns relating to algorithmic systems as mechanisms of control, and the discrimination, exclusion and disconnectedness faced by gig workers require further deliberation and policy response. A brief conclusion completes the analysis. The appendix presents the methodology underpinning our literature review. (shrink)

It’s often thought that the phenomenon of risk aggregation poses a problem for multi-premise closure but not for single-premise closure. But recently, Lasonen-Aarnio and Schechter have challenged this thought. Lasonen-Aarnio argues that, insofar as risk aggregation poses a problem for multi-premise closure, it poses a similar problem for single-premise closure. For she thinks that, there being such a thing as deductive risk, risk may aggregate over a single premise and the deduction itself. Schechter argues that single-premise closure succumbs to risk (...) aggregation outright. For he thinks that there could be a long sequence of competent single-premise deductions such that, even though we are justified in believing the initial premise of the sequence, intutively, we are not justified in believing the final conclusion. This intuition, Schechter thinks, vitiates single-premise closure. In this paper, I defend single-premise closure against the arguments offered by Lasonen-Aarnio and Schechter. (shrink)

Reliabilists hold that a belief is doxastically justified if and only if it is caused by a reliable process. But since such a process is one that tends to produce a high ratio of true to false beliefs, reliabilism is on the face of it applicable to binary beliefs, but not to degrees of confidence or credences. For while beliefs admit of truth or falsity, the same cannot be said of credences in general. A natural question now arises: Can reliability (...) theories of justified belief be extended or modified to account for justified credence? In this paper, I address this question. I begin by showing that, as it stands, reliabilism cannot account for justified credence. I then consider three ways in which the reliabilist may try to do so by extending or modifying her theory, but I argue that such attempts face certain problems. After that, I turn to a version of reliabilism that incorporates evidentialist elements and argue that it allows us to avoid the problems that the other theories face. If I am right, this gives reliabilists a reason, aside from those given recently by Comesaña and Goldman, to move towards such a kind of hybrid theory. (shrink)

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

What are the conditions under which suspension of belief—or suspension, for short—is justified? Process reliabilists hold that our beliefs are justified if and only if these are produced or sustained by reliable cognitive processes. But they have said relatively little about suspension. Perhaps they think that we may easily extend an account of justified belief to deal with justified suspension. But it's not immediately clear how we may do so; in which case, evidentialism has a distinct advantage over reliabilism. In (...) this paper, I consider some proposals as to how process reliabilists might seek to account for justified suspension. Although several of these proposals do not work, two are promising. The first such proposal appeals to the notion of propositional justification; the second involves weaving evidentialist elements into reliabilism. I'll argue that the second proposal is better than the first. (shrink)

Practical knowledge, in the sense made famous by G. E. M. Anscombe, is “the knowledge that a man has of his intentional actions”. This knowledge is very ordinary, but philosophically it is not easy to understand. One illuminating approach is to see practical knowledge as a kind of self-knowledge or self-consciousness. I offer an enrichment of this approach, by (1) exploiting Gilbert Ryle’s discussion of heeding (that is, paying attention), in particular paying attention to one’s own intentional action, and (2) (...) constructing and applying a practical analogue of Kant’s apperceptive “I think”. Combining (1) and (2), I offer an argument for my main claim—paying attention to what one is doing is an exercise of practical self-consciousness – it is how practical self-consciousness gets “schematized”. (shrink)

How should we account for self-knowledge of our inner lives? Some have argued that just as we have various senses that allow us to perceive the environment, we have an inner sense that allows us to perceive our inner lives. But others find such a view implausible and think that there are other ways to account for self-knowledge. With respect to all-or-nothing beliefs, some have held that we may account for self-knowledge by appealing to the claim that such beliefs are (...) transparent--that we may answer the question 'Do you believe p?' by answering the question 'Is it the case that p?' But surprisingly, little or no attention has been paid to the question of whether partial beliefs are transparent. In this paper, I clarify the question of whether partial beliefs are transparent. I also consider various attempts to answer the question in the affirmative. To anticipate, my verdict is pessimistic: I argue that such attempts fail. (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.

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)

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 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)

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)

