938 resultados para credit risk


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Thesis (Ph.D.)--University of Washington, 2016-06

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The benefits of diversification from international real estate securities are generally well established. However, the drivers of international real estate securities returns are insufficiently understood. We jointly examine the empirical implications of three major international asset pricing models that account for broad macroeconomic risk factors. In addition, we develop the hypothesis that an indicator of mispriced credit is significant in explaining the time series variation in international real estate securities returns. We employ the returns generated by a large sample of firms from 20 countries over the period 1999 to 2011 to test our hypothesis. We find support for the predictions of the major international asset pricing models. We also find evidence in favour of our hypothesised link between local credit conditions and the performance of international real estate securities.

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Mestrado em Economia Monetária e Financeira

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A pervasive and puzzling feature of banks’ Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial banks to overstate their VaR is that they incompletely account for the diversification effect among broad risk categories (e.g., equity, interest rate, commodity, credit spread, and foreign exchange). By underestimating the diversification effect, bank’s proprietary VaR models produce overly prudent market risk assessments. In this paper, we examine empirically the validity of this hypothesis using actual VaR data from major US commercial banks. In contrast to the VaR diversification hypothesis, we find that US banks show no sign of systematic underestimation of the diversification effect. In particular, diversification effects used by banks is very close to (and quite often larger than) our empirical diversification estimates. A direct implication of this finding is that individual VaRs for each broad risk category, just like aggregate VaRs, are biased risk assessments.

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Micro-credit has often been used as a poverty alleviation strategy. However, there is little evidence to suggest that micro-credit alone can promote economic activities because micro-credit does not teach anything by itself (Brett 2006; Mayoux 1999; Sievers & Vandenberg 2007). Mistakenly, the focus of micro-credit has been the alleviation of immediate poverty, rather than the development of economic activity that would provide a long term solution. Paraphrasing the age old saying, "Give a man a fish and you feed him for a day, teach him to fish and you will feed him for a life time" micro-credit enables the fisherman to buy a net, but in many cases does nothing to ensure that he knows how to use it to benefit his family and the community. If the borrower doesn't know how to use the net, he will return to his old way of doing things-but with the added burden of having to pay back the debt. Given the state of extreme poverty experienced by the vast majority of the population in developing countries, borrowed money is often used for purposes other than creating the foundations for a sustainable economic growth. Typical examples of how micro-credit is generally used include covering funeral costs, buying food, medicines, and other similarly important necessities. The main problem that derives from using loans in this way is that apart from not improving living conditions in a sustainable manner, borrowers are also exposed to the risk of over-indebtedness, with its subsequent human and social implications.

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Road surface skid resistance has been shown to have a strong relationship to road crash risk, however, applying the current method of using investigatory levels to identify crash prone roads is problematic as they may fail in identifying risky roads outside of the norm. The proposed method analyses a complex and formerly impenetrable volume of data from roads and crashes using data mining. This method rapidly identifies roads with elevated crash-rate, potentially due to skid resistance deficit, for investigation. A hypothetical skid resistance/crash risk curve is developed for each road segment, driven by the model deployed in a novel regression tree extrapolation method. The method potentially solves the problem of missing skid resistance values which occurs during network-wide crash analysis, and allows risk assessment of the major proportion of roads without skid resistance values.

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In recent years, carbon has been increasingly rendered ‘visible’ both discursively and through political processes that have imbued it with economic value. Greenhouse gas (GHG) emissions have been constructed as social and environmental costs and their reduction or avoidance as social and economic gain. The ‘marketisation’ of carbon, which has been facilitated through various compliance schemes such as the European Union Emissions Trading Scheme (EU ETS), the Kyoto Protocol, the proposed Australian Emissions Reduction Scheme and through the voluntary carbon credit market, have attempted to bring carbon into the ‘foreground’ as an economic liability and/or opportunity. Accompanying the increasing economic visibility of carbon are reports of frauds and scams – the ‘gaming of carbon markets’(Chan 2010). As Lohmann (2010: 21) points out, ‘what are conventionally classed as scams or frauds are an inevitable feature of carbon offset markets, not something that could be eliminated by regulation targeting the specific businesses or state agencies involved’. This paper critiques the disparate discourses of fraud risk in carbon markets and examines cases of fraud within emerging landscapes of green criminology.

