On The Timing of Default Losses: When and Why?

At the light of what happened in 2010 and 2011, a lot of European countries founded themselves in a difficult position where all the credit rating agencies were downgrading debt states. Problem of solvency and guarantees on the states' bond were perceived as too risky for a Monetary Union as Europe is. Fear of a contagion from Greece as well was threatening the other countries as Italy, Spain, Portugal and Ireland; while Germany and France asked for a division between risky and riskless bond in order to feel more safe. Our paper gets inspiration by Roch and Uhlig (2011), it refers to the Argentinian case examined by Arellano (2008) and examine possible interventions as monetization or bailout as proposed by Cole and Kehoe (2000). We propose a model in which a state defaults and cannot repay a fraction of the old bond; but contrary to Roch and Uhlig that where considering a one-time cost of default we consider default as an accumulation of losses, perceived as unpaid fractions of the old debts. Our contributions to literature is that default immediately imply that economy faces a bad period and, accumulating losses, government will be worse-off. We studied a function for this accumulation of debt period by period, in order to get an idea of the magnitude of this waste of resources that economy will face when experiences a default. Our thesis is that bailouts just postpone the day of reckoning (Roch, Uhlig); so it's better to default before accumulate a lot of debts. What Europe need now is the introduction of new reforms in a controlled default where the Eurozone will be saved in its whole integrity and a state could fail with the future promise of a resurrection. As experience show us, governments are not interested into reducing debts since there are ECB interventions. That clearly create a distortion between countries in the same monetary union, giving to the states just an illusion about their future debtor position.

Studio della diversa espressione di proteine del siero nelle anguille (Anguilla anguilla) gialle ed argentine mediante analisi proteomica

L’anguilla europea (Anguilla anguilla) è una specie eurialina catadroma, la cui area di riproduzione si trova a grande distanza dall’areale di distribuzione. Presenta un ciclo biologico piuttosto complesso caratterizzato da due metamorfosi: la prima, tipicamente larvale permette al “leptocefalo”, forma larvale marina tipica degli anguilliformi, di trasformarsi in anguilla “ceca”; la seconda, invece, trasforma l’anguilla “gialla” in “argentina” attraverso un processo definito di “argentinizzazione” nel quale si delineano preadattamenti alla maturazione sessuale che sarà completa durante la migrazione riproduttiva verso il Mar dei Sargassi. L’”argentinizzazione” innesca modificazioni fisiologiche (regressione del tratto digestivo), e morfologiche (aumento della massa corporea, ispessimento della pelle, modificazione dell’occhio e nuova pigmentazione). Il colore bruno verdastro con ventre giallo è prerogativa delle anguille in fase trofica, cioè quelle gialle, sessualmente immature. Quelle argentine presentano, invece, una colorazione più scura sul dorso e argenteo sul ventre. Inoltre le anguille argentine vanno incontro a cambiamenti ormonali per adattarsi all’ambiente marino, compiere la lunga migrazione e riprodursi. Per avere a disposizione risorse energetiche anche senza nutrirsi per molti mesi, devono accumulare grandi riserve di cui il 60% è destinato per lo sviluppo delle gonadi. Tuttavia i processi metabolici che consentono alle anguille argentine di effettuare lunghe migrazioni mantenendo un’alta efficienza del nuoto e nel contempo utilizzando limitate risorse, non sono sufficientemente conosciuti. Per fornire nuove informazioni, questo lavoro di tesi ha indagato se vi sia una modificazione del quadro proteico del siero delle anguille argentine rispetto alle gialle, e quali proteine eventualmente risultino sovra- o sotto- espresse in ciascuna delle due fasi del ciclo biologico. A tale fine si è applicata una tecnica innovativa, quale l’analisi proteomica, che permette di identificare in modo sistematico le proteine all’interno di un substrato biologico come iin questo caso il siero. Le anguille gialle ed argentine prese in esame sono state prelevate nelle Valli di Comacchio (FE). La valutazione quantitativa delle proteine, separate tramite elettroforesi bidimensionale su gel di poliacrilamide, si è fondata sull’analisi delle immagini attraverso specifici programmi (Proteomweaver). A tale proposito, si sono confrontati i gel di anguilla gialla ed argentina individuando gli spot corrispondenti alle proteine e quantificandoli. Gli spot differenzialmente espressi sono stati prelevati per essere poi identificati tramite spettrometria di massa (MS/MS), arrivando al riconoscimento di diverse proteine. Tra queste, sono state identificate due diverse isoforme di apolipoproteina, l’una più espressa nell’anguilla gialla, l’altra nell’argentina; tali proteine svolgono un ruolo importante nella facilitazione del trasporto lipidico e nell’assorbimento dei lipidi associato anche con la crescita degli ovociti. Il treno di spot relativo alla transferrina è decisamente più evidente nelle anguille argentine, il che potrebbe essere correlato al ruolo del ferro nell’emoglobina, mirato ad un maggiore apporto di ossigeno ai tessuti durante la lunga migrazione riproduttiva di questi animali. Lo studio è del tutto nuovo e al momento non sono disponibili sufficienti informazioni al contorno per trarre più ampie conclusioni; tuttavia esso merita di essere proseguito per contribuire alla comprensione degli eventi di metamorfosi in questa specie dal ciclo vitale complesso e in gran parte sconosciuto.

