Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

The effect of African Americans' ethnographic paradigms and cultural explanatory model of breast cancer in framing the male partner's attitudes and behaviors about the woman's breast cancer diagnosis

The disparate burden of breast cancer-related morbidity and mortality experienced by African American women compared with women of other races is a topic of intense debate in the medical and public health arenas. The anomaly is consistently attributed to the fact that at diagnosis, a large proportion of African American women have advanced-stage disease. Extensive research has documented the impacts of cultural factors and of socioeconomic factors in shaping African American women's breast-health practices; however, there is another factor of a more subtle influence that might have some role in establishing these women's vulnerability to this disease: the lack of or perceived lack of partner support. Themes expressed in the research literature reflect that many African American breast cancer patients and survivors consider their male partners as being apathetic and nonsupportive. ^ The purpose of this study was to learn how African American couples' ethnographic paradigms and cultural explanatory model of breast cancer frame the male partners' responses to the women's diagnosis and to assess his ability to cope and willingness to adapt to the subsequent challenges. The goal of the study was to determine whether these men's coping and adaptation skills positively or negatively affect the women's self-care attitudes and behaviors. ^ This study involved 4 African American couples in which the woman was a breast cancer survivor. Participants were recruited through a community-based cancer support group and a church-based cancer support group. Recruitment sessions were held at regular meetings of these organizations. Accrual took 2 months. In separate sessions, each male partner and each survivor completed a demographic survey and a questionnaire and were interviewed. Additionally, the couples were asked to participate in a communications activity (Adinkra). This activity was not done to fulfill any part of the study purpose and was not included in the data analysis; rather, it was done to assess its potential use as an intervention to promote dialogue between African American partners about the experience of breast cancer. ^ The questionnaire was analyzed on the basis of a coding schema and the interview responses were analyzed on the principles of hermeneutic phenomenology. In both cases, the instruments were used to determine whether the partner's coping skills reflected a compassionate attitude (positive response) versus an apathetic attitude (negative response) and whether his adaptation skills reflected supportive behaviors (the positive response) versus nonsupportive behaviors (the negative response). Overall, the women's responses showed that they perceived of their partners as being compassionate, yet nonsupportive, and the partner's perceived of themselves likewise. Only half of the women said that their partners' coping and adaptation abilities enabled them to relinquish traditional concepts of control and focus on their own well-being. ^ The themes that emerged indicate that African American men's attitudes and behaviors regarding his female partner's diagnosis of breast cancer and his ability to cope and willingness to adapt are influenced by their ritualistic mantras, folk beliefs, religious teachings/spiritual values, existential ideologies, socioeconomic status, and environmental factors and by their established perceptions of what causes breast cancer, what the treatments and outcomes are, and how the disease affects the entire family, particularly him. These findings imply that a culturally specific intervention might be useful in educating African American men about breast cancer and their roles in supporting their female partners, physically and psychologically, during diagnosis, treatment, and recovery. ^

Effect of Biodiversity Changes in Disease Risk: Exploring Disease Emergence in a Plant-Virus System

The effect of biodiversity on the ability of parasites to infect their host and cause disease (i.e. disease risk) is a major question in pathology, which is central to understand the emergence of infectious diseases, and to develop strategies for their management. Two hypotheses, which can be considered as extremes of a continuum, relate biodiversity to disease risk: One states that biodiversity is positively correlated with disease risk (Amplification Effect), and the second predicts a negative correlation between biodiversity and disease risk (Dilution Effect). Which of them applies better to different host-parasite systems is still a source of debate, due to limited experimental or empirical data. This is especially the case for viral diseases of plants. To address this subject, we have monitored for three years the prevalence of several viruses, and virus-associated symptoms, in populations of wild pepper (chiltepin) under different levels of human management. For each population, we also measured the habitat species diversity, host plant genetic diversity and host plant density. Results indicate that disease and infection risk increased with the level of human management, which was associated with decreased species diversity and host genetic diversity, and with increased host plant density. Importantly, species diversity of the habitat was the primary predictor of disease risk for wild chiltepin populations. This changed in managed populations where host genetic diversity was the primary predictor. Host density was generally a poorer predictor of disease and infection risk. These results support the dilution effect hypothesis, and underline the relevance of different ecological factors in determining disease/infection risk in host plant populations under different levels of anthropic influence. These results are relevant for managing plant diseases and for establishing conservation policies for endangered plant species.

