Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of the new i
ncomplete-market model to further study CDS hedging and extends the model so that it is capable treating single-name CDS portfolios. Also, a hedge called the vanilla hedge is described, and with it, analytic results are obtained explaining the striking features of the plot of no-arbitrage bounds versus CDS maturity for illiquid CDSs. The valuation process that follows from the incomplete-market model is an integrated modelling and risk management procedure, that first uses the model to find the arbitrage-free range of fair prices, and then requires risk management professionals for both the buyer and the seller to find, as a basis for negotiation, prices that both respect the range of fair prices determined by the model, and also benefit their firms. Finally, in a section on numerical results, the striking behavior of the no-arbitrage bounds as a function of CDS maturity is illustrated, and several examples describe the reduction in risk by the hedging of single-name CDS portfolios.
The performance of perovskite solar cells recently exceeded 15% solar-to-electricity conversion efficiency for small-area devices. The fundamental properties of the active absorber layers, hybrid organic-inorganic perovskites formed from mixing metal
and organic halides [textit{e.g.} (NH$_4$)PbI$_3$ and (CH$_3$NH$_3$)PbI$_3$], are largely unknown. The materials are semiconductors with direct band gaps at the boundary of the first Brillouin zone. The calculated dielectric response and band gaps show an orientation dependence, with a low barrier for rotation of the organic cations. Due to the electric dipole of the methylammonium cation, a photoferroic effect may be accessible, which could enhance carrier collection.
