The credit ratings game

The spectacular failure of top-rated structured finance products has broughtrenewed attention to the conflicts of interest of Credit Rating Agencies (CRAs). We modelboth the CRA conflict of understating credit risk to attract more business, and the issuerconflict of purchasing only the most favorable ratings (issuer shopping), and examine theeffectiveness of a number of proposed regulatory solutions of CRAs. We find that CRAs aremore prone to inflate ratings when there is a larger fraction of naive investors in the marketwho take ratings at face value, or when CRA expected reputation costs are lower. To theextent that in booms the fraction of naive investors is higher, and the reputation risk forCRAs of getting caught understating credit risk is lower, our model predicts that CRAs aremore likely to understate credit risk in booms than in recessions. We also show that, due toissuer shopping, competition among CRAs in a duopoly is less efficient (conditional on thesame equilibrium CRA rating policy) than having a monopoly CRA, in terms of both totalex-ante surplus and investor surplus. Allowing tranching decreases total surplus further.We argue that regulatory intervention requiring upfront payments for rating services (beforeCRAs propose a rating to the issuer) combined with mandatory disclosure of any ratingproduced by CRAs can substantially mitigate the con.icts of interest of both CRAs andissuers.

The credit ratings game

The collapse of so many AAA-rated structured finance products in 2007-2008has brought renewed attention to the causes of ratings failures and the conflicts of interestin the Credit Ratings Industry. We provide a model of competition among Credit RatingsAgencies (CRAs) in which there are three possible sources of conflicts: 1) the CRA conflictof interest of understating credit risk to attract more business; 2) the ability of issuersto purchase only the most favorable ratings; and 3) the trusting nature of some investorclienteles who may take ratings at face value. We show that when combined, these give riseto three fundamental equilibrium distortions. First, competition among CRAs can reducemarket efficiency, as competition facilitates ratings shopping by issuers. Second, CRAs aremore prone to inflate ratings in boom times, when there are more trusting investors, andwhen the risks of failure which could damage CRA reputation are lower. Third, the industrypractice of tranching of structured products distorts market efficiency as its role is to deceivetrusting investors. We argue that regulatory intervention requiring: i) upfront paymentsfor rating services (before CRAs propose a rating to the issuer), ii) mandatory disclosure ofany rating produced by CRAs, and iii) oversight of ratings methodology can substantiallymitigate ratings inflation and promote efficiency.

Mandatory accounting disclosure by small private companies

This article analyzes how mandatory accounting disclosure is grounded on differentrationales for private and public companies. It also explores technological changes, such ascomputerised databases and the Internet, which have recently made disclosure of companyaccounts by small companies potentially less costly and more valuable, thanks to electronicfiling and universal online access to credit information systems. These recent developmentsfavour policies that would expand the scope of mandatory publication for small companies incountries where it is voluntary. They also encourage policies to reduce the costs and enhancethe value of disclosure through administrative reforms of filing, archive and retrieval systems.Survey and registry evidence on how the information in the accounts is valued and used bycompanies is consistent with these claims about the evolution of the tradeoff of costs andbenefits that should guide policy in this area.

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.

Trials, tricks and transparency: how disclosure rules affect clinical knowledge

Scandals of selective reporting of clinical trial results by pharmaceutical firms have underlined the need for more transparency in clinical trials. We provide a theoretical framework which reproduces incentives for selective reporting and yields three key implications concerning regulation. First, a compulsory clinical trial registry complemented through a voluntary clinical trial results database can implement full transparency (the existence of all trials as well as their results is known). Second, full transparency comes at a price. It has a deterrence effect on the incentives to conduct clinical trials, as it reduces the firms'gains from trials. Third, in principle, a voluntary clinical trial results database without a compulsory registry is a superior regulatory tool; but we provide some qualified support for additional compulsory registries when medical decision-makers cannot anticipate correctly the drug companies' decisions whether to conduct trials. Keywords: pharmaceutical firms, strategic information transmission, clinical trials, registries, results databases, scientific knowledge JEL classification: D72, I18, L15

The Complementarity between segment disclosure and earnings quality, and its effect on cost of capital

We investigate the role of earnings quality in determining the levels of segment disclosure, and whether and how better quality earnings and segment disclosure influences cost of capital. Using a large US sample for the period 2001-2006, we find a positive relation between earnings quality and levels of segment disclosures. We also find that firms providing better quality segment information, contingent upon good earnings quality, enjoy lower cost of capital. We base our empirical tests on a self created index of segment disclosure. Our results contribute to a better understanding of (1) the incentives for providing segment disclosures, and (2) how accounting quality (quality of segment information and earnings quality) is related to the cost of capital.

