Paying for long-term performance: restructuring bankers’ pay for risk regulation

The purpose of this paper is to propose hybrid capital securities as a new approach to compensation for senior bank executives and risk-takers instead of cash or equity-based compensation currently adopted by the industry. The global financial turmoil indicated that misaligned pay-for-performance compensation arrangements encouraged management short-termism and rewarded excessive risk-taking behaviour in Anglo-Saxon system. Rather than regulating specific instruments and processes, we believe that it is much more efficient to overhaul the compensation scheme to align it with risk management and governance. This empirical paper investigates the European hybrid market by employing data from the Merrill Lynch Global Index System from 2000 to 2010. Our paper contributes to both literature and practices by designing a structured scheme to tie the executive’s interests to long-term performance of the bank, the goal of regulators and the economy at large which consequently reduce the probability of future bank failures.

Public real estate and the term structure of interest rates: a cross-country study

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slop and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure.

Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

Re-framing risk transfer to assess integrative partnership opportunities: the S.A.R. approach and the AIG/BID/CNO regional surety bond facility of 2007

Identificar, compartilhar e gerenciar os riscos de contratar são preocupações que impedem o estabelicmento e a administração das Parcerias Públicos Particulares (PPP). Porem, gerentes das entidades públicas, bancos de formento, construtoras e seguradoras pesquisam e utilizam muitas técnicas para enfrentar a avaliação e gerenciamento dos riscos. A transferência de risco é uma indicação dos chamados benefícios que são inspirados pelos PPP, contudo devido às realidades contratuais e conceptuais, a entidade de cede o risco (o partido público) permanece quase sempre como o portador final do risco. Conseqüentemente, o partido público retem um interesse de resistência na gerência total destes riscos cedidos. Esta dissertação explora alguns defeitos das aproximações comuns a conceituar a gestão de risco no contexto de um PPP. Focalizando os conceitos da interdependência e da reciprocidade e usando na decisão para transferir o risco do projeto, esta dissertação molda a decisão para transferir o risco nos termos das realidades interdependentes de relacionamentos sistemáticos, alargam os conceitos técnicos do risco e da avaliação de risco, considerando o uso reflexivo das diferenças na analise de um estudo de caso. O autor explora estes conceitos em uma análise da decisão de um gerente de risco da empresa de construção civil brasileira Construtora Norberto Odebrecht (ODB) para projetar uma facilidade inovadora da ligação de garantia com Inter-American Development Bank (BID) e uma seguradora, American International Group (AIG), um negócio que ganhe o reconhecimento Trade Finance Magazine’s 2007 deal of the year. O autor mostra que por compreender a transferência de risco nos termos abordados nesta dissertação, um atore que transfere o risco pode identificar e criar mais oportunidades de estabelecer relacionamentos em longo prazo, através dos processos que a literatura atual do PPP ainda não considere. Os resultados devem fornecer contribuições para a pesquisas sobre a transferência do risco do projeto, na cooperação entre organizações e na seleção do sócio do projeto do potencial.

Maternal separation stress in male mice: long-term increases in alcohol intake

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Competence of Long-Term Care Residence to Participate in Decisions About Their Medical Care: A Brief, Objective Assessment

Data from 50 residents of a long-term care facility were used to examine the extent to which performance on a brief, objective inventory could predict a clinical psychologist's evaluation of competence to participate in decisions about medical care. Results indicate that the competence to participate in medical decisions of two-thirds of the residents could be accurately assessed using scores on a mental status instrument and two vignette-based measures of medical decision-making. These procedures could enable nursing home staff to objectively assess the competence of residents to participate in important decisions about their medical care.

