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...

The Sound of the Digital Global City

Madrid has been the center of Spanish musical scene and industry since the 80s, when “la movida” becomes the metaphor for the new colorful, young and cosmopolitan country established with the arrival of democracy. The city, in this way, is basically a place. But this sense of place started to crash with the arrival of digital music. In the new paradigm, intermediaries were supposed to disappear and music was something contained in networks and computers. The question now is how to integrate digital music, a nonphysical, individual experience, with the way in which the city of Madrid is lived through in musical terms. With the advent of digital music, concerts became the primary source of income for musicians. The centrality of the gig can be understood as the confirmation that we are living in an economy of experience. This centrality also reorganized the way in which music is produced and consumed: now, records are produced in order to create the opportunity of a musical event (band promote their tour as presentation of their latest recordings) that can be promoted in social networks and media; concerts are the places where musicians construct their fans’ communities and are the places were records are sold, not a way to know the band but to demonstrate both the support for the band and the status of the listeners. To study the place of music in the process of metropolization in Madrid we need to understand music as a field of tension