Modelli matematici applicati alla probabilità di default nei sistemi di rating.

L'obiettivo del seguente lavoro è determinare attraverso l'uso di procedure statistico-econometriche, in particolare del metodo ECM, le previsioni per i tassi di default nel triennio 2013-2015, partendo dalle serie storiche di questi ultimi e da quelle macroeconomiche.

Econometrics of default risk

This thesis is the result of a project aimed at the study of a crucial topic in finance: default risk, whose measurement and modelling have achieved increasing relevance in recent years. We investigate the main issues related to the default phenomenon, under both a methodological and empirical perspective. The topics of default predictability and correlation are treated with a constant attention to the modelling solutions and reviewing critically the literature. From the methodological point of view, our analysis results in the proposal of a new class of models, called Poisson Autoregression with Exogenous Covariates (PARX). The PARX models, including both autoregressive end exogenous components, are able to capture the dynamics of default count time series, characterized by persistence of shocks and slowly decaying autocorrelation. Application of different PARX models to the monthly default counts of US industrial firms in the period 1982-2011 allows an empirical insight of the defaults dynamics and supports the identification of the main default predictors at an aggregate level.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Credit-Default-Swaps and the 2008 Financial Crisis: An Inquiry into the Underlying Legal Origins and the European Union’s Regulatory Reforms

After the 2008 financial crisis, the financial innovation product Credit-Default-Swap (CDS) was widely blamed as the main cause of this crisis. CDS is one type of over-the-counter (OTC) traded derivatives. Before the crisis, the trading of CDS was very popular among the financial institutions. But meanwhile, excessive speculative CDSs transactions in a legal environment of scant regulation accumulated huge risks in the financial system. This dissertation is divided into three parts. In Part I, we discussed the primers of the CDSs and its market development, then we analyzed in detail the roles CDSs had played in this crisis based on economic studies. It is advanced that CDSs not just promoted the eruption of the crisis in 2007 but also exacerbated it in 2008. In part II, we asked ourselves what are the legal origins of this crisis in relation with CDSs, as we believe that financial instruments could only function, positive or negative, under certain legal institutional environment. After an in-depth inquiry, we observed that at least three traditional legal doctrines were eroded or circumvented by OTC derivatives. It is argued that the malfunction of these doctrines, on the one hand, facilitated the proliferation of speculative CDSs transactions; on the other hand, eroded the original risk-control legal mechanism. Therefore, the 2008 crisis could escalate rapidly into a global financial tsunami, which was out of control of the regulators. In Part III, we focused on the European Union’s regulatory reform towards the OTC derivatives market. In specific, EU introduced mandatory central counterparty clearing obligation for qualified OTC derivatives, and requires that all OTC derivatives shall be reported to a trade repository. It is observable that EU’s approach in re-regulating the derivatives market is different with the traditional administrative regulation, but aiming at constructing a new market infrastructure for OTC derivatives.

Semantic memory involvement in the default mode network: a functional neuroimaging study using independent component analysis

The Default Mode Network (DMN) is a higher order functional neural network that displays activation during passive rest and deactivation during many types of cognitive tasks. Accordingly, the DMN is viewed to represent the neural correlate of internally-generated self-referential cognition. This hypothesis implies that the DMN requires the involvement of cognitive processes, like declarative memory. The present study thus examines the spatial and functional convergence of the DMN and the semantic memory system. Using an active block-design functional Magnetic Resonance Imaging (fMRI) paradigm and Independent Component Analysis (ICA), we trace the DMN and fMRI signal changes evoked by semantic, phonological and perceptual decision tasks upon visually-presented words. Our findings show less deactivation during semantic compared to the two non-semantic tasks for the entire DMN unit and within left-hemispheric DMN regions, i.e., the dorsal medial prefrontal cortex, the anterior cingulate cortex, the retrosplenial cortex, the angular gyrus, the middle temporal gyrus and the anterior temporal region, as well as the right cerebellum. These results demonstrate that well-known semantic regions are spatially and functionally involved in the DMN. The present study further supports the hypothesis of the DMN as an internal mentation system that involves declarative memory functions.

