Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt

An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 – 2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules.

Three essays on the interest rate cruve multiplicity in the interbank market

Esta tesis lleva por título ”Tres ensayos sobre la multiplicidad de curvas de tipos de interés en el mercado interbancario” y está compuesta por tres artículos de investigación independientes en los que se analiza la evolución de los diferenciales del mercado interbancario del Euro en el periodo post-crisis. El objetivo es obtener información embebida en las cotizaciones de estos diferenciales emplenado distintas metodologías e identificar las variables que subyacen al fenómeno de la multiplicidad de curvas, caracterizando el papel que juegan a la hora de explicar esta evolución. El análisis se realiza según una aproximación cercana a la práctica de mercado (Capítulo 2), siguiendo técnicas de valoración de activos (Capítulo 3) y finalmente considerando métodos econométricos (Capítulo 4). El Capítulo 2, que incluye el primer ensayo, se centra en la evolución dinámica de las distintas curvas de tipos de interés surgidas a raíz de la crisis -diferenciadas por la periodicidad de pago del tipo de interés subyacente- a través del estudio de sus diferenciales respecto a la curva overnight. La metodología empleada es similar a la de Diebold and Li (2006) y se resume en tres factores principales que se interpretan como nivel, pendiente y curvatura. El análisis de componentes principales de estos factores para distintas periodicidades muestra que existen patrones comunes entre los factores de las diferentes curvas, en particular el primer componente principal explica el 90% de su variación. El estudio de los determinantes de estos factores revela importantes conclusiones sobre las fuentes de este patrón. En concreto, se observa que el nivel tiene una relación muy importante con el riesgo de crédito. Asimismo, el estudio del contenido informacional de los errores residuales del modelo -mediante el cómputo de la medida de ruido de Hu et al. (2013)- nos lleva a concluir que estos residuos tienen relación con la liquidez. El análisis de estos datos empleando téncicas VAR refuerza estos resultados...

Defending the 'public interest': an assessment of competing actor representations of 'solutions' to growing natural resource deficiencies.

This paper applies a SRT framework to the study of two case studies, namely the recent campaign of opposition to the legalization of hydraulic fracking in the State of New York and the more ongoing debate on land leasing in Africa. In relation to both campaigns, the analysis accounts for the arguments of a major financial institution and industry representatives who stress the safe and value-adding dimensions of these practices, as well as the views of opponents who refute the validity of industry's position and point to the unacceptable risks posed to the community, health and the environment. In spite of a number of obvious differences between these two case studies, not least differences arising from contrasting socio-economic and geo-political settings, there were also some notable similarities. First, was a tendency amongst protesters in both cases to formulate their role as contemporaries in a historically extended struggle for democratic justice. All perceived of themselves as guardians of their community's right to resist a corporate 'invasion' of their territories, like their forefathers and mothers before them. A theme of colonialism was explored in both settings through various identity and thematic anchoring devices that deliberately evoked shared understandings and historical memories of exploitation and human suffering. The evocation of powerful symbols of identity through visual narratives of protest further reinforced the cultural comprehensibility of opponents' message of protest in both contexts.

The census of Iowa, as returned in the year 1873 : showing, in detail, the population, agricultural statistics, and other items of interest / published under direction of the Executive Council, 1874

This is the Census of Iowa as returned in the year 1873, showing in detail, the population, agricultural statistics, and other items of interest

The public interest of sports at non-profi t sports organizations that are supported by the government

This paper analyses the concept of public interest in sport and the criteria that must be taken into consideration in terms of Government support to clubs and sports associations. The data was collected through semi structured interviews that were applied to nine sports directors with board responsibilities: seven of them from sport clubs and sport associations, and two of them from public administration. The directors pointed out that sport is considered to be of public interest when: it is developed in the concept of “sport for all”, provides health benefi ts and serves as a means of education and social development. Regarding advantages used with public utility status, tax benefi ts and partnerships with the sports system organizations were the most mentioned aspects. Given a better use of fi nancial resources provided by public administration to clubs and associations, sport directors believe that the Government should have a strategy focused on setting priorities and ranking fi nancing criteria for sport. If the government had that strategy, the development of sports results would be much better. The participants also suggest that the Government should conduct an assessment of the social role of sport clubs and associations, according to the public and social interest of sport. In conclusion, sport and physical activity should be considered as public interest activities, provided that: are able to ensure positive effects on health plans and wellness, provide a qualitative and sustainable sport development, improve economic and social development of a population.

