This study aims to identify the model that best approximates the credit spread that should be fixed on debt instruments issued by both public and private companies, considering the particularities of the Mexican market. Five models were analyzed: Merton's [1], those proposed by Denzler et al., the one presented in this paper, which includes the conformable derivatives, taking as a reference the change of variable made by Morales-Bañuelos et al., and the Corporate Default Risk Model (DRSK) for Publics Firms of Bloomberg [4]. The required financial information was obtained from the Bloomberg platform, from which the probabilities of default, credit spreads, and credit ratings for each company in the sample under the model (DRSK) were extracted directly. Likewise, the program developed by Moody's K.M.V. was used to obtain the EDF (Expected Default Frequencies). It was concluded that the Modified Merton model approximates to a greater extent the credit spreads that fix on a prime rate on the loans granted to the Mexican non-financial companies.

In the wake of the 2008 financial crisis, the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS) created a list of Systemically Important Financial Institutions (SIFIs) with the intention of determining which financial institutions were important enough to the global market that their failure would result in systemic collapse. In this work we create a model that modifies the BCBS's five indicators of size, interconnectedness, cross-jurisdictional activities, complexity, and substitutability and applies these measures of systemic stress to governments. The original application of the model is to track the systemic interdependence of the Eurozone, with particular emphasis on the case of Greece. We anticipate this model can be used in regional fiscal situations beyond the Eurozone.

In the process of climate change mitigation and adaptation, the focus on climate risk driven by transition innovations has received widespread attention from governments, regulators, and investors. Based on the identification of low-carbon patents through the Green and Low-carbon Technology Inventory in China, this study constructs low-carbon innovation measurements of listed firms in China from 2015 to 2021. Then, an empirical model is used to investigate the impact and mechanism of climate transition innovations on the default risk. The baseline regression model shows that low-carbon innovations can mitigate the default risk of listed firms. Moreover, our findings are supported by instrumental variable regressions that use the time costs of innovation. Finally, the mediation effect demonstrates that investor attention, total factor productivity, and technology spillovers are paths through which transition innovations can affect the default risk. This study reveals that low-carbon technological advances have a positive effect on climate transition risks.

Abstract：The brain often switches freely between focused attention and divergent thinking, and the default mode network (DMN) is activated during brain rest. The discovery, function and characteristics of default mode network all indicate that learning does not stop when the brain "rests". Mental disease can lead to dysfunctional default mode networks, which affects learning adversely. Therefore, default mode network plays an important role in learning. Neural activities such as β-wave rhythm regulation, "subconscious" divergence mode initiation, hippocampal function and neural replay occur during default mode, which also explain that "rest" promotes learning. This paper reveals the role and neural mechanism of default mode network in learning from the neural level, discusses the essential role default mode network plays in learning, and default mode network enables rest to promote learning.

Vaccination is the key infection control measure against Coronavirus Disease 2019 (COVID-19). Most municipalities in Japan have adopted an opt-in system for COVID-19 vaccination, but its background information is limited. We, therefore, aimed to examine the differences in vaccination coverages and their cancellation rates between opt-in and opt-out settings for COVID-19 vaccination in 10 cities in A prefecture, Japan. 10 cities in A Prefecture were surveyed by email as of 10 October 2021 on the vaccination coverage by age group (12 years and older) and the cancellation rate on the day of vaccination. We also checked on the complaints received in the opt-out group. Opt-out was adopted in one of the ten cities in which vaccination was designed for all household members aged 15-64, thus serving as the opt-out group. Vaccination coverage in the opt-out group was 88.2%-89.2% for the first dose and 84.9%-86.0% for the second dose at 95% confidence intervals in the comparable 20–64-year age group. In contrast, the overall opt-in group (nine cities, one of which did not have an identified vaccination rate) was 51.3%-83.6% for the first dose and 63.5%-74.8% for the second dose in the same age group. For the opt-out group, the cancellation rate on the day was 11.3% for the first dose and 3.7% for the second dose, which had a lower cancellation rate than that of the opt-out on influenza vaccines in previous studies, 71%. Meanwhile, the opt-in group did not monitor them. There were no complaints about default changes in the opt-out group. While there is room for further research, such as understanding the reasons for accepting the default change by residents in the opt-out group, it was suggested that making opt-out the default would promote COVID-19 vaccination.

