Risk transfer in project finance loans for toll road using credit default swaps

Purpose The purpose of this paper is to demonstrate the applicability of the Credit Default Swaps (CDS), as a financial instrument, for transferring of risk in project finance loans. Also, an equation has been derived for pricing of CDS spreads. Design/methodology/approach The debt service cover ratio (DSCR) is modeled as a Brownian Motion (BM) with a power-law model fitted to the mean and half-variance of the existing data set of DSCRs. The survival probability of DSCR is calculated during the operational phase of the project finance deal, using a closed-form analytical method, and the results are verified by Monte Carlo simulation (MCS). Findings It is found that using the power-law model yields higher CDS premiums. This in turn confirms the necessity of conducting rigorous statistical analysis in fitting the best performing model as uninformed reliance on constant time-invariant drift and diffusion model can erroneously result in smaller CDS spreads. A sensitivity analysis also shows that the results are very sensitive to the recovery rate and cost of debt values. Originality/value Insufficiency of free cash flow is a major risk in the toll road project finance and hence there is a need to develop innovative financial instruments for risk management. In this paper, a novel valuation method of CDS is proposed assuming that DSCR follows the BM stochastic process.

A radiation-temperature coupling model of the optical fiber attenuation spectrum in the Ge/P co-doped fiber

The radiation-temperature coupling model of the optical fiber attenuation spectrum has been developed. The spectrum in Ge/P co-doped fiber ranging from 800 nm to 1600 nm at different temperatures and doses were measured and decomposed according to the configurational coordinate model. Based on which the power law model is employed to predict the intensity of color center absorption band at different doses. And the fiber loss in space was predicted the model. This work will benefit the application of fibers in the complicated radiation environment.

Systematic errors induced by the elliptical power-law model in galaxy-galaxy strong lens modeling

The elliptical power-law (EPL) mass model of the mass in a galaxy is widely used in strong gravitational lensing analyses. However, the distribution of mass in real galaxies is more complex. We quantify the biases due to this model mismatch by simulating and then analysing mock {\it Hubble Space Telescope} imaging of lenses with mass distributions inferred from SDSS-MaNGA stellar dynamics data. We find accurate recovery of source galaxy morphology, except for a slight tendency to infer sources to be more compact than their true size. The Einstein radius of the lens is also robustly recovered with 0.1\% accuracy, as is the global density slope, with 2.5\% relative systematic error, compared to the 3.4\% intrinsic dispersion. However, asymmetry in real lenses also leads to a spurious fitted `external shear' with typical strength, $\gamma_{\rm ext}=0.015$. Furthermore, time delays inferred from lens modelling without measurements of stellar dynamics are typically underestimated by $\sim$5\%. Using such measurements from a sub-sample of 37 lenses would bias measurements of the Hubble constant $H_0$ by $\sim$9\%. The next generation cosmography must use more complex lens mass models.

Precise Timing and Phase-resolved Spectroscopy of the Young Pulsar J1617–5055 with NuSTAR

We report on a Nuclear Spectroscopic Telescope Array (NuSTAR) observation of the young, energetic pulsar PSR J1617–5055. Parkes Observatory 3 GHz radio observations of the pulsar (taken about 7 yr before the NuSTAR observations) are also reported here. NuSTAR detected pulsations at a frequency of f ≈ 14.4 Hz (P ≈ 69.44 ms) and, in addition, the observation was long enough to measure the source’s frequency derivative, f ̇ ≈ − 2.8 × 10 − 11 Hz s−1. We find that the pulsar shows one peak per period at both hard X-ray and radio wavelengths, but that the hard X-ray pulse is broader (having a duty cycle of ∼0.7), than the radio pulse (having a duty cycle of ∼0.08). Additionally, the radio pulse is strongly linearly polarized. J1617's phase-integrated hard X-ray spectrum is well fit by an absorbed power-law model, with a photon index Γ = 1.59 ± 0.02. The hard X-ray pulsations are well described by three Fourier harmonics, and have a pulsed fraction that increases with energy. We also fit the phase-resolved NuSTAR spectra with an absorbed power-law model in five phase bins and find that the photon index varies with phase from Γ = 1.52 ± 0.03 at phases around the flux maximum to Γ = 1.79 ± 0.06 around the flux minimum. Last, we compare our results with other pulsars whose magnetospheric emission is detected at hard X-ray energies and find that, similar to previous studies, J1617's hard X-ray properties are more similar to the MeV pulsars than the GeV pulsars.

Fallback Accretion Halted by R-process Heating in Neutron Star Mergers and Gamma-Ray Bursts

The gravitational wave event GW170817 with a macronova/kilonova shows that a merger of two neutron stars ejects matter with radioactivity including r-process nucleosynthesis. A part of the ejecta inevitably falls back to the central object, possibly powering long-lasting activities of a short gamma-ray burst (sGRB), such as extended and plateau emissions. We investigate fallback accretion with r-process heating by performing one-dimensional hydrodynamic simulations and developing a semi-analytical model. We show that the usual fallback rate dM/dt ∝ t −5/3 is halted by the heating because pressure gradients accelerate ejecta beyond an escape velocity. The suppression is steeper than Chevalier’s power-law model through Bondi accretion within a turn-around radius. The characteristic halting timescale is ∼104–108 s for the GW170817-like r-process heating, which is longer than the typical timescale of the long-lasting emission of sGRBs. The halting timescale is sensitive to the uncertainty of the r-process. Future observations of fallback halting could constrain the r-process heating on the scale of a year.

