Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

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).

The Effect of a threshold proportional reinsurance strategy on ruin probabilities

[spa] En un modelo de Poisson compuesto, definimos una estrategia de reaseguro proporcional de umbral : se aplica un nivel de retención k1 siempre que las reservas sean inferiores a un determinado umbral b, y un nivel de retención k2 en caso contrario. Obtenemos la ecuación íntegro-diferencial para la función Gerber-Shiu, definida en Gerber-Shiu -1998- en este modelo, que nos permite obtener las expresiones de la probabilidad de ruina y de la transformada de Laplace del momento de ruina para distintas distribuciones de la cuantía individual de los siniestros. Finalmente presentamos algunos resultados numéricos.

La probabilidad de supervivencia en un modelo con reaseguro proporcional de umbral

[spa] En este artículo presentamos una nueva estrategia de reaseguro, a la que denominamos estrategia de reaseguro umbral, que actúa de forma diferente en función del nivel de las reservas. Así, para unos niveles de las reservas inferiores a un determinado nivel, el gestor decide aplicar un reaseguro proporcional, y para niveles superiores, al considerar que se ha alcanzado cierta solvencia en la cartera, opta por no ceder ningún porcentaje del riesgo. El análisis del efecto de la introducción del reaseguro umbral sobre la probabilidad de supervivencia, y su comparación con el reaseguro proporcional y la opción de no reasegurar, nos permite hallar estrategias de reaseguro equivalentes desde el punto de vista de la solvencia. Palabras clave: teoría del riesgo, reaseguro de umbral, reaseguro proporcional, probabilidad de supervivencia.

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

The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads

With European Monetary Union (EMU), there was an increase in the adjusted spreads (corrected from the foreign exchange risk) of euro participating countries' sovereign securities over Germany and a decrease in those of non-euro countries. The objective of this paper is to study the reasons for this result, and in particular, whether the change in the price assigned by markets was due to domestic factors such as credit risk and/or market liquidity, or to international risk factors. The empirical evidence suggests that market size scale economies have increased since EMU for all European markets, so the effect of the various risk factors, even though it differs between euro and non-euro countries, is always dependent on the size of the market.

Open Source Software : the Intersection of IP and Security in Open Source

The use of open source software continues to grow on a daily basis. Today, enterprise applications contain 40% to 70% open source code and this fact has legal, development, IT security, risk management and compliance organizations focusing their attention on its use, as never before. They increasingly understand that the open source content within an application must be detected. Once uncovered, decisions regarding compliance with intellectual property licensing obligations must be made and known security vulnerabilities must be remediated. It is no longer sufficient from a risk perspective to not address both open source issues.

Espacio, delincuencia y seguridad: hacia el diseño de un modelo de análisis territorial

En las próximas páginas abordaremos el análisis de datos empíricos sobre denuncias e intervenciones policiales acaecidas en la ciudad intermedia de Lérida, para establecer algunas pautas que permitan desvelar su lógica locacional, que, además, contrastaremos con otras realidades para comprobar la validez de nuestras hipótesis. Partimos de la idea de que la delincuencia es, en cierto sentido, una construcción social y, que para comprender en su complejidad los temores, que se enraízan territorialmente, es preciso superar las servidumbres que impone la lógica actuarial, que se limita a intentar mejorar la gestión de los riesgos.

Some optimization and decision problems in proportional reinsurance

Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then to control its solvency. In this paper, we focus on the proportional reinsurance arrangements and we examine several optimization and decision problems of the insurer with respect to the reinsurance strategy. To this end, we use as decision tools not only the probability of ruin but also the random variable deficit at ruin if ruin occurs. The discounted penalty function (Gerber & Shiu, 1998) is employed to calculate as particular cases the probability of ruin and the moments and the distribution function of the deficit at ruin if ruin occurs.

Modalidades alternativas de reaseguro basados en la ordenación de riesgos

En este trabajo se estudian tres modalidades de reaseguro basadas en el número de siniestros: Reaseguro de los siniestros más grandes. Modalidad por la cual el reasegurador se hace cargo de los siniestros más grandes. Reaseguro de exceso del número de siniestros. En este caso la compañía cedente retiene los siniestros más pequeños, cediendo el resto al reaseguro. Reaseguro de exceso del número de siniestros, hasta un tope de siniestralidad. En esta modalidad de reaseguro, la compañía cedente retiene los siniestros más pequeños pero condicionados a que su cuantía no exceda un determinado pleno fijado por ella. De esta manera se consigue limitar la pérdida de la compañía cedente hasta un mkimo conocido. Esta última modalidad de reaseguro puede ser una buena alternativa al reaseguro Stop-loss ya que al igual que éste, elimina la probabilidad de ruina de la cedente. El estudio de estas modalidades de reasegwo pasa por tratar previamente la problemática actuarial de la ordenación de riesgos.