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 focuses on the view that rationality requires that our credences be regular. I go through different formulations of the requirement, and show that they face several problems. I then formulate a version of the requirement that solves most of, if not all, these problems. I conclude by showing that an argument thought to support the requirement as traditionally formulated actually does not; if anything, the argument, slightly modified, supports my version of the requirement.Send article to KindleTo send this (...) article to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle. Find out more about sending to your Kindle. Note you can select to send to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply. Find out more about the Kindle Personal Document Service.REGULARITY REFORMULATEDVolume 9, Issue 4Weng Hong TangDOI: https://doi.org/10.1017/epi.2012.23Your Kindle email address Please provide your Kindle [email protected]@kindle.com Available formats PDF Please select a format to send. By using this service, you agree that you will only keep articles for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services. Please confirm that you accept the terms of use. Cancel Send ×Send article to Dropbox To send this article to your Dropbox account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about sending content to Dropbox. REGULARITY REFORMULATEDVolume 9, Issue 4Weng Hong TangDOI: https://doi.org/10.1017/epi.2012.23Available formats PDF Please select a format to send. By using this service, you agree that you will only keep articles for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services. Please confirm that you accept the terms of use. Cancel Send ×Send article to Google Drive To send this article to your Google Drive account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about sending content to Google Drive. REGULARITY REFORMULATEDVolume 9, Issue 4Weng Hong TangDOI: https://doi.org/10.1017/epi.2012.23Available formats PDF Please select a format to send. By using this service, you agree that you will only keep articles for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services. Please confirm that you accept the terms of use. Cancel Send ×Export citation Request permission. (shrink)

This paper tries to find the connection between vice and self-driven motivation through the perspectives of existentialism and absurdism. It deepens how influential philosophers view the role of vice in human life and shows how it can inspire individuals to challenge societal norms by motivating them. To bring these philosophical ideas to life, this paper includes study cases from various fields, illustrating the importance of understanding vice in relation to human behavior and the quest for meaning in a seemingly absurd (...) world. (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)

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)

What is it for an imprecise credence to be justified? It might be thought that this is not a particularly urgent question for friends of imprecise credences to answer. For one might think that its answer just depends on how a well-trodden issue in epistemology plays out—namely, that of which theory of doxastic justification, be it reliabilism, evidentialism, or some other theory, is correct. I’ll argue, however, that it’s difficult for reliabilists to accommodate imprecise credences, at least if we understand (...) such credences to be determinate first-order attitudes. If I’m right, reliabilists will have to reject imprecise credences, and friends of imprecise credences will have to reject reliabilism. Near the end of the paper, I’ll also consider whether reliabilism can accommodate indeterminate credences. (shrink)

Suppose we wish to provide a naturalistic account of intentionality. Like several other philosophers, we focus on the intentionality of belief, hoping that we may later supplement our account to accommodate other intentional states like desires and fears. Now suppose that we also take partial beliefs or credences seriously. In cashing out our favoured theory of intentionality, we may for the sake of simplicity talk as if belief is merely binary or all-or-nothing. But we should be able to supplement or (...) modify our account to accommodate credences. I shall argue, however, that it is difficult to do so with respect to certain causal or teleological theories of intentionality-in particular, those advanced by the likes of Stalnaker (Inquiry, 1984) and Millikan (J Philos 86:281–297, 1989). I shall first show that such theories are tailor-made to account for the intentionality of binary beliefs. Then I shall argue that it is hard to extend or supplement such theories to accommodate credences. Finally, I shall offer some natural ways of modifying the theories that involve an appeal to objective probabilities. But unfortunately, such modifications face problems. (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 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)

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 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)

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 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)

In a short note written in 1929, Frank Ramsey put forward a reliabilist account of knowledge anticipating those given by Armstrong (1973) and Goldman (1967), among others, a few decades later. Some think that the note comprises the bulk of what Ramsey has to say about epistemology. But Ramsey’s ideas about epistemology extend beyond the note. Relatively little attention has been paid to his reliabilist account of reasonable belief. Even less attention has been paid to his reliabilist account of reasonable (...) degree of belief. In this paper, I spell out these aspects of Ramsey’s epistemology in more detail than has been done so far. I argue that Ramsey anticipates contemporary reliabilist accounts of justified belief and justified degree of belief. I also flesh out Ramsey’s reasons for being a reliabilist. This is worth doing if only because Ramsey has one of the earliest arguments for reliabilism, but it has received scarce attention. Also, Ramsey calls his reliabilism “a kind of pragmatism,” and examining the argument will help us clarify Ramsey’s pragmatist commitments and better understand his version of reliabilism. I argue that when viewed through contemporary lenses, Ramsey’s reliabilism contains revisionist elements: he’s not opposed to what we now call “concep- tual engineering.”. (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)

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 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 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)

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)

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)

To reconcile the standard possible worlds model of knowledge with the intuition that ordinary agents fall far short of logical omniscience, a Stalnakerian strategy appeals to two components. The first is the idea that mathematical and logical knowledge is at bottom metalinguistic knowledge. The second is the idea that non-ideal minds are often fragmented. In this paper, we investigate this Stalnakerian reconciliation strategy and argue, ultimately, that it fails. We are not the first to complain about the Stalnakerian strategy. But (...) in contrast to existing complaints, we want to cause trouble for the strategy directly on its home turf. That is, we will advance our objection while granting both the plausibility of the fragmentation component—save for an extreme version of it—and that of the metalinguistic component. Once our central objection to the Stalnakerian strategy is in place, we will show how it negatively affects Adam Elga and Augustín Rayo’s recent attempt to apply the Stalnakerian strategy in the context of Bayesian decision theory. (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 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)