This paper introduces the exponential time differencing (ETD) technique as a numerical method to solve efficiently American vulnerable options pricing. We address several challenges, including removing cross-derivative terms through appropriate transformations, treating early-exercise opportunities using the penalty method, and substituting fixed boundary conditions with corresponding one-sided finite differences. The proposed method is shown to be both accurate and efficient through numerical experiments, which also compare the results with existing methods and analyse the numerical stability and convergence rate.

We propose a novel credit risk measurement model for Corporate Default Swap spreads, that combines vector autoregressive regression with correlation networks. We focus on the sovereign CDS spreads of a collection of countries, that can be regarded as idiosyncratic measures of credit risk. We model them by means of a vector autoregressive regression model, composed by a time dependent country specific component, and by a contemporaneous component that describes contagion effects among countries. To disentangle the two components, we employ correlation networks, derived from the correlation matrix between the reduced form residuals. The proposed model is applied to ten countries that are representative of the recent financial crisis: top borrowing/lending countries, and peripheral European countries. The empirical findings show that the proposed model is a good predictor of CDS spreads movements, and that the contemporaneous component decreases prediction errors with respect to a simpler autoregressive model. From an applied viewpoint, core countries appear to import risk, as contagion increases their CDS spread, whereas peripheral countries appear as exporters of risk. Greece is an unfortunate exception, as its spreads seem to increase for both idiosyncratic factors and contagion effects.

This study examined the tail dependency structure of sovereign credit risk and three global risk factors in BRICS countries using copulas approach, which is known for its ability to provide the “true” tail correlation based on the correct marginal distribution. The empirical results show that global market risk sentiment comoves with sovereign CDS spreads across BRICS countries under extreme market events, with Brazil having the highest co-dependency followed by China, Russia, and South Africa. Furthermore, oil price volatility is the second biggest risk factor correlated with sovereign CDS spreads for Brazil and South Africa while exchange rate risk exhibits very small co-dependence with sovereign CDS spreads under extreme market conditions dominated by tail events. On the contrary, exchange rate risk is the second largest risk factor co-moving with China and Russia’s sovereign CDS spreads while oil price volatility exhibits the lowest co-dependence to CDS in these countries. Between oil price and currency risk, evidence of single risk factor dominance is found for Russia where exchange rate risk is largely dominant. These results suggest that BRICS policymakers might consider financial sector regulations that mitigate risks spill-over such as targeted capital controls when markets are distressed.

By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise by several orders of magnitude. In order to maximize the sensitivity to volatility, a simple formulation of Merton’s model is proposed that employs deep out-of-the-money option implied volatilities. The methodology also eliminates the use of historic data to specify the default barrier thereby leading to a full risk neutral calibration. Subsequently, a new technique for identifying and hedging capital structure arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only executing the delta hedge.

This paper shows the influence of CCP’s collateralization on the pricing of the Credit Default Swaps (CDS). A narrowly variant in the way the CDS seller decides over the resources in the settlement comes with a substantial change on the elements that determine the price of the CDS.

The growth of regularly generated data from many financial activities has significant implications for every corner of financial modeling. This study has investigated the utilization of these continuous growing data by a means of an automated process. The automated process can be developed by using Machine learning based techniques that analyze the data and gain experience from the underlying data. Different important domains of financial fields such as Credit card fraud detection, bankruptcy detection, loan default prediction, investment prediction, marketing and many other financial models can be modeled by implementing machine learning models. Among several machine learning based techniques, the use of parametric and non-parametric based methods are approached by this research. Two parametric models namely Logistic Regression, Gaussian Naive Bayes models and two non-parametric methods such as Random Forest, Decision Tree are implemented in this paper. All the mentioned models are developed and implemented in the field of Credit card fraud detection, bankruptcy detection, loan default prediction. In each of the aforementioned cases, the comparative study among the classification techniques is drawn and the best model is identified. The performance of each classifier on each considered domain is evaluated by various performance metrics such as accuracy, recall, precision, F1-score and mean squared error. In the credit card fraud detection model the decision tree classifier performs the best with an accuracy of 99.1% and, in the loan default prediction and bankruptcy detection model, the random forest classifier gives the best accuracy of 97% and 96.84% respectively.

