This paper studies the problem of default correlation. We first introduce a random variable called quot;time-until-defaultquot; to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation...

This paper studies the problem of default correlation. We first introduce a random variable called quot;time-until-defaultquot; to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation...

We present a new approach to price CDO Squared-type transactions consistently with the pricing of the underlying CDOs. We first present an extension to the current market standard model using a Gaussian mixture (GM) copula model instead of one parameter single Gaussian Copula model. It shows...

In this paper, the local entropy generation analysis has been conducted based on a two-dimensional, two-phase, non-isothermal DMFC (direct methanol fuel cell) model, the entropy generation contributed by the chemical reactions, heat transfer, mass diffusion, and viscous dissipation is...