On The Timing of Default Losses: When and Why?

At the light of what happened in 2010 and 2011, a lot of European countries founded themselves in a difficult position where all the credit rating agencies were downgrading debt states. Problem of solvency and guarantees on the states' bond were perceived as too risky for a Monetary Union as Europe is. Fear of a contagion from Greece as well was threatening the other countries as Italy, Spain, Portugal and Ireland; while Germany and France asked for a division between risky and riskless bond in order to feel more safe. Our paper gets inspiration by Roch and Uhlig (2011), it refers to the Argentinian case examined by Arellano (2008) and examine possible interventions as monetization or bailout as proposed by Cole and Kehoe (2000). We propose a model in which a state defaults and cannot repay a fraction of the old bond; but contrary to Roch and Uhlig that where considering a one-time cost of default we consider default as an accumulation of losses, perceived as unpaid fractions of the old debts. Our contributions to literature is that default immediately imply that economy faces a bad period and, accumulating losses, government will be worse-off. We studied a function for this accumulation of debt period by period, in order to get an idea of the magnitude of this waste of resources that economy will face when experiences a default. Our thesis is that bailouts just postpone the day of reckoning (Roch, Uhlig); so it's better to default before accumulate a lot of debts. What Europe need now is the introduction of new reforms in a controlled default where the Eurozone will be saved in its whole integrity and a state could fail with the future promise of a resurrection. As experience show us, governments are not interested into reducing debts since there are ECB interventions. That clearly create a distortion between countries in the same monetary union, giving to the states just an illusion about their future debtor position.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Modelli matematici applicati alla probabilità di default nei sistemi di rating.

L'obiettivo del seguente lavoro è determinare attraverso l'uso di procedure statistico-econometriche, in particolare del metodo ECM, le previsioni per i tassi di default nel triennio 2013-2015, partendo dalle serie storiche di questi ultimi e da quelle macroeconomiche.

The use of remote sensing imagery for monitoring recovery in the aftermath of a natural disaster: the Hurricane Katrina Case

Although Recovery is often defined as the less studied and documented phase of the Emergency Management Cycle, a wide literature is available for describing characteristics and sub-phases of this process. Previous works do not allow to gain an overall perspective because of a lack of systematic consistent monitoring of recovery utilizing advanced technologies such as remote sensing and GIS technologies. Taking into consideration the key role of Remote Sensing in Response and Damage Assessment, this thesis is aimed to verify the appropriateness of such advanced monitoring techniques to detect recovery advancements over time, with close attention to the main characteristics of the study event: Hurricane Katrina storm surge. Based on multi-source, multi-sensor and multi-temporal data, the post-Katrina recovery was analysed using both a qualitative and a quantitative approach. The first phase was dedicated to the investigation of the relation between urban types, damage and recovery state, referring to geographical and technological parameters. Damage and recovery scales were proposed to review critical observations on remarkable surge- induced effects on various typologies of structures, analyzed at a per-building level. This wide-ranging investigation allowed a new understanding of the distinctive features of the recovery process. A quantitative analysis was employed to develop methodological procedures suited to recognize and monitor distribution, timing and characteristics of recovery activities in the study area. Promising results, gained by applying supervised classification algorithms to detect localization and distribution of blue tarp, have proved that this methodology may help the analyst in the detection and monitoring of recovery activities in areas that have been affected by medium damage. The study found that Mahalanobis Distance was the classifier which provided the most accurate results, in localising blue roofs with 93.7% of blue roof classified correctly and a producer accuracy of 70%. It was seen to be the classifier least sensitive to spectral signature alteration. The application of the dissimilarity textural classification to satellite imagery has demonstrated the suitability of this technique for the detection of debris distribution and for the monitoring of demolition and reconstruction activities in the study area. Linking these geographically extensive techniques with expert per-building interpretation of advanced-technology ground surveys provides a multi-faceted view of the physical recovery process. Remote sensing and GIS technologies combined to advanced ground survey approach provides extremely valuable capability in Recovery activities monitoring and may constitute a technical basis to lead aid organization and local government in the Recovery management.

Progettazione e analisi di soluzioni per la QOS e il controllo di flusso in Networks-on-chip

Nel documento vengono principalmente trattati i principali meccanismi per il controllo di flusso per le NoC. Vengono trattati vari schemi di switching, gli stessi schemi associati all'introduzione dei Virtual Channel, alcuni low-level flow control, e due soluzioni per gli end-to-end flow control: Credit Based e CTC (STMicroelectronics). Nel corso della trattazione vengono presentate alcune possibili modifiche a CTC per incrementarne le prestazioni mantenendo la scalabilità che lo contraddistingue: queste sono le "back-to-back request" e "multiple incoming connections". Infine vengono introdotti alcune soluzioni per l'implementazione della qualità di servizio per le reti su chip. Proprio per il supporto al QoS viene introdotto CTTC: una versione di CTC con il supporto alla Time Division Multiplexing su rete Spidergon.

Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Una semantica distribuita per il Multi-CCS utilizzando reti di Petri

Questa tesi descrive e approfondisce l'algebra di processo Multi-CCS, le fornisce una semantica basata sulle reti di Petri non limitate - a correzione e miglioramento della precedente - e una dimostrazione dettagliata della sua correttezza, ovvero della bisimilitudine tra la marcatura ottenuta dalla uova semantica e da un generico processo Multi-CCS e lo stesso processo nella semantica di default definita sugli LTS

An fmri study of brain functional connectivity in parkinson's disease patients

Argomento del presente lavoro è l’analisi di dati fMRI (functional Magnetic Resonance Imaging) nell’ambito di uno studio EEG-fMRI su pazienti affetti da malattia di Parkinson idiopatica. L’EEG-fMRI combina due diverse tecniche per lo studio in vivo dell’attività cerebrale: l'elettroencefalografia (EEG) e la risonanza magnetica funzionale. La prima registra l’attività elettrica dei neuroni corticali con ottima risoluzione temporale; la seconda misura indirettamente l’attività neuronale registrando gli effetti metabolici ad essa correlati, con buona risoluzione spaziale. L’acquisizione simultanea e la combinazione dei due tipi di dati permettono di sfruttare i vantaggi di ciascuna tecnica. Scopo dello studio è l’indagine della connettività funzionale cerebrale in condizioni di riposo in pazienti con malattia di Parkinson idiopatica ad uno stadio precoce. In particolare, l’interesse è focalizzato sulle variazioni della connettività con aree motorie primarie e supplementari in seguito alla somministrazione della terapia dopaminergica. Le quattro fasi principali dell’analisi dei dati sono la correzione del rumore fisiologico, il pre-processing usuale dei dati fMRI, l’analisi di connettività “seed-based “ e la combinazione dei dati relativi ad ogni paziente in un’analisi statistica di gruppo. Usando ’elettrocardiogramma misurato contestualmente all’EEG ed una stima dell’attività respiratoria, è stata effettuata la correzione del rumore fisiologico, ottenendo risultati consistenti con la letteratura. L’analisi di connettività fMRI ha mostrato un aumento significativo della connettività dopo la somministrazione della terapia: in particolare, si è riscontrato che le aree cerebrali maggiormente connesse alle aree motorie sono quelle coinvolte nel network sensorimotorio, nel network attentivo e nel default mode network. Questi risultati suggeriscono che la terapia dopaminergica, oltre ad avere un effetto positivo sulle performance motorie durante l’esecuzione del movimento, inizia ad agire anche in condizioni di riposo, migliorando le funzioni attentive ed esecutive, componenti integranti della fase preparatoria del movimento. Nel prossimo futuro questi risultati verranno combinati con quelli ottenuti dall’analisi dei dati EEG.

Industrial accidents triggered by lightning: causes and consequences

Natural hazards affecting industrial installations could directly or indirectly cause an accident or series of accidents with serious consequences for the environment and for human health. Accidents initiated by a natural hazard or disaster which result in the release of hazardous materials are commonly referred to as Natech (Natural Hazard Triggering a Technological Disaster) accidents. The conditions brought about by these kinds of events are particularly problematic, the presence of the natural event increases the probability of exposition and causes consequences more serious than standard technological accidents. Despite a growing body of research and more stringent regulations for the design and operation of industrial activities, Natech accidents remain a threat. This is partly due to the absence of data and dedicated risk-assessment methodologies and tools. Even the Seveso Directives for the control of risks due to major accident hazards do not include any specific impositions regarding the management of Natech risks in the process industries. Among the few available tools there is the European Standard EN 62305, which addresses generic industrial sites, requiring to take into account the possibility of lightning and to select the appropriate protection measures. Since it is intended for generic industrial installations, this tool set the requirements for the design, the construction and the modification of structures, and is thus mainly oriented towards conventional civil building. A first purpose of this project is to study the effects and the consequences on industrial sites of lightning, which is the most common adverse natural phenomenon in Europe. Lightning is the cause of several industrial accidents initiated by natural causes. The industrial sectors most susceptible to accidents triggered by lightning is the petrochemical one, due to the presence of atmospheric tanks (especially floating roof tanks) containing flammable vapors which could be easily ignited by a lightning strike or by lightning secondary effects (as electrostatic and electromagnetic pulses or ground currents). A second purpose of this work is to implement the procedure proposed by the European Standard on a specific kind of industrial plant, i.e. on a chemical factory, in order to highlight the critical aspects of this implementation. A case-study plant handling flammable liquids was selected. The application of the European Standard allowed to estimate the incidence of lightning activity on the total value of the default release frequency suggested by guidelines for atmospheric storage tanks. Though it has become evident that the European Standard does not introduce any parameters explicitly pointing out the amount of dangerous substances which could be ignited or released. Furthermore the parameters that are proposed to describe the characteristics of the structures potentially subjected to lightning strikes are insufficient to take into account the specific features of different chemical equipment commonly present in chemical plants.

FX modelling under collateralization

We present the market practice for interest rate yield curves construction and pricing interest rate derivatives. Then we give a brief description of the Vasicek and the Hull-White models, with an example of calibration to market data. We generalize the classical Black-Scholes-Merton pricing formulas, considering more general cases such as perfect or partial collateral, derivatives on a dividend paying asset subject to repo funding, and multiple currencies. Finally we derive generic pricing formulae for different combinations of cash flow and collateral currencies, and we apply the results to the pricing of FX swaps and CCS, and we discuss curve bootstrapping.