Economic and legal analysis of mandatory non-recourse mortgages with applications to Spain

“The liquidity crisis of the Spanish banks is largely due to the lack of confidence of foreign investors and, therefore, the changes that occur in the legislation should not affect the credibility, stability, legal certainty, predictability that markets expect”.Sergio Nasarre (2011)In the current situation of economic crisis, many people have found they can no longer pay back the mortgage loans that were granted to them in order to purchase a dwelling. It is for this reason that, in light of the economic, political and social problems this poses, our paper studies the state of the Spanish real-estate system and of foreclosure, paying special attention to the solution that has been proposed recently as the best option for debtors that cannot make their mort-gage payments: non-recourse mortgaging. We analyze this proposal from legal and economic perspectives in order to fully understand the effects that this change could imply. At the same time, this paper will also examine several alternatives we believe would ameliorate the situation of mortgage-holders, among them legal reforms, mortgage insurance, and non-recourse mortgaging itself.

Cross-country differences in disclosure quality: a study of fair value disclosures by european real estate companies

Companies are under IAS 40 required to report fair values of investment properties on the balance sheet or to disclose them in the notes. The standard requires also that companies have to disclose the methods and significant assumptions applied in determining fair values of investment properties. However, IAS 40 does not include any illustrative examples or other guidance on how to apply the disclosure requirements. We use a sample with publicly traded companies from the real estate sector in the EU. We find that a majority of the companies use income based methods for the measurement of fair values but there are considerable cross-country variations in the level of disclosures about the assumptions used in determining fair values. More specifically, we find that Scandinavian and German origin companies disclose more than French and English origin companies. We also test whether disclosure quality is associated with enforcement quality measured with the “Rule of Law” index according to Kaufmann et al. (2010), and associated with a secrecy- versus transparency-measure based on Gray (1988). We find a positive association between disclosure and earnings quality and a negative association with secrecy.

Real time GPS precise positioning of LEO satellites

Report for the scientific sojourn at the German Aerospace Center (DLR) , Germany, during June and July 2006. The main objective of the two months stay has been to apply the techniques of LEO (Low Earth Orbiters) satellites GPS navigation which DLR currently uses in real time navigation. These techniques comprise the use of a dynamical model which takes into account the precise earth gravity field and models to account for the effects which perturb the LEO’s motion (such as drag forces due to earth’s atmosphere, solar pressure, due to the solar radiation impacting on the spacecraft, luni-solar gravity, due to the perturbation of the gravity field for the sun and moon attraction, and tidal forces, due to the ocean and solid tides). A high parameterized software was produced in the first part of work, which has been used to asses which accuracy could be reached exploring different models and complexities. The objective was to study the accuracy vs complexity, taking into account that LEOs at different heights have different behaviors. In this frame, several LEOs have been selected in a wide range of altitudes, and several approaches with different complexity have been chosen. Complexity is a very important issue, because processors onboard spacecrafts have very limited computing and memory resources, so it is mandatory to keep the algorithms simple enough to let the satellite process it by itself.

Agent based simulation to optimise emergency departments

Nowadays, many of the health care systems are large and complex environments and quite dynamic, specifically Emergency Departments, EDs. It is opened and working 24 hours per day throughout the year with limited resources, whereas it is overcrowded. Thus, is mandatory to simulate EDs to improve qualitatively and quantitatively their performance. This improvement can be achieved modelling and simulating EDs using Agent-Based Model, ABM and optimising many different staff scenarios. This work optimises the staff configuration of an ED. In order to do optimisation, objective functions to minimise or maximise have to be set. One of those objective functions is to find the best or optimum staff configuration that minimise patient waiting time. The staff configuration comprises: doctors, triage nurses, and admissions, the amount and sort of them. Staff configuration is a combinatorial problem, that can take a lot of time to be solved. HPC is used to run the experiments, and encouraging results were obtained. However, even with the basic ED used in this work the search space is very large, thus, when the problem size increases, it is going to need more resources of processing in order to obtain results in an acceptable time.

