Dynamic Hedging with Credit Default Swaps: Empirical Evidence from the European Monetary Union

This thesis investigates the effectiveness of time-varying hedging during the financial crisis of 2007 and the European Debt Crisis of 2010. In addition, the seven test economies are part of the European Monetary Union and these countries are in different economical states. Time-varying hedge ratio was constructed using conditional variances and correlations, which were created by using multivariate GARCH models. Here we have used three different underlying portfolios: national equity markets, government bond markets and the combination of these two. These underlying portfolios were hedged by using credit default swaps. Empirical part includes the in-sample and out-of-sample analysis, which are constructed by using constant and dynamic models. Moreover, almost in every case dynamic models outperform the constant ones in the determination of the hedge ratio. We could not find any statistically significant evidence to support the use of asymmetric dynamic conditional correlation model. In addition, our findings are in line with prior literature and support the use of time-varying hedge ratio. Finally, we found that in some cases credit default swaps are not suitable instruments for hedging and they act more as a speculative instrument.

Factor structure of Bech's version of the Brief Psychiatric Rating Scale in Brazilian patients

The objective of the present study was to evaluate the factor structure of Bech's version of the Brief Psychiatric Rating Scale (BPRS), translated into Portuguese. The BPRS was administered to a heterogeneous group of psychiatric inpatients (N = 98) and outpatients (N = 62) in a University Hospital. Each patient was evaluated from one to eight times. The interval between consecutive interviews was one week for the inpatients and one month for the outpatients. The results were submitted to factorial analysis. The internal consistency of the total scale and of each factor was also estimated. Factorial analysis followed by normalized orthogonal rotation (Varimax) yielded four factors: Withdrawal-Retardation, Thinking Disorder, Anxious-Depression and Activation. Internal consistency measured by Cronbach's alpha coefficient ranged from 0.766 to 0.879. The data show that the factor structure of the present instrument is similar to that of the American version of the BPRS which contains 18 items, except for the absence of the fifth factor of the latter scale, Hostile-Suspiciousness.

Reliability and validity of a Portuguese version of the Young Mania Rating Scale

The reliability and validity of a Portuguese version of the Young Mania Rating Scale were evaluated. The original scale was translated into and adapted to Portuguese by the authors. Definitions of clinical manifestations, a semi-structured anchored interview and more explicit rating criteria were added to the scale. Fifty-five adult subjects, aged 18 to 60 years, with a diagnosis of Current Manic Episode according to DSM-III-R criteria were assessed using the Young Mania Rating Scale as well as the Brief Psychiatric Rating Scale in two sessions held at intervals from 7 to 10 days. Good reliability ratings were obtained, with intra-class correlation coefficient of 0.97 for total scores, and levels of agreement above 0.80 (P < 0.001) for all individual items. Internal consistency analysis resulted in an alpha = 0.67 for the scale as a whole, and an alpha = 0.72 for each standardized item (P < 0.001). For the concurrent validity, a correlation of 0.78 was obtained by the Pearson coefficient between the total scores of the Young Mania Rating Scale and Brief Psychiatric Rating Scale. The results are similar to those reported for the English version, indicating that the Portuguese version of the scale constitutes a reliable and valid instrument for the assessment of manic patients.

Development and applications of the SWAN rating scale for assessment of attention deficit hyperactivity disorder: a literature review

This study reviewed the use of the Strengths and Weaknesses of Attention-Deficit/Hyperactivity-symptoms and Normal-behaviors (SWAN) rating scale in diagnostic and evolutive approaches to attention deficit hyperactivity disorder (ADHD) and in correlational studies of the disorder. A review of articles published in indexed journals from electronic databases was conducted and 61 articles on the SWAN scale were analyzed. From these, 27 were selected to a) examine use of SWAN in research on attention disorders and b) verify evidence of its usefulness in the areas of genetics, neuropsychology, diagnostics, psychiatric comorbidities, neuroimaging, pharmacotherapy, and to examine its statistical reliability and validity in studies of diverse populations. This review of articles indicated a growing use of the SWAN scale for diagnostic purposes, for therapy, and in research on areas other than ADHD, especially when compared with other reliable scales. Use of the scale in ADHD diagnosis requires further statistical testing to define its psychometric properties.

Optimizing counterparty credit risk portfolio by reducing exposure at default variance

