Determinants of credit default swap spread: evidence from european credit derivatives market

Tämän tutkielman tavoitteena on selvittää, mitkä tekijät vaikuttavat yrityksen ja valtion velkakirjojen väliseen tuottoeroon. Strukturaalisten luottoriskin hinnoittelumallien mukaan luottoriskiin vaikuttavia tekijöitä ovat yrityksen velkaantumisaste, volatiliteetti ja riskitön korkokanta. Tavoitteena on erityisesti tutkia, kuinka hyvin nämä teoreettiset tekijät selittävät tuottoeroja ja onko olemassa muita tärkeitä selittäviä tekijöitä. Luottoriskinvaihtosopimusten noteerauksia käytetään tuottoerojen määrittämiseen. Selittävät tekijät koostuvat sekä yrityskohtaisista että markkinalaajuisista muuttujista. Luottoriskinvaihtosopimusten ja yrityskohtaisten muuttujien data on kerätty yhteensä 50 yritykselle Euroalueen maista. Aineisto koostuu kuukausittaisista havainnoista aikaväliltä 01.01.2003-31.12.2006. Empiiriset tulokset osoittavat, että strukturaalisten mallien mukaiset tekijät selittävät vain pienen osan tuottoeron muutoksista yli ajan. Toisaalta nämä teoreettiset tekijät selittävät huomattavasti paremmin tuottoeron vaihtelua yli poikkileikkauksen. Muut kuin teoreettiset tekijät pystyvät selittämään suuren osan tuottoeron vaihtelusta. Erityisen tärkeäksi tuottoeron selittäväksi tekijäksi osoittautui yleinen riskipreemio velkakirjamarkkinoilla. Tulokset osoittavat, että luottoriskin hinnoittelumalleja on kehitettävä edelleenniin, että ne ottaisivat huomioon yrityskohtaisten tekijöiden lisäksi myös markkinalaajuisia tekijöitä.

Semantics-supported cooperative learning for enhanced awareness

Awareness is required for supporting all forms of cooperation. In Computer Supported Collaborative Learning (CSCL), awareness can be used for enhancing collaborative opportunities across physical distances and in computer-mediated environments. Shared Knowledge Awareness (SKA) intends to increase the perception about the shared knowledge, students have in a collaborative learning scenario and also concerns the understanding that this group has about it. However, it is very difficult to produce accurate awareness indicators based on informal message exchange among the participants. Therefore, we propose a semantic system for cooperation that makes use of formal methods for knowledge representation based on semantic web technologies. From these semantics-enhanced repository and messages, it could be easier to compute more accurate awareness.

