182,038 research outputs found
Credit default swaps and financial stability
No full textCredit default swaps (CDSs), initially intended as instruments for hedging and managing credit risk, have been pinpointed during the recent crisis as being detrimental to financial stability. We argue that the impact of credit default swap markets on financial stability crucially depends on clearing mechanisms and capital and liquidity requirements for large protection sellers. In particular, the culprits are not so much speculative or “naked” credit default swaps but inadequate risk management and supervision of protection sellers. When protection sellers are inadequately capitalised, OTC (over-the-counter) CDS markets may act as channels for contagion and systemic risk. On the other hand, a CDS market where all major dealers participate in a central clearing facility with adequate reserves can actually contribute to mitigating systemic risk. In the latter case, a key element is the risk management of the central counterparties, for which we outline some recommendations.
R-S cont., 1957
No full textSeries 13855 | Governor (1957-1965 : Clyde) | Newspaper clippings | R-S cont., 1957These newspaper clippings are a glimpse of the most prominent challenges and victories during Clyde's incumbency
Appropriate Similarity Measures for Author Cocitation Analysis
No full textWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
A reduced basis for option pricing
No full textWe introduce a reduced basis method for the efficient numerical solution of partial integro-differential equations which arise in option pricing theory. Our method uses a basis of functions constructed from a sequence of Black-Scholes solutions with different volatilities. We show that this choice of basis leads to a sparse representation of option pricing functions, yielding an approximation whose precision is exponential in the number of basis functions. A Galerkin method using this basis for solving the pricing PDE is presented. Numerical tests based on the CEV diffusion model and the Merton jump diffusion model show that the method has better numerical performance relative to commonly used finite-difference and finite-element methods. We also compare our method with a numerical Proper Orthogonal Decomposition (POD). Finally, we show that this approach may be used advantageously for the calibration of local volatility functions.
Hierarchical Cont-Bouchaud model
No full textWe extend the well-known Cont-Bouchaud model to include a hierarchical
topology of agent's interactions. The influence of hierarchy on system dynamics
is investigated by two models. The first one is based on a multi-level, nested
Erdos-Renyi random graph and individual decisions by agents according to Potts
dynamics. This approach does not lead to a broad return distribution outside a
parameter regime close to the original Cont-Bouchaud model. In the second model
we introduce a limited hierarchical Erdos-Renyi graph, where merging of
clusters at a level h+1 involves only clusters that have merged at the previous
level h and we use the original Cont-Bouchaud agent dynamics on resulting
clusters. The second model leads to a heavy-tail distribution of cluster sizes
and relative price changes in a wide range of connection densities, not only
close to the percolation threshold.Comment: 10 pages, 6 figure
Re-Apprenticed. Exhibited in - Cont{R}act Earth. First Central China International Ceramics Biennale
No full textDissemination context:
‘Relic’ – a mixed media and film work that originated out of Re-Apprenticed (first shown at the British Ceramics Biennial 2015), was selected to represent the UK in Cont{r}act Earth, The First Central China International Ceramics Biennale (2016). Writer and critic Dr Wendy Gers curated Relic to negotiate the exhibitions sub-theme of ‘Global Ceramics Legacies’, which deals with ceramic heritage and our relationship with the past and post-industrial ceramics situations in the West. Cont{r}act Earth represented an expansive survey of contemporary art from leading international artists and designers and was grounded in contemporary artistic investigations of our Anthropocene age, the earth, and relationships with our environment. The exhibition represented 42 installations by 50 artists from 20 countries.
Relic comprised of five lead and wood plinths that present taxonomies of china clay flowers deconstructed to arrest sequences of haptic knowledge, together with a film loop demonstrating the nuances of ceramic colour preparation
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