Co-ordination failure, moral hazard and sovereign bankruptcy procedures

We study a model of sovereign debt crisis that combines problems of creditor coordination and debtor moral hazard. Solving the sovereign debtor's incentives leads to excessive 'rollover failure' by creditors when sovereign default occurs. We discuss how the incidence of crises might be reduced by international sovereign bankruptcy procedures and relate this to the current debate on revising international financial architecture. Paper prepared for Bank of England Conference on "The Role of the Official and Private Sectors in Resolving International Financial Crises", London, and for the Latin American Meeting of the Econometric Society, Sao Paolo, Brazil. (Preliminary draft circulated for comments, please do not cite without reference to the authors).

Renegociação de dívidas e moral hazard: uma análise do efeito da política de descontos no pagamento de dívidas de cartões de crédito

O Brasil vem vivenciando um aumento na demanda por cartões de crédito, principalmente nas classes baixas. Entretanto, a população de menor renda e menor qualificação representa maior riscos para a operação. Este fato é evidenciado pelas altas taxas de inadimplência. Exposto isso, empresas se utilizam de estratégias de renegociação de dívida na tentativa de recuperar parte do investimento realizado. Entretanto, poucos foram os estudos acerca da consequência no longo prazo destas estratégias. Utilizando os experimentos realizados por uma empresa de cartão de crédito, cujas campanhas de renegociação variavam mês a mês, este estudo, procurou evidências de que as ofertas de renegociação de dívidas podem afetar a reputação da firma, fazendo com que clientes da rede mesma rede social deste que recebeu a oferta de renegociação também fiquem inadimplentes. Concluímos que o aumento do desconto nas negociações tem um efeito significativo sobre o incentivo do cliente em honrar suas obrigações junto a empresa, ou seja, o aumento de 0,01 p.p. no desconto dado aos clientes aumenta em 0,05 sua probabilidade em atrasar sua fatura no próximo período.

Implied Hazard Rates Analysis Through Brazilian Corporate Debt

No Brasil, o mercado de crédito corporativo ainda é sub-aproveitado. A maioria dos participantes não exploram e não operam no mercado secundário, especialmente no caso de debêntures. Apesar disso, há inúmeras ferramentas que poderiam ajudar os participantes do mercado a analisar o risco de crédito e encorajá-los a operar esses riscos no mercado secundário. Essa dissertação introduz um modelo livre de arbitragem que extrai a Perda Esperada Neutra ao Risco Implícita nos preços de mercado. É uma forma reduzida do modelo proposto por Duffie and Singleton (1999) e modela a estrutura a termo das taxas de juros através de uma Função Constante por Partes. Através do modelo, foi possível analisar a Curva de Perda Esperada Neutra ao Risco Implícita através dos diferentes instrumentos de emissores corporativos brasileiros, utilizando Títulos de Dívida, Swaps de Crédito e Debêntures. Foi possível comparar as diferentes curvas e decidir, em cada caso analisado, qual a melhor alternativa para se tomar o risco de crédito da empresa, via Títulos de Dívida, Debêntures ou Swaps de Crédito.

Limited liability and non-responsiveness in moral hazard and adverse selection problems

This work analyses the optimal menu of contracts offered by a risk neutral principal to a risk averse agent under moral hazard, adverse selection and limited liability. There are two output levels, whose probability of occurrence are given by agent’s private information choice of effort. The agent’s cost of effort is also private information. First, we show that without assumptions on the cost function, it is not possible to guarantee that the optimal contract menu is simple, when the agent is strictly risk averse. Then, we provide sufficient conditions over the cost function under which it is optimal to offer a single contract, independently of agent’s risk aversion. Our full-pooling cases are caused by non-responsiveness, which is induced by the high cost of enforcing higher effort levels. Also, we show that limited liability generates non-responsiveness.

APPLICATION of THE HAZARD ANALYSIS and CRITICAL CONTROL POINT (HACCP) SYSTEM on THE MUSHROOM PROCESSING LINE FOR FRESH CONSUMPTION

The Hazard Analysis and Critical Control Point (HACCP) is a preventive system that intends to guarantee the safety and harmlessness of food. It improves the quality of products as it eliminates possible defects during the process, and saves costs by practically eliminating final product inspection. This work describes the typical hazards encountered on the mushroom processing line for fresh consumption. Throughout the process, only the reception stage of mushrooms has been considered a critical control point (CCP). The main hazards at this stage were: the presence of unauthorised phytosanitary products; larger doses of such products than those permitted; the presence of pathogenic bacteria or thermo-stable enterotoxins. Putting into practice such knowledge would provide any industry that processes mushrooms for fresh consumption with a self-control HACCP-based system for its own productions.

Mapping hazard risk: A case study of Ubatuba, Brazil

Steep slopes in subtropical zones are always at risk from landslides. The risk greatly increases when there is rapid, unplanned urban growth. This has happened at Ubatuba on the Brazilian coast - tourism-related development has forced local people into narrow valleys with steep slopes. In this article the authors describe how the hazard risk can be mapped, helping the local authorities to control the problem.

