Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Does the EU financing system contribute to shadow economic activity?

Financial contributions to the EU budget depend basically on official GDP. This means that countries with higher shadow economic activity contribute less than they should contribute in a system based on actual GDP and therefore could reduce their incentive to fight against such activities. In this paper we investigate if the EU financing system really has an influence on the intensity with which governments in EU member states fight against shadow economic activity. We find that the EU net contributors significantly fight more intensively against shadow economic activity while EU net receivers significantly fight less. As a result, shadow economic activity is higher in net receiver and lower in net contributor countries than it were in comparison with a scenario of nationally balanced EU funding. Quantitatively and averaged over the time period 2001-2007, the diagnosed effect amounts to a stimulation of hidden economic activity by almost 10% for particular economies. JEL classification: C31, D63, F33, H21, H26. Keywords: EU financing system, shadow economy, tax auditing.

A logistic regression approach to estimating customer profit loss due to lapses in insurance

This article focuses on business risk management in the insurance industry. A methodology for estimating the profit loss caused by each customer in the portfolio due to policy cancellation is proposed. Using data from a European insurance company, customer behaviour over time is analyzed in order to estimate the probability of policy cancelation and the resulting potential profit loss due to cancellation. Customers may have up to two different lines of business contracts: motor insurance and other diverse insurance (such as, home contents, life or accident insurance). Implications for understanding customer cancellation behaviour as the core of business risk management are outlined.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

How to use the standard model with own data?

In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. In particular, this analysis focuses on the formula presented in the latest quantitative impact study (2010 CEIOPS) for non-life underwriting premium and reserve risk. One of the keys of the standard model for premium and reserves risk is the correlation matrix between lines of business. In this work we present how the correlation matrix between lines of business could be estimated from a quantitative perspective, as well as the possibility of using a credibility model for the estimation of the matrix of correlation between lines of business that merge qualitative and quantitative perspective.

Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a more efficient approach to the duration problem. The use of semi-Markov reward processes facilitates the possibility of deriving equations of the prospective and retrospective mathematical reserves. The model is applied to a sample of contracts drawn at random from a mutual insurance company.

Gestión y contabilización de facturas en formato Facturae

Este proyecto se inició con el objetivo de incluir una nueva funcionalidad en el módulo de Finanzas de ekon, el ERP que comercializa la empresa UNIT4. La nueva funcionalidad debía permitir registrar, visualizar y contabilizar facturas electrónicas. El entorno de desarrollo ha sido karat 8.0, la plataforma tecnológica que se utiliza en UNIT4 para añadir nuevas funcionalidades estándar a sus productos o personalizarlos para cada cliente. Dichas funcionalidades se codifican en Java, ya que es el lenguaje de programación en el que se ha desarrollado karat 8.0.

La evolución de la financiación de las comunidades autónomas de régimen común, 1999-2009

En esta nota se construyen series homogeneizadas de financiación a competencias homogéneas para las comunidades autónomas de régimen común durante el período 2002-09, así como series complementarias de financiación por caja y financiación destinada a competencias singulares y se recopilan otros agregados de interés que pueden servir para relativizar la financiación autonómica, incluyendo la población ajustada regional. Estas series se utilizan en la segunda parte del trabajo para ilustrar algunos rasgos de interés de la evolución de la financiación agregada regional y de la posición relativa de las distintas comunidades en términos de financiación por unidad de necesidad.