Crash Diagnosis and Price Rebound Prediction in NYSE Composite Index Based on Visibility Graph and Time-Evolving Stock Correlation Network

This study proposes a framework to diagnose stock market crashes and predict the subsequent price rebounds. Based on the observation of anomalous changes in stock correlation networks during market crashes, we extend the log-periodic power-law model with a metric that is proposed to measure network anomalies. To calculate this metric, we design a prediction-guided anomaly detection algorithm based on the extreme value theory. Finally, we proposed a hybrid indicator to predict price rebounds of the stock index by combining the network anomaly metric and the visibility graph-based log-periodic power-law model. Experiments are conducted based on the New York Stock Exchange Composite Index from 4 January 1991 to 7 May 2021. It is shown that our proposed method outperforms the benchmark log-periodic power-law model on detecting the 12 major crashes and predicting the subsequent price rebounds by reducing the false alarm rate. This study sheds light on combining stock network analysis and financial time series modeling and highlights that anomalous changes of a stock network can be important criteria for detecting crashes and predicting recoveries of the stock market.

Halo Mass-concentration Relation at the High-mass End

The concentration–mass (c–M) relation encodes key information about the assembly history of dark matter halos. However, its behavior at the high mass end has not been measured precisely in observations yet. In this paper, we report the measurement of the halo c–M relation with the galaxy–galaxy lensing method, using the shear catalog of the Dark Energy Camera Legacy Survey (DECaLS) Data Release 8, which covers a sky area of 9500 deg2. The foreground lenses are selected from the redMaPPer, LOWZ, and CMASS catalogs, with halo masses ranging from 1013 to 1015 M ⊙ and redshifts ranging from z = 0.08 to z = 0.65. We find that the concentration decreases with the halo mass from 1013 to 1014 M ⊙, but shows a trend of upturn after the pivot point of ∼1014 M ⊙. We fit the measured c–M relation with the concentration model c ( M ) = C 0 M 10 12 M ⊙ / h − γ 1 + M M 0 0.4 , and we get the values (C 0, γ, log10(M 0)) = (5.119−0.185 0.183, 0.205 − 0.010 0.010 , 14.083 − 0.133 0.130 ) and ( 4.875 − 0.208 0.209 , 0.221 − 0.010 0.010 , 13.750 − 0.141 0.142 ) for halos with 0.08 ≤ z < 0.35 and 0.35 ≤ z < 0.65, respectively. We also show that the model including an upturn is favored over a simple power-law model. Our measurement provides important information for the recent argument over the massive cluster formation process.

On the convergence rate of the Kačanov scheme for shear-thinning fluids

We explore the convergence rate of the Kačanov iteration scheme for different models of shear-thinning fluids, including Carreau and power-law type explicit quasi-Newtonian constitutive laws. It is shown that the energy difference contracts along the sequence generated by the iteration. In addition, an a posteriori computable contraction factor is proposed, which improves, on finite-dimensional Galerkin spaces, previously derived bounds on the contraction factor in the context of the power-law model. Significantly, this factor is shown to be independent of the choice of the cut-off parameters whose use was proposed in the literature for the Kačanov iteration applied to the power-law model. Our analytical findings are confirmed by a series of numerical experiments.

Inflation from the Symmetry of the Generalized Cosmological Model

It is shown that the inflationary model is the result of the symmetry of the generalized F(R,T,X,φ)-cosmological model using the Noether symmetry. It leads to a solution, a particular case of which is Starobinsky’s cosmological model. It is shown that even in the more particular case of cosmological models F(R,X,φ) and F(T,X,φ) the Monge–Ampère equation is still obtained, one of the solutions including the Starobinsky model. For these models, it is shown that one can obtain both power-law and exponential solutions for the scale factor from the Euler–Lagrange equations. In this case, the scalar field φ has similar time dependences, exponential and exponential. The resulting form of the Lagrangian of the model allows us to consider it as a model with R2 or X2. However, it is also shown that previously less studied models with a non-minimal relationship between R and X are important, as one of the possible models. It is shown that in this case the power-law model can have a limited evolutionary period with a negative value of the kinetic term.

Constraining Type Ia Supernova Delay Time with Spatially Resolved Star Formation Histories

We present the delay time distribution (DTD) estimates of Type Ia supernovae (SNe Ia) using spatially resolved SN Ia host galaxy spectra from MUSE and MaNGA. By employing a grouping algorithm based on k-means and earth mover’s distances (EMDs), we separated the host galaxy stellar population age distributions (SPADs) into spatially distinct regions and used maximum likelihood method to constrain the DTD of SN Ia progenitors. When a power-law model of the form DTD(t) ∝ t s (t > τ) is used, we find an SN rate decay slope s = − 1.41 − 0.33 + 0.32 and a delay time τ = 120 − 83 + 142 Myr . Moreover, we tested other DTD models, such as a broken power-law model and a two-component power-law model, and found no statistically significant support for these alternative models.