Securities: Its Conception and Protection of Interests of its Holders

Theoretical studies of the problems of the securities markets in the Russian Federation incline to one or other of the two traditional approaches. The first consists of comparing the definition of "valuable paper" set forth in the current legislation of the Russian Federation, with the theoretical model of "Wertpapiere" elaborated by German scholars more than 90 years ago. The problem with this approach is, in Mr. Pentsov's opinion, that any new features of the definition of "security" that do not coincide with the theoretical model of "Wertpapiere" (such as valuable papers existing in non-material, electronic form) are claimed to be incorrect and removed from the current legislation of the Russian Federation. The second approach works on the basis of the differentiation between the Common Law concept of "security" and the Civil Law concept of "valuable paper". Mr. Pentsov's research, presented in an article written in English, uses both methodological tools and involves, firstly, a historical study of the origin and development of certain legal phenomena (securities) as they evolved in different countries, and secondly, a comparative, synchronic study of equivalent legal phenomena as they exist in different countries today. Employing the first method, Mr. Pentsov divided the historical development of the conception of "valuable paper" in Russia into five major stages. He found that, despite the existence of a relatively wide circulation of valuable papers, especially in the second half of the 19th century, Russian legislation before 1917 (the first stage) did not have a unified definition of valuable paper. The term was used, in both theoretical studies and legislation, but it covered a broad range of financial instruments such as stocks, bonds, government bonds, promissory notes, bills of exchange, etc. During the second stage, also, the legislation of the USSR did not have a unified definition of "valuable paper". After the end of the "new economic policy" (1922 - 1930) the stock exchanges and the securities markets in the USSR, with a very few exceptions, were abolished. And thus during the third stage (up to 1985), the use of valuable papers in practice was reduced to foreign economic relations (bills of exchange, stocks in enterprises outside the USSR) and to state bonds. Not surprisingly, there was still no unified definition of "valuable paper". After the beginning of Gorbachev's perestroika, a securities market began to re-appear in the USSR. However, the successful development of securities markets in the USSR was retarded by the absence of an appropriate regulatory framework. The first effort to improve the situation was the adoption of the Regulations on Valuable Papers, approved by resolution No. 590 of the Council of Ministers of the USSR, dated June 19, 1990. Section 1 of the Regulation contained the first statutory definition of "valuable paper" in the history of Russia. At the very beginning of the period of transition to a market economy, a number of acts contained different definitions of "valuable paper". This diversity clearly undermined the stability of the Russian securities market and did not achieve the goal of protecting the investor. The lack of unified criteria for the consideration of such non-standard financial instruments as "valuable papers" significantly contributed to the appearance of numerous fraudulent "pyramid" schemes that were outside of the regulatory scheme of Russia legislation. The situation was substantially improved by the adoption of the new Civil Code of the Russian Federation. According to Section 1 of Article 142 of the Civil Code, a valuable paper is a document that confirms, in compliance with an established form and mandatory requisites, certain material rights whose realisation or transfer are possible only in the process of its presentation. Finally, the recent Federal law No. 39 - FZ "On the Valuable Papers Market", dated April 22 1996, has also introduced the term "emission valuable papers". According to Article 2 of this Law, an "emission valuable paper" is any valuable paper, including non-documentary, that simultaneously has the following features: it fixes the composition of material and non-material rights that are subject to confirmation, cession and unconditional realisation in compliance with the form and procedure established by this federal law; it is placed by issues; and it has equal amount and time of realisation of rights within the same issue regardless of when the valuable paper was purchased. Thus the introduction of the conception of "emission valuable paper" became the starting point in the Russian federation's legislation for the differentiation between the legal regimes of "commercial papers" and "investment papers" similar to the Common Law approach. Moving now to the synchronic, comparative method of research, Mr. Pentsov notes that there are currently three major conceptions of "security" and, correspondingly, three approaches to its legal definition: the Common Law concept, the continental law concept, and the concept employed by Japanese Law. Mr. Pentsov proceeds to analyse the differences and similarities of all three, concluding that though the concept of "security" in the Common Law system substantially differs from that of "valuable paper" in the Continental Law system, nevertheless the two concepts are developing in similar directions. He predicts that in the foreseeable future the existing differences between these two concepts will become less and less significant. On the basis of his research, Mr. Pentsov arrived at the conclusion that the concept of "security" (and its equivalents) is not a static one. On the contrary, it is in the process of permanent evolution that reflects the introduction of new financial instruments onto the capital markets. He believes that the scope of the statutory definition of "security" plays an extremely important role in the protection of investors. While passing the Securities Act of 1933, the United States Congress determined that the best way to achieve the goal of protecting investors was to define the term "security" in sufficiently broad and general terms so as to include within the definition the many types of instruments that in the commercial world fall within the ordinary concept of "security' and to cover the countless and various devices used by those who seek to use the money of others on the promise of profits. On the other hand, the very limited scope of the current definition of "emission valuable paper" in the Federal Law of the Russian Federation entitled "On the Valuable Papers Market" does not allow the anti-fraud provisions of this law to be implemented in an efficient way. Consequently, there is no basis for the protection of investors. Mr. Pentsov proposes amendments which he believes would enable the Russian markets to become more efficient and attractive for both foreign and domestic investors.

