Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

On the (ir)relevance of rates of return measures of economic performance to small boats

A common measure of the economic performance of different fleet segments in fisheries is the rate of return on capital. However, in the English Channel (UK), observed changes in the fleet structure are at odds with expectations given the observed rates of return on capital. This disjunction between expected and observed behaviour raises the question as to the appropriateness of rate of return on capital as a measure of economic performance for small boats whose main input is often non-wage labour. In this paper, an alternative performance indicator is developed based on returns on owner-operator labour. This indicator appears to be of more relevance to small scale boats than the traditional returns on capital, and a better indicator of the direction of adjustment in the fishery.

Institutional investors, risk/return and corporate governance : practical lessons from the Global Financial Crisis

The global grown in institutional investors means that firms can no longer ignore their influence in capital markets. However, not all institutional investors have the same motives to influence the firms they invest in. Institution investors' ability to influence management depends on the size of their investment and whether they have any business relations with the firm. Using a sample of Australian firms from 2006 to 2008, our empirical results show that the proportion of a company's shares held by institutional investors is positively associated with firm governance ratings, risk and profitability. This study shows that a positive association between risk and return is associated with large active institutional ownership, which we interpret as shareholders with sufficient power to pressure management to increase short-term profits.

Food price volatility and hunger alleviation-can Cannes work

Recent years have seen global food prices rise and become more volatile. Price surges in 2008 and 2011 held devastating consequences for hundreds of millions of people and negatively impacted many more. Today one billion people are hungry. The issue is a high priority for many international agencies and national governments. At the Cannes Summit in November 2011, the G20 leaders agreed to implement five objectives aiming to mitigate food price volatility and protect vulnerable persons. To succeed, the global community must now translate these high level policy objectives into practical actions. In this paper, we describe challenges and unresolved dilemmas before the global community in implementing these five objectives. The paper describes recent food price volatility trends and an evaluation of possible causes. Special attention is given to climate change and water scarcity, which have the potential to impact food prices to a much greater extent in coming decades. We conclude the world needs an improved knowledge base and new analytical capabilities, developed in parallel with the implementation of practical policy actions, to manage food price volatility and reduce hunger and malnutrition. This requires major innovations and paradigm shifts by the global community.

Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

Sources and composition of sub-200 nm sea spray aerosol inferred from volatility and hygroscopicity

Enrichment of marine organics in remote marine aerosols can influence their ability to act as cloud condensation nuclei (CCN), which are sites for water vapour to condense into cloud droplets. This project identified the composition and hygroscopicity of sea spray aerosol (SSA) formed at the ocean surface due to bursting of entrained air bubbles. SSA from organically enriched waters in the southwest Pacific and Southern Oceans were investigated. Results indicate that current emission schemes may not adequately predict SSA CCN, influencing the representation of cloud formation in climate modelling.

Ethical screening and financial performance : the case of Islamic equity funds

Whether ethical screening affects portfolio performance is an important question that is yet to be settled in the literature. This paper aims to shed further light on this question by examining the performance of a large global sample of Islamic equity funds (IEFs) from 1984 to 2010. We find that IEFs underperform conventional funds by an average of 40 basis points per month, consistent with the underperformance hypothesis. In line with popular media claims that Islamic funds are a safer investment, IEFs outperformed conventional funds during the recent banking crisis. However, we find no such outperformance for other crises or high volatility periods. Based on fund holdings-based data, we provide evidence of a negative curvilinear relation between fund performance and ethical screening intensity, consistent with a return trade-off to being more ethical.

Equal shared parental responsibility and shared care post-return to Australia under the Hague Child Abduction Convention

This article explores the outcomes experienced by abducting primary carer mothers and their children post-return to Australia under the Hague Convention on Civil Aspects of International Child Abduction.1 The circumstances faced by families that experience international parental child abduction are examined by considering how part VII of the Australian Family Law Act 1975 (Cth) is applied to resolve parenting disputes post-return. At present, the statutory criteria found in part VII encourage an equal shared parental responsibility and shared care parenting approach.2 This emphasis aligns children’s best interests with collaborative parenting3 and their parents living within close geographical proximity of each other to facilitate the practicalities of the approach.4 Arguably, these statutory criteria guide the exercise of judicial discretion to determine a child’s best interests towards a parenting arrangement that is incompatible with the lifestyle and functional characteristics of these families.

A study of outcomes post-return to Australia under the Hague Child Abduction Convention for abducting primary-carer mothers and their children

This article reports the findings of an empirical study of outcomes experienced by abducting primary-carer mothers and their children post-return to Australia under the Hague Child Abduction Convention. The study specifically focused on legal and factual outcomes post-return to Australia as the child's habitual residence. The study contributes an original critique of the Convention's operation by examining the collective operation of Convention return proceedings and Pt VII proceedings under the Family Law Act 1975 (Cth) post-return. Convention return proceedings, and the resolution of the substantive parenting dispute post-return to Australia, are not distinct stages operating in isolation. Viewing them as such is a purely theoretical exercise divorced from the reality of the lives of transnational families. Arguably, a better measure of the Convention's success is the outcomes it produces as part of the entire system designed to address the contemporary problem of international parental child abduction. When a child is returned to Australia this system includes the operation of Australian family law.