EFFECTS OF A BIRD HAZARD REDUCTION FORCE ON REDUCING BIRD/AIRCRAFT STRIKE HAZARDS AT THE ATLANTIC CITY INTERNATIONAL AIRPORT, NJ

Bird-aircraft strikes at the Atlantic City International Airport (ACY) increased from 18 in 1989 to 37 in 1990. The number of bird-aircraft strikes involving gulls (Larus spp.) during this time rose from 6 to 27, a 350% increase. The predominant species involved in bird strikes was the laughing gull (L. atricilla). Pursuant to an interagency agreement between the U.S. Department of Transportation (USDOT), Federal Aviation Administration (FAA) and the U.S. Department of Agriculture (USDA)l Animal and Plant Health Inspection Service (APHIS)/Animal Damage Control (ADC), ADC established a Emergency/Experimental Bird Hazard Reduction Force (BHFF) at ACY in 1991. An Environmental Assessment (EA) and Finding of No Significant Impact (FONSI) for the 1991 Emergency/Experimental BHRF was executed and signed by the FAA on 19 May 1991. The BHRF was adopted at this time by the FAA Technical Center as an annual program to reduce bird strikes at ACY. The BHRF goals are to minimize or eliminate the incidence of bird-aircraft strikes and runway closures due to increased bird activities. A BHRF team consisting of ADC personnel patrolled ACY for 95 days from 26 May until 28 August 1992, for a total of 2,949 person-hours. The BHRF used a combination of pyrotechnics, amplified gull distress tapes and live ammunition to harass gulls away from the airport from dawn to dusk. Gullaircraft strikes were reduced during BHRF operations in 1992 by 86% compared to gull strikes during summer months of 1990 when there was not a BHRF team. Runway closures due to bird activity decreased 100% compared to 1990 and 1991 closures. The BHRF should continue at ACY as long as birds are a threat to human safety and aircraft operations.

ECOLOGICAL CONTROL OF BIRD HAZARD TO AIRCRAFT

The Canadian Wildlife Service has had twenty-five years experience with the problem caused by bird contacts with aircraft. I experienced my first bird strike, while flying as an observer on a waterfowl survey in August, 1940. Officers of the Service investigated bird problems at airports at Yarmouth, Nova Scotia, and Cartierville, Quebec, in the late 1940's. Those incidents involving gulls and low speed piston-engined aircraft caused minor damage to the aircraft but considerable disturbance to the operators. As aircraft speeds increased and airports became more numerous and busier the problem increased in extent and complexity. By 1960 it was apparent that the problem would grow worse and that work should be directed toward reducing the number of incidents. In 1960 an electra aircraft crashed at Boston, Massachusetts, killing 61 passengers. Starlings were involved in the engine malfunction which preceded the crash. In November, 1962 a viscount aircraft was damaged by collision with two swans between Baltimore and Washington and crashed with a loss of 17 lives. Those incidents focused attention on the bird hazard problem in the United States.

A general threshold stress hybrid hazard model for lifetime data

In this paper we propose a hybrid hazard regression model with threshold stress which includes the proportional hazards and the accelerated failure time models as particular cases. To express the behavior of lifetimes the generalized-gamma distribution is assumed and an inverse power law model with a threshold stress is considered. For parameter estimation we develop a sampling-based posterior inference procedure based on Markov Chain Monte Carlo techniques. We assume proper but vague priors for the parameters of interest. A simulation study investigates the frequentist properties of the proposed estimators obtained under the assumption of vague priors. Further, some discussions on model selection criteria are given. The methodology is illustrated on simulated and real lifetime data set.

INFERENCES FOR THE CHANGE-POINT OF THE EXPONENTIATED WEIBULL HAZARD FUNCTION

In many applications of lifetime data analysis, it is important to perform inferences about the change-point of the hazard function. The change-point could be a maximum for unimodal hazard functions or a minimum for bathtub forms of hazard functions and is usually of great interest in medical or industrial applications. For lifetime distributions where this change-point of the hazard function can be analytically calculated, its maximum likelihood estimator is easily obtained from the invariance properties of the maximum likelihood estimators. From the asymptotical normality of the maximum likelihood estimators, confidence intervals can also be obtained. Considering the exponentiated Weibull distribution for the lifetime data, we have different forms for the hazard function: constant, increasing, unimodal, decreasing or bathtub forms. This model gives great flexibility of fit, but we do not have analytic expressions for the change-point of the hazard function. In this way, we consider the use of Markov Chain Monte Carlo methods to get posterior summaries for the change-point of the hazard function considering the exponentiated Weibull distribution.

Earthquake forecasting and seismic hazard analysis: some insights on the testing phase and the modeling

This thesis is divided in three chapters. In the first chapter we analyse the results of the world forecasting experiment run by the Collaboratory for the Study of Earthquake Predictability (CSEP). We take the opportunity of this experiment to contribute to the definition of a more robust and reliable statistical procedure to evaluate earthquake forecasting models. We first present the models and the target earthquakes to be forecast. Then we explain the consistency and comparison tests that are used in CSEP experiments to evaluate the performance of the models. Introducing a methodology to create ensemble forecasting models, we show that models, when properly combined, are almost always better performing that any single model. In the second chapter we discuss in depth one of the basic features of PSHA: the declustering of the seismicity rates. We first introduce the Cornell-McGuire method for PSHA and we present the different motivations that stand behind the need of declustering seismic catalogs. Using a theorem of the modern probability (Le Cam's theorem) we show that the declustering is not necessary to obtain a Poissonian behaviour of the exceedances that is usually considered fundamental to transform exceedance rates in exceedance probabilities in the PSHA framework. We present a method to correct PSHA for declustering, building a more realistic PSHA. In the last chapter we explore the methods that are commonly used to take into account the epistemic uncertainty in PSHA. The most widely used method is the logic tree that stands at the basis of the most advanced seismic hazard maps. We illustrate the probabilistic structure of the logic tree, and then we show that this structure is not adequate to describe the epistemic uncertainty. We then propose a new probabilistic framework based on the ensemble modelling that properly accounts for epistemic uncertainties in PSHA.