Los credit default swaps: estructura jurídica y operatividad financiera

El presente trabajo aunque de naturaleza técnica, pretende dos cosas fundamentales: familiarizar al lector con los denominados “instrumentos derivados” que tienen volúmenes gigantescos de negociación en su mercado propio (el OTC) ascendiendo “ … a finales de junio de 2009 a 605 billones de dólares (10 veces el PIB mundial)”1; y, revisar con más profundidad uno de aquellos, una innovación financiera derivada de los contratos de permuta financiera que toma el nombre de Credit Default Swaps. Esta innovación o evolución sobre los instrumentos derivados ordinarios, representa un tipo de contratos altamente estandarizados y tecnificados que fueron creados como una nueva forma de protección sobre incumplimientos de crédito viabilizando la transmisión de uno, varios o todos los riesgos asociados con la posibilidad de incumplimiento de pago de operaciones crediticias a terceros quienes los reciben en virtud de un precio. Como se verá en del transcurso del trabajo, el loable objetivo de protección para el que fueron originalmente creados, se desnaturalizó hasta convertir a estos instrumentos en independientes de las obligaciones que amparaban y permitir su acceso a especuladores financieros que amasaron grandes fortunas apostando a favor y en contra de obligaciones y fracturando, de esta manera, la transparencia que es principio fundamental de los mercados financieros. La evolución insidiosa y el descontrol de estos instrumentos, sin embargo, ha permitido su proliferación e interferencia, no solo en obligaciones particulares sino que ha contaminado los mismos mercados de deuda soberana, incluyendo la ecuatoriana como se verá en su momento y muy recientemente la denominada “crisis griega”; los especuladores han utilizado estos complejos productos para aprovecharse de los ingentes beneficios que les proporcionan en desmedro de las economías de países en dificultades multiplicando sus pérdidas y causando alarma y conmoción tanto interna como externa al punto que muy pocos días antes de la presentación de este trabajo, Francia, Alemania, Luxemburgo, la afectada Grecia y el mismísimo Presidente de la CEE, han llamado a la comunidad financiera internacional a limitar su uso.

Los Credit Default Swap (CDS) o seguros contra cesación de pagos y su estructuración legal como garantía para los inversionistas

La crisis financiera del 2008 provocó la pérdida de riqueza y el derrumbe de los mercados bursátiles y de la economía real, traducida en desempleo, reducción de la productividad, recesión profunda, e incertidumbre en los mercados financieros. En el marco de la crisis de deuda soberana europea, es cuestionable también el grado de certeza de los CDS (Credit Default Swap) como garantía para los inversionistas, considerando las negociaciones existentes entre emisores y bancos europeos para evitar el default de estos instrumentos y por tanto, evitar la indemnización a los inversionistas en su calidad de acreedores. Remontándonos, la crisis financiera internacional del año 2008 tuvo como uno de sus orígenes a las hipotecas denominadas como “subprime”. Estas hipotecas fueron “empaquetadas” junto a otras de alta calificación, en grupos de hipotecas para ser titularizadas y colocadas en el mercado bursátil, mediante instrumentos denominados CDO (Collateralized Debt Obligations), y a aseguradas en algunos casos, través de los CDS (Credit Default Swap), siendo principalmente estos últimos instrumentos financieros, blanco de las críticas y señalados como uno de los culpables de la crisis financiera internacional. Bajo estas consideraciones, se pretende en esta investigación, analizar específicamente los CDS (Credit Default Swap), para determinar su naturaleza jurídica como verdaderos seguros contra cesación de pagos, o como permutas de incumplimiento crediticio. Comprender su estructuración legal como instrumento de garantía para los inversionistas institucionales o particulares, considerando el acontecimiento de la quita de los bonos griegos, la crisis de deuda soberana europea y el default de la deuda argentina, así como las consideraciones del ISDA (International Swaps and Derivatives Association) en estos puntos; su marco legal, su contribución en la reducción del riesgo, su papel especulativo y su incidencia real en la crisis financiera del año 2008.

A simple model of multiple equilibria and default. CEPS Working Document No. 366, 16 July 2012

This Working Document by Daniel Gros presents a simple model that incorporates two types of sovereign default cost: first, a lump-sum cost due to the fact that the country does not service its debt fully and is recognised as being in default status, by ratings agencies, for example. Second, a cost that increases with the size of the losses (or haircut) imposed on creditors whose resistance to a haircut increases with the proportional loss inflicted upon them. One immediate implication of the model is that under some circumstances the creditors have a (collective) interest to forgive some debt in order to induce the country not to default. The model exhibits a potential for multiple equilibria, given that a higher interest rate charged by investors increases the debt service burden and thus the temptation to default. Under very high debt levels credit rationing can set in as the feedback loop between higher interest rates and the higher incentive to default can become explosive. The introduction of uncertainty makes multiple equilibria less likely and reduces their range.