We constructed a novel design integrating the administration of a clinical self-assessment scale with simultaneous acquisition of functional Magnetic Resonance Imaging (fMRI), aiming at cross-validation between psychopathology evaluation and neuroimaging techniques. We hypothesized that areas demonstrating differential activation in two groups of patients (paranoid and depressive) will have distinct connectivity patterns and structural differences.

Mind-body interaction and its manifestations at the brain level has been studied extensively in the field of consciousness research. Fara-darmani Consciousness Field, as claimed by Mohammad Ali Taheri (the founder), is a method of connecting with the Cosmic Consciousness Network through human mind and his brain has a detective role in this process. As a result of this connection, the scanning process of the state of a being, e.g., the health status of the cells and consequently organs is performed. This study was conducted to evaluate the effects of the Fara-darmani Consciousness Field connection on electroencephalogram (EEG) features as an important biomarker of the brain functioning. The results showed that there was a significant increase in the gamma2 frequency band (35-40 Hz) power in the frontal lobe in medial frontal gyrus (BA6) and paracentral lobule (BA31) of the brain during the task condition compared to the rest condition in a Fara-therapist population. Considering the cortical electrical activity of Fara-therapist’s brain during Fara-darmani Consciousness Field connection, characterizing increase in the power of gamma wave and the activity of the areas affecting on memory, attention, perception and default mode network intrinsic activity. This manifestation distinguishes Fara-darmani Consciousness Field connection from other known methods dealing with the mind-body interaction criterion mainly different types of mediation.

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The first and second moments of this jump-diffusion process are used to calculate the insurance premium based on mean-variance principle. The Laplace transform of the aggregated process is derived, and this leads to an application for pricing default-free bonds which could capture the impacts of both exogenous and endogenous shocks. Illustrative numerical examples and comparisons with other models are also provided.

Some concepts/hypotheses have been proposed to explain the general rules behind the complexity of tumorigenesis. Characterization of the property of cancer cells and neural stem cells indicates that neural stemness underlies tumorigenicity and pluripotency, leading to the proposal that tumorigenesis represents a process of progressive loss of original cell identity and gain of neural stemness. This reminds of a most fundamental process required for the development of the nervous system and body axis during embryogenesis, i.e., embryonic neural induction. The principle of neural induction is that, in response to extracellular signals that are secreted by the Spemann-Mangold organizer in amphibians or the node in mammals and inhibit epidermal fate in ectoderm, the ectodermal cells assume the neural default fate and turn into neuroectodermal cells. These cells further differentiate into the nervous system and also some non-neural cells via interaction with adjacent tissues. Failure in neural induction leads to failure of embryogenesis, and ectopic neural induction due to ectopic organizer or node activity or activation of embryonic neural genes causes a formation of secondary body axis or conjoined twins. A similar principle underlies tumorigenesis. Increasing evidence has demonstrated that the core property of cancer cells is neural stemness. Therefore, cancer cells are cells with the loss of original cell identity and gain of neural stemness, and consequently tumorigenicity and pluripotency, due to various intra-/extracellular insults in postnatal animals. Unlike that pluripotent cells (embryonic pluripotent cells, neural stem cells and cancer cells) can differentiate and integrate into embryonic development, cancer cells are capable of self-renewal and differentiation, but cannot integrate into normal tissues in a 2 postnatal animal, ultimately leading to tumor formation. Neural induction and the unique property of neural stemness provide an inclusive explanation for embryogenesis, conjoined twin formation and tumorigenesis. Based on these findings, I discuss about some confusion in cancer research, e.g., epithelial-mesenchymal transition, and propose to distinguish the causality and associations, and the causal and supporting factors involved in tumorigenesis, and suggest revisiting the focus of cancer research. Integration of evidence from developmental and cancer biology indicates that neural stemness determines tumorigenicity and pluripotency, and neural induction drives embryogenesis in gastrulating embryos but a similar process drives tumorigenesis in a postnatal animal.