Evolutionary Games in Networked Populations: Models and Experiments

Cooperation and coordination are desirable behaviors that are fundamental for the harmonious development of society. People need to rely on cooperation with other individuals in many aspects of everyday life, such as teamwork and economic exchange in anonymous markets. However, cooperation may easily fall prey to exploitation by selfish individuals who only care about short- term gain. For cooperation to evolve, specific conditions and mechanisms are required, such as kinship, direct and indirect reciprocity through repeated interactions, or external interventions such as punishment. In this dissertation we investigate the effect of the network structure of the population on the evolution of cooperation and coordination. We consider several kinds of static and dynamical network topologies, such as Baraba´si-Albert, social network models and spatial networks. We perform numerical simulations and laboratory experiments using the Prisoner's Dilemma and co- ordination games in order to contrast human behavior with theoretical results. We show by numerical simulations that even a moderate amount of random noise on the Baraba´si-Albert scale-free network links causes a significant loss of cooperation, to the point that cooperation almost vanishes altogether in the Prisoner's Dilemma when the noise rate is high enough. Moreover, when we consider fixed social-like networks we find that current models of social networks may allow cooperation to emerge and to be robust at least as much as in scale-free networks. In the framework of spatial networks, we investigate whether cooperation can evolve and be stable when agents move randomly or performing Le´vy flights in a continuous space. We also consider discrete space adopting purposeful mobility and binary birth-death process to dis- cover emergent cooperative patterns. The fundamental result is that cooperation may be enhanced when this migration is opportunistic or even when agents follow very simple heuristics. In the experimental laboratory, we investigate the issue of social coordination between indi- viduals located on networks of contacts. In contrast to simulations, we find that human players dynamics do not converge to the efficient outcome more often in a social-like network than in a random network. In another experiment, we study the behavior of people who play a pure co- ordination game in a spatial environment in which they can move around and when changing convention is costly. We find that each convention forms homogeneous clusters and is adopted by approximately half of the individuals. When we provide them with global information, i.e., the number of subjects currently adopting one of the conventions, global consensus is reached in most, but not all, cases. Our results allow us to extract the heuristics used by the participants and to build a numerical simulation model that agrees very well with the experiments. Our findings have important implications for policymakers intending to promote specific, desired behaviors in a mobile population. Furthermore, we carry out an experiment with human subjects playing the Prisoner's Dilemma game in a diluted grid where people are able to move around. In contrast to previous results on purposeful rewiring in relational networks, we find no noticeable effect of mobility in space on the level of cooperation. Clusters of cooperators form momentarily but in a few rounds they dissolve as cooperators at the boundaries stop tolerating being cheated upon. Our results highlight the difficulties that mobile agents have to establish a cooperative environment in a spatial setting without a device such as reputation or the possibility of retaliation. i.e. punishment. Finally, we test experimentally the evolution of cooperation in social networks taking into ac- count a setting where we allow people to make or break links at their will. In this work we give particular attention to whether information on an individual's actions is freely available to poten- tial partners or not. Studying the role of information is relevant as information on other people's actions is often not available for free: a recruiting firm may need to call a job candidate's refer- ences, a bank may need to find out about the credit history of a new client, etc. We find that people cooperate almost fully when information on their actions is freely available to their potential part- ners. Cooperation is less likely, however, if people have to pay about half of what they gain from cooperating with a cooperator. Cooperation declines even further if people have to pay a cost that is almost equivalent to the gain from cooperating with a cooperator. Thus, costly information on potential neighbors' actions can undermine the incentive to cooperate in dynamical networks.

Cooperative and Competitive Spreading Dynamics on the Human Connectome.

Increasingly detailed data on the network topology of neural circuits create a need for theoretical principles that explain how these networks shape neural communication. Here we use a model of cascade spreading to reveal architectural features of human brain networks that facilitate spreading. Using an anatomical brain network derived from high-resolution diffusion spectrum imaging (DSI), we investigate scenarios where perturbations initiated at seed nodes result in global cascades that interact either cooperatively or competitively. We find that hub regions and a backbone of pathways facilitate early spreading, while the shortest path structure of the connectome enables cooperative effects, accelerating the spread of cascades. Finally, competing cascades become integrated by converging on polysensory associative areas. These findings show that the organizational principles of brain networks shape global communication and facilitate integrative function.

Cooperative games with size-truncated information

[Eng] We study the marginal worth vectors and their convex hull, the socalled Weber set, from the original coalitional game and the transformed one, which is called the Weber set of level k. We prove that the core of the original game is included in each of the Weber set of level k, for any k, and that the Weber sets of consecutive levels form a chain if and only if the original game is 0-monotone. Even if the game is not 0-monotone, the intersection of the Weber sets for consecutive levels is always not empty, what is not the case for non-consecutive ones. Spanish education system.

The proportional distribution in a cooperative model with external opportunities

[cat] En aquest article es considera un problema de cooperació entre agents on cada agent realitza una contribució (diners, capital, treball, esforç) per tal d'obtenir un benefici comú a repartir. El repartiment proporcional respecte a les contribucions és una distribució que pertany al nucli del joc cooperatiu associat. A partir d'aquest model bàsic s'introdueix un agent extern que pot realitzar una determinada aportació que serveix per avaluar el potencial benefici de cada subcoalició d'agents si aquest nou agent finalment entrés. Aquesta anàlisi pot produir que el poder relatiu dels agents hagi variat. en concret s'avalua si la distribució proporcional és encara robusta des del punt de vista de la seva pertinença al conjunt de negociació. Amb aquest objectiu, analitzem el problema utilitzant el model de joc cooperatius amb estructura de coalició. Donat que, en general, la distribució proporcional, no pertany al conjunt de negociació, s'estudia una condició suficient per a que així sigui. També enunciem una condició necessària, i finalment es proposa una condició suficient que garanteix que el repartiment proporcional és la única distribució existent dins del conjunt de negociació.