Proportionality needed in the subsidiarity debate in the EU – Appraisal of the British and Dutch initiatives. CEPS Essay No. 11, 8 April 2014

In a new CEPS Essay, Michael Emerson assesses the initiatives taken by the UK and Dutch governments to cut out excessive EU regulatory intrusion, namely in the form of the ongoing British Balance of Competences Review and the Dutch list of 54 items of EU regulation that they would like to see repealed or reformed. He concludes that while one can approve of a campaign for better EU regulation and for cutting out unnecessary micro-regulation, it would require impressive commitment by all member states and the EU institutions to follow the best features of the British and Dutch leads for this to have a real effect in the fight against populist euroscepticism. In his view, that battle will have to be won primarily with bigger weapons – some combination of better macroeconomic results, bigger foreign policy achievements and the emergence of a European-level political leadership to which the people can relate. In short, there has to be due proportionality in the diagnosis of the responsibility of inadequate subsidiarity for the EU’s ills.

Effect of early marine diagenesis on coral reconstructions of surface-ocean 13C/12C and carbonate saturation state

Recent research suggests that future decreases in the carbonate saturation state of surface seawater associated with the projected build-up of atmospheric CO2 could cause a global decline in coral reef-building capacity. Whether significant reductions in coral calcification are underway is a matter of considerable debate. Multicentury records of skeletal calcification extracted from massive corals have the potential to reconstruct the progressive effect of anthropogenic changes in carbonate saturation on coral reefs. However, early marine aragonite cements are commonly precipitated from pore waters in the basal portions of massive coral skeletons and, if undetected, could result in apparent nonlinear reductions in coral calcification toward the present. To address this issue, we present records of coral skeletal density, extension rate, calcification rate, δ13C, and δ18O for well preserved and diagenetically altered coral cores spanning ∼1830-1994 A.D. at Ningaloo Reef Marine Park, Western Australia. The record for the pristine coral shows no significant decrease in skeletal density or δ13C indicative of anthropogenic changes in carbonate saturation state or δ13C of surface seawater (oceanic Suess effect). In contrast, progressive addition of early marine inorganic aragonite toward the base of the altered coral produces an apparent ∼25% decrease in skeletal density toward the present, which misleadingly matches the nonlinear twentieth century decrease in coral calcification predicted by recent modeling and experimental studies. In addition, the diagenetic aragonite is enriched in 13C, relative to coral aragonite, resulting in a nonlinear decrease in δ13C toward the present that mimics the decrease in δ13C expected from the oceanic Suess effect. Taken together, these diagenetic changes in skeletal density and δ13C could be misinterpreted to reflect changes in surface-ocean carbonate saturation state driven by the twentieth century build-up of atmospheric CO2. Copyright 2004 by the American Geophysical Union.

The debate on human automatism in mid-Victorian England

During the 1830s, Marshall Hall carried out innumerable experiments on a great variety of animals to establish the concept of a ‘reflex arc’. In France F.L.Goltz showed that decerebrate frogs were still capable of complex behaviours. Thomas Laycock in England and Ivan Sechenov in Russia sought to apply the reflex idea to the brain. This paper follows the debate in the periodical literature of mid-Victorian England and discusses the contributions of WB Carpenter, Herbert Spencer, TH Huxley, W Clifford and others. The previous outing of this issue in the post-Cartesian seventeenth century had been largely suppressed by ecclesiastical authority. In the nineteenth century ecclesiastical power had waned, at least in England, and the debate could take a more open form. As neurophysiology and behavioural science developed, with the widespread acceptance of Darwinian evolution, it became more and more difficult to deny that brain and mind were part of the natural world and subject to the usual laws of cause and effect. This, of course, had powerful implications for the human self-image and for jurisprudence. These implications are still with us and the work of neurophysiologists such as Benjamin Libet have only reinforced them. Should humans be regarded as ‘automata’ and, if so, what becomes of ‘free will’, ‘responsibility’, and the rule of law? The Victorian debate is still useful and relevant.

The Effect of nutritional supplementation on subjective and objective measures of visual and retinal function:a random controlled trial