Rahoitusyhtiöt pitävät omaa pääomaa taseessa harvinaisen suuria markkinamuutoksia varten ja tämän pääoman määrä on ohjattu valvontaviranomaisten toimesta. Euroopassa Basel akordi antaa suuntaviivat näille säädöksille. 2007 vuoden finanssikriisin jälkeen rahoitusyhtiöt sekä valvojat ovat olleet entistä kiinnostuneempia pääoman riittävyydestä. Tutkimuksia riskistä, säädöksistä ja pääomavaateen madaltamisesta on tehty aikaisemmin, mutta tässä tutkimuksessa keskitytään vaateen jatkuvan muutoksen suuruuteen. Tutkimus sisältää hypoteettisen vastapuoliriski portfolion, jossa on mukana valuuttajohdannaisia. Tätä portfoliota simuloidaan eri tavoin, jotta nähtäisiin kuinka suuri vaikutus portfolion koostumuksella voi olla pääomavaateen varianssiin. Jos tämä muuttuja on merkittävä, pitäisikö rahoitusyhtiöiden yrittää pienentää muutosta, jotta yhtiöiden varapääoman määrää voitaisiin alentaa? Tutkimuksessa on myös haastateltu Suomen johtavia vastapuoliriski asiantuntijoita, jotta nähtäisiin rahoitusalan oma näkemys asian merkittävyydestä. Tutkimusmenetelminä toimivat haastattelut sekä numeerinen analyysi hypoteettisella portfoliolla. Kaupat tähän vastapuoliriski portfolioon on luotu 14 vuoden ajalle ja se sisältää ainoastaan valuuttajohdannaisia viidessä eri valuutassa. Riski lasketaan markkina-arvo menetelmällä, joista lasketaan VaR-mallilla tulevaisuuden riski nettoutuksen kera. Portfolion rakennetta muutetaan simuloinneissa, jotta nähtäisiin vaikutus tulevaisuuden riskeille, joita käytetään edustamaan pääomavaateen määrää ja sen vaihtelua yli ajan. Portfolioiden riskejä lasketaan myös rasituskokeiden avulla, jotta tuloksista saataisiin mahdollisimman todenmukaisia. Analyyttinen osuus tutkimuksesta näyttää sen, että tämän kaltainen optimointi on suuresti riippuvainen alkuperäisestä portfoliosta, jonka määrittää yleisesti rahoitusyhtiön myyntistrategia. Yleisesti ottaen pääomavaateen varianssin muutos voi simuloinneissa olla melko suurta, varsinkin jos mukaan huomioidaan rasitus testit, puuttuvat tuotteet sekä muut pääomavaateen laskentaan huomioitavat seikat. Haastatteluissa saatiin selville millainen optimointi voisi olla mahdollista todellisuudessa. Huomattiin myös että tämän kaltainen ajattelumalli on jo huomattu alalla ennestään. Jon Gregory jopa mainitsi, että jotkin rahoitusyhtiöt ovat enemmän kiinnostuneita muutosten pienentämisestä kuin itse pääomavaateen suuruudesta. Näyttääkin siltä, että tämän aihepiiri vaatisi entistä enemmän tutkimusta, sillä sitä ei ennestään vielä ole, ja rahoitusyhtiöt ovat jo alkaneet etsimään uusia keinoja selvitäkseen rahoitusalalla, joka on yhä entisestään kilpailullisempi.

How Is Credit Risk Estimated? Discussion and Evidence based on Cross-Industry Sample Utilizing the KMV Model

The purpose of this thesis is to focus on credit risk estimation. Different credit risk estimation methods and characteristics of credit risk are discussed. The study is twofold, including an interview of a credit risk specialist and a quantitative section. Quantitative section applies the KMV model to estimate credit risk of 12 sample companies from three different industries: automobile, banking and financial sector and technology. Timeframe of the estimation is one year. On the basis of the KMV model and the interview, implications for analysis of credit risk are discussed. The KMV model yields consistent results with the existing credit ratings. However, banking and financial sector requires calibration of the model due to high leverage of the industry. Credit risk is considerably driven by leverage, value and volatility of assets. Credit risk models produce useful information on credit worthiness of a business. Yet, quantitative models often require qualitative support in the decision-making situation.

From the 'Miracle' to the 'Lost Decade': intersectoral transfers and external credit in the Brazilian economy

The present paper examines the Brazilian experience from the 'Economic Miracle' to the 'Lost Decade'. Its aim is to advance an alternative measurement of the flows of extraordinary wealth (i.e. ground-rent and net external credit) available for appropriation in the Brazilian economy and to asses their relevance in sustaining the process of accumulation of industrial capital. That is done in order to provide further and more accurate evidence to the claim that the evolution of the Brazilian process of capital accumulation has been extremely dependent on the evolution of those masses of extraordinary wealth.

A comparison of functional behaviour assessment rating scales in a sample of children and youth with autism spectrum disorders

This study sought to compare the results of the Motivation Assessment Scale (MAS; Durand & Crimmins, 1988), Questions About Behavior Function Scale (QABF; Matson & Vollmer, 1996) and Functional Analysis Screening Tool (FAST; Iwata & Deleon, 1996), when completed by parent informants in a sample of children and youth with autism spectrum disorders (ASD) who display challenging behaviour. Results indicated that there was low agreement between the functional hypotheses derived from each of three measures. In addition, correlations between functionally analogous scales were substantially lower than expected, while correlations between non-analogous subscales were stronger than anticipated. As indicated by this study, clinicians choosing to use FBA questionnaires to assess behavioural function, may not obtain accurate functional hypotheses, potentially resulting in ineffective intervention plans. The current study underscores the caution that must be taken when asking parents to complete these questionnaires to determine the function(s) of challenging behaviour for children/youth with ASD.

Letter from the Chairman of the Committee of Ways and Means to the Secretary of the Treasurer on the subject of a system of revenue to revive and maintain unimpaired the public credit, with the answer of the Secretary thereto. (1814)

October 18, 1814. Read, and committed to the Committee of the whole House on the report of the Committee of Ways and Means on so much of the President's message as relates to the finances of the United States.