Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

Weak and Strong Altruism in Trait Groups: Reproductive Suicide, Personal Fitness, and Expected Value

A simple variant of trait group selection, employing predators as the mechanism underlying group selection, supports contingent reproductive suicide as altruism (i.e., behavior lowering personal fitness while augmenting that of another) without kin assortment. The contingent suicidal type may either saturate the population or be polymorphic with a type avoiding suicide, depending on parameters. In addition to contingent suicide, this randomly assorting morph may also exhibit continuously expressed strong altruism (sensu Wilson 1979) usually thought restricted to kin selection. The model will not, however, support a sterile worker caste as such, where sterility occurs before life history events associated with effective altruism; reproductive suicide must remain fundamentally contingent (facultative sensu West Eberhard 1987; Myles 1988) under random assortment. The continuously expressed strong altruism supported by the model may be reinterpreted as probability of arbitrarily committing reproductive suicide, without benefit for another; such arbitrary suicide (a "load" on "adaptive" suicide) is viable only under a more restricted parameter space relative to the necessarily concomitant adaptive contingent suicide.

Resolving inconsistencies in utility measurement under risk: Tests of generalizations of expected utility

This paper explores biases in the elicitation of utilities under risk and the contribution that generalizations of expected utility can make to the resolution of these biases. We used five methods to measure utilities under risk and found clear violations of expected utility. Of the theories studies, prospect theory was most consistent with our data. The main improvement of prospect theory over expected utility was in comparisons between a riskless and a risky prospect(riskless-risk methods). We observed no improvement over expected utility in comparisons between two risky prospects (risk-risk methods). An explanation why we found no improvement of prospect theory over expected utility in risk-risk methods may be that there was less overweighting of small probabilities in our study than has commonly been observed.

Weak and strong altruism in traitgGroups: Reproductive suicide, personal fitness and expected value

A simple variant of trait group selection, employing predators as themechanism underlying group selection, supports contingent reproductivesuicide as altruism (i.e., behavior lowering personal fitness whileaugmenting that of another) without kin assortment. The contingentsuicidal type may either saturate the population or be polymorphicwith a type avoiding suicide, depending on parameters. In addition tocontingent suicide, this randomly assorting morph may also exhibitcontinuously expressed strong altruism (sensu Wilson 1979) usuallythought restricted to kin selection. The model will not, however,support a sterile worker caste as such, where sterility occurs beforelife history events associated with effective altruism; reproductivesuicide must remain fundamentally contingent (facultative sensu WestEberhard 1987; Myles 1988) under random assortment. The continuouslyexpressed strong altruism supported by the model may be reinterpretedas probability of arbitrarily committing reproductive suicide, withoutbenefit for another; such arbitrary suicide (a "load" on "adaptive"suicide) is viable only under a more restricted parameter spacerelative to the necessarily concomitant adaptive contingent suicide.

Life-time redistribution effects of the Spanish public pension system

The paper analyses the inter and intragenerational redistribution effects ofthe public pensions system in Spain. This is achieved by first comparing the expected present value of life-time income transfers (PVT) and internalrates of return (IRR) of different population cohorts. Secondly, we study the intragenerational aspects of the Spanish public pensions by calculating PVTs the IRRs for workers of different categories, grouped by earnings, gender and marital status.The results obtained show the nature of the important intergenerational effects of the Social Security System in Spain. The oldest 1935 cohort clearlybenefits in relation to the youngest 1965 cohort. This is basically due to thegap between current wages and the contribution bases established in the 60s and 70s in Spain during the early stages of the Social Security System, and to the worsening shortfall in Social Security funding, combined with the longer of life expectancy.In addition, intragenerational effects exist by income levels. For contributors who pay between the minimum and the maximum allowable contribution bases, net transfers and rates of return are higher in actuarial terms for high incomecontributors. The social security `dealï is again more profitable for highincome individuals since they contribute at the maximum basis, with respect tolow income contributors at the minimum basis. This is due to the late entry and a higher survival rate for high income contributors.The system tends to favour women, given that they generally live longer than men and this factor is only partially offset by their lower wages. Married males, given the fact that they have longer life expectancy and leave a pension to their spouse, obtain higher present net transfers too than do single contributors.We close the paper with some comments on the slight impact and moderate effects of proposals for Social Security reform and on how these may change the previously observed redistribution effects.

