Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

ECONOMIC PROFITABILITY OF THE BAKKEN, NORTH DAKOTA UNCONVENTIONAL OIL PLAYS BASED ON A TYPICAL WELL PERFORMANCE WITH CURRENT MARKET CONDITIONS

Increases in oil prices after the economic recession have been surprising for domestic oil production in the United States since the beginning of 2009. Not only did the conventional oil extraction increase, but unconventional oil production and exploration also improved greatly with the favorable economic conditions. This favorable economy encourages companies to invest in new reservoirs and technological developments. Recently, enhanced drilling techniques including hydraulic fracturing and horizontal drilling have been supporting the domestic economy by way of unconventional shale and tight oil from various U.S. locations. One of the main contributors to this oil boom is the unconventional oil production from the North Dakota Bakken field. Horizontal drilling has increased oil production in the Bakken field, but the economic issues of unconventional oil extraction are still debatable due to volatile oil prices, high decline rates of production, a limited production period, high production costs, and lack of transportation. The economic profitability and viability of the unconventional oil play in the North Dakota Bakken was tested with an economic analysis of average Bakken unconventional well features. Scenario analysis demonstrated that a typical North Dakota Bakken unconventional oil well is profitable and viable as shown by three financial metrics; net present value, internal rate of return, and break-even prices.

Progettazione di un kit di supporto ai corsi Project Based Learning: il ruolo del tutor nel modello Tech to Market.

L’istruzione superiore in Europa è stata oggetto di un significativo processo di riforma: è aumentato l’interesse per un modello di apprendimento intorno ai progetti, centrato sullo studente, che favorisse lo sviluppo di competenze trasversali – il project-based learning (PBL). Inserire il PBL nelle Università richiede un processo di innovazione didattica: il curriculum di un corso PBL e le competenze richieste all’insegnante si differenziano dall’apprendimento tradizionale. Senza un'adeguata attenzione ai metodi di supporto per insegnanti e studenti, questi approcci innovativi non saranno ampiamente adottati. L’obiettivo di questo studio è determinare in che modo sia possibile implementare un corso PBL non presenziato da figure esperte di PBL. Le domande della ricerca sono: è possibile implementare efficacemente un approccio PBL senza il coinvolgimento di esperti dei metodi di progettazione? come si declinano i ruoli della facilitazione secondo questa configurazione: come si definisce il ruolo di tutor d’aula? come rafforzare il supporto per l’implementazione del corso? Per rispondere alle domande di ricerca è stata utilizzata la metodologia AIM-R. Viene presentata la prima iterazione dell’implementazione di un corso di questo tipo, durante la quale sono state svolte attività di ricerca e raccolta dati. L’attività di facilitazione è affidata a tre figure diverse: docente, tutor d’aula e coach professionisti. Su questa base, sono stati definiti gli elementi costituenti un kit di materiale a supporto per l’implementazione di corsi PBL. Oltre a un set di documenti e strumenti condivisi, sono stati elaborati i vademecum per guidare studenti, tutor e docenti all’implementazione di questo tipo di corsi. Ricerche future dovranno essere volte a identificare fattori aggiuntivi che rendano applicabile il kit di supporto per corsi basati su un modello diverso dal Tech to Market o che utilizzino strumenti di progettazione diversi da quelli proposti durante la prima iterazione.

A Markovian model market-Akerlof`s lemons and the asymmetry of information

In this work we study an agent based model to investigate the role of asymmetric information degrees for market evolution. This model is quite simple and may be treated analytically since the consumers evaluate the quality of a certain good taking into account only the quality of the last good purchased plus her perceptive capacity beta. As a consequence, the system evolves according to a stationary Markov chain. The value of a good offered by the firms increases along with quality according to an exponent alpha, which is a measure of the technology. It incorporates all the technological capacity of the production systems such as education, scientific development and techniques that change the productivity rates. The technological level plays an important role to explain how the asymmetry of information may affect the market evolution in this model. We observe that, for high technological levels, the market can detect adverse selection. The model allows us to compute the maximum asymmetric information degree before the market collapses. Below this critical point the market evolves during a limited period of time and then dies out completely. When beta is closer to 1 (symmetric information), the market becomes more profitable for high quality goods, although high and low quality markets coexist. The maximum asymmetric information level is a consequence of an ergodicity breakdown in the process of quality evaluation. (C) 2011 Elsevier B.V. All rights reserved.