In industrialised countries age-related macular disease (ARMD) is the leading cause of visual loss in older people. Because oxidative stress is purported to be associated with an increased risk of disease development the role of antioxidant supplementation is of interest. Lutein is a carotenoid antioxidant that accumulates within the retina and is thought to filter blue light. Increased levels of lutein have been associated with reduced risk of developing ARMD and improvements in visual and retinal function in eyes with ARMD. The aim of this randomised controlled trial (RCT) was to investigate the effect of a lutein-based nutritional supplement on subjective and objective measures of visual function in healthy eyes and in eyes with age-related maculopathy (ARM) – an early form of ARMD. Supplement withdrawal effects were also investigated. A sample size of 66 healthy older (HO), healthy younger (HY), and ARM eyes were randomly allocated to receive a lutein-based supplement or no treatment for 40 weeks. The supplemented group then stopped supplementation to look at the effects of withdrawal over a further 20 weeks. The primary outcome measure was multifocal electroretinogram (mfERG) N1P1 amplitude. Secondary outcome measures were mfERG N1, P1 and N2 latency, contrast sensitivity (CS), Visual acuity (VA) and macular pigment optical density (MPOD). Sample sizes were sufficient for the RCT to have an 80% power to detect a significant clinical effect at the 5% significance level for all outcome measures when the healthy eye groups were combined, and CS, VA and mfERG in the ARM group. This RCT demonstrates significant improvements in MPOD in HY and HO supplemented eyes. When HY and HO supplemented groups were combined, MPOD improvements were maintained, and mfERG ring 2 P1 latency became shorter. On withdrawal of the supplement mfERG ring 1 N1P1 amplitude reduced in HO eyes. When HO and HY groups were combined, mfERG ring 1 and ring 2 N1P1 amplitudes were reduced. In ARM eyes, ring 3 N2 latency and ring 4 P1 latency became longer. These statistically significant changes may not be clinically significant. The finding that a lutein-based supplement increases MPOD in healthy eyes, but does not increase mfERG amplitudes contrasts with the CARMIS study and contributes to the debate on the use of nutritional supplementation in ARM.

The effect of nutritional supplementation on visual function

The aim of this research was to determine the effect of a lutein-based nutritional supplemented on measures of visual function in normal and ARMD-affected eyes. Thirty participants were recruited to the ARMD cohort (aged between 55 and 82 years, mean ± SD: 69.2 ± 7.8) and 46 were recruited into the normal cohort (aged between 22 and 73 years, mean ± SD: 50.0 ± 15.9). Outcome measures were distance (DVA) and near (NVA) visual acuity, contrast sensitivity (CS), photostress recovery time measured with the Eger Macular Stressometer (EMS), central visual function assessed with the Macular Mapping test (MMT), and fundus photography. Reliability studies were carried out for the EMS and the MMT. A change of 14 s is required to indicate a clinically significant change in EMS time, and a change of 14 MMT points is required to indicate a clinically significant change in MMT score. Sample sizes were sufficient for the trial to have 80% power to detect a significant clinical effect at the 5% significance level for all outcome measures in the normal cohort, and for CS in the ARMD cohort. The study demonstrated that a nutritional supplement containing 6mg lutein, 750 mg vitamin A, 250 mg vitamin C, 34 mg vitamin E, 10 mg zinc, and 0.5 mg copper had no effect on the outcome measures over nine or 18 months in normal or ARMD affected participants. The finding that nine months of antioxidant supplementation, in this case, has no significant effect on CS in ARMD-affected participants adds to the literature, and contrasts with previous RCTs, the AREDS and the LAST. This project has added to the debate about the use of nutritional supplementation prior to the onset of ARMD.

A recessionary debate: who suffered more? A study of sectoral well-being and economic insecurity in Ireland