IFRS adoption in Europe: the case of Germany

From 2005 onwards, consolidated financial statements of listed European companies will have to comply with IFRS (IAS). Many German companies began adopting those standards in the 1990s, on a voluntary basis, because of their need to access international capital funding. Spanish companies, by contrast, are not permitted to adopt IFRS before 2005. This paper has two purposes: first, it analyses the financial impact of initial IFRS adoption on the statement of changes in equity and the income statement of individual German companies. Second, and taking into account the German experience, it focuses on the expected impacts on a sample of listed Spanish companies in two industrial sectors: chemical-pharmaceutical and fashion. Our analysis of German companies comprised all non-financial DAX groups applying IFRS plus additional listed companies in the two selected industrial sectors identified above. The impact of initial adoption of IFRS on German companies was, both individually and overall, very significant. The analysis suggests that the expected impact on Spanish companies is likely to be significant but to a lesser degree than in respect of the German companies in the study.

Programa de intervención específico para la mejora de la flexibilidad en escolares: es efectiva la intervención del MEF?

La finalitat del nostre va ser valorar l’aplicació d’un programa d’intervenció específic per a millorar la flexibilitat en un grup d’escolars de 9 anys. Van ser inclosos en l’estudi 63 escolars de 4º curs d’Educació Primària, del Centre Escolar la Salle i el CEIP St. Ignasi, ambdós de Manresa (Barcelona). Durant tres setmanes, el centre La Salle va aplicà un programa específic per a millorar la flexibilitat de la cadena cinètica posterior. En canvi, el CEIP St. Ignasi es va utilitzar com a grup control, continuant el seu programa educatiu habitual. Hem observat que l’aplicació de programes específics per a millorar la flexibilitat és efectiva en los escolares de 9 anys. La forma de aplicar els programes de educació física modifica significativament el grau de flexibilitat en los escolares.

Internal promotion versus external recruitment: evidence in industrial plants

An analysis is carried out in a sample of 738 industrial plants of the determining factors in the use of internal promotion of blue-collar workers to middle managers and skilled technicians as against their external recruitment. The use of internal promotion is positively correlated with variables indicative of the efforts made by plants to measure employees' skills, and to a lesser extent, with the level of specificity of investments in human capital made by blue-collar workers. Contrary to what was expected, variables related with the use and efficiency of other incentive systems have no significant influence on the increased or decreased use of internal promotion. These results are initial evidence that internal promotions are used to protect and favour specific investments, especially those made by firms in order to discover their workers' skills.

Collaboration strategies and technological innovation: a contractual perspective of the relationship between firms and techonological centers

In this paper, a theoretical framework for analyzing the selection of governance structures for implementing collaboration agreements between firms and Technological Centers is presented and empirically discussed. This framework includes Transaction Costs and Property Rights’ theoretical assumptions, though complemented with several proposals coming from the Transactional Value Theory. This last theory is used for adding some dynamism in the governance structure selection. As empirical evidence of this theoretical explanation, we analyse four real experiences of collaboration between firms and one Technological Center. These experiences are aimed to represent the typology of relationships which Technological Centers usually face. Among others, a key interesting result is obtained: R&D collaboration activities do not need to always be organized through hierarchical solutions. In those cases where future expected benefits and/or reputation issues could play an important role, the traditional more static theories could not fully explain the selected governance structure for managing the R&D relationship. As a consequence, these results justify further research about the adequacy of the theoretical framework presented in this paper in other contexts, for example, R&D collaborations between firms and/or between Universities or Public Research Centers and firms.

