Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty...

Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...

We consider risk-neutral valuation of a contingent claim under bilateral counterparty risk in a reduced-form setting similar to that of Duffie and Huang [1996] and Duffie and Singleton [1999]. The probabilistic valuation formulas derived under this framework cannot be usually used for practical...

This paper briefly introduced the issues of food safety and environmental pollution caused by pesticide residues in protected vegetables, discussed the status and problems of pesticide use in the protected vegetables in Shandong Province, and analyzed the main factors leading to the pesticide...

Latent class models with crossed subject-specific and test(rater)-specific random effects have been proposed to estimate the diagnostic accuracy (sensitivity and specificity) of a group of binary tests or binary ratings. However, the computation of these models are hindered by their complicated...

This paper considers the problem of estimating spot volatility in the simultaneous presence of Lévy jumps and market microstructure noise. We propose to use the pre-averaging approach and the threshold kernel-based method to construct a spot volatility estimator, which is robust to both...

In contrast to the ever-increasing focus on China's CO2 emissions, little attention has been given to its CH4 emissions, the second largest greenhouse gas. Presented in this paper is a comprehensive assessment of the CH4 emissions in Mainland China by source and region based on the latest...