Implementació de cursos d'Electrònica i Tècniques de Microscòpia en modalitat docent semipresencial amb estratègies de treball cooperatiu i avaluació continuada en entorn de programari lliure Moodle

L’objectiu principal del present projecte MQD és la implementació de cursos semipresencials en el campus virtual MOODLE per a la docència de les assignatures d’Electrònica troncals de l’ensenyament de Física que depenen del nostre departament i de l’assignatura Tècniques de Microscòpia, que és optativa i comuna als Màsters de Nanociència i Nanotecnologia i d’Enginyeria Física. Plantegem metodologies docents basades en: (1) reduir la presencialitat, (2) afavorir l'autoaprenentatge, (3) aplicar estratègies d’avaluació formativa i avaluació acreditativa continuada i (4) fer ús de les TIC com a suport a la docència. La versatilitat de la plataforma Moodle per compartir recursos permetrà generar un material docent accessible per altres professors. D’altra banda, la possibilitat de Moodle per a la gestió de grups, organització i revisió de tasques facilitarà el seguiment de l’activitat d’autoaprenentatge i de treball cooperatiu així com de l’avaluació final dels aprenentatges. Durant la duració d'aquest projecte MQD s'han implementat els segúents entorns: - Curs d'Electrònica Física, semipresencial, amb treball cooperatiu i amb implantació d'avaluació continuada - Entorn de Coordinació del Master de Nanociència i Nanotecnologia - Curs de l'assignatura optativa de Màster Oficial de Nanociència i Nanotecnologia "Tècniques de Microscòpia"

Protecció de dades categòriques i anàlisi de la pèrdua d'informació

Degut a l'expansió de la nostra societat cada dia hi ha més fonts de dades públiques (mèdiques, financeres,...) per a realitzar-hi estudis estadístics. Aquestes fonts de dades són perilloses per a la informació confidencial de les persones o institucions ja que són accessibles per a tothom, per tant necessiten ser protegides abans de ser publicades. En aquest projecte es presenten els diferents mètodes de protecció corresponents a dades categòriques així com un anàlisi de cadascun per a determinar-ne la pèrdua d'informació i el risc de revelació. Finalment també s'ha desenvolupat un mètode per optimitzar els resultats obtinguts pel mètode PRAM.

Com conduïm després d’un programa formatiu de seguretat viària?

Els programes formatius de seguretat viària són una mesura que s’aplica des de l’execució penal a la comunitat en delictes de trànsit i tenen com a finalitat reduir la reincidència dels conductors de major risc. L’objectiu principal del treball és identificar les característiques comunes dels infractors de trànsit que fan aquest tipus d’intervenció, conèixer els factors de risc associats a aquests infractors i en quina mesura l’estat psicològic és un factor de risc en l’estil de conducció. També es volia determinar si hi havia diferències entre les entitats que impartien la formació i avaluar l’efectivitat d’aquests programes en l’estil de conducció dels participants en finalitzar el curs. En l’estudi, hi van participar 278 voluntaris del total de 354 infractors de trànsit que van fer el programa formatiu entre l’1 d’abril de 2009 i el 13 de febrer de 2010. How do we drive after a driving educational program? The study analyzes the results of educational programs that are applied as a community sanction for those convicted for driving offenses, in majority drunk driving, in Catalonia. Between April 1, 2009 and February 13, 2010 a total of 278 offenders participated in these mandatory educational programs. ¿Cómo conducimos después de un programa formativo de educación vial? El estudio analiza los resultados de los programas formativos que se aplican como medida penal alternativa a la prisión a los condenados por delitos de tráfico en Cataluña. En total han participado 278 infractores que realizaron el programa formativo entre el 1 de abril de 2009 y el 13 de febrero de 2010.

