Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Molecular mechanism of jet fuel induced immune suppression

Dermal exposure to jet fuel suppresses the immune response. Immune regulatory cytokines, and biological modifiers, including platelet activating factor, prostaglandin E2, and interleukin-10 have all been implicated in the pathway leading to immunosuppression. It is estimated that approximately 260 different hydrocarbons are found in JP-8 (jet propulsion-8) jet fuel, and the identity of the immunotoxic compound is not known. The recent availability of synthetic jet fuel (S-8), which is devoid of aromatic hydrocarbons, made it feasible to design experiments to test the hypothesis that the aromatic hydrocarbons are responsible for jet fuel induced immune suppression. Applying S-8 to the skin of mice does not up-regulate the expression of epidermal cyclooxygenase-2 nor does it induce immune suppression. Adding back a cocktail of 7 of the most prevalent aromatic hydrocarbons found in jet fuel to S-8 up-regulated cyclooxygenase-2 expression and induced immune suppression. Cyclooxygenase-2 induction can be initiated by reactive oxygen species (ROS). JP-8 treated keratinocytes increased ROS production, S-8 did not. Antioxidant pre-treatment blocked jet fuel induced immune suppression and cyclooxygenase-2 up-regulation. Accumulation of reactive oxygen species induces oxidant stress and affects activity of ROS sensitive transcription factors. JP-8 induced activation of NFκB while S-8 did not. Pre-treatment with antioxidants blocked activation of NFκB and parthenolide, an NFκB inhibitor, blocked jet fuel induced immune suppression and cyclooxygenase-2 expression in skin of treated mice. p65 siRNA transfected keratinocytes demonstrated NFκB is critically involved in jet fuel induced COX-2 expression. These findings clearly implicate the aromatic hydrocarbons found in jet fuel as the agents responsible for inducing immune suppression, in part by the production of reaction oxygen species, NFκB dependent up-regulation of cyclooxygenase-2, and the production of immune regulatory factors and cytokines. ^

The colloidal tool-box approach for fuel cell catalysts: Systematic study of perfluorosulfonate-ionomer impregnation and Pt loading

In this study, the correlation between the impregnation of proton exchange membrane fuel cell catalysts with perfluorosulfonate-ionomer (PFSI) and its electrochemical and electrocatalytic properties is investigated for different Pt loadings and carbon supports using a rotating-disk electrode (RDE) setup. We concentrate on its influence on the electrochemical surface area (ECSA) and the oxygen reduction reaction (ORR) activity. For this purpose, platinum (Pt) nanoparticles are prepared via a colloidal based preparation route and supported on three different carbon supports. Based on RDE experiments, we show that the ionomer has an influence both on the Pt utilization and the apparent kinetic current density of ORR. The experimental data reveal a strong interaction in the microstructure between the electrochemical properties and the surface properties of the carbon supports, metal loading and ionomer content. This study demonstrates that the colloidal synthesis approach offers interesting potential for systematic studies for the optimization of fuel cell catalysts.

The rise and fall in the price of food, fuel and manufactured goods : interdependency between prices and technology determining comparative advantages and development paths

Green innovation, which enables us to extract energy from food crops, caused a food shortage in 2008. Countries suffering severe damage started to reconsider their agricultural policy with the aim of becoming more autonomous. The food price hike of the time looks like a reversal of the celebrated Singer-Prebisch thesis proposed in the 1950s. This paper examines the consequences of this trend on the comparative advantages and development strategies of developing countries. For that purpose, first, trends and short-run fluctuations in the prices of fuel and bio-energy crops are investigated. It is shown that the price series of fuels and the crops are synchronized only after the fuel extracting technology came into effect. Second, the reversal of the Singer-Prebisch thesis is underpinned by the generic form of an endogenous growth model developed by Rebelo (1991). It is shown that as an economy grows, appreciation of the non-reproducible, such as mineral resources and raw labor, over the reproducible, such as capital goods, is the norm rather than an anomaly. Third, the consequences of the food price hike and underlying capital accumulation on the development strategies of labor-abundant and low-income countries are explored. It is concluded that the impact of the food price hikes on the alteration of a development strategy is only incremental, without reinforcement from raw-labor-saving innovation. A case study of inventions by JUKI Corporation, a world-leader in the sewing machine market exemplifies the fact that, of all the major inventions the company have made, raw-labor-saving inventions have not dominated, although JUKI's machines are sold to one of the most raw-labor-intensive industries.

