The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit risk model proposed in Cathcart and El-Jahel (2003). Default occurs either the first time a signaling process breaches a threshold barrier or unexpectedly at the first jump of a Cox process. The intensity of default depends on the risk-free interest rate, which follows a Vasicek process, instead of a Cox-Ingersoll-Ross process as in the original model. This offers two advantages. On the one hand, it allows us to account for negative interest rates which are recently observed, on the other hand, it simplifies the formula for pricing CDSs. The goodness of fit of the model is tested using a dataset of CDS credit spreads related to European companies. The results obtained show a rather satisfactory agreement between theoretical predictions and market data, which is identical to the one obtained with the original model. In addition, the values of the calibrated parameters result to be stable over time and the semi-closed form solution ensures a very fast implementation.
In recent years, the global trade landscape has undergone significant changes, particularly in the aftermath of the 2008 financial crisis and more recently as a consequence of Covid-19 pandemic. To understand the structure of international trade and the impact of these changes, this study applies a combination of network analysis and causal inference techniques to the most extensive coverage of available data in terms of time span and spatial extension. The study is conducted in two phases. The first one explores the structure of international trade by providing a comprehensive analysis of the World Trade Network (WTN) from various perspectives, including the identification of key players and clusters of strongly interacting countries. The second phase investigates the impact of the rising role of China on the global structure of the WTN. Overall, the results highlight a structural change in the WTN, evidenced by a variety of network metrics, around China’s rapid growth years. Additionally, the reshaping of the WTN is not only accompanied by a significant increase in trade flows between China and its partners, but also by a corresponding decline in trade among non-China-partner countries. These results suggest that China played a pivotal role in the restructuring of the WTN in the first decades of this century. The findings of this study shed light on the interpretation of the rapidly changing landscape of global trade.
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