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There is some evidence that self-rated perceptions of health are predictive of objective health outcomes, including cardiovascular disease, and mortality. The objective of this study was to examine the prospective association between perceptions of health during pregnancy and cardiovascular risk factors of mothers 21 years after the pregnancy. Data used were from the Mater University Study of Pregnancy (MUSP), a community-based prospective birth cohort study begun in Brisbane, Australia, in 1981. Logistic regression analyses were conducted. Data were available for 3692 women. Women who perceived themselves as not having a straight forward pregnancy had twice the odds (adjusted OR 2.0, 95% CI 1.1–3.8) of being diagnosed with heart disease 21 years after the pregnancy when compared with women with a straight forward pregnancy (event rate of 5.2 versus 2.6%). Women who experienced complications (other than serious pregnancy complications) during their pregnancy were also at 30% increased odds (adjusted OR 1.3, 95% CI 1.0–1.6) of having hypertension 21years later (event rate of 25.7 versus 20%). As a whole, our study sug- gests that pregnant women who perceived that they had complications and did not have a straight forward preg- nancy were likely to experience poorer cardiovascular outcomes 21years after that pregnancy.

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Background Located in the Pacific Ocean between Australia and New Zealand, the unique population isolate of Norfolk Island has been shown to exhibit increased prevalence of metabolic disorders (type-2 diabetes, cardiovascular disease) compared to mainland Australia. We investigated this well-established genetic isolate, utilising its unique genomic structure to increase the ability to detect related genetic markers. A pedigree-based genome-wide association study of 16 routinely collected blood-based clinical traits in 382 Norfolk Island individuals was performed. Results A striking association peak was located at chromosome 2q37.1 for both total bilirubin and direct bilirubin, with 29 SNPs reaching statistical significance (P < 1.84 × 10−7). Strong linkage disequilibrium was observed across a 200 kb region spanning the UDP-glucuronosyltransferase family, including UGT1A1, an enzyme known to metabolise bilirubin. Given the epidemiological literature suggesting negative association between CVD-risk and serum bilirubin we further explored potential associations using stepwise multivariate regression, revealing significant association between direct bilirubin concentration and type-2 diabetes risk. In the Norfolk Island cohort increased direct bilirubin was associated with a 28 % reduction in type-2 diabetes risk (OR: 0.72, 95 % CI: 0.57-0.91, P = 0.005). When adjusted for genotypic effects the overall model was validated, with the adjusted model predicting a 30 % reduction in type-2 diabetes risk with increasing direct bilirubin concentrations (OR: 0.70, 95 % CI: 0.53-0.89, P = 0.0001). Conclusions In summary, a pedigree-based GWAS of blood-based clinical traits in the Norfolk Island population has identified variants within the UDPGT family directly associated with serum bilirubin levels, which is in turn implicated with reduced risk of developing type-2 diabetes within this population.

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Background Treatment guidelines recommend watchful waiting for children older than 2 years with acute otitis media (AOM) without perforation, unless they are at high risk of complications. The high prevalence of chronic suppurative otitis media (CSOM) in remote Aboriginal and Torres Strait Islander communities leads these children to be classified as high risk. Urban Aboriginal and Torres Strait Islander children are at lower risk of complications, but evidence to support the subsequent recommendation for watchful waiting in this population is lacking. Methods/Design This non-inferiority multi-centre randomised controlled trial will determine whether watchful waiting is non-inferior to immediate antibiotics for urban Aboriginal and Torres Strait Islander children with AOM without perforation. Children aged 2 − 16 years with AOM who are considered at low risk for complications will be recruited from six participating urban primary health care services across Australia. We will obtain informed consent from each participant or their guardian. The primary outcome is clinical resolution on day 7 (no pain, no fever of at least 38 °C, no bulging eardrum and no complications of AOM such as perforation or mastoiditis) as assessed by general practitioners or nurse practitioners. Participants and outcome assessors will not be blinded to treatment. With a sample size of 198 children in each arm, we have 80 % power to detect a non-inferiority margin of up to 10 % at a significance level of 5 %, assuming clinical improvement of at least 80 % in both groups. Allowing for a 20 % dropout rate, we aim to recruit 495 children. We will analyse both by intention-to-treat and per protocol. We will assess the cost- effectiveness of watchful waiting compared to immediate antibiotic prescription. We will also report on the implementation of the trial from the perspectives of parents/carers, health professionals and researchers. Discussion The trial will provide evidence for the safety and effectiveness of watchful waiting for the management of AOM in Aboriginal and Torres Strait Islander children living in urban settings who are considered to be at low risk of complications.