Equità di genere e pratiche trasformative in educazione fisica

A partire da un paradigma ecologico ad indirizzo critico, seguendo il filone degli studi femministi, le finalità della ricerca sono state: smascherare le forme di oppressione di genere nei contesti educativi (finalità trasformativa) e produrre un sapere utile alla pratica (finalità emancipativa). Data la complessità del contesto educativo scolastico e dell’argomento stesso che interseca vari domini di sapere, è stato adottato un approccio metodologico di metodo misto (mixed method) per poter dapprima costruire una configurazione del fenomeno oggetto d’interesse attraverso strumenti quantitativi e poi approfondirlo attraverso l’impiego di tecniche qualitative. Gli strumenti utilizzati sono stati: il questionario, l’intervista strutturata, le osservazioni, le biografie professionali, i focus-group. In sintesi, le evidenze emerse in letteratura ed empiriche mettono in luce la presenza di stereotipi di genere nelle lezioni di EF, sotto forma di pratiche inconsapevoli che gli insegnanti riproducono a seguito di un habitus socializzato in forma binaria secondo i due sessi e gerarchizzato. La dipendenza dell’EF dal mondo sportivo, dove gli stereotipi di genere sono presenti per ragioni storico-culturali e dal quale gli insegnanti attingono spesso parte del loro sapere professionale, li rende partecipi inconsapevoli del sistema di rinforzo degli stereotipi stessi, attraverso le pratiche che vanno sotto il nome di curricolo nascosto. Il termine nascosto sottolinea l’inconsapevolezza di tali pratiche, appunto nascoste alla coscienza e si deduce che la possibilità di svelarle necessita di una formazione specifica per gli insegnanti, una formazione che attinga ai processi riflessivi.

A Unified Model for XVA, including Interest Rates and Rating

We start in Chapter 2 to investigate linear matrix-valued SDEs and the Itô-stochastic Magnus expansion. The Itô-stochastic Magnus expansion provides an efficient numerical scheme to solve matrix-valued SDEs. We show convergence of the expansion up to a stopping time τ and provide an asymptotic estimate of the cumulative distribution function of τ. Moreover, we show how to apply it to solve SPDEs with one and two spatial dimensions by combining it with the method of lines with high accuracy. We will see that the Magnus expansion allows us to use GPU techniques leading to major performance improvements compared to a standard Euler-Maruyama scheme. In Chapter 3, we study a short-rate model in a Cox-Ingersoll-Ross (CIR) framework for negative interest rates. We define the short rate as the difference of two independent CIR processes and add a deterministic shift to guarantee a perfect fit to the market term structure. We show how to use the Gram-Charlier expansion to efficiently calibrate the model to the market swaption surface and price Bermudan swaptions with good accuracy. We are taking two different perspectives for rating transition modelling. In Section 4.4, we study inhomogeneous continuous-time Markov chains (ICTMC) as a candidate for a rating model with deterministic rating transitions. We extend this model by taking a Lie group perspective in Section 4.5, to allow for stochastic rating transitions. In both cases, we will compare the most popular choices for a change of measure technique and show how to efficiently calibrate both models to the available historical rating data and market default probabilities. At the very end, we apply the techniques shown in this thesis to minimize the collateral-inclusive Credit/ Debit Valuation Adjustments under the constraint of small collateral postings by using a collateral account dependent on rating trigger.

