Valuation of defaultable bonds and debt restructuring

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender’s claim in the hierarchy of debt of a firm, we consider a firm that issues two bonds with different maturities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a firm on the prices of bonds. We obtain that renegotiation brings about a significant change in the bond prices and that the effect is dispersed through different channels: increasing the value of the firm, reallocating payments, and avoiding costly liquidation. Moreover, the presence of two creditors leads to qualitatively different implications for pricing, while emphasizing the importance of bond covenants and renegotiation of the entire debt.

Evaluating active labor markets in Romania

We evaluate the presence of effects from joining one of four active labour market programs in Romania in the late 1990s compared to the no-program state. Using rich follow-up survey data and propensity score matching, we find that three programs (training and retraining, self-employment assistance, and employment and relocation services) had success in improving participants' economic outcomes and were cost-beneficial from society's perspective. In contrast, public employment was found detrimental for the employment prospects of its participants.

Debt and deficit fluctuations and the structure of bond markets

We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the same or less persistence than other variables in the economy and it declines in response to shocks that cause the deficit to increase. By contrast, under incomplete markets debt shows more persistence than other variables and it increases in response to shocks that cause a higher deficit. Data for US government debt reveals diametrically opposite results from those of complete markets and is much more supportive of bond market incompleteness.

Fiscal insurance and debt management in OECD economies

Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well have historical debt management policies performed? and iii) how is that performance affected by variations in debt issuance? We consider these questions using OECD data on the market value of government debt between 1970 and 2000. Motivated by both the optimal taxation literature and broad considerations of debt stability we propose a range of performance indicators for debt management. We evaluate these using Monte Carlo analysis and find that those based on the relative persistence of debt perform best. Calculating these measures for OECD data provides only limited evidence that debt management has helped insulate policy against unexpected fiscal shocks. We also find that the degree of fiscal insurance achieved is not well connected to cross country variations in debt issuance patterns. Given the limited volatility observed in the yield curve the relatively small dispersion of debt management practices across countries makes little difference to the realised degree of fiscal insurance.

In Search of a theory of debt management

A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market approach to debt management is valid even when the government only issues non-contingent bonds. A number of authors conclude from this approach that governments should issue long term debt and invest in short term assets. We argue that the conclusions of this approach are too fragile to serve as a basis for policy recommendations. This is because bonds at different maturities have highly correlated returns, causing the determination of the optimal portfolio to be ill-conditioned. To make this point concrete we examine the implications of this approach to debt management in various models, both analytically and using numerical methods calibrated to the US economy. We find the complete market approach recommends asset positions which are huge multiples of GDP. Introducing persistent shocks or capital accumulation only worsens this problem. Increasing the volatility of interest rates through habits partly reduces the size of these simulations we find no presumption that governments should issue long term debt ? policy recommendations can be easily reversed through small perturbations in the specification of shocks or small variations in the maturity of bonds issued. We further extend the literature by removing the assumption that governments every period costlessly repurchase all outstanding debt. This exacerbates the size of the required positions, worsens their volatility and in some cases produces instability in debt holdings. We conclude that it is very difficult to insulate fiscal policy from shocks by using the complete markets approach to debt management. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The result is the positions recommended by this approach conflict with a number of features that we believe are important in making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc.. Until these features are all fully incorporated we remain in search of a theory of debt management capable of providing robust policy insights.

Diseño e implementación de un sistema de autenticación, autorización y acceso a una red inalámbrica vía FreeRADIUS y Active Directory

L'objectiu d'aquest projecte és estudiar i implementar una solució segura de connectivitat sense fil a la infraestructura actual aprofitant al màxim tots els sistemes ja implementats, de manera que no pateixin greus canvis estructurals.

Integració de Linux a Active Directory

Personalització d'una distribució Linux tant de programari com d'integració a l'Active Directory del servei de domini de Windows Server 2008 i realització d'una imatge de la distribució personalitzada.

Debt enforcement and relational contracting

We examine how third-party debt enforcement affects the emergence and performance ofrelational contracts in credit markets. We implement an experiment with finitely repeatedcredit relationships in which borrowers can default. In the weak enforcement treatmentdefaulting borrowers can keep their funds invested. In the strong enforcement treatmentdefaulting borrowers have to liquidate their investment. Under weak enforcement fewerrelationships emerge in which loans are extended and repaid. When such relationships doemerge they exhibit a lower credit volume than under strong enforcement. These findingssuggest that relational contracting in credit markets requires a minimum standard of thirdpartydebt enforcement.