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Background Expenditure on dental and oral health services in Australia is $3.4 billion AUD annually. This is the sixth highest health cost and accounts for 7 % of total national health expenditure. Approximately 49 % of Australian children aged 6 years have caries experience in their deciduous teeth and this is rising. The aetiology of dental caries involves a complex interplay of individual, behavioural, social, economic, political and environmental conditions, and there is increasing interest in genetic predisposition and epigenetic modification. Methods The Oral Health Sub-study; a cross sectional study of a birth cohort began in November 2012 by examining mothers and their children who were six years old by the time of initiation of the study, which is ongoing. Data from detailed questionnaires of families from birth onwards and data on mothers’ knowledge, attitudes and practices towards oral health collected at the time of clinical examination are used. Subjects’ height, weight and mid-waist circumference are taken and Body Mass Index (BMI) computed, using an electronic Bio-Impedance balance. Dental caries experience is scored using the International Caries Detection and Assessment System (ICDAS). Saliva is collected for physiological measures. Salivary Deoxyribose Nucleic Acid (DNA) is extracted for genetic studies including epigenetics using the SeqCap Epi Enrichment Kit. Targets of interest are being confirmed by pyrosequencing to identify potential epigenetic markers of caries risk. Discussion This study will examine a wide range of potential determinants for childhood dental caries and evaluate inter-relationships amongst them. The findings will provide an evidence base to plan and implement improved preventive strategies.

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This study estimates default probabilities of 124 emerging countries from 1981 to 2002 as a function of a set of macroeconomic and political variables. The estimated probabilities are then compared with the default rates implied by sovereign credit ratings of three major international credit rating agencies (CRAs) – Moody's Investor's Service, Standard & Poor's and Fitch Ratings. Sovereign debt default probabilities are used by investors in pricing sovereign bonds and loans as well as in determining country risk exposure. The study finds that CRAs usually underestimate the risk of sovereign debt as the sovereign credit ratings from rating agencies are usually too optimistic.

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Objectives: To identify demographic and socioeconomic determinants of need for acute hospital treatment at small area level. To establish whether there is a relation between poverty and use of inpatient services. To devise a risk adjustment formula for distributing public funds for hospital services using, as far as possible, variables that can be updated between censuses. Design: Cross sectional analysis. Spatial interactive modelling was used to quantify the proximity of the population to health service facilities. Two stage weighted least squares regression was used to model use against supply of hospital and community services and a wide range of potential needs drivers including health, socioeconomic census variables, uptake of income support and family credit, and religious denomination. Setting: Northern Ireland. Main outcome measure: Intensity of use of inpatient services. Results: After endogeneity of supply and use was taken into account, a statistical model was produced that predicted use based on five variables: income support, family credit, elderly people living alone, all ages standardised mortality ratio, and low birth weight. The main effect of the formula produced is to move resources from urban to rural areas. Conclusions: This work has produced a population risk adjustment formula for acute hospital treatment in which four of the five variables can be updated annually rather than relying on census derived data. Inclusion of the social security data makes a substantial difference to the model and to the results produced by the formula.

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For US credit unions, revenue from non-interest sources has increased significantly in recent years. We investigate the impact of revenue diversification on financial performance for the period 1993–2004. The impact of a change in strategy that alters the share of non-interest income is decomposed into a direct exposure effect, reflecting the difference between interest and non-interest bearing activities, and an indirect exposure effect which reflects the effect of the institution’s own degree of diversification. On both risk-adjusted and unadjusted returns measures, a positive direct exposure effect is outweighed by a negative indirect exposure effect for all but the largest credit unions. This may imply that similar diversification strategies are not appropriate for large and small credit unions. Small credit unions should eschew diversification and continue to operate as simple savings and loan institutions, while large credit unions should be encouraged to exploit new product opportunities around their core expertise.