Quantification of the probability of containment failure caused by an in-vessel steam explosion for the Sizewell B PWR

AEA Technology has provided an assessment of the probability of α-mode containment failure for the Sizewell B PWR. After a preliminary review of the methodologies available it was decided to use the probabilistic approach described in the paper, based on an extension of the methodology developed by Theofanous et al. (Nucl. Sci. Eng. 97 (1987) 259–325). The input to the assessment is 12 probability distributions; the bases for the quantification of these distributions are discussed. The α-mode assessment performed for the Sizewell B PWR has demonstrated the practicality of the event-tree method with input data represented by probability distributions. The assessment itself has drawn attention to a number of topics, which may be plant and sequence dependent, and has indicated the importance of melt relocation scenarios. The α-mode failure probability following an accident that leads to core melt relocation to the lower head for the Sizewell B PWR has been assessed as a few parts in 10 000, on the basis of current information. This assessment has been the first to consider elevated pressures (6 MPa and 15 MPa) besides atmospheric pressure, but the results suggest only a modest sensitivity to system pressure.

Understanding the processes governing climate variability and change, climate predictability and the probability of extreme events

The purpose of Research Theme 4 (RT4) was to advance understanding of the basic science issues at the heart of the ENSEMBLES project, focusing on the key processes that govern climate variability and change, and that determine the predictability of climate. Particular attention was given to understanding linear and non-linear feedbacks that may lead to climate surprises,and to understanding the factors that govern the probability of extreme events. Improved understanding of these issues will contribute significantly to the quantification and reduction of uncertainty in seasonal to decadal predictions and projections of climate change. RT4 exploited the ENSEMBLES integrations (stream 1) performed in RT2A as well as undertaking its own experimentation to explore key processes within the climate system. It was working at the cutting edge of problems related to climate feedbacks, the interaction between climate variability and climate change � especially how climate change pertains to extreme events, and the predictability of the climate system on a range of time-scales. The statisticalmethodologies developed for extreme event analysis are new and state-of-the-art. The RT4-coordinated experiments, which have been conducted with six different atmospheric GCMs forced by common timeinvariant sea surface temperature (SST) and sea-ice fields (removing some sources of inter-model variability), are designed to help to understand model uncertainty (rather than scenario or initial condition uncertainty) in predictions of the response to greenhouse-gas-induced warming. RT4 links strongly with RT5 on the evaluation of the ENSEMBLES prediction system and feeds back its results to RT1 to guide improvements in the Earth system models and, through its research on predictability, to steer the development of methods for initialising the ensembles

Modeling the user knowledge by belief networks

This paper describes the user modeling component of EPIAIM, a consultation system for data analysis in epidemiology. The component is aimed at representing knowledge of concepts in the domain, so that their explanations can be adapted to user needs. The first part of the paper describes two studies aimed at analysing user requirements. The first one is a questionnaire study which examines the respondents' familiarity with concepts. The second one is an analysis of concept descriptions in textbooks and from expert epidemiologists, which examines how discourse strategies are tailored to the level of experience of the expected audience. The second part of the paper describes how the results of these studies have been used to design the user modeling component of EPIAIM. This module works in a two-step approach. In the first step, a few trigger questions allow the activation of a stereotype that includes a "body" and an "inference component". The body is the representation of the body of knowledge that a class of users is expected to know, along with the probability that the knowledge is known. In the inference component, the learning process of concepts is represented as a belief network. Hence, in the second step the belief network is used to refine the initial default information in the stereotype's body. This is done by asking a few questions on those concepts where it is uncertain whether or not they are known to the user, and propagating this new evidence to revise the whole situation. The system has been implemented on a workstation under UNIX. An example of functioning is presented, and advantages and limitations of the approach are discussed.

Calculating the exclusion probability and paternity index for X-chromosomal loci in the presence of substructure

There has been recent interest in the use of X-chromosomal loci for forensic and relatedness testing casework, with many authors developing new X-linked short tandem repeat (STR) loci suitable for forensic use. Here we present formulae for two key quantities in paternity testing, the average probability of exclusion and the paternity index, which are suitable for Xchromosomal loci in the presence of population substructure.