What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Elementos para entender el comportamiento de las cajas de ahorros andaluzas entre 1990 y 2000

En este trabajo analizamos el proceso de fusiones llevados a cabo en Andalucía entre sus cajas de ahorros que no han obedecido a modelos asépticos, sino que por el contrario han sido inducidos desde el gobierno autonómico. Al final el modelo resultante ha padecido esa intervención y se han producido cambios en las estrategias. La consecuencia ha sido que aquellas entidades con una mayor presión política están siendo las más débiles. También los mejores resultados lo han conseguido aquellas cajas que han mantenido a sus equipos directivos. Al mismo tiempo la especialización geográfica también ha sido y está siendo determinante en la solvencia, rentabilidad y expansión-consolidación. No ha habido un modelo de fusión y la cooperación, como alternativa, ha fracasado.

From the Bay of Biscay to the High Atlas: completing the anisotropic characterization of the upper mantle beneath the westernmost Mediterranean region

The knowledge of the anisotropic properties beneath the Iberian Peninsula and Northern Morocco has been dramatically improved since late 2007 with the analysis of the data provided by the dense TopoIberia broadband seismic network, the increasing number of permanent stations operating in Morocco, Portugal and Spain, and the contribution of smaller scale/higher resolution experiments. Results from the two first TopoIberia deployments have evidenced a spectacular rotation of the fast polarization direction (FPD) along the Gibraltar Arc, interpreted as an evidence of mantle flow deflected around the high velocity slab beneath the Alboran Sea, and a rather uniform N100 degrees E FPD beneath the central Iberian Variscan Massif, consistent with global mantle flow models taking into account contributions of surface plate motion, density variations and net lithosphere rotation. The results from the last Iberarray deployment presented here, covering the northern part of the Iberian Peninsula, also show a rather uniform FPD orientation close to N100 degrees E, thus confirming the previous interpretation globally relating the anisotropic parameters to the LPO of mantle minerals generated by mantle flow at asthenospheric depths. However, the degree of anisotropy varies significantly, from delay time values of around 0.5 s beneath NW Iberia to values reaching 2.0 sin its NE comer. The anisotropic parameters retrieved from single events providing high quality data also show significant differences for stations located in the Variscan units of NW Iberia, suggesting that the region includes multiple anisotropic layers or complex anisotropy systems. These results allow to complete the map of the anisotropic properties of the westernmost Mediterranean region, which can now be considered as one of best constrained regions worldwide, with more than 300 sites investigated over an area extending from the Bay of Biscay to the Sahara platform. (C) 2015 Elsevier B.V. All rights reserved.