Open Science Research Excellence

A Brunel

Publications

2

Publications

2
10000048
Dissociation of CDS from CVA Valuation under Notation Changes
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. 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.
1
10003864
Quantitative Ranking Evaluation of Wine Quality
Abstract:
Today, wine quality is only evaluated by wine experts with their own different personal tastes, even if they may agree on some common features. So producers do not have any unbiased way to independently assess the quality of their products. A tool is here proposed to evaluate wine quality by an objective ranking based upon the variables entering wine elaboration, and analysed through principal component analysis (PCA) method. Actual climatic data are compared by measuring the relative distance between each considered wine, out of which the general ranking is performed.
Keywords:
Wine, grape, vine, weather conditions, rating, climate, principal component analysis, metric analysis.