Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 4

Search results for: J-B. Paulin

4 Dissociation of CDS from CVA Valuation Under Notation Changes

Authors: R. Henry, J-B. Paulin, St. Fauchille, Ph. Delord, K. Benkirane, A. Brunel

Abstract:

In this paper, the CVA computation of interest rate swap is presented based on its rating. Rating and probability default given by Moody’s Investors Service are used to calculate our CVA for a specific swap with different maturities. With this computation, the influence of rating variation can be shown on CVA. The application is made to the analysis of Greek CDS variation during the period of Greek crisis between 2008 and 2011. The main point is the determination of correlation between the fluctuation of Greek CDS cumulative value and the variation of swap CVA due to change of rating

Keywords: CDS, computation, CVA, Greek crisis, interest rate swap, maturity, rating, swap

Procedia PDF Downloads 219
3 Macroeconomic Reevaluation of CNY/USD Exchange Rate: Quantitative Impact on EUR/USD Exchange Rate

Authors: R. Henry, H. Andriamboavonjy, J. B. Paulin, S. Drahy, R. Gourichon

Abstract:

During past decade, Chinese monetary policy has been to maintain stability of exchange rate CNY/USD by creating parity between the two currencies. This policy, against market equilibrium, impacts the exchange rate in having low Yuan currency, and keeping attractiveness of Chinese industries. Using macroeconomic and statistic approach, the impact of such policy onto CNY/USD exchange rate is quantitatively determined. It is also pointed out how Chinese banks respect Basel III ratios, in particular the foreign exchange ratio. The main analysis is focusing on how Chinese banks will respect these ratios in the future.

Keywords: macroeconomics models, yuan floating exchange rate, basel iii, china banking system

Procedia PDF Downloads 317
2 Socio-Economic Child’S Wellbeing Impasse in South Africa: Towards a Theory-Based Solution Model

Authors: Paulin Mbecke

Abstract:

Research Issue: Under economic constraints, socio-economic conditions of households worsen discounting child’s wellbeing to the bottom of many governments and households’ priority lists. In such situation, many governments fail to rebalance priorities in providing services such as education, housing and social security which are the prerequisites for the wellbeing of children. Consequently, many households struggle to respond to basic needs especially those of children. Although economic conditions play a crucial role in creating prosperity or poverty in households and therefore the wellbeing or misery for children; they are not the sole cause. Research Insights: The review of the South African Index of Multiple Deprivation and the South African Child Gauge establish the extent to which economic conditions impact on the wellbeing or misery of children. The analysis of social, cultural, environmental and structural theories demonstrates that non-economic factors contribute equally to the wellbeing or misery of children, yet, they are disregarded. In addition, the assessment of a child abuse database proves a weak correlation between economic factors (prosperity or poverty) and child’s wellbeing or misery. Theoretical Implications: Through critical social research theory and modelling, the paper proposes a Theory-Based Model that combines different factors to facilitate the understanding of child’s wellbeing or misery. Policy Implications: The proposed model assists in broad policy and decision making and reviews processes in promoting child’s wellbeing and in preventing, intervening and managing child’s misery with regard to education, housing, and social security.

Keywords: children, child’s misery, child’s wellbeing, household’s despair, household’s prosperity

Procedia PDF Downloads 210
1 Comparing Stability Index MAPping (SINMAP) Landslide Susceptibility Models in the Río La Carbonera, Southeast Flank of Pico de Orizaba Volcano, Mexico

Authors: Gabriel Legorreta Paulin, Marcus I. Bursik, Lilia Arana Salinas, Fernando Aceves Quesada

Abstract:

In volcanic environments, landslides and debris flows occur continually along stream systems of large stratovolcanoes. This is the case on Pico de Orizaba volcano, the highest mountain in Mexico. The volcano has a great potential to impact and damage human settlements and economic activities by landslides. People living along the lower valleys of Pico de Orizaba volcano are in continuous hazard by the coalescence of upstream landslide sediments that increased the destructive power of debris flows. These debris flows not only produce floods, but also cause the loss of lives and property. Although the importance of assessing such process, there is few landslide inventory maps and landslide susceptibility assessment. As a result in México, no landslide susceptibility models assessment has been conducted to evaluate advantage and disadvantage of models. In this study, a comprehensive study of landslide susceptibility models assessment using GIS technology is carried out on the SE flank of Pico de Orizaba volcano. A detailed multi-temporal landslide inventory map in the watershed is used as framework for the quantitative comparison of two landslide susceptibility maps. The maps are created based on 1) the Stability Index MAPping (SINMAP) model by using default geotechnical parameters and 2) by using findings of volcanic soils geotechnical proprieties obtained in the field. SINMAP combines the factor of safety derived from the infinite slope stability model with the theory of a hydrologic model to produce the susceptibility map. It has been claimed that SINMAP analysis is reasonably successful in defining areas that intuitively appear to be susceptible to landsliding in regions with sparse information. The validations of the resulting susceptibility maps are performed by comparing them with the inventory map under LOGISNET system which provides tools to compare by using a histogram and a contingency table. Results of the experiment allow for establishing how the individual models predict the landslide location, advantages, and limitations. The results also show that although the model tends to improve with the use of calibrated field data, the landslide susceptibility map does not perfectly represent existing landslides.

Keywords: GIS, landslide, modeling, LOGISNET, SINMAP

Procedia PDF Downloads 247