EVALUATING INFRASTRUCTURE PERFORMANCE TO ASSIST FACILITY MANAGEMENT TOWARD SUSTAINABLE SYSTEMS

Civil infrastructure provides essential services for the development of both society and economy. It is very important to manage systems efficiently to ensure sound performance. However, there are challenges in information extraction from available data, which also necessitates the establishment of methodologies and frameworks to assist stakeholders in the decision making process. This research proposes methodologies to evaluate systems performance by maximizing the use of available information, in an effort to build and maintain sustainable systems. Under the guidance of problem formulation from a holistic view proposed by Mukherjee and Muga, this research specifically investigates problem solving methods that measure and analyze metrics to support decision making. Failures are inevitable in system management. A methodology is developed to describe arrival pattern of failures in order to assist engineers in failure rescues and budget prioritization especially when funding is limited. It reveals that blockage arrivals are not totally random. Smaller meaningful subsets show good random behavior. Additional overtime failure rate is analyzed by applying existing reliability models and non-parametric approaches. A scheme is further proposed to depict rates over the lifetime of a given facility system. Further analysis of sub-data sets is also performed with the discussion of context reduction. Infrastructure condition is another important indicator of systems performance. The challenges in predicting facility condition are the transition probability estimates and model sensitivity analysis. Methods are proposed to estimate transition probabilities by investigating long term behavior of the model and the relationship between transition rates and probabilities. To integrate heterogeneities, model sensitivity is performed for the application of non-homogeneous Markov chains model. Scenarios are investigated by assuming transition probabilities follow a Weibull regressed function and fall within an interval estimate. For each scenario, multiple cases are simulated using a Monte Carlo simulation. Results show that variations on the outputs are sensitive to the probability regression. While for the interval estimate, outputs have similar variations to the inputs. Life cycle cost analysis and life cycle assessment of a sewer system are performed comparing three different pipe types, which are reinforced concrete pipe (RCP) and non-reinforced concrete pipe (NRCP), and vitrified clay pipe (VCP). Life cycle cost analysis is performed for material extraction, construction and rehabilitation phases. In the rehabilitation phase, Markov chains model is applied in the support of rehabilitation strategy. In the life cycle assessment, the Economic Input-Output Life Cycle Assessment (EIO-LCA) tools are used in estimating environmental emissions for all three phases. Emissions are then compared quantitatively among alternatives to support decision making.

The Impact of Family Stressors on the Social Development of Adolescents Admitted to a Residential Treatment Facility

The focus of this research was to determine the impact of family stressors on the social development of adolescents at admission to long-term mental health residential care. The study was conducted at the Waco Center for Youth, the only long-term residential care agency serving emotionally and behaviorally challenged adolescents and their families that functions under the authority of the Texas Department of State Health Services. Data was obtained from social assessment forms (N=457) in case records of clients. The prevalence of problem behaviors exhibited by the youth upon entry to the residential facility was examined and it was found that the youth entering the facility were experiencing severe impairment in their social development across several domains. Results indicated that youth with more family stressors exhibited significantly greater impairment in their social development (b = .19, p = .000) which suggests that the combination of multiple stressors within a family inhibits adolescent social development. The research supports a family systems approach to treatment that focuses on building family strengths and actively involving family in the intervention process.