Les Constitutions vaudoises (1803-2003). Miroir des idées politiques

L'année 2003 est l'année du Bicentenaire, mais aussi celle de l'entrée en vigueur d'une nouvelle Constitution vaudoise. Après quatre ans de travaux, l'Assemblée constituante a accouché d'une charte appelée à régir la vie politique du canton pendant plusieurs décennies. Les débats ont cependant fait peu de place à l'histoire des idées politiques, qui ont modelé l'action des gouvernants, et à l'histoire constitutionnelle, dans laquelle ont été façonnées à un degré ou à un autre les grandes questions du temps présent. Il existe certes un grand nombre d'études qui abordent ces thématiques. Une foule de questions n'ont cependant pas encore été explorées et, surtout, les tentatives de montrer les liens presque organiques entre l'histoire des constitutions et l'histoire des idées sont rares. Il était donc intéressant de regrouper sous un toit commun des études abordant ces deux aspects de notre histoire. Aucun examen exhaustif n'était bien sûr possible. Il s'agit d'éclairages qui montreront combien certains débats constitutionnels ont baigné dans des ambiances intellectuelles particulières, arrimées à des événements ou à des courants de pensée qui ne pouvaient laisser les Vaudois indifférents. L'ouvrage est subdivisé en trois parties : - droits politiques et institutions ; - justice et finances publiques ; - histoire des idées politiques. L'histoire du canton de Vaud issu de l'Acte de Médiation est riche de débats politiques d'une haute tenue, où se croisent les influences les plus variées. C'est à une découverte de certaines d'entre elles qu'invite le présent ouvrage ; une manière d'entrer dans les soubassements historiques de la nouvelle Constitution vaudoise. L'ouvrage rassemble dix-neuf contributions, qui mettent toutes en évidence le profond enracinement intellectuel des débats ayant entouré la naissance des diverses constitutions vaudoises. Les auteurs de ces textes sont juristes, politologues ou historiens, au seuil de leur carrière ou dotés d'une riche expérience professionnelle, rattachés aux différents camps qui segmentent la vie politique. Le livre se nourrit de ces multiples vocations, de ces multiples sensibilités, et montre que l'histoire ne peut être soumise à un angle de vue unique. Il est agrémenté de vingt-cinq illustrations environ, dont plusieurs sont tirées de journaux satiriques vaudois du XIXe et du XXe siècle.

The Costs of Caring for People with Dementia and Related Cognitive Impairments

The National Council on Ageing and Older People has undertaken a programme of research into dementia in Ireland. An Action Plan for Dementia provided a framework for the provision and planning of services for people with dementia in Ireland The Costs of Caring for People with Dementia and Related Cognitive Impairments is a complementary report to the Action Plan but with a more quantitative focus. The role of carers is one that is often taken for granted and is seen by many as a free resource. Dr Oâ?TShea explores what caring for a person with dementia entails in terms of the carers time, finances and stress. Evaluating the cost of caring for a person with dementia is the main focus of this study Download the Report here

Do resources, justice administration practices and federalism have an impact on registered and sentenced crime prevalence ?

This contribution, based on a statistical approach, undertakes to link data on resources (personnel and financial means) and the working of the administration of penal justice (prosecution, sentencing) taking into account the nationality of those prosecuted. In order to be able to distinguish prosecution and sentencing practices of judicial authorities and possible processes of discrimination, diverse sources have been used such as data from court administrations, public finances and police forces, collected by the Swiss Federal Statistical Office and the Swiss Federal administration of finances. The authors discuss discrimination in prosecution and sentencing between Swiss residents and foreigners taking into account localization and resources regarding personnel and public finances.

Psychosis with coexisting substance misuse: assessment and management in adults and young people.

This guideline offers best practice advice on the assessment and management of people with psychosis and coexisting substance misuse. Psychosis is a condition that affects a person’s mental state, including their thoughts, mood and behaviour. The symptoms of psychosis are:• hallucinations – hearing voices and sometimes seeing things that are not really there• delusions – having fixed beliefs that are false but which the person believes in completely. Substance misuse is a broad term encompassing, in this guideline, the harmful use of any psychotropic substance, including alcohol and either legal or illicit drugs. Use of such substances is harmful when it has a negative effect on a person’s life, including their physical and mental health, relationships, work, education and finances or leads to offending behaviour.This resource was contributed by The National Documentation Centre on Drug Use.