Improvement of radiology services based on the process management approach

The health sector requires continuous investments to ensure the improvement of products and services from a technological standpoint, the use of new materials, equipment and tools, and the application of process management methods. Methods associated with the process management approach, such as the development of reference models of business processes, can provide significant innovations in the health sector and respond to the current market trend for modern management in this sector (Gunderman et al. (2008) [4]). This article proposes a process model for diagnostic medical X-ray imaging, from which it derives a primary reference model and describes how this information leads to gains in quality and improvements. (C) 2010 Elsevier Ireland Ltd. All rights reserved.

A sensor array based on mass and capacitance transducers for the detection of adulterated gasolines

The simultaneous use of different sensors technologies is an efficient method to increase the performance of chemical sensors systems. Among the available technologies, mass and capacitance transducers are particularly interesting because they can take advantage also from non-conductive sensing layers, such as most of the more interesting molecular recognition systems. In this paper, an array of quartz microbalance sensors is complemented by an array of capacitors obtained from a commercial biometrics fingerprints detector. The two sets of transducers, properly functionalized by sensitive molecular and polymeric films, are utilized for the estimation of adulteration in gasolines, and in particular to quantify the content of ethanol in gasolines, an application of importance for Brazilian market. Results indicate that the hybrid system outperforms the individual sensor arrays even if the quantification of ethanol in gasoline, due to the variability of gasolines formulation, is affected by a barely acceptable error. (C) 2009 Elsevier B.V. All rights reserved.

Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Emulsified systems based on glyceryl monostearate and potassium cetyl phosphate: Scale-up and characterization of physical properties

introducing a pharmaceutical product on the market involves several stages of research. The scale-up stage comprises the integration of previous phases of development and their integration. This phase is extremely important since many process limitations which do not appear on the small scale become significant on the transposition to a large one. Since scientific literature presents only a few reports about the characterization of emulsified systems involving their scaling-up, this research work aimed at evaluating physical properties of non-ionic and anionic emulsions during their manufacturing phases: laboratory stage and scale-up. Prototype non-ionic (glyceryl monostearate) and anionic (potassium cetyl phosphate) emulsified systems had the physical properties by the determination of the droplet size (D[4,3 1, mu m) and rheology profile. Transposition occurred from a batch of 500-50,000 g. Semi-industrial manufacturing involved distinct conditions: intensity of agitation and homogenization. Comparing the non-ionic and anionic systems, it was observed that anionic emulsifiers generated systems with smaller droplet size and higher viscosity in laboratory scale. Besides that, for the concentrations tested, augmentation of the glyceryl monostearate emulsifier content provided formulations with better physical characteristics. For systems with potassium cetyl phosphate, droplet size increased with the elevation of the emulsifier concentration, suggesting inadequate stability. The scale-up provoked more significant alterations on the rheological profile and droplet size on the anionic systems than the non-ionic. (C) 2008 Elsevier B.V. All rights reserved.

Quantification of Listeria monocytogenes in minimally processed leafy vegetables using a combined method based on enrichment and 16S rRNA real-time PCR

Modern lifestyle markedly changed eating habits worldwide, with an increasing demand for ready-to-eat foods, such as minimally processed fruits and leafy greens. Packaging and storage conditions of those products may favor the growth of psychrotrophic bacteria, including the pathogen Listeria monocytogenes. In this work, minimally processed leafy vegetables samples (n = 162) from retail market from Ribeirao Preto, Sao Paulo, Brazil, were tested for the presence or absence of Listeria spp. by the immunoassay Listeria Rapid Test, Oxoid. Two L. monocytogenes positive and six artificially contaminated samples of minimally processed leafy vegetables were evaluated by the Most Probable Number (MPN) with detection by classical culture method and also culture method combined with real-time PCR (RTi-PCR) for 16S rRNA genes of L monocytogenes. Positive MPN enrichment tubes were analyzed by RTi-PCR with primers specific for L. monocytogenes using the commercial preparation ABSOLUTET (TM) QPCR SYBR (R) Green Mix (ABgene, UK). Real-time PCR assay presented good exclusivity and inclusivity results and no statistical significant difference was found in comparison with the conventional culture method (p < 0.05). Moreover, RTi-PCR was fist and easy to perform, with MPN results obtained in ca. 48 h for RTi-PCR in comparison to 7 days for conventional method. (C) 2009 Elsevier Ltd. All rights reserved.