Evaluation of reactivity monitoring techniques at the Yalina – Booster subcritical facility

La gestión de los residuos radiactivos de vida larga producidos en los reactores nucleares constituye uno de los principales desafíos de la tecnología nuclear en la actualidad. Una posible opción para su gestión es la transmutación de los nucleidos de vida larga en otros de vida más corta. Los sistemas subcríticos guiados por acelerador (ADS por sus siglas en inglés) son una de las tecnologías en desarrollo para logar este objetivo. Un ADS consiste en un reactor nuclear subcrítico mantenido en un estado estacionario mediante una fuente externa de neutrones guiada por un acelerador de partículas. El interés de estos sistemas radica en su capacidad para ser cargados con combustibles que tengan contenidos de actínidos minoritarios mayores que los reactores críticos convencionales, y de esta manera, incrementar las tasas de trasmutación de estos elementos, que son los principales responsables de la radiotoxicidad a largo plazo de los residuos nucleares. Uno de los puntos clave que han sido identificados para la operación de un ADS a escala industrial es la necesidad de monitorizar continuamente la reactividad del sistema subcrítico durante la operación. Por esta razón, desde los años 1990 se han realizado varios experimentos en conjuntos subcríticos de potencia cero (MUSE, RACE, KUCA, Yalina, GUINEVERE/FREYA) con el fin de validar experimentalmente estas técnicas. En este contexto, la presente tesis se ocupa de la validación de técnicas de monitorización de la reactividad en el conjunto subcrítico Yalina-Booster. Este conjunto pertenece al Joint Institute for Power and Nuclear Research (JIPNR-Sosny) de la Academia Nacional de Ciencias de Bielorrusia. Dentro del proyecto EUROTRANS del 6º Programa Marco de la UE, en el año 2008 se ha realizado una serie de experimentos en esta instalación concernientes a la monitorización de la reactividad bajo la dirección del CIEMAT. Se han realizado dos tipos de experimentos: experimentos con una fuente de neutrones pulsada (PNS) y experimentos con una fuente continua con interrupciones cortas (beam trips). En el caso de los primeros, experimentos con fuente pulsada, existen dos técnicas fundamentales para medir la reactividad, conocidas como la técnica del ratio bajo las áreas de los neutrones inmediatos y retardados (o técnica de Sjöstrand) y la técnica de la constante de decaimiento de los neutrones inmediatos. Sin embargo, varios experimentos han mostrado la necesidad de aplicar técnicas de corrección para tener en cuenta los efectos espaciales y energéticos presentes en un sistema real y obtener valores precisos de la reactividad. En esta tesis, se han investigado estas correcciones mediante simulaciones del sistema con el código de Montecarlo MCNPX. Esta investigación ha servido también para proponer una versión generalizada de estas técnicas donde se buscan relaciones entre la reactividad el sistema y las cantidades medidas a través de simulaciones de Monte Carlo. El segundo tipo de experimentos, experimentos con una fuente continua e interrupciones del haz, es más probable que sea empleado en un ADS industrial. La versión generalizada de las técnicas desarrolladas para los experimentos con fuente pulsada también ha sido aplicada a los resultados de estos experimentos. Además, el trabajo presentado en esta tesis es la primera vez, en mi conocimiento, en que la reactividad de un sistema subcrítico se monitoriza durante la operación con tres técnicas simultáneas: la técnica de la relación entre la corriente y el flujo (current-to-flux), la técnica de desconexión rápida de la fuente (source-jerk) y la técnica del