Restructuring risk in credit default swaps: An empirical analysis

This paper estimates the price for restructuring risk in the US corporate bond market during 1999–2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6%–8% of the swap rate without restructuring. We show that the restructuring premium depends on firm-specific balance-sheet and macroeconomic variables. And, when default swap rates without a restructuring event increase, the increase in restructuring premia is higher for low-credit-quality firms than for high-credit-quality firms. We propose a reduced-form arbitrage-free model for pricing default swaps that explicitly incorporates the distinction between restructuring and default events. A case study illustrating the model’s implementation is provided.     

Deterministic equivalent for a continuous-time linear-convex stochastic control problem

We consider a finite-horizon control model with additive input. There are two convex functions which describe the running cost and the terminal cost within the system. The cost of input is proportional to the input and can take both positive and negative values. It is shown that there exists a deterministic control problem whose optimal cost is the same as the one in the stochastic control problem. The optimal policy for the stochastic problem consists of keeping the process as close to the optimal deterministic trajectory as possible.This research is supported by NSERC Grant A4619, MRCO, NSF Grant DMS-86-01510, and AFOSR Grant 87-0278.     

兼职辅助工作的机器维修模型

本文研究了单修理工有效利用闲期兼职辅助工作的机器维修模型。这个模型被视为带休假策略的有限源排队问题，利用拟生灭过程的方法，给出了系统在稳态下机器故障数的分布和机器等待维修时间的分布，并将结果与经典的机器维修模型作了比较。     

爆破拆除冷却塔倾倒过程的研究

从理论上研究了冷却塔在倾倒过程中，转角与时间ｔ之间的关系。对于支撑部分保存完整的冷却塔，计算结果与实测结果基本吻合，相对误差小于１０％。实际倒塌长度与理论倒塌长度之比为０．９８，实际倒塌中心线与理论倒塌中心线左右偏差３．１８，倒塌初始时刻冷却塔未下坐，当ｔ＞０．６ｓ之后，冷却塔开始下坐，下坐高度与倾倒时间成正比。最后，还分析了冷却塔在倾倒过程中的前冲和后坐问题。     

On the local and asymptotic behavior of Brownian motion on simply connected nilpotent Lie groups

The aim of this paper is to study the local and asymptotic behavior of Brownian motion on simply connected nilpotent Lie groups. We carry over a qualitative version of the Erdös-Rényi law of large numbers for Brownian motion to simply connected step 2-nilpotent Lie groups. The method applied gives rise to a proof for qualitative results concerning the modulus of continuity of Brownian motion on simply connected step 3-resp. step 2-nilpotent Lie groups without using the Ventsel-Freidlin theory as in Baldi.     

一类基于非对称偏差的过程能力指数

以基本尺寸为基准,研究非对称偏差下总体质量特性值的分布及过程离散程度,在给出一类非对称分布的基础上,研究基于非对称偏差的过程能力指数,并将其推广到角度质量控制问题。     

Joint availability of systems modelled by finite semi–markov processes

Consider a repairable system at the time instants t and t + x, where t, x ≥0. The joint availability of the system at these time instants is defined as the probability of the system being functional in both t and t + x. A set of integral equations is derived for the joint availability of a system modelled by a finite semi–Markov process. The result is applied to the semi–Markov model of a two–unit system with sequential preventive maintenance. The method used for the numerical solution of the resulting system of integral equations is a two–point trapezoidal rule. The system of implementation is the matrix computation package MATLAB on the Apple Macintosh SE/30. The numerical results obtained by this method are shown to be in good agreement with those from simulation.     

Testing Hypotheses About the Power Law Process Under Failure Truncation Using Intrinsic Bayes Factors

Conventional Bayes factors for hypotheses testing cannot typically accommodate the use of standard noninformative priors, as such priors are defined only up to arbitrary constants which affect the values of the Bayes factors. To circumvent this problem, Berger and Pericchi (1996, J. Amer. Statist. Assoc., 19, 109-122) introduced a new criterion called the Intrinsic Bayes Factor (IBF). In this paper, we use their methodology to test several hypotheses regarding the shape parameter of the power law process. Assuming that we have data from the process according to the failure-truncation sampling scheme, we derive the arithmetic and geometric IBF's using the reference priors. We deduce a set of intrinsic priors that correspond to these IBF's, as the observed number of failures tends to infinity. We then use these results to analyze an actual data set on the failures of an aircraft generator.     

Diffusion process of electrons injected from STM tip into AlGaAs/GaAs quantum wells

We have investigated the electron diffusion process in Al_0.3Ga_0.7As/GaAs quantum well (QW) structures by means of scanning tunneling microscope light emission (STM-LE) spectroscopy. The optical measurements were performed on a cleaved (1 1 0) surface at room temperature. The STM-LE spectra were measured by injecting hot electrons from the tip positioned at different distances from the QWs. The emission intensity from individual wells as a function of the tip-well distance was found to decay with two distinct decay constants. From comparison with Monte Carlo simulations for hot electron relaxation, we found that the intervalley scattering from the Γ valley to the L and X valleys has the most significant effect on the diffusion process of the injected electrons.     

Estimating the spectral measure of an extreme value distribution

Let (X₁, Y₁), (X₂, Y₂),…, (X_n, Y_n) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The extreme value indices determine both the marginals and the spectral measure determines the dependence structure. In this paper, we construct an empirical measure, based on the sample, which is a consistent estimator of the spectral measure. We also show for positive extreme value indices the asymptotic normality of the estimator under a suitable 2nd order strengthening of the bivariate domain of attraction condition.