Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

Evaluation of the risk factors contributing to the African swine fever occurrence in Sardinia, Italy

This study assesses the relation between hypothesized risk factors and African swine fever virus (ASFV) distribution in Sardinia (Italy) after the beginning of the eradication program in 1993, using a Bayesian multivariable logistic regression mixed model. Results indicate that the probability of ASFV occurrence in Sardinia was associated to particular socio-cultural, productive and economical factors found in the region, particularly to large number of confined (i.e., closed) farms (most of them backyard), high road density, high mean altitude, large number of open fattening farms, and large number of pigs per commune. Conversely, large proportion of open farms with at least one census and large proportion of open farms per commune, were found to be protective factors for ASFV. Results suggest that basic preventive and control strategies, such as yearly census or registration of the pigs per farm and better control of the public lands where pigs are usually raised, together with endanced effords of outreach and communication with pig producers should help in the success of the eradication program for ASF in the Island. Methods and results presented here will inform decision making to better control and eradicate ASF in Sardinia and in all those areas with similar management and epidemiological conditions.

Variational mean-field approach to the double-exchange model

It has been recently shown that the double exchange Hamiltonian, with weak antiferromagnetic interactions, has a richer variety of first- and second-order transitions than previously anticipated, and that such transitions are consistent with the magnetic properties of manganites. Here we present a thorough discussion of the variational mean-field approach that leads to these results. We also show that the effect of the Berry phase turns out to be crucial to produce first-order paramagnetic-ferromagnetic transitions near half filling with transition temperatures compatible with the experimental situation. The computation relies on two crucial facts: the use of a mean-field ansatz that retains the complexity of a system of electrons with off-diagonal disorder, not fully taken into account by the mean-field techniques, and the small but significant antiferromagnetic superexchange interaction between the localized spins.