•The dynamics of sovereign CDS spreads are impacted by global and local sources of risk.•The sovereign CDS term structure is informative about the nature of shocks.•Global risk factors dominate when ...the slope is positive.•Domestic risk factors dominate when the slope is negative.•The slope is model-free and observable in real time.
The shape of the term structure of credit default swap spreads is an informative signal about the importance of global and domestic risk factors to the time variation of sovereign credit spreads. Exploiting cross-country heterogeneity among 44 countries, I document that the importance of global and country-specific risk in explaining sovereign credit risk varies with the sign of the slope of the term structure and the duration of its inversion. A model is used to show that global uncertainty shocks determine spread changes when the slope is positive, and that domestic shocks are more important when the slope is negative.
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This study focused on the detection of mesoscale meteorological phenomena, such as the nocturnal low-level jet (NLLJ) and sea breeze (SB), using automatic deterministic detection wavelet technique ...algorithms (HWTT and SWT) and the machine learning recurrent neural network (RNN) algorithm. The developed algorithms were applied for detection of NLLJ and SB events from ultrasonic anemometer measurements, performed between January 2018 and December 2019 at a nearshore experimental site in the north of France. Both algorithms identified the SB and NLLJ days successfully. The accuracy of SB event detection by the RNN algorithm attained 95%, and we identified 67 and 78 SB days in 2018 and 2019, respectively. Additionally, a total of 192 and 168 NLLJ days were found in 2018 and 2019, respectively. To demonstrate the capability of the algorithms to detect SB and NLLJ events from near-ground ultrasonic anemometer measurements, analysis of the simultaneous wind lidar measurements available for 86 days were performed. The results show a good agreement between the RNN-based detection method and the lidar observations, detecting 88% of SB. Deterministic algorithms (HWTT and SWT) detected a similar number of NLLJ events and provided high correlation (0.98) with the wind lidar measurements. The meteorological phenomena studied can significantly affect the energy production of offshore wind farms. It was found that the maximum hourly average peak power production could be to 5 times higher than that of the reference day due to higher wind speed observed during NLLJ events. During SB events, hourly average peak power production could be up to 2.5 times higher. In this respect, the developed algorithms applied for analysis, from near-ground anemometer measurements, may be helpful for monitoring and forecasting the meteorological phenomena capable of disturbing the energy production of offshore wind turbines.
Reynolds stress anisotropy is estimated from the stress spheroids, based on 20 Hz ultrasonic anemometer measurements, performed in the coastal area of northern France, over a 1.5-year long period. ...Size and shape variation (i.e., prolate, oblate, disk, rod, etc.) of stress spheroids are used for the characterization of energy redistribution by turbulent eddies. The sea-breeze (SB) events were identified using a change in wind direction from seaward (SWD) to landward (LWD) during the day time. We found that the LWD wind creates more turbulent anisotropic states than SWD wind. The prolate-shaped stress spheroids correspond to small-scale turbulence observed during LWD wind, while oblate spheroids are found during SWD winds. Moreover, it was found that during LWD winds, large turbulence kinetic energy (TKE) in the flow field produces large stress spheroids. On the contrary, during SWD winds, a smaller level of TKE is responsible for small-size stress spheroid formation. The average volume of the corresponding Reynolds stress spheroids during the LWD is 13% larger than that of during SWD wind.
Ambiguity, Volatility, and Credit Risk Augustin, Patrick; Izhakian, Yehuda
The Review of financial studies,
04/2020, Volume:
33, Issue:
4
Journal Article
Peer reviewed
We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS ...contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is a net buyer of credit protection. A 1-standard-deviation increase in ambiguity is estimated to decrease CDS spreads by approximately 6%.
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During the first Intensive Observation Period (IOP1) of the SHADOW (SaHAran Dust Over West Africa) campaign carried out during March–June 2015, the Mbour site (Senegal) was reinforced with a large ...setup of in-situ and remote sensing instruments to measure the aerosol optical, physical and chemical properties as well as the atmospheric dynamical features over the site. Here, we use this dataset to study the impact of Sea Breeze (SB) on the aerosol properties.