Rotational and ro-vibrational analyses of molecules of astrochemical interest

The rotational and ro-vibrational spectroscopy analysis of selected molecules of astrophysical importance, namely formaldehyde, mono-deuterated hydrogen sulfide, cyanoacetylene, deuterated cyanoacetylene, aminoacetonitrile, allylimine, and 2-aza-1,3-butadiene, has been presented in this thesis. For formaldehyde and mono-deuterated hydrogen sulfide, which are well-known interstellar molecules, a detailed Measured Active Rotational–Vibrational Energy Levels (MARVEL) analysis has been performed. For both of them, the MARVEL approach has been used to accurately derive the rotational and ro-vibrational energy levels from the experimental data available in the literature combined with new millimeter-wave measurements. Overall, the MARVEL analysis span a huge frequency range, from millimeter-wave to infrared (IR). For allylimine and 2-aza-1,3-butadiene, the pure rotational spectrum has been extended to the millimeter-wave region. The outcome of these two studies is the derivation of very accurate spectroscopic parameters that allow the accurate prediction of their rotational transitions over a large frequency range. For allylimine, this line catalog allowed the tentative detection of two isomers of allylimine (Ta and Ts) towards the G+0.693 molecular cloud. In addition to rotational spectroscopy, high-resolution IR spectra of interstellar molecules play also of pivotal role for the exploration of astromomical objects. For these reasons, high-resolution IR spectra of cyanoacetylene, deuterated cyanoacetylene, and aminoacetonitrile have been investigated. The precise spectroscopic constants of several vibrational excited states of these three molecules have been derived from the assignment of newly recorded IR spectra. Given the fact that all these three molecules are potentially present in Titan’s atmosphere, their ro-vibrational transitions can be considered unvaluable tools for their search, which might also be extended to other planetary atmospheres.

Determination of microplastics in the digestive content of pelagic fish of commercial interest

The study aimed to determine the amount of microplastics (MPs) found in the digestive content of some pelagic tuna fish species of commercial interest caught along the Spanish coasts. In total, 601 individuals belonging to eight tuna species, and one species of the Corypheanidae family, were examined for the presence of MPs in their stomachs. Fish were collected from 9 different locations along the Spanish coasts by commercial fishers. A total of 170 MPs were extracted from the fish stomach of 75 individuals. The number of particles present in the stomach ranged from 1 to 20 (mean 0.3± 1.2 SD MPs per individual). The species with the highest amount of MPs was Auxix rochei whereas the species that did not present any MPs was Coryphaena hippurus, the only species not belonging to the tuna group. In terms of location, the highest ratio of MPs (71%) was found in the fish collected from Azohia, and the lowest in Mazagon (7%). In general, the fish that ingested more MPs were those caught from sites that were closer to the coasts (Canarias Islands stations and Azohia). No correlation between the number of ingested MPs and the size and weight of the fish were detected nor for the whole sample nor for each species separately. Analyzing the MPs in terms of colour, green colour MPs were the most dominant (52%) followed by blue colour (25%). Analyzing the MPs in terms of size, 11 categories were considered and the most dominant size was 0-0.5 micron. Fibers were excluded from the analysis because no protocol was adopted to prevent their contamination. Furthermore, 100% of the MPs found were fragments. The data did not show a high presence of MPs in the analyzed study areas. A bias could probably be due to the method used, allowing to loose a certain quantity of very small microplastics, and also to ethological and biological factors of the species, as documented by other studies: very often MPs do not accumulate in the stomach and are expelled from the individual.

The Clinical Impact Of Cerebellar Grey Matter Pathology In Multiple Sclerosis.

The cerebellum is an important site for cortical demyelination in multiple sclerosis, but the functional significance of this finding is not fully understood. To evaluate the clinical and cognitive impact of cerebellar grey-matter pathology in multiple sclerosis patients. Forty-two relapsing-remitting multiple sclerosis patients and 30 controls underwent clinical assessment including the Multiple Sclerosis Functional Composite, Expanded Disability Status Scale (EDSS) and cerebellar