decaimiento de los neutrones inmediatos. Los casos analizados incluyen la variación rápida de la reactividad del sistema (inserción y extracción de las barras de control) y la variación rápida de la fuente de neutrones (interrupción larga del haz y posterior recuperación). ABSTRACT The management of long-lived radioactive wastes produced by nuclear reactors constitutes one of the main challenges of nuclear technology nowadays. A possible option for its management consists in the transmutation of long lived nuclides into shorter lived ones. Accelerator Driven Subcritical Systems (ADS) are one of the technologies in development to achieve this goal. An ADS consists in a subcritical nuclear reactor maintained in a steady state by an external neutron source driven by a particle accelerator. The interest of these systems lays on its capacity to be loaded with fuels having larger contents of minor actinides than conventional critical reactors, and in this way, increasing the transmutation rates of these elements, that are the main responsible of the long-term radiotoxicity of nuclear waste. One of the key points that have been identified for the operation of an industrial-scale ADS is the need of continuously monitoring the reactivity of the subcritical system during operation. For this reason, since the 1990s a number of experiments have been conducted in zero-power subcritical assemblies (MUSE, RACE, KUCA, Yalina, GUINEVERE/FREYA) in order to experimentally validate these techniques. In this context, the present thesis is concerned with the validation of reactivity monitoring techniques at the Yalina-Booster subcritical assembly. This assembly belongs to the Joint Institute for Power and Nuclear Research (JIPNR-Sosny) of the National Academy of Sciences of Belarus. Experiments concerning reactivity monitoring have been performed in this facility under the EUROTRANS project of the 6th EU Framework Program in year 2008 under the direction of CIEMAT. Two types of experiments have been carried out: experiments with a pulsed neutron source (PNS) and experiments with a continuous source with short interruptions (beam trips). For the case of the first ones, PNS experiments, two fundamental techniques exist to measure the reactivity, known as the prompt-to-delayed neutron area-ratio technique (or Sjöstrand technique) and the prompt neutron decay constant technique. However, previous experiments have shown the need to apply correction techniques to take into account the spatial and energy effects present in a real system and thus obtain accurate values for the reactivity. In this thesis, these corrections have been investigated through simulations of the system with the Monte Carlo code MCNPX. This research has also served to propose a generalized version of these techniques where relationships between the reactivity of the system and the measured quantities are obtained through Monte Carlo simulations. The second type of experiments, with a continuous source with beam trips, is more likely to be employed in an industrial ADS. The generalized version of the techniques developed for the PNS experiments has also been applied to the result of these experiments. Furthermore, the work presented in this thesis is the first time, to my knowledge, that the reactivity of a subcritical system has been monitored during operation simultaneously with three different techniques: the current-to-flux, the source-jerk and the prompt neutron decay techniques. The cases analyzed include the fast variation of the system reactivity (insertion and extraction of a control rod) and the fast variation of the neutron source (long beam interruption and subsequent recovery).

