Towards a theory of the credit-risk balance sheet

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a company¿s commercial credit, whose amount can represent a significant proportion of both its current and total assets.To construct it, we start from the duality observed in any credit transaction of this nature, whose basic identity can be summed up as Credit = Risk. ¿Credit¿ is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system) and ¿risk¿ can either be assumed (interiorised) by the company itself or transferred to third parties (exteriorised).What provides the approach that leads to us being able to talk with confidence of a real Credit-Risk Balance Sheet with its methodological robustness is that the dual vision of the credit transaction is not, as we demonstrate, merely a classificatory duality (a double risk-credit classification of reality) but rather a true causal relationship, that is, a risk-credit causal duality.Once said Credit-Risk Balance Sheet (which bears a certain structural similarity with the classic net asset balance sheet) has been built, and its methodological coherence demonstrated, its properties ¿static and dynamic¿ are studied.Analysis of the temporal evolution of the Credit-Risk Balance Sheet and of its applications will be the object of subsequent works.

Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).

Monetary integration and the cost of borrowing

With the beginning of the European Monetary Union (EMU), euro-area sovereign securities¿ adjusted spreads over Germany (corrected from the foreign exchange risk) experienced an increase that caused a lower than expected decline in borrowing costs. The objective of this paper is to study what explains that rising. In particular, if it took place a change in the price assigned by markets to domestic (credit risk and/or market liquidity) or to international risk factors. The empirical evidence supports the idea that a change in the market value of liquidity occurred with the EMU. International and default risk play a smaller role

Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).

Monetary integration and the cost of borrowing

With the beginning of the European Monetary Union (EMU), euro-area sovereign securities¿ adjusted spreads over Germany (corrected from the foreign exchange risk) experienced an increase that caused a lower than expected decline in borrowing costs. The objective of this paper is to study what explains that rising. In particular, if it took place a change in the price assigned by markets to domestic (credit risk and/or market liquidity) or to international risk factors. The empirical evidence supports the idea that a change in the market value of liquidity occurred with the EMU. International and default risk play a smaller role

Browsing a component library using Non-functional Information

This paper highlights the role of non-functional information when reusing from a component library. We describe a method for selecting appropriate implementations of Ada packages taking non-functional constraints into account; these constraints model the context of reuse. Constraints take the form of queries using an interface description language called NoFun, which is also used to state non-functional information in Ada packages; query results are trees of implementations, following the import relationships between components. We define two different situations when reusing components, depending whether we take the library being searched as closed or extendible. The resulting tree of implementations can be manipulated by the user to solve ambiguities, to state default behaviours, and by the like. As part of the proposal, we face the problem of computing from code the non-functional information that determines the selection process.

Pensions and procrastination : how can employers help their employees save for the future?

In this paper I show that employees tend to procrastinate when they are expected to decide whether or not they would like to save using the defined contribution pension scheme offered by their employer. By auto-enrolling the employees or asking them to decide before a given deadline, employers can mitigate some of the problems caused by employee procrastination. However both of these mechanisms present their own problems, caused by default stickiness and other issues, so I discuss how employers can decide which is the right mechanism to use depending on the characteristics of their employees, and how to minimize the problems these mechanisms can cause.

The Price of luck

We find that the vast majority of students taking an advanced undergraduate finance course show a preference for luck in a classroom experiment. In Phase I of the experiment part of the students, group A, were asked to guess a coin toss five times in a row. In Phase II the rest of the students, group B, were given 10 EUR to bet on some of the Group A students taking a second go at guessing a sequence of five coin tosses (Phase III). Group B students’ bets were by default allocated to the worse performing student in Phase I. Switching to better performing Group A students was costly. A total of 23 out of 28 students were willing to pay for switching and thus showed a preference for luck.

Brain functional abnormality in schizo-affective disorder: an fMRI study.

Background.Schizo-affective disorder has not been studied to any significant extent using functional imaging. The aim of this study was to examine patterns of brain activation and deactivation in patients meeting strict diagnostic criteria for the disorder. METHOD: Thirty-two patients meeting research diagnostic criteria (RDC) for schizo-affective disorder (16 schizomanic and 16 schizodepressive) and 32 matched healthy controls underwent functional magnetic resonance imaging (fMRI) during performance of the n-back task. Linear models were used to obtain maps of activations and deactivations in the groups. RESULTS: Controls showed activation in a network of frontal and other areas and also deactivation in the medial frontal cortex, the precuneus and the parietal cortex. Schizo-affective patients activated significantly less in prefrontal, parietal and temporal regions than the controls, and also showed failure of deactivation in the medial frontal cortex. When task performance was controlled for, the reduced activation in the dorsolateral prefrontal cortex (DLPFC) and the failure of deactivation of the medial frontal cortex remained significant. CONCLUSIONS: Schizo-affective disorder shows a similar pattern of reduced frontal activation to schizophrenia. The disorder is also characterized by failure of deactivation suggestive of default mode network dysfunction.