The aim of this thesis is to identify the relationship between subjective well-being and economic insecurity for public and private sector workers in Ireland using the European Social Survey 2010-2012. Life satisfaction and job satisfaction are the indicators used to measure subjective well-being. Economic insecurity is approximated by regional unemployment rates and self-perceived job insecurity. Potential sample selection bias and endogeneity bias are accounted for. It is traditionally believed that public sector workers are relatively more protected against insecurity due to very institution of public sector employment. The institution of public sector employment is made up of stricter dismissal practices (Luechinger et al., 2010a) and less volatile employment (Freeman, 1987) where workers are subsequently less likely to be affected by business cycle downturns (Clark and Postal-Vinay, 2009). It is found in the literature that economic insecurity depresses the well-being of public sector workers to a lesser degree than private sector workers (Luechinger et al., 2010a; Artz and Kaya, 2014). These studies provide the rationale for this thesis in testing for similar relationships in an Irish context. Sample selection bias arises when a selection into a particular category is not random (Heckman, 1979). An example of this is non-random selection into public sector employment based on personal characteristics (Heckman, 1979; Luechinger et al., 2010b). If selection into public sector employment is not corrected for this can lead to biased and inconsistent estimators (Gujarati, 2009). Selection bias of public sector employment is corrected for by using a standard Two-Step Heckman Probit OLS estimation method. Following Luechinger et al. (2010b), the propensity for individuals to select into public sector employment is estimated by a binomial probit model with the inclusion of the additional regressor Irish citizenship. Job satisfaction is then estimated by Ordinary Least Squares (OLS) with the inclusion of a sample correction term similar as is done in Clark (1997). Endogeneity is where an independent variable included in the model is determined within in the context of the model (Chenhall and Moers, 2007). The econometric definition states that an endogenous independent variable is one that is correlated with the error term (Wooldridge, 2010). Endogeneity is expected to be present due to a simultaneous relationship between job insecurity and job satisfaction whereby both variables are jointly determined (Theodossiou and Vasileiou, 2007). Simultaneity, as an instigator of endogeneity, is corrected for using Instrumental Variables (IV) techniques. Limited Information Methods and Full Information Methods of estimation of simultaneous equations models are assed and compared. The general results show that job insecurity depresses the subjective well-being of all workers in both the public and private sectors in Ireland. The magnitude of this effect differs among sectoral workers. The subjective well-being of private sector workers is more adversely affected by job insecurity than the subjective well-being of public sector workers. This is observed in basic ordered probit estimations of both a life satisfaction equation and a job satisfaction equation. The marginal effects from the ordered probit estimation of a basic job satisfaction equation show that as job insecurity increases the probability of reporting a 9 on a 10-point job satisfaction scale significantly decreases by 3.4% for the whole sample of workers, 2.8% for public sector workers and 4.0% for private sector workers. Artz and Kaya (2014) explain that as a result of many austerity policies implemented to reduce government expenditure during the economic recession, workers in the public sector may for the first time face worsening perceptions of job security which can have significant implications for their well-being (Artz and Kaya, 2014). This can be observed in the marginal effects where job insecurity negatively impacts the well-being of public sector workers in Ireland. However, in accordance with Luechinger et al. (2010a) the results show that private sector workers are more adversely impacted by economic insecurity than public sector workers. This suggests that in a time of high economic volatility, the institution of public sector employment held and was able to protect workers against some of the well-being consequences of rising insecurity. In estimating the relationship between subjective well-being and economic insecurity advanced econometric issues arise. The results show that when selection bias is corrected for, any statistically significant relationship between job insecurity and job satisfaction disappears for public sector workers. Additionally, in order to correct for endogeneity bias the simultaneous equations model for job satisfaction and job insecurity is estimated by Limited Information and Full Information Methods. The results from two different estimators classified as Limited Information Methods support the general findings of this research. Moreover, the magnitude of the endogeneity-corrected estimates are twice as large as those not corrected for endogeneity bias which is similarly found in Geishecker (2010, 2012). As part of the analysis into the effect of economic insecurity on subjective well-being, the effects of other socioeconomic variables and work-related variables are examined for public and private sector workers in Ireland.

Social Trust and Demand for Redistribution. Is There a Crowding out Effect?

The debate about the relationship between social capital the welfare state has produced contradictory results for a long time. The crowding out hypothesis states that the growth of the welfare state would erode social capital, as the action of the state leave no room for non-regulated spontaneous cooperation. In sharp contrast, the crowding in hypothesis states that there is virtuous circle between the size of the welfare state and the stock of social capital in a particular country, since generous welfare states (specially those relying on universalistic programs) will produce a particular sense of fairness and solidarity toward fellow citizens. Yet, the empirical evidence testing the explanatory power of these theories is mostly inconclusive. To further our knowledge of this puzzle, in this paper I focus specifically on the relationship between social trust and preferences for redistribution at the individual level in a sample of European countries belonging to different welfare state regimes.

The effect of software engineers' personality traits on team climate and performance: a systematic literature review

Context Over the past 50 years numerous studies have investigated the possible effect that software engineers' personalities may have upon their individual tasks and teamwork. These have led to an improved understanding of that relationship; however, the analysis of personality traits and their impact on the software development process is still an area under investigation and debate. Further, other than personality traits, "team climate" is also another factor that has also been investigated given its relationship with software teams' performance. Objective The aim of this paper is to investigate how software professionals' personality is associated with team climate and team performance. Method In this paper we detail a Systematic Literature Review (SLR) of the effect of software engineers' personality traits and team climate on software team performance. Results Our main findings include 35 primary studies that have addressed the relationship between personality and team performance without considering team climate. The findings showed that team climate comprises a wide range of factors that fall within the fields of management and behavioral sciences. Most of the studies used undergraduate students as subjects and as surrogates of software professionals. Conclusions The findings from this SLR would be beneficial for understanding the personality assessment of software development team members by revealing the traits of personality taxonomy, along with the measurement of the software development team working environment. These measurements would be useful in examining the success and failure possibilities of software projects in development processes. General terms Human factors, performance.