The proportional distribution in a cooperative model with external opportunities

[cat] En aquest article es considera un problema de cooperació entre agents on cada agent realitza una contribució (diners, capital, treball, esforç) per tal d'obtenir un benefici comú a repartir. El repartiment proporcional respecte a les contribucions és una distribució que pertany al nucli del joc cooperatiu associat. A partir d'aquest model bàsic s'introdueix un agent extern que pot realitzar una determinada aportació que serveix per avaluar el potencial benefici de cada subcoalició d'agents si aquest nou agent finalment entrés. Aquesta anàlisi pot produir que el poder relatiu dels agents hagi variat. en concret s'avalua si la distribució proporcional és encara robusta des del punt de vista de la seva pertinença al conjunt de negociació. Amb aquest objectiu, analitzem el problema utilitzant el model de joc cooperatius amb estructura de coalició. Donat que, en general, la distribució proporcional, no pertany al conjunt de negociació, s'estudia una condició suficient per a que així sigui. També enunciem una condició necessària, i finalment es proposa una condició suficient que garanteix que el repartiment proporcional és la única distribució existent dins del conjunt de negociació.

Cooperative games with size-truncated information

[Eng] We study the marginal worth vectors and their convex hull, the socalled Weber set, from the original coalitional game and the transformed one, which is called the Weber set of level k. We prove that the core of the original game is included in each of the Weber set of level k, for any k, and that the Weber sets of consecutive levels form a chain if and only if the original game is 0-monotone. Even if the game is not 0-monotone, the intersection of the Weber sets for consecutive levels is always not empty, what is not the case for non-consecutive ones. Spanish education system.

On the origin of the selectivity of plasmidic H-NS towards horizontally acquired DNA: Linking H-NS oligomerization and cooperative DNA binding

The nucleoid-associated protein H-NS is a global modulator of the expression of genes associated with adaptation to environmental changes. A variant of H-NS expressed in the R27 plasmid was previously shown to selectively modulate the expression of horizontally acquired genes, with minimal effects on core genes that are repressed by the chromosomal form of H-NS. Both H-NS proteins are formed by an oligomerization domain and a DNA-binding domain, which are connected by a linker that is highly flexible in the absence of DNA. We studied DNA binding by means of oligomer-forming chimeric proteins in which domains of the chromosomal and plasmidic variants are exchanged, as well as in monomeric truncated forms containing the DNA-binding domain and variable portions of the linker. Point mutations in the linker were also examined in full-length and truncated H-NS constructs. These experiments show that the linker region contributes to DNA binding affinity and that it is a main component of the distinct DNA binding properties of chromosomal and plasmidic H-NS. We propose that interactions between the linker and DNA limit the flexibility of the connection between H- NS oligomerization and DNA binding and provide an allosteric indirect readout mechanism to detect long- range distortions of DNA, thus enabling discrimination between core and horizontally acquired DNA.

The conditions for the reproduction of the SAGUAPAC water cooperative in the city of Santa Cruz de la Sierra, Bolivia : discourse analysis

The SAGUAPAC cooperative in the city of Santa Cruz de la Sierra (Eastern Bolivia) is regularly presented as an example of cooperative successes regarding water supply and sanitation. Its efficiency, both economic and technical, is widely considered as the main reason for its attractiveness. However, without denying its importance, we show, through a discourse analysis from and about SAGUAPAC in local media, that moral and non-instrumental factors are crucial in the reproduction of the cooperative. These factors create attachment and affection toward the cooperative, through a storytelling using a four-dimensional rhetoric (mythification, identification, emotionalisation and personification). This storytelling technique, internalized in the local media discourse and materializing the so-called new spirit of capitalism, exploits the affects and instrumentalisation of local myths and legends, as well as the 'camba' ethnic identity. In that, it tends to retain SAGUAPAC members and to canvass new ones, by providing them with recognition in their quality of local community members. However, the mobilisation of social norms and power hierarchies might end up reinforcing the social exclusion of Andean non-camba immigrants, inspite of an a priori inclusive and democratic organisation.