Brain functional abnormality in schizo-affective disorder: an fMRI study.

Background.Schizo-affective disorder has not been studied to any significant extent using functional imaging. The aim of this study was to examine patterns of brain activation and deactivation in patients meeting strict diagnostic criteria for the disorder. METHOD: Thirty-two patients meeting research diagnostic criteria (RDC) for schizo-affective disorder (16 schizomanic and 16 schizodepressive) and 32 matched healthy controls underwent functional magnetic resonance imaging (fMRI) during performance of the n-back task. Linear models were used to obtain maps of activations and deactivations in the groups. RESULTS: Controls showed activation in a network of frontal and other areas and also deactivation in the medial frontal cortex, the precuneus and the parietal cortex. Schizo-affective patients activated significantly less in prefrontal, parietal and temporal regions than the controls, and also showed failure of deactivation in the medial frontal cortex. When task performance was controlled for, the reduced activation in the dorsolateral prefrontal cortex (DLPFC) and the failure of deactivation of the medial frontal cortex remained significant. CONCLUSIONS: Schizo-affective disorder shows a similar pattern of reduced frontal activation to schizophrenia. The disorder is also characterized by failure of deactivation suggestive of default mode network dysfunction.

Brain functional abnormality in schizo-affective disorder: an fMRI study.

Background.Schizo-affective disorder has not been studied to any significant extent using functional imaging. The aim of this study was to examine patterns of brain activation and deactivation in patients meeting strict diagnostic criteria for the disorder. METHOD: Thirty-two patients meeting research diagnostic criteria (RDC) for schizo-affective disorder (16 schizomanic and 16 schizodepressive) and 32 matched healthy controls underwent functional magnetic resonance imaging (fMRI) during performance of the n-back task. Linear models were used to obtain maps of activations and deactivations in the groups. RESULTS: Controls showed activation in a network of frontal and other areas and also deactivation in the medial frontal cortex, the precuneus and the parietal cortex. Schizo-affective patients activated significantly less in prefrontal, parietal and temporal regions than the controls, and also showed failure of deactivation in the medial frontal cortex. When task performance was controlled for, the reduced activation in the dorsolateral prefrontal cortex (DLPFC) and the failure of deactivation of the medial frontal cortex remained significant. CONCLUSIONS: Schizo-affective disorder shows a similar pattern of reduced frontal activation to schizophrenia. The disorder is also characterized by failure of deactivation suggestive of default mode network dysfunction.

Analysing Professional Discourse in Interactive Learning: Integrating Historical and Situational Perspectives

Peer-reviewed

JPEG standard uniform quantization error modeling with applications to sequential and progressive operation modes

In this paper we propose a method for computing JPEG quantization matrices for a given mean square error or PSNR. Then, we employ our method to compute JPEG standard progressive operation mode definition scripts using a quantization approach. Therefore, it is no longer necessary to use a trial and error procedure to obtain a desired PSNR and/or definition script, reducing cost. Firstly, we establish a relationship between a Laplacian source and its uniform quantization error. We apply this model to the coefficients obtained in the discrete cosine transform stage of the JPEG standard. Then, an image may be compressed using the JPEG standard under a global MSE (or PSNR) constraint and a set of local constraints determined by the JPEG standard and visual criteria. Secondly, we study the JPEG standard progressive operation mode from a quantization based approach. A relationship between the measured image quality at a given stage of the coding process and a quantization matrix is found. Thus, the definition script construction problem can be reduced to a quantization problem. Simulations show that our method generates better quantization matrices than the classical method based on scaling the JPEG default quantization matrix. The estimation of PSNR has usually an error smaller than 1 dB. This figure decreases for high PSNR values. Definition scripts may be generated avoiding an excessive number of stages and removing small stages that do not contribute during the decoding process with a noticeable image quality improvement.

Security analysis of JXME-Proxyless version

JXME es la especificación de JXTA para dispositivos móviles con J2ME. Hay dos versiones diferentes de la aplicación JXME disponibles, cada una específica para un determinado conjunto de dispositivos, de acuerdo con sus capacidades. El principal valor de JXME es su simplicidad para crear peer-to-peer (P2P) en dispositivos limitados. Además de evaluar las funciones JXME, también es importante tener en cuenta el nivel de seguridad por defecto que se proporciona. Este artículo presenta un breve análisis de la situación actual de la seguridad en JXME, centrándose en la versión JXME-Proxyless, identifica las vulnerabilidades existentes y propone mejoras en este campo.

JXTA security in mobile constrained devices

JXME is the JXTA protocols implementation formobile devices using J2ME. Two different flavors of JXME have been implemented, each one specific for a particular set of devices, according to their capabilities. The main value of JXME is its simplicity to create peer-to-peer (P2P) applications in limited devices. In addition to assessing JXME functionalities, it is also important to realize the default security level provided. This paper presents a brief analysis of the current state of security in JXME, focusing on the JXME-Proxied version, identifies existing vulnerabilities and proposes further improvements in this field.