This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing.…[Read more]

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and…[Read more]

For performers of Early Music, there is an everlasting quest to unveil new perspectives on a historically distant repertoire in search of new ways of performing and understanding the music. This is true for all performers of Early Music, including Baroque guitarists. A currently very popular performance piece is Francesco Corbetta’s ‘Caprice de…[Read more]

The research paper is based on analysis of annual report of PMPKL and its key competitors, published articles on Pakistan tobacco industry and interview of PMPKL Representatives.
Due to time and resource constraints, the study has focused on tobacco cigarettes only. For both PMPKL and its competitors. Therefore, all the evaluations and results…[Read more]

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk,…[Read more]

This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can…[Read more]

communication is the activity of conveying information through the exchange of ideas, feelings, intentions, attitudes, expectations, perceptions or commands, as by speech, gestures, writings, behaviour and possibly by other means such as electromagnetic, chemical or physical phenomena. It is the meaningful exchange of information between two or…[Read more]

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is…[Read more]

Final progress report about the California Open Educational Resources Council’s work with 3 representatives from each of the California State University, University of California, and California Community Colleges, to investigate the efficacy of implementing adoption of OER textbooks and to create a repository of OER textbooks for use in all 3 systems.

Based on its survey responses, the California Open Educational Resources Council identified several impediments to adopting OER textbooks and concluded that rigorous peer review was ultimately the first step towards advocating for adoption of OER textbooks. The Council quickly identified 50 highly-enrolled courses with expensive textbooks across…[Read more]

While claiming to learn from the Chinese way of handling the crisis, there is no on-ground action in Pakistan that supports the claim. The Prime Minister denies national lock down despite the fact that without proper lock-down the virus spread trajectory can be rapid resulting in collapse of national health facilities which can bring the national…[Read more]

In the fall of 1966, Ḥiwār magazine published al-Ṭayyib Ṣāliḥ’s novel Mawsim al-hijrah ilā al-shamāl [ Season of Migration to the North ]. Arabic literary critics both hailed the novel in the Arabic press and mourned that it had been published by the Paris-based Congress for Cultural Freedom’s Ḥiwār, part of a global covert cultural front of the C…[Read more]

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing…[Read more]

Toyota has been the market leader in automobiles specially hybrid and electric automobiles. It has been operational in Pakistan since 1989. As of September 2018, it was the sixth largest company in the world in terms of revenue. The economic conditions however have not been very favorable for the automotive industry. The economy of Pakistan and…[Read more]