Matter and movement: Expression as topological continuity or a return to Butades' wall

This paper aims to address the ways in which drawing can be understood as the becoming-expressive of materials, site, and body, over time. The discussion pivots around a series of studies that replace linear or causal relationships – in history, drawing and expression – with topological movement. My approach is largely through a speculative case study. In a rereading of the familiar Butades myth, I examine how a shadow tracing can variously be taken as the first mimetic art with its origins in the urge to “capture”, and, antithetically, as the originary expressive folding of matter, site and body. The paper is divided into five sections. The first presents the Butades myth, identifying the representational problem that lies at the roots of its traditional telling. The next three sections outline a series of topologies that facilitate a discussion of the Butades myth from historical, disciplinary, and expressive perspectives. The final section aims to show the relevance of this discussion to a contemporary drawing practice, using my own drawing research as a case study. The field of inquiry is that of representational critique. The fold, an image associated with a topological geometry, replaces the relational or signifying disjuncture of representational structures, and suggests a becoming- expressive of subject and object, form and matter.

Adoption dynamics of increasing-return technologies in systemic contexts

Many systemic, complex technologies have been suggested to exhibit increasing returns to adoption, whereby the initial increase in adoption leads to increasing experience with the technology, which drives technological improvements and use, subsequently leading to further adoption. In addition, in the systemic context, mimetic behavior may lend support to increasing returns as technology adoption is witnessed among other agents in the systemic context. Finally, inter-dependencies in the systemic context also sensitize the adoption behavior to fundamental changes in technology provisioning, and this may lend support for the increasing returns type of dynamics in adoption. Our empirical study examines the dynamics of organizational technology adoption when technology is provisioned by organizations in another sub-system in a systemic context. We hypothesize that innovation, imitation, and technological change effects are present in creating increasing returns in the systemic context. Our empirical setting considers 24 technologies represented by 2282 data points in the computer industry. Our results provide support for our prediction that imitation effects are present in creating increasing returns to adoption. We further discuss the managerial and research implications of our results.

The eternal return of teaching in the time of the corporation

This article addresses the new conditions under which teachers are making the choice to teach. Our core contention is that the reorganisation of schools according to the logic of the corporation, as described in Deleuze's ‘Postscript’, is changing the flows and forces on the primary surface of ‘the classroom’. These changes block the usual movements of teaching to discipline, normalise and individualise, which was the role of the school as precursor to the factory. Blocked from repeating, or returning, teaching as it has always been done, teachers must actively re-will to teach; teachers cannot use order words to name themselves and direct flows and forces as they have usually been done. While many choices to teach will be undertaken, the most popular being that of choosing to teach toward the corporation, the repetition of teaching toward enclosed spaces becomes less compelling. Like Nietzsche's Zarathustra, teachers, who have the courage to actively choose, face a new dawn in which teaching cannot be what it once was. In that moment they must choose to repeat that choice an infinite number of times, the choice of eternal return, and it is from here that new times might begin.

Effect of atmospheric aging on volatility and reactive oxygen species of biodiesel exhaust nano-particles

In the prospect of limited energy resources and climate change, effects of alternative biofuels on primary emissions are being extensively studied. Our two recent studies have shown that biodiesel fuel composition has a significant impact on primary particulate matter emissions. It was also shown that particulate matter caused by biodiesels was substantially different from the emissions due to petroleum diesel. Emissions appeared to have higher oxidative potential with the increase in oxygen content and decrease of carbon chain length and unsaturation levels of fuel molecules. Overall, both studies concluded that chemical composition of biodiesel is more important than its physical properties in controlling exhaust particle emissions. This suggests that the atmospheric aging processes, including secondary organic aerosol formation, of emissions from different fuels will be different as well. In this study, measurements were conducted on a modern common-rail diesel engine. To get more information on realistic properties of tested biodiesel particulate matter once they are released into the atmosphere, particulate matter was exposed to atmospheric oxidants, ozone and ultra-violet light; and the change in their properties was monitored for different biodiesel blends. Upon the exposure to oxidative agents, the chemical composition of the exhaust changes. It triggers the cascade of photochemical reactions resulting in the partitioning of semi-volatile compounds between the gas and particulate phase. In most of the cases, aging lead to the increase in volatility and oxidative potential, and the increment of change was mainly dependent on the chemical composition of fuels as the leading cause for the amount and the type of semi-volatile compounds present in the exhaust.

Volatility transmission in global financial markets

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.