Two case studies were selected: (i) one representative of SB events observed during typical Harmattan conditions, (ii) and one representative of SB events observed during a Harmattan desert dust event. Both cases show a strong influence of the SB period on the dry Mass Scattering Efficiency (MSE), which increases by a factor of up to 1.4. Given the fact that SB occurred every other day at this coastal site during IOP1 (dry season) and that the relative humidity may reach 96%, the effect of such event on the radiative forcing may not be negligible.
In order to evaluate the effects of different flows on aerosol transport, recirculation and stagnation factors were retrieved from wind components. The air mass recirculation factor implies that aerosols previously transported from the land over the sea are then brought back inland. In both cases, high recirculation factors were calculated (between 0.84 and 0.98) and air mass stagnation was observed right before the SB establishment. However, this stagnation is observed over the sea during the first case while it is located near the coast during the second case, which has a significant impact on the aerosol evolution. Indeed, a stagnation of air masses over the sea is associated with an increase in fine aerosol mass concentrations (PM1, PM2.5) due to a higher contribution of marine and anthropogenic sources notably for organic aerosols, and a higher contribution of more-oxidized organics. This contribution is lower when the air mass stagnation occurs over the shoreline during the desert dust event.
•Local dynamics impact aerosol properties. Aerosol mass scattering efficiency is increasing during sea-breeze period.•The stagnation area, due to flow confrontation, over the sea (coastline) leads to an enhancement of PM1 (PM10) fraction.•During the Low Level Jet onset in altitude, PM10 and absorption coefficient observed at ground level increased up to a factor of 2.
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Medium-to-large fluctuations and coherent structures (mlf-cs's) can be observed using horizontal scans from single Doppler lidar or radar
systems. Despite the ability to detect the structures ...visually on the images, this method would be time-consuming on large datasets, thus limiting
the possibilities to perform studies of the structures properties over more than a few days. In order to overcome this problem, an automated
classification method was developed, based on the observations recorded by a scanning Doppler lidar (Leosphere WLS100) installed atop a 75 m tower
in Paris's city centre (France) during a 2-month campaign (September–October 2014). The mlf-cs's of the radial wind speed are estimated using the
velocity–azimuth display method over 4577 quasi-horizontal scans. Three structure types were identified by visual examination of the wind fields:
unaligned thermals, rolls and streaks. A learning ensemble of 150 mlf-cs patterns was classified manually relying on in situ and satellite
data. The differences between the three types of structures were highlighted by enhancing the contrast of the images and computing four texture
parameters (correlation, contrast, homogeneity and energy) that were provided to the supervised machine-learning algorithm, namely the quadratic
discriminant analysis. The algorithm was able to classify successfully about 91 % of the cases based solely on the texture analysis
parameters. The algorithm performed best for the streak structures with a classification error equivalent to 3.3 %. The trained algorithm
applied to the whole scan ensemble detected structures on 54 % of the scans, among which 34 % were coherent structures (rolls and streaks).
