A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

A hyperbolic function is introduced to reflect the attenuation effect of one firm＇s default to its partner. If two firms are competitors （copartners）, the default intensity of one firm will decrease （increase） abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, and the fair swap premium of a credit default swap （CDS） can be valued.

Model of counterparty risk with geometric attenuation and valuation of CDS

To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its counterparty firm's default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discrete context is similar to the accumulated interest during the period between two payment days, and the short rate is the swap rate in a continuous context.

Crustal attenuation characteristics of S-waves beneath the Eastern Tohoku region,Japan

An inversion method was applied to crustal earthquakes dataset to find S-wave attenuation characteristics beneath the Eastern Tohoku region of Japan. Accelerograms from 85 shallow crustal earthquakes up to 25 km depth and magnitude range between 3.5 and 5.5 were analyzed to estimate the seismic quality factor Qs. A homogeneous attenuation model Qs for the wave propagation path was evaluated from spectral amplitudes, at 24 different frequencies between 0.5 and 20 Hz by using generalized inversion technique. To do this, non-parametric attenuation functions were calculated to observe spectral amplitude decay with hypocentral distance. Then, these functions were parameterized to estimate Qs. It was found that in Eastern Tohoku region, the Qs frequency dependence can be approximated with the function 33 f 1.22 within a frequency range between 0.5 and 20 Hz. However, the frequency dependence of Qs in the frequency range between 0.5 and 6 Hz is best approximated by Qs （f） = 36 f 0.94 showing relatively weaker frequency dependence as compared to the relation Qs （f） = 6 f^ 2.09 for the frequency range between 6 and 15 Hz. These results could be used to estimate source and site parameters for seismic hazard assessment in the region.

A New Time-Aware Collaborative Filtering Intelligent Recommendation System

Aiming at the problem that the traditional collaborative filtering recommendation algorithm does not fully consider the influence of correlation between projects on recommendation accuracy,this paper introduces project attribute fuzzy matrix,measures the project relevance through fuzzy clustering method,and classifies all project attributes.Then,the weight of the project relevance is introduced in the user similarity calculation,so that the nearest neighbor search is more accurate.In the prediction scoring section,considering the change of user interest with time,it is proposed to use the time weighting function to improve the influence of the time effect of the evaluation,so that the newer evaluation information in the system has a relatively large weight.The experimental results show that the improved algorithm improves the recommendation accuracy and improves the recommendation quality.

Effect of the Real Irregular Terrain on the Lightning-radiated Electromagnetic Field Propagation

The propagation of the lightning-radiated electromagnetic field along the real irregular terrain around Yangzhou Direction Finder(DF)site(119°42′E,32°39′N)and Nanjing DF site(118°46′E,32°03′N)of Jiangsu Province in China is estimated.The results show that the rough irregular terrain results in the rapid magnitude attenuation and the increase of the rise-time of the field waveform.For example,for the Yangzhou DF site as the circumference of a radius of 45 km,the root-mean-squared height(RMSH)of the real irregular terrain varies from 7 to 33 m;the extra field attenuation relative to the ideal ground surface ranges from 1%to 11%,and the extra rise-time increment varies from 0.1 to 0.6μs.Therefore,the extracted current peak of lightning return stroke may be underestimated from the remotely measured electromagnetic field,and the error varies along with different azimuths.