Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

Team performance according to ball possession characteristics : a social networks approach

Over the last few years, football entered in a period of accelerated access to large amount of match analysis data. Social networks have been adopted to reveal the structure and organization of the web of interactions, such as the players passing distribution tendencies. In this study we investigated the influence of ball possession characteristics in the competitive success of Spanish La Liga teams. The sample was composed by OPTA passing distribution raw data (n=269,055 passes) obtained from 380 matches involving all the 20 teams of the 2012/2013 season. Then, we generated 760 adjacency matrixes and their corresponding social networks using Node XL software. For each network we calculated three team performance measures to evaluate ball possession tendencies: graph density, average clustering and passing intensity. Three levels of competitive success were determined using two-step cluster analysis based on two input variables: the total points scored by each team and the scored per conceded goals ratio. Our analyses revealed significant differences between competitive performances on all the three team performance measures (p < .001). Bottom-ranked teams had less number of connected players (graph density) and triangulations (average clustering) than intermediate and top-ranked teams. However, all the three clusters diverged in terms of passing intensity, with top-ranked teams having higher number of passes per possession time, than intermediate and bottom-ranked teams. Finally, similarities and dissimilarities in team signatures of play between the 20 teams were displayed using Cohen’s effect size. In sum, findings suggest the competitive performance was influenced by the density and connectivity of the teams, mainly due to the way teams use their possession time to give intensity to their game.