A new efficient approach to the direct restricted active space self-consistent field method

An implicitly parallel method for integral-block driven restricted active space self-consistent field (RASSCF) algorithms is presented. The approach is based on a model space representation of the RAS active orbitals with an efficient expansion of the model subspaces. The applicability of the method is demonstrated with a RASSCF investigation of the first two excited states of indole

Automatic generation of active coordinates for quantum dynamics calculations: application to the dynamics of benzene photochemistry

A new practical method to generate a subspace of active coordinates for quantum dynamics calculations is presented. These reduced coordinates are obtained as the normal modes of an analytical quadratic representation of the energy difference between excited and ground states within the complete active space self-consistent field method. At the Franck-Condon point, the largest negative eigenvalues of this Hessian correspond to the photoactive modes: those that reduce the energy difference and lead to the conical intersection; eigenvalues close to 0 correspond to bath modes, while modes with large positive eigenvalues are photoinactive vibrations, which increase the energy difference. The efficacy of quantum dynamics run in the subspace of the photoactive modes is illustrated with the photochemistry of benzene, where theoretical simulations are designed to assist optimal control experiments

The hidden costs of hidden debt

We report evidence that salience may have economically signi.cant e¤ects on homeowners.borrowing behavior, through a bias in favour of less salient but more costly loans. Survey evidence corroborates the existence of such a bias. We outline a simple model in which some consumers are biased and show that under plausible assumptions this affects prices in equilibrium. Market data support the predictions of the model.

Automated Segmentation of Cerebral Vasculature with Aneurysms in 3DRA and TOF-MRA using Geodesic Active Regions: an Evaluation Study

Purpose: To evaluate the suitability of an improved version of an automatic segmentation method based on geodesic active regions (GAR) for segmenting cerebral vasculature with aneurysms from 3D X-ray reconstruc-tion angiography (3DRA) and time of °ight magnetic resonance angiography (TOF-MRA) images available in the clinical routine.Methods: Three aspects of the GAR method have been improved: execution time, robustness to variability in imaging protocols and robustness to variability in image spatial resolutions. The improved GAR was retrospectively evaluated on images from patients containing intracranial aneurysms in the area of the Circle of Willis and imaged with two modalities: 3DRA and TOF-MRA. Images were obtained from two clinical centers, each using di®erent imaging equipment. Evaluation included qualitative and quantitative analyses ofthe segmentation results on 20 images from 10 patients. The gold standard was built from 660 cross-sections (33 per image) of vessels and aneurysms, manually measured by interventional neuroradiologists. GAR has also been compared to an interactive segmentation method: iso-intensity surface extraction (ISE). In addition, since patients had been imaged with the two modalities, we performed an inter-modality agreement analysis with respect to both the manual measurements and each of the two segmentation methods. Results: Both GAR and ISE di®ered from the gold standard within acceptable limits compared to the imaging resolution. GAR (ISE, respectively) had an average accuracy of 0.20 (0.24) mm for 3DRA and 0.27 (0.30) mm for TOF-MRA, and had a repeatability of 0.05 (0.20) mm. Compared to ISE, GAR had a lower qualitative error in the vessel region and a lower quantitative error in the aneurysm region. The repeatabilityof GAR was superior to manual measurements and ISE. The inter-modality agreement was similar between GAR and the manual measurements. Conclusions: The improved GAR method outperformed ISE qualitatively as well as quantitatively and is suitable for segmenting 3DRA and TOF-MRA images from clinical routine.

Learning design twofold strategies for teacher-led inquiry andstudent active learning

This workshop paper states that fostering active student participation both in face-to-face lectures / seminars and outside the classroom (personal and group study at home, the library, etc.) requires a certain level of teacher-led inquiry. The paper presents a set of strategies drawn from real practice in higher education with teacher-led inquiry ingredients that promote active learning. Thesepractices highlight the role of the syllabus, the importance of iterative learning designs, explicit teacher-led inquiry, and the implications of the context, sustainability and practitioners’ creativity. The strategies discussed in this paper can serve as input to the workshop as real cases that need to be represented in design and supported in enactment (with and without technologies).

Multiuser detection with an unknown number of active users: receiver design

In multiuser detection, the set of users active at any time may be unknown to the receiver. In these conditions, optimum reception consists of detecting simultaneously the set of activeusers and their data, problem that can be solved exactly by applying random-set theory (RST) and Bayesian recursions (BR). However, implementation of optimum receivers may be limited by their complexity, which grows exponentially with the number of potential users. In this paper we examine three strategies leading to reduced-complexity receivers.In particular, we show how a simple approximation of BRs enables the use of Sphere Detection (SD) algorithm, whichexhibits satisfactory performance with limited complexity.

Institutions, Public Debt and Foreign Finance

We study the role of domestic financial institutions in sustaining capital flows to the private and public sector of a country whose government can default on its debt. As in recent public debt crises, in our model public defaults weaken banks' balance sheets, disrupting domestic financial markets. This effect leads to a novel complementarity between private capital inflows and public borrowing, where the former sustain the latter by boosting the government's cost of default. Our key message is that, by shaping the direction of private capital flows, financial institutions determine whether financial integration improves or reduces government discipline. We explore the implications of this complementarity for financial liberalization and debt-financed bailouts of banks. We present some evidence consistent with complementarity.