Reduced Cerebral Blood Flow Within the Default-Mode Network and Within Total Gray Matter in Major Depression

The default-mode network (DMN) was shown to have aberrant blood oxygenation-level-dependent (BOLD) activity in major depressive disorder (MDD). While BOLD is a relative measure of neural activity, cerebral blood flow (CBF) is an absolute measure. Resting-state CBF alterations have been reported in MDD. However, the association of baseline CBF and CBF fluctuations is unclear in MDD. Therefore, the aim was to investigate the CBF within the DMN in MDD, applying a strictly data-driven approach. In 22 MDD patients and 22 matched healthy controls, CBF was acquired using arterial spin labeling (ASL) at rest. A concatenated independent component analysis was performed to identify the DMN within the ASL data. The perfusion of the DMN and its nodes was quantified and compared between groups. The DMN was identified in both groups with high spatial similarity. Absolute CBF values within the DMN were reduced in MDD patients (p<0.001). However, after controlling for whole-brain gray matter CBF and age, the group difference vanished. In patients, depression severity was correlated with reduced perfusion in the DMN in the posterior cingulate cortex and the right inferior parietal lobe. Hypoperfusion within the DMN in MDD is not specific to the DMN. Still, depression severity was linked to DMN node perfusion, supporting a role of the DMN in depression pathobiology. The finding has implications for the interpretation of BOLD functional magnetic resonance imaging data in MDD.

La Sojización: The Soyization" of the Argentine Countryside in the Province of Santa Fe"

In the present era of transnational capitalism, some scholars contend that capital accumulation is achieved primarily through dispossession. This paper seeks to analyze the effects of this dispossession upon small agricultural producers in the developing world. By employing the example of soy producers in Argentina, it should become abundantly clear that the issues confronting these farmers are not simply domestic questions but rather indicative of larger structural issues embedded in the global capitalist system.

BOLD correlates of EEG alpha phase-locking and the fMRI default mode network

Phase locking or synchronization of brain areas is a key concept of information processing in the brain. Synchronous oscillations have been observed and investigated extensively in EEG during the past decades. EEG oscillations occur over a wide frequency range. In EEG, a prominent type of oscillations is alpha-band activity, present typically when a subject is awake, but at rest with closed eyes. The spectral power of alpha rhythms has recently been investigated in simultaneous EEG/fMRI recordings, establishing a wide-range cortico-thalamic network. However, spectral power and synchronization are different measures and little is known about the correlations between BOLD effects and EEG synchronization. Interestingly, the fMRI BOLD signal also displays synchronous oscillations across different brain regions. These oscillations delineate so-called resting state networks (RSNs) that resemble the correlation patterns of simultaneous EEG/fMRI recordings. However, the nature of these BOLD oscillations and their relations to EEG activity is still poorly understood. One hypothesis is that the subunits constituting a specific RSN may be coordinated by different EEG rhythms. In this study we report on evidence for this hypothesis. The BOLD correlates of global EEG synchronization (GFS) in the alpha frequency band are located in brain areas involved in specific RSNs, e.g. the 'default mode network'. Furthermore, our results confirm the hypothesis that specific RSNs are organized by long-range synchronization at least in the alpha frequency band. Finally, we could localize specific areas where the GFS BOLD correlates and the associated RSN overlap. Thus, we claim that not only the spectral dynamics of EEG are important, but also their spatio-temporal organization.

Investment Valuation with Tax-optimized Financing Decisions and a Tax-optimized Default Alternative

In this paper we evaluate an indivisible investment project that is carried out in a corporation under very simple premises. In particular, we discuss a one-period model with certainty, the pure domestic case and proportional tax rates. Surprisingly, the decision problem turns out to be rather complex if one has to make allowance for different taxation of the corporation and its owner. Altogether there are more than 10 cases that have to be distinguished if the firm's managers want to make a correct decision, depending on the relation of personal and corporate tax rates.

Transcatheter aortic valve implantation: the transfemoral access route is the default access

Transcatheter aortic valve implantation (TAVI) is a widely accepted alternative to surgical aortic valve replacement (SAVR) among non-operable patients or selected high-risk patients with degenerative, severe aortic stenosis. TAVI is considered less invasive when compared with SAVR; however, there remain significant differences between different TAVI access routes. The transfemoral approach is considered the least invasive access route, and can be performed as a fully percutaneous procedure in a spontaneously breathing patient under local anaesthesia and mild sedation only. Moreover, transfemoral TAVI patients are typically transferred to coronary care rather than to an intensive care unit after the procedure, and benefit from early ambulation and a reduction in overall length of hospital stay. Considering these patient-specific and health-economic advantages, several TAVI centres follow the least invasive strategy for their patients and have implemented the transfemoral access route as the default access in their institutions. This article provides an overview on the prerequisites for a successful transfemoral TAVI procedure, describes the procedural advantages compared to alternative access routes, and highlights differences in clinical outcomes.