Information Society, Teaching, and Learning: Education Reforms in Brazil

This article examines the subject matter of learning within the context of information society, through an inquiry concerning both the reforms in education adopted in Brazil in the last thirty years and their results. It provides a revision on the explanations of school failure based on assumptions of learning problems due to cognitive and linguistic deficits. From the guidelines related with written school forms as well as the constant cultural oppression accomplished inside the school, the article claims the necessity of changing the psychological and pedagogic views that, under the label of democratic practices, determine school institutions and its daily life, by means of instrumental relations with knowledge that disregard the reading practices which are congenial to popular culture.

Assessing the competitiveness of loss allocation methods in a deregulated electricity market

This paper critically assesses several loss allocation methods based on the type of competition each method promotes. This understanding assists in determining which method will promote more efficient network operations when implemented in deregulated electricity industries. The methods addressed in this paper include the pro rata [1], proportional sharing [2], loss formula [3], incremental [4], and a new method proposed by the authors of this paper, which is loop-based [5]. These methods are tested on a modified Nordic 32-bus network, where different case studies of different operating points are investigated. The varying results obtained for each allocation method at different operating points make it possible to distinguish methods that promote unhealthy competition from those that encourage better system operation.

A power system control scheme based on security visualisation in parameter space

Power system real time security assessment is one of the fundamental modules of the electricity markets. Typically, when a contingency occurs, it is required that security assessment and enhancement module shall be ready for action within about 20 minutes’ time to meet the real time requirement. The recent California black out again highlighted the importance of system security. This paper proposed an approach for power system security assessment and enhancement based on the information provided from the pre-defined system parameter space. The proposed scheme opens up an efficient way for real time security assessment and enhancement in a competitive electricity market for single contingency case

Social democracy and market reform in Australia and New Zealand

Social democratic governments in Australia and New Zealand adopted policies of radical free-market reform, including financial deregulation, privatization, and public-sector reform in the 1980s. Because of the absence of institutional obstacles to government action, reform was faster and more comprehensive in New Zealand than in Australia. The New Zealand reforms were associated with increasing inequality and generally poor economic outcomes. There is nothing in the New Zealand experience to support the view that radical free-market economic policies are consistent with social democratic welfare policies or with social democratic values of concern for the disadvantaged, The Australian reforms were less radical, and were accompanied by some refurbishment of the welfare state. Economic performance did nor improve, as anticipated by advocates of reform, but was considerably better than that of New Zealand.

Is the Australian wool futures market efficient as a predictor of spot prices?

Giles and Goss (1980) have suggested that, if a futures market provides a forward pricing function, then it is an efficient market. In this article a simple test for whether the Australian Wool Futures market is efficient is proposed. The test is based on applying cointegration techniques to test the Law of One Price over a three, six, nine, and twelve month spread of futures prices. We found that the futures market is efficient for up to a six-month spread, but no further into the future. Because futures market prices can be used to predict spot prices up to six months in advance, woolgrowers can use the futures price to assess when they market their clip, but not for longer-term production planning decisions. (C) 1999 John Wiley & Sons, Inc.

Testing market efficiency: Evidence from the NFL sports betting market

This article examines the efficiency of the National Football League (NFL) betting market. The standard ordinary least squares (OLS) regression methodology is replaced by a probit model. This circumvents potential econometric problems, and allows us to implement more sophisticated betting strategies where bets are placed only when there is a relatively high probability of success. In-sample tests indicate that probit-based betting strategies generate statistically significant profits. Whereas the profitability of a number of these betting strategies is confirmed by out-of-sample testing, there is some inconsistency among the remaining out-of-sample predictions. Our results also suggest that widely documented inefficiencies in this market tend to dissipate over time.