Political economy of low sulfurization and air pollution control policy in Japan : SOx emission reduction by fuel conversion

In the early stages of the development of Japan’s environmental policy, sulfur oxide (SOx) emissions, which seriously damage health, was the most important air pollution problem. In the second half of the 1960s and the first half of the 1970s, the measures against SOx emissions progressed quickly, and these emissions were reduced drastically. The most important factor of the reduction was the conversion to a low-sulfur fuel for large-scale fuel users, such as the electric power industry. However, industries started conversion to low-sulfur fuel not due to environmental concerns, but simply to reduce costs. Furthermore, the interaction among the various interests of the electric power industry, oil refineries, the central government, local governments, and citizens over the energy and environmental policies led to the measures against SOx emissions by fuel conversion.

Propagation of nuclear data uncertainties in fuel cycle calculations using MONTE-CARLO Technique

The uncertainty propagation in fuel cycle calculations due to Nuclear Data (ND) is a important important issue for : issue for : • Present fuel cycles (e.g. high burnup fuel programme) • New fuel cycles designs (e.g. fast breeder reactors and ADS) Different error propagation techniques can be used: • Sensitivity analysis • Response Response Surface Method Surface Method • Monte Carlo technique Then, p p , , in this paper, it is assessed the imp y pact of ND uncertainties on the decay heat and radiotoxicity in two applications: • Fission Pulse Decay ( y Heat calculation (FPDH) • Conceptual design of European Facility for Industrial Transmutation (EFIT)

Serial or Parallel Linear-Assisted Switching Converter as Envelope Amplifier: Optimization and Comparison

This paper presents a theoretical analysis and an optimization method for envelope amplifier. Highly efficient envelope amplifiers based on a switching converter in parallel or series with a linear regulator have been analyzed and optimized. The results of the optimization process have been shown and these two architectures are compared regarding their complexity and efficiency. The optimization method that is proposed is based on the previous knowledge about the transmitted signal type (OFDM, WCDMA...) and it can be applied to any signal type as long as the envelope probability distribution is known. Finally, it is shown that the analyzed architectures have an inherent efficiency limit.

Influence of driving style on fuel consumption and Emissions in diesel-powered passenger car

This paper presents the main results of a study on the influence of driving style on fuel consumption and pollutant emissions of diesel passenger car in urban traffic. Driving styles (eco, normal or aggressive) patterns were based on the “eco-driving” criteria. The methodology is based on on-board emission measurements in real urban traffic in the city of Madrid. Five diesel passenger cars, have been tested. Through a statistical analysis, a Dynamic Performance Index was defined for diesel passenger cars. Likewise, the CO, NOX and HC emissions were compared for each driving style for the tested vehicles. Eco-driving reduces by 14% fuel consumption and CO2 emissions, but aggressive driving increase consumption by 40%. Aggressive driving increases NOX emission by more than 40%. CO and HC, show different trends, but being increased in eco-driving style.

Comparative exergy analysis of direct alcohol fuel cells using fuel mixtures

Within the last years there has been increasing interest in direct liquid fuel cells as power sources for portable devices and, in the future, power plants for electric vehicles and other transport media as ships will join those applications. Methanol is considerably more convenient and easy to use than gaseous hydrogen and a considerable work is devoted to the development of direct methanol fuel cells. But ethanol has much lower toxicity and from an ecological viewpoint ethanol is exceptional among all other types of fuel as is the only chemical fuel in renewable supply. The aim of this study is to investigate the possibility of using direct alcohol fuel cells fed with alcohol mixtures. For this purpose, a comparative exergy analysis of a direct alcohol fuel cell fed with alcohol mixtures against the same fuel cell fed with single alcohols is performed. The exergetic efficiency and the exergy loss and destruction are calculated and compared in each case. When alcohol mixtures are fed to the fuel cell, the contribution of each fuel to the fuel cell performance is weighted attending to their relative proportion in the aqueous solution. The optimum alcohol composition for methanol/ethanol mixtures has been determined.

Envelope amplifier based on switching capacitors for high efficiency RF amplifiers

Modern transmitters usually have to amplify and transmit signals with simultaneous envelope and phase modulation. Due to this property of the transmitted signal, linear power amplifiers (class A, B, or AB) are usually used as a solution for the power amplifier stage. These amplifiers have high linearity, but suffer from low efficiency when the transmitted signal has high peak-to-average power ratio. The Kahn envelope elimination and restoration technique is used to enhance the efficiency of RF transmitters, by combining highly efficient, nonlinear RF amplifier (class E) with a highly efficient envelope amplifier in order to obtain a linear and highly efficient RF amplifier. This paper presents a solution for the envelope amplifier based on a multilevel converter in series with a linear regulator. The multilevel converter is implemented by employing voltage dividers based on switching capacitors. The implemented envelope amplifier can reproduce any signal with a maximum spectral component of 2 MHz and give instantaneous maximum power of 50 W. The efficiency measurements show that when the signals with low average value are transmitted, the implemented prototypes have up to 20% higher efficiency than linear regulators used as a conventional solution.

Ignition conditions for inertial confinement fusion targets with a nuclear spin-polarized DT fuel

The nuclear fusion cross-section is modified when the spins of the interacting nuclei are polarized. In the case of deuterium?tritium it has been theoretically predicted that the nuclear fusion cross-section could be increased by a factor d = 1.5 if all the nuclei were polarized. In inertial confinement fusion this would result in a modification of the required ignition conditions. Using numerical simulations it is found that the required hot-spot temperature and areal density can both be reduced by about 15% for a fully polarized nuclear fuel. Moreover, numerical simulations of a directly driven capsule show that the required laser power and energy to achieve a high gain scale as d-0.6 and d-0.4 respectively, while the maximum achievable energy gain scales as d0.9.

Revisiting the method to obtain the mechanical properties of hydrided fuel cladding in the hoop direction

The method reported in the literature to calculate the stress–strain curve of nuclear fuel cladding from ring tensile test is revisited in this paper and a new alternative is presented. In the former method, two universal curves are introduced under the assumption of small strain. In this paper it is shown that these curves are not universal, but material-dependent if geometric nonlinearity is taken into account. The new method is valid beyond small strains, takes geometric nonlinearity into consideration and does not need universal curves. The stress–strain curves in the hoop direction are determined by combining numerical calculations with experimental results in a convergent loop. To this end, ring tensile tests were performed in unirradiated hydrogen-charged samples. The agreement among the simulations and the experimental results is excellent for the range of concentrations tested (up to 2000 wppm hydrogen). The calculated stress–strain curves show that the mechanical properties do not depend strongly on the hydrogen concentration, and that no noticeable strain hardening occurs. However, ductility decreases with the hydrogen concentration, especially beyond 500 wppm hydrogen. The fractographic results indicate that as-received samples fail in a ductile fashion, whereas quasicleavage is bserved in the hydrogen-charged samples.

Contribution sharing of a fuel mixture components to the fuel cell potencial of a direct alcohol fuel cell

The increasing worldwide demand for electricity impels to develop clean and renewable energy resources. In the field of portable power devices not only size and weight represent important aspects to take into account, but the fuel and its storage are also critical issues to consider. In this last sense, the direct methanol (MeOH) fuel cells (DMFC) play an important role as they can offer high power and energy density, low emissions, ambient operating conditions and fast and convenient refuelling.

Perspectives on the design and use of direct alcohol fuel cells fed by alcohol blends

The fast-growing power demand by portable electronic devices has promoted the increase of global production of portable PEM fuel cell, a quarter of them consist of direct methanol fuel cell (DMFC) units. These present the advantage of being fuelled directly with a liquid fuel, as well as direct ethanol fuel cells (DEFC) do.

Two-wavelength switching with a distributed-feed back semiconductor optical amplifier (DFBSOA)

Switching of a signal beam by another control beam at different wavelength is demonstrated experimentally using the optical bistability occurring in a 1.55 mm-distributed feedback semiconductor optical amplifier (DFBSOA) working in reflection. Counterclockwise (S-shaped) and reverse (clockwise) bistability are observed in the output of the control and the signal beam respectively, as the power of the input control signal is increased. With this technique an optical signal can be set in either of the optical input wavelengths by appropriate choice of the powers of the input signals. The switching properties of the DFBSOA are studied experimentally as the applied bias current is increased from below to above threshold and for different levels of optical power in the signal beam and different wavelength detunings between both input signals. Higher on-off extinction ratios, wider bistable loops and lower input power requirements for switching are obtained when the DFBSOA is operated slightly above its threshold value.