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In this paper we assume that choice of commodities at the individual (household) level is made inside the budget set and that the choice can be described by a probability density function. We prove that law of demand()0xExpis valid for one(x) or two choice variables (x, y)*. The law of...

In this paper we use some(even a convex) probabilistic frequency functions in two choice variables defined over the budget set” box” and calculate the expected demand to study its properties The expected demands have own price negativity , are normal goods and are homogeneous of degree...

In this paper we assume that choice of commodities at the individual (household) level is made in the budget set and that the choice can be described by a probability density function. We prove that negativity (()0xExp<) is valid for one(x) or two choice variables (x, y) (No Giffen good).Negativity at the market level is valid by summation. The expected demand functions are homogeneous of degree zero in prices and income. We use general positive continuous functions f(x), f(x, y) defined on the bounded budget set. We transform them into probability density functions to calculate E(x) and prove negativity. The present approach use simple assumptions and is descriptive in its nature. Any choice behaviour that can be described by a continuous density function gives the above results. (,,)xyppm Why not keep descriptions as simple as possible?<p>

In [4], the authors introduced a Markov copula model of portfolio credit risk. This model solves the top-down versus bottom-up puzzle in achieving efficient joint calibration to single-name CDS and to multi-name CDO tranches data. In [4], we studied a general model, that allows for stochastic...

We study a model for default contagion in intensity-based credit risk and its consequences for pricing portfolio credit derivatives. The model is specified through default intensities which are assumed to be constant between defaults, but which can jump at the times of defaults. The model is...

We study default contagion in large homogeneous credit portfolios. Using data from the iTraxx Europe series, two synthetic CDO portfolios are calibrated against their tranche spreads, index CDS spreads and average CDS spreads, all with five year maturity. After the calibrations, which render...

We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and tranchelets in an intensity-based credit risk model with default contagion. The default dependence is modelled by letting individual intensities jump when other defaults occur. The model is reinterpreted...

This study undertakes a decomposition analysis to identify the drivers of carbon emissions change in the Swedish business and industry sectors 1993 - 2006. On aggregate, energy intensity decreased, but this does not seem to have been very important for reducing emissions. Rather, fuel...

We model dynamic credit portfolio dependence by using default contagion in an intensity-based framework. Two different portfolios (with 10 obligors), one in the European auto sector, the other in the European financial sector, are calibrated against their market CDS spreads and the corresponding...