Tumorigenesis is a complex biological phenomenon that includes extensive genetic and phenotypic heterogeneities and complicated regulatory mechanisms. In the recent few years, our studies demonstrate that tumor-initiating cells are similar to neural stem/progenitor cells in regulatory networks, tumorigenicity and pluripotent differentiation potential. In the review, I will make further discussion on these observations and propose a rule of cell biology by integrating these findings with evidence from developmental biology, tumor biology and evolution, which suggests that neural stemness underlies two coupled cell properties, tumorigenicity and pluripotent differentiation potential. Tumorigenicity and phenotypic heterogeneity in tumor is a result of acquirement of neural stemness in cells. The neural stemness property of tumor-initiating cells can hopefully integrate different concepts/hypotheses underlying tumorigenesis. Neural stem cells/neural progenitors and tumor-initiating cells share regulatory networks; both exhibit neural stemness, tumorigenicity and differentiation potential; both are dependent on expression or activation of ancestral genes (the atavistic effect); both rely primarily on aerobic glycolytic metabolism; both can differentiate into various cells or tissues that are derived from three germ layers, resembling severely disorganized or more severely degenerated process of embryonic development; both are enriched in long genes with more splice variants that provide more plastic scaffolds for cell differentiation, etc. The property of neural stemness might be a key point to understand tumorigenesis and pluripotent differentiation potential, and possibly explain certain pathological observations in tumors that have been inexplicable. Therefore, behind the complexity of tumorigenesis might be a general rule of cell biology, i.e., neural stemness represents the ground state of cell tumorigenicity and pluripotent differentiation potential.

Recent brain imaging findings by using different methods (e.g., fMRI and PET) have suggested that social anxiety disorder (SAD) is correlated with alterations in regional or network-level brain function. However, due to many limitations associated with these methods, such as poor temporal resolution and limited number of samples per second, neuroscientists could not quantify the fast dynamic connectivity of causal information networks in SAD. In this study, SAD-related changes in brain connections within the default mode network (DMN) were investigated using eight electroencephalographic (EEG) regions of interest. Partial directed coherence (PDC) was used to assess the causal influences of DMN regions on each other and indicate the changes in the DMN effective network related to SAD severity. The DMN is a large-scale brain network basically composed of the mesial prefrontal cortex (mPFC), posterior cingulate cortex (PCC)/precuneus, and lateral parietal cortex (LPC). The EEG data were collected from 88 subjects (22 control, 22 mild, 22 moderate, 22 severe) and used to estimate the effective connectivity between DMN regions at different frequency bands: delta (1–3 Hz), theta (4–8 Hz), alpha (8–12 Hz), low beta (13–21 Hz), and high beta (22–30 Hz). Among the healthy control (HC) and the three considered levels of severity of SAD, the results indicated a higher level of causal interactions for the mild and moderate SAD groups than for the severe and HC groups. Between the control and the severe SAD groups, the results indicated a higher level of causal connections for the control throughout all the DMN regions. We found significant increases in the mean PDC in the delta (p = 0.009) and alpha (p = 0.001) bands between the SAD groups. Among the DMN regions, the precuneus exhibited a higher level of causal influence than other regions. Therefore, it was suggested to be a major source hub that contributes to the mental exploration and emotional content of SAD. In contrast to the severe group, HC exhibited higher resting-state connectivity at the mPFC, providing evidence for mPFC dysfunction in the severe SAD group. Furthermore, the total Social Interaction Anxiety Scale (SIAS) was positively correlated with the mean values of the PDC of the severe SAD group, r (22) = 0.576, p = 0.006 and negatively correlated with those of the HC group, r (22) = −0.689, p = 0.001. The reported results may facilitate greater comprehension of the underlying potential SAD neural biomarkers and can be used to characterize possible targets for further medication.