Trade disclosure and price dispersion

This paper determines the effects of post-trade opaqueness on market performance. We find that the degree of market transparency has important effects on market equilibria. In particular, we show that dealers operating in a transparent structure set regret-free prices at each period making zero expected profits in each of the two trading rounds, whereas in the opaque market dealers invest in acquiring information at the beginning of the trading day. Moreover, we obtain that if there is no trading activity in the first period, then market makers only change their quotes in the opaque market. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning welfare of market participants, we obtain ambiguous results. Keywords: Market microstructure, Post-trade transparency, Price experimentation, Price dispersion.

On the weights of nations: assigning voting weights in a heterogenous union

Consider a voting procedure where countries, states, or districts comprising a union each elect representatives who then participate in later votes at the union level on their behalf. The countries, provinces, and states may vary in their populations and composition. If we wish to maximize the total expected utility of all agents in the union, how to weight the votes of the representatives of the different countries, states or districts at the union level? We provide a simple characterization of the efficient voting rule in terms of the weights assigned to different districts and the voting threshold (how large a qualified majority is needed to induce change versus the status quo). Next, in the context of a model of the correlation structure of agents preferences, we analyze how voting weights relate to the population size of a country. We then analyze the voting weights in Council of the European Union under the Nice Treaty and the recently proposed constitution, and contrast them under different versions of our model.

The Instrumental voter goes to the news-agent: demand for information, election closeness, and the media

This paper studies the impact of instrumental voting on information demand and mass media behaviour during electoral campaigns. If voters act instrumentally then information demand should increase with the closeness of an election. Mass media are modeled as profit-maximizing firms that take into account information demand, the value of customers to advertisers and the marginal cost of customers. Information supply should be larger in electoral constituencies where the contest is expected to be closer, there is a higher population density, and customers are on average more profitable for advertisers. The impact of electorate size is theoretically undetermined. These conclusions are then tested with comfortable results on data from the 1997 general election in Britain.

Settlement in tax evasion prosecution

It is often argued that even if optimal ex-post, settlement dilutes deterrence ex-ante. We analyze the interest for the tax authority of committing, ex-ante, to a settlement strategy. We show that to commit to the use of settlements is ex-ante optimal when the tax authority receives signals that provide statistical information about the taxpayers' true tax liability. The more informative the signal, the larger the additional expected evenue raised by the tax authority when using settlement as a policy tool.

Candidate stability and voting correspondences

We study the incentives of candidates to enter or to exit elections in order to strategically affect the outcome of a voting correspondence. We extend the results of Dutta, Jackson and Le Breton (2000), who only considered single-valued voting procedures by admitting that the outcomes of voting may consist of sets of candidates. We show that, if candidates form their preferences over sets according to Expected Utility Theory and Bayesian updating, every unanimous and non dictatorial voting correspondence violates candidate stability. When candidates are restricted to use even chance prior distributions, only dictatorial or bidictatorial rules are unanimous and candidate stable. We also analyze the implications of using other extension criteria to define candidate stability that open the door to positive results.

Es Barcelona una ciudad policéntrica ?

La Región Metropolitana de Barcelona (RMB) ha sido caracterizada como un sistema urbano policéntrico. Sin embargo, no existe un criterio comúnmente aceptado que haya permitido identificar con claridad los subcentros de la región. La investigación que aquí se presenta persigue un doble objetivo: en primer lugar identificar los subcentros de empleo de la RMB mediante un método objetivo y, en segundo lugar, valorar su grado de policentrismo. Para identificar los subcentros se procede siguiendo dos pasos: primero se identifican los municipios candidatos a subcentro utilizando criterios basados en la densidad de empleo y en el índice Empleos/Población, para a continuación estimar una función de densidad de población utilizando como variables explicativas, además de la distancia al CBD, la distancia a cada uno de los candidatos a subcentro. Los municipios identificados mediante este doble filtro sólo capturan un porcentaje relativamente reducido del total de puestos de trabajo debido a que elnúcleo ampliado (Barcelona más continuo urbano) concentra un porcentaje de empleos muy significativo, y a que el ratio Empleos/Población presenta unos valores muy homogéneos en todos los municipios con independencia de su tamaño.