Asset-backed securities: The key to unlocking Europe's credit markets? Bruegel Policy Contribution 2014/07, 24 July 2014

The European market for asset-backed securities (ABS) has all but closed for business since the start of the economic and financial crisis. ABS (see Box 1) were in fact the first financial assets hit at the onset of the crisis in 2008. The subprime mortgage meltdown caused a deterioration in the quality of collateral in the ABS market in the United States, which in turn dried up overall liquidity because ABS AAA notes were popular collateral for inter-bank lending. The lack of demand for these products, together with the Great Recession in 2009, had a considerable negative impact on the European ABS market. The post-crisis regulatory environment has further undermined the market. The practice of slicing and dicing of loans into ABS packages was blamed for starting and spreading the crisis through the global financial system. Regulation in the post-crisis context has thus been relatively unfavourable to these types of instruments, with heightened capital requirements now necessary for the issuance of new ABS products. And yet policymakers have recently underlined the need to revitalise the ABS market as a tool to improve credit market conditions in the euro area and to enhance transmission of monetary policy. In particular, the European Central Bank and the Bank of England have jointly emphasised that: “a market for prudently designed ABS has the potential to improve the efficiency of resource allocation in the economy and to allow for better risk sharing... by transforming relatively illiquid assets into more liquid securities. These can then be sold to investors thereby allowing originators to obtain funding and, potentially, transfer part of the underlying risk, while investors in such securities can diversify their portfolios... . This can lead to lower costs of capital, higher economic growth and a broader distribution of risk” (ECB and Bank of England, 2014a). In addition, consideration has started to be given to the extent to which ABS products could become the target of explicit monetary policy operations, a line of action proposed by Claeys et al (2014). The ECB has officially announced the start of preparatory work related to possible outright purchases of selected ABS1. In this paper we discuss how a revamped market for corporate loans securitised via ABS products, and how use of ABS as a monetary policy instrument, can indeed play a role in revitalising Europe’s credit market. However, before using this instrument a number of issues should be addressed: First, the European ABS market has significantly contracted since the crisis. Hence it needs to be revamped through appropriate regulation if securitisation is to play a role in improving the efficiency of resource allocation in the economy. Second, even assuming that this market can expand again, the European ABS market is heterogeneous: lending criteria are different in different countries and banking institutions and the rating methodologies to assess the quality of the borrowers have to take these differences into account. One further element of differentiation is default law, which is specific to national jurisdictions in the euro area. Therefore, the pool of loans will not only be different in terms of the macro risks related to each country of origination (which is a ‘positive’ idiosyncratic risk, because it enables a portfolio manager to differentiate), but also in terms of the normative side, in case of default. The latter introduces uncertainties and inefficiencies in the ABS market that could create arbitrage opportunities. It is also unclear to what extent a direct purchase of these securities by the ECB might have an impact on the credit market. This will depend on, for example, the type of securities targeted in terms of the underlying assets that would be considered as eligible for inclusion (such as loans to small and medium-sized companies, car loans, leases, residential and commercial mortgages). The timing of a possible move by the ECB is also an issue; immediate action would take place in the context of relatively limited market volumes, while if the ECB waits, it might have access to a larger market, provided steps are taken in the next few months to revamp the market. We start by discussing the first of these issues – the size of the EU ABS market. We estimate how much this market could be worth if some specific measures are implemented. We then discuss the different options available to the ECB should they decide to intervene in the EU ABS market. We include a preliminary list of regulatory steps that could be taken to homogenise asset-backed securities in the euro area. We conclude with our recommended course of action.

Capital Markets Union: a vision for the long term. Bruegel Policy Contribution ISSUE 2015/05 April 2015

Capital Markets Union (CMU) is a welcome initiative. It could augment economic risk sharing, set the right conditions for more dynamic development of risk capital for high-growth firms and improve choices and returns for savers. This offers major potential for benefits in terms of jobs, growth and financial resilience. • CMU cannot be a short-term cyclical instrument to replace subdued bank lending, because financial ecosystems change slowly. Shifting financial intermediation towards capital markets and increasing cross-border integration will require action on multiple fronts, including increasing the transparency, reliability and comparability of information and addressing financial stability concerns. Some quick wins might be available but CMU’s real potential can only be achieved with a long-term structural policy agenda. • To sustain the current momentum, the EU should first commit to a limited number of key reforms, including more integrated accounting enforcement and supervision of audit firms. Second, it should set up autonomous taskforces to prepare proposals on the more complex issues: corporate credit information, financial infrastructure, insolvency, financial investment taxation and the retrospective review of recent capital markets regulation. The aim should be substantial legislative implementation by the end of the current EU parliamentary term.

Long-term changes in beach fauna at Duck, North Carolina /

Long-term changes in the beach fauna at Duck, North Carolina, were investigated. Twenty-one stations located on three transects on the oceanside and twenty-four stations located on three transects on the sound side were sampled seasonally from November 1980 to July 1981. The data collected in this study were compared to a previous study conducted in 1976 (Matta, 1977) to investigate the potential effects of the construction of the CERC Field Research Facility pier on the adjacent beaches. No effects on the benthic fauna were found. Changes observed in the benthic macrofauna on the ocean beaches were well within the range attributable to the natural variation of an open coast system. The ocean beach macrofauna was observed to form a single community migrating on an off the beach with the seasons. On the sound beaches, changes were detected in the benthic macrofauna; however, these were attributed to a salinity increase during the 1981 sampling year. (Author).

Case management/facility management : evaluation of integrated information system /

On cover: New horizons in long term care.

Transcript of record. Supreme court of the United States, October term, 1903.

Mode of access: Internet.