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Research on Credit Default Swaps Pricing Considering Moral Hazard Incentive under Reduce-Form Model

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Journal of Systems Science and Systems Engineering 2024年第3期33卷 311-329页

作者： liang Wu Kangjie he Zhe Guo School of Mathematical Science Henan Institute of Science and TechnologyXinxiang453003China Public Front Office Department Industrial and Commercial Bank of ChinaZhengzhou450000China

Equilibrium pricing of credit default swaps(CDS)promotes efficient identification of credit risk in the market,which in turn leads to efficient allocation of ***,even when CDS have been priced in equilibrium,i.e.,when premiums are equal to anticipated payments,the moral hazard incentives of CDS buyers increase with CDS ***,it becomes an interesting research direction to study the impact of moral hazard incentives on the trading mechanism or pricing of derivatives(CDS).Most of the existing literature on the impact of moral hazard incentives in CDS pricing on derivatives trading mechanisms takes a macro perspective and focuses on the agreement risk *** literature exploring the analysis of the impact of moral hazard on the probability of agreement default from a micro perspective is not yet *** this in mind,this paper focuses on the mechanisms by which“fraud”,an extreme manifestation of micro-moral hazard incentives,affects the probability of *** paper introduces for the first time the concept of“claiming fraud”by credit protection buyers,which is different from the macro perspective of moral hazard incentives,and thus defines a specific extreme form of moral hazard ***,to address the intrinsic feature of the lack of economic explanatory power of the reduce-form model,this paper introduces a moral hazard incentive factor into the reduce-form model,and proposes a moral hazard state variable as a function of the asset value of the reference entity,which gives the reduce-form model strong economic explanatory power,and the default predictability is reduced by the description of the reduce-form *** terms of the object of study,this paper considers the issue of moral hazard incentives in the presence of claiming fraud in two reference entities to further explore the impact of moral hazard incentives on default protection at the micro level in terms of cyclic ***,based on the

关键词： Financial engineering moral hazard incentive claiming fraud reduce-form model probability of default calculation CDS pricing

The chlorine evolution reaction promoted by organocatalysts with amide functional groups

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Science China Chemistry 2024年第3期67卷 749-750页

作者： Lan Zhao liang-Nian he State Key Laboratory and Institute of Elemento-Organic Chemistry College of ChemistryNankai UniversityTianjin 300071China

Since the nineteenth century, the chlor-alkali process entails the electrochemical oxidation of sodium chloride solutions to Cl_(2) by the chlorine evolution reaction(CER) and the simultaneous production of sodium hyd... 详细信息

关键词： chlorine hydroxide promoted

Processing of a low-costγ-γ'NiPtAl coating with improved oxidation resistance

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Rare Metals 2024年第6期43卷 2832-2841页

作者： Yan Jiang liang-liang Wei Jian he Hong-Bo Guo School of Materials Science and Engineering Beihang UniversityBeijing 100191China Key Laboratory of High-Temperature Structural Materials and Protective Coatings Ministry of Industry and Information TechnologyBeihang UniversityBeijing 100191China

A novelγ-γ'(Ni solid solution—Ni_(3)Al)NiPtAl coating was produced on advanced single-crystal(SC)superalloy N5 by electroplating of a thin Pt coating with~3μm in thickness followed by heat treatment at 1000℃in *** comparison,a traditionalγ-γ'NiPtAl coating was also produced by electroplating of a thick Pt coating with~6μm in thickness followed by heat treatment at 1100℃in *** novel coating has a mass gain of~0.5 mg·cm^(-2)after 100 h 1-h cyclic oxidation at 1150℃,showing better oxidation resistance than the traditional *** oxide scale mostly consisting ofα-Al_(2)O_(3)grew on the novel coating because the element Cr from the SC alloy substrate contributes to the formation ofα-Al_(2)O_(3).Pt content in the novel coating has significant effect on the oxidation *** optimized Pt content in the coating is about 16 at%,which is helpful to reduce the diffusion of harmful elements from the substrate into the coating but also to reduce the cost of the coating.