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Sea breeze (SB) phenomena may strongly influence air quality and lead to important effects on human health. In order to study the impact of SB dynamics on the properties and toxicity of aerosols, an ...atmospheric mobile unit was deployed during a field campaign performed in an urbanized and industrialized coastal area in Northern France. This unit combines aerosol samplers, two scanning lidars (Doppler and elastic) and an air-liquid interface (ALI, Vitrocell®) in vitro cell exposure device. Our study highlights that after the passage of an SB front, the top of the atmospheric boundary layer collapses as the thermal internal boundary layer (TIBL) develops, which leads to high aerosol extinction coefficient values (>0.4 km−1) and an increase of PM2.5 and NOx concentrations in the SB current. The number-size distribution of particles indicates a high proportion of fine particles (with diameter below 500 nm), while the volume-size distribution shows a major mode of coarse particles centered on 2–3 µm. Individual particle analyses performed by cryo-transmission scanning electron microscopy (cryo-TSEM)-EDX highlights that submicronic particles contained a high fraction of secondary compounds, which may result from nucleation and/or condensation of condensable species (vapors or gaseous species after photo-oxidation). Secondary aerosol (SA) formation can be enhanced in some areas, by the interaction between the SB flow and the upper continental air mass, particularly due to the effect of both turbulence and temperature/humidity gradients between these two contrasting air masses. Potential areas of SA formation are located near the ground, during the SB front passage and in the vicinity of the SB current top. During the sea breeze event, an increase in the oxidative stress and inflammation processes in exposed lung cells, compared to the unexposed cells, can also be seen. In some instances, short singularity periods are observed during SB, corresponding to a double flow structure. It consists of two adjacent SB currents that induce an important increase of the TIBL top, improving the pollutants dispersion. This is associated with a substantial decrease of aerosol mass concentrations.
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A room-temperature continuous-wave (CW) quantum cascade laser (QCL)-based methane (CH4) sensor operating in the mid-infrared near 8 μm was developed for continuous measurement of CH4 concentrations ...in ambient air. The well-isolated absorption line (7F2,4 ← 8F1,2) of the ν4 fundamental band of CH4 located at 1255.0004 cm(-1) was used for optical measurement of CH4 concentration by direct absorption in a White-type multipass cell with an effective path-length of 175 m. A 1σ (SNR = 1) detection limit of 33.3 ppb in 218 s was achieved with a measurement precision of 1.13%. The developed sensor was deployed in a campaign of measurements of time series CH4 concentration on a site near a suburban traffic road in Dunkirk (France) from 9th to 22nd January 2013. An episode of high CH4 concentration of up to ~3 ppm has been observed and analyzed with the help of meteorological parameters combined with back trajectory calculation using the Hybrid Single Particle Lagrangian Integrated Trajectory (HYSPLIT) model of NOAA.
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Three atmospheric boundary layer （ABL） schemes and two land surface models that are used in the Weather Research and Forecasting （WRF） model, version 3.4.1, were evaluated with numerical simulations ...by using data from the north coast of France （Dunkerque）. The ABL schemes YSU （Yonsei University）, ACM2 （Asymmetric Convective Model version 2）, and MYJ （Mellor-Yamada-Janjic） were combined with two land surface models, Noah and RUC （Rapid Update Cycle）, in order to determine the performances under sea-breeze conditions. Particular attention is given in the determination of the thermal internal boundary layer （TIBL）, which is very important in air pollution scenarios. The other physics parameterizations used in the model were consistent for all simulations. The predictions of the sea-breeze dynamics output from the WRF model were compared with observations taken from sonic detection and ranging, light detection and ranging systems and a meteorological surface station to verify that the model had reasonable accuracy in predicting the behavior of local circulations. The temporal comparisons of the vertical and horizontal wind speeds and wind directions predicted by the WRF model showed that all runs detected the passage of the sea-breeze front. However, except for the combination of MYJ and Noah, all runs had a time delay compared with the frontal passage measured by the instruments. The proposed study shows that the synoptic wind attenuated the intensity and penetration of the sea breeze. This provided changes in the vertical mixing in a short period of time and on soil temperature that could not be detected by the WRF model simulations with the computational grid used. Additionally, among the tested schemes, the combination of the local- closure MYJ scheme with the land surface Noah scheme was able to produce the most accurate ABL height compared with observations, and it was also able to capture the TIBL.
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EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, KILJ, KISLJ, MFDPS, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
Sovereign credit default swap quanto spreads tell us how financial markets view the interaction between a country’s likelihood of default and associated currency devaluations (the Twin Ds). A ...no-arbitrage model applied to the term structure of eurozone quanto spreads can isolate the Twin Ds and can gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted one-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) countries. The weekly risk premium for euro devaluation in case of default for the core (periphery) exceeds the regular currency premium by up to 18 (13) basis points.
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