Desenvolupament d'eines d'alta ressolució per al cribatge (screening) de l'activitat de fàrmacs

Projecte de recerca elaborat a partir d’una estada a la Satandford University, EEUU, entre 2007 i 2009. Els darrers anys, hi ha hagut un avanç espectacular en la tecnologia aplicada a l’anàlisi del genoma i del proteoma (microarrays, PCR quantitativa real time, electroforesis dos dimensions, espectroscòpia de masses, etc.) permetent la resolució de mostres complexes i la detecció quantitativa de diferents gens i proteïnes en un sol experiment. A més a més, la seva importància radica en la capacitat d’identificar potencials dianes terapèutiques i possibles fàrmacs, així com la seva aplicació en el disseny i desenvolupament de noves eines de diagnòstic. L’aplicabilitat de les tècniques actuals, però, està limitada al nivell al que el teixit pot ser disseccionat. Si bé donen valuosa informació sobre expressió de gens i proteïnes implicades en una malaltia o en resposta a un fàrmac per exemple, en cap cas, s’obté una informació in situ ni es pot obtenir informació espacial o una resolució temporal, així com tampoc s’obté informació de sistemes in vivo. L’objectiu d’aquest projecte és desenvolupar i validar un nou microscopi, d’alta resolució, ultrasensible i de fàcil ús, que permeti tant la detecció de metabòlits, gens o proteïnes a la cèl•lula viva en temps real com l’estudi de la seva funció. Obtenint així una descripció detallada de les interaccions entre proteïnes/gens que es donen dins la cèl•lula. Aquest microscopi serà un instrument sensible, selectiu, ràpid, robust, automatitzat i de cost moderat que realitzarà processos de cribatge d’alt rendiment (High throughput screening) genètics, mèdics, químics i farmacèutics (per aplicacions diagnòstiques i de identificació i selecció de compostos actius) de manera més eficient. Per poder realitzar aquest objectius el microscopi farà ús de les més noves tecnologies: 1)la microscopia òptica i d’imatge, per millorar la visualització espaial i la sensibilitat de l’imatge; 2) la utilització de nous mètodes de detecció incloent els més moderns avanços en nanopartícules; 3) la creació de mètodes informàtics per adquirir, emmagatzemar i processar les imatges obtingudes.

Deciding where to belong: gender differences in educational trajectories and migration in a rural Spanish town

From an anthropological perspective, formal post-secondary schooling is not an abstractentity with an intrinsic value that everyone finds desirable, but rather one alternative among many that young people evaluate from their different positions in the social field. The problem discussed in this paper is the diverging life trajectories that young men and women in a concrete rural context, at the end of the 20th century, shape for themselves at the ages of 14-16, a moment of decision created by national legislation regarding mandatory education (LGE, 1970, General Education Law, and LOGSE, 1990, General Organic Law of the Education System). Despite a strong cultural norm of equal inheritance divided among all children, male and female, and despite the equal educational opportunities provided by the Spanish State, different meanings of possession and use-rights over land and the resulting culturally accepted gendered division of work converge to orient men and women differently towards post-secondary schooling. Observation of the age, gender, and civil status structure of the population led to the preliminary query: Why do men and women, in this town, behave differently with respect to migration and marriage? The main hypothesis was that women’s longer school trajectories and resulting migration and men’s anchoring in the town and their higher rates of celibacy were not drastic changes in values, in the positional-relational sense of Bourdieu (1988, 2002), but the current outcome of previously existing dissimilar relations to property that produce dissimilar mobility. Through their schooling and work choices, young men and women, at very early ages, locate themselves in, or decide to belong to, different contexts that later reveal very different possibilities of finding marriage partners. This paper is based on an ethnographic study of a small rural town (302 inhabitants in 1950; 193 in 2000) near Leon. Although this paper deals with the situation in the final decades of the 20th century, we must also consider the first half of the century, where some elements that shape this situation have their roots. Fieldwork was carried out between 1988 and 2001, in periods of differing length and intensity. The social subjects discussed here are the domestic unit and its component members. They were studied in conjunction, analyzing the life-trajectory decisions of specific persons in the framework of the domestic unit and the relations among people and property which comprise it. The tried-and-true methods of ethnographic research –participant observation, interviews, and life-histories, etc.- were employed. Archival research was also important for producing demographic data. Demographic analysis, the analysis of the composition and transformation of domestic units, and the creation of life trajectories were among the principal techniques used. The theoretical analysis was oriented by Bourdieu’s (2002) framework of the social field, habitus, and difference.