关键词： γ-γ'NiPtAl coating Platinum Oxidation Al_(2)O_(3) Superalloy

Review and comparison of methods and benchmarks for automatic modal identification based on stabilization diagram

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Journal of Traffic and Transportation Engineering(English Edition) 2024年第2期11卷 209-224页

作者： Min he Peng liang Jiuxian Liu Zhiqiang liang School of Architecture and Civil Engineering Xi'an University of Science and TechnologyXi'an 710064China School of Highway Chang'an UniversityXi'an 710064China

Automatic modal identification via automatically interpreting the stabilization diagram provides key technique in bridge structural health *** paper reviews the progress in the area of automatic modal identification based on interpreting the stabilization *** whole identification process is divided into four steps from establishing the stabilization diagram to removing the outliers in the identification *** criteria and algorithms used in each step in the existing studies are carefully summarized and *** between typical methods in cleaning and interpreting the stabilization diagram are also *** structure benchmarks used in the existing studies to validate the proposed automatic modal identification methods are also *** on the review and comparison,the specific ratio method for cleaning the stabilization diagram,the hierarchical clustering method for interpreting the stabilization diagram and the adjusted boxplot for removing the outliers in the identification results are the most suitable methods for each *** key point of automatic modal identification based on interpreting the stabilization diagram has also discussed,and it is recommended to pay more attention to cleaning the stabilization *** study about automatic modal identification under situation with very few sensors deployed should be more *** review aims to help researchers and practitioners in implementing existing automatic modal identification algorithms effectively and developing more suitable and practical methods for civil engineering structures in the future.

关键词： Bridge structural health monitoring Automatic modal identification Stabilization diagram Eriteria and methods Real structure benchmarks

Confluence of asymmetric catalysis and electrosynthesis in sustainable chemical transformations

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Science China Chemistry 2024年第3期67卷 755-758页

作者： Qinglin Zhang Kang liang chang Guo hefei National Research Center for Physical Sciences at the Microscale and Department of Chemistry University of Science and Technology of ChinaHefei 230026China

Electrosynthesis has gained widespread recognition for its extraordinary ability to precisely control the redox *** outstanding capability enables the direct conversion of non-functionalized substrates into reactive intermediates by utilizing easily accessible starting materials, eliminating the need for preliminary functionalization procedures and allowing for unconventional bond activations.

关键词： Confluence of asymmetric catalysis and electrosynthesis in sustainable chemical transformations

Spin-orbit interaction induced Casimir-Lifshitz torque between two-dimensional electron gases

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Science China(Physics,Mechanics & Astronomy) 2024年第8期67卷 134-142页

作者： Jia-Nan Rong liang Chen Kai chang State Key Laboratory of Superlattices and Microstructures Institute of SemiconductorsChinese Academy of SciencesBeijing 100083China School of Mathematics and Physics North China Electric Power UniversityBeijing 102206China School of Physics Zhejiang UniversityHangzhou 310027China College of Materials Science and Opto-electronic Technology University of Chinese Academy of SciencesBeijing 100049China

We investigate theoretically the Casimir interaction between two parallel two-dimensional electron gases(2DEGs)with Rashba and Dresselhaus spin-orbit interactions(SOIs),based on the quantum field *** derive an analytical expression for the polarization tensor and obtain the solution to the motion equation of the electromagnetic(EM)*** calculate the CasimirLifshitz torque(CLT)between two parallel 2DEGs with Rashba and Dresselhaus SOIs,which can be tuned by changing the relative strength between two *** anisotropic Casimir energy between 2DEGs caused by the interplay between the SOIs of 2DEGs offers a new origin of CLT and a new type of optoelectronic device.

关键词： Casimir torque two-dimensional electron gas spin-orbit interaction

Optimal Model Average Prediction in Orthogonal Kriging Models

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Journal of Systems Science & Complexity 2024年第3期37卷 1080-1099页

作者： WANG Jun he Jiabei liang Hua LI Xinmin School of Mathematics and Statistics Qingdao UniversityQingdao 266071China Department of Statistics George Washington UniversityWashington DC 20052USA

The main objective of this paper is to consider model averaging methods for kriging *** paper proposes a Mallows model averaging procedure for the orthogonal kriging model and demonstrate the asymptotic optimality of the model averaging estimators in terms of mean square *** studies are conducted to evaluate the performance of the proposed method and compare it with the competitors to demonstrate its *** authors also analyse a real dataset for an illustration.

关键词： Asymptotic optimality Mallows criterion optimal model averaging orthogonal kriging model

Scattering-based hybrid network for facial attribute classification

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Frontiers of Computer Science 2024年第3期18卷 105-116页

作者： Na LIU Fan ZHANG liang chang Fuqing DUAN School of Artificial Intelligence Beijing Normal UniversityBeijing 100875China

Face attribute classification(FAC)is a high-profile problem in biometric verification and face *** recent research has been devoted to extracting more delicate image attribute features and exploiting the inter-attribute correlations,significant challenges still *** scattering transform(WST)is a promising non-learned feature *** has been shown to yield more discriminative representations and outperforms the learned representations in certain *** to the image classification task,WST can enhance subtle image texture information and create local deformation *** paper designs a scattering-based hybrid block,to incorporate frequency-domain(WST)and image-domain features in a channel attention manner(Squeezeand-Excitation,SE),termed WS-SE *** with CNN,WS-SE achieves a more efficient FAC performance and compensates for the model sensitivity of the small-scale affine *** addition,to further exploit the relationships among the attribute labels,we propose a learning strategy from a causal *** cause attributes defined using the causalityrelated information can be utilized to infer the effect attributes with a high confidence *** analysis experiments demonstrate the effectiveness of our model,and our hybrid model obtains state-of-the-art results in two public datasets.

关键词： wavelet scattering transform causality-related learning facial attribute classification

MLDA:a multi-level k-degree anonymity scheme on directed social network graphs

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Frontiers of Computer Science 2024年第2期18卷 199-215页

作者： Yuanjing HAO Long LI liang chang Tianlong GU Guangxi Key Laboratory of Trusted Software Guilin University of Electronic TechnologyGuilin 541004China Engineering Research Center of Trustworthy AI(Ministry of Education) Jinan UniversityGuangzhou 510632China

With the emergence of network-centric data,social network graph publishing is conducive to data analysts to mine the value of social networks,analyze the social behavior of individuals or groups,implement personalized recommendations,and so ***,published social network graphs are often subject to re-identification attacks from adversaries,which results in the leakage of users’***-anonymity technology is widely used in the field of graph publishing,which is quite effective to resist re-identification ***,the current researches still exist some issues to be solved:the protection of directed graphs is less concerned than that of undirected graphs;the protection of graph structure is often ignored while achieving the protection of nodes’identities;the same protection is performed for different users,which doesn’t meet the different privacy requirements of ***,to address the above issues,a multi-level-degree anonymity(MLDA)scheme on directed social network graphs is proposed in this ***,node sets with different importance are divided by the firefly algorithm and constrained connectedness upper approximation,and they are performed different-degree anonymity protection to meet the different privacy requirements of ***,a new graph anonymity method is proposed,which achieves the addition and removal of edges with the help of fake *** addition,to improve the utility of the anonymized graph,a new edge cost criterion is proposed,which is used to select the most appropriate edge to be ***,to protect the community structure of the original graph as much as possible,fake nodes contained in a same community are merged prior to fake nodes contained in different *** results on real datasets show that the newly proposed MLDA scheme is effective to balance the privacy and utility of the anonymized graph.

关键词： directed social network graph graph publishing k-degree anonymity community structure graph utility