Related papers: Why Long-Term Debt Instruments Cannot Be Deposit S…
Verification of discrete time or continuous time dynamical systems over the reals is known to be undecidable. It is however known that undecidability does not hold for various classes of systems: if robustness is defined as the fact that…
To describe the dynamics of a size-structured population and its unstructured resource, we formulate bookkeeping equations in two different ways. The first, called the PDE formulation, is rather standard. It employs a first order partial…
We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first step, we show that the long-run default rate is approximately…
Banks are required to use long-term default probabilities (PDs) of their portfolios when calculating credit risk capital under internal ratings-based (IRB) models. However, the calibration models and historical data typically reflect…
A controversy involving loan loss provisions in banks concerns their relationship with the business cycle. While international accounting standards for recognizing provisions (incurred loss model) would presumably be pro-cyclical,…
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are…
This manuscript studies the preventive replacement policy for a series or parallel system consisting of n independent or dependent heterogeneous components. Firstly, for the age replacement policy, Some sufficient conditions for the…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…
Self-admitted technical debt (SATD) is a particular case of Technical Debt (TD) where developers explicitly acknowledge their sub-optimal implementation decisions. Previous studies mine SATD by searching for specific TD-related terms in…
Developers sometimes choose design and implementation shortcuts due to the pressure from tight release schedules. However, shortcuts introduce technical debt that increases as the software evolves. The debt needs to be repaid as fast as…
I examine global dynamics in a monetary model with overlapping generations of finite-horizon agents and a binding lower bound on nominal interest rates. Debt targeting rules exacerbate the possibility of self-fulfilling liquidity traps, for…
The question whether P equals NP revolves around the discrepancy between active production and mere verification by Turing machines. In this paper, we examine the analogous problem for finite transducers and automata. Every nondeterministic…
Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to…
Context: Contemporary software development is typically conducted in dynamic, resource-scarce environments that are prone to the accumulation of technical debt. While this general phenomenon is acknowledged, what remains unknown is how…
Technical Debts (TD) are problems of the internal software quality. They are often contracted due to tight project deadlines, for example quick fixes and workarounds, and can make future changes more costly or impossible. TD prevention…
This paper introduces an economic framework to assess optimal longevity risk transfers between institutions, focusing on the interactions between a buyer exposed to long-term longevity risk and a seller offering longevity protection. While…
Modal Transition Systems (MTS) are a well-known formalism that extend Labelled Transition Systems (LTS) with the possibility of specifying necessary and permitted behaviour. Modal refinement ($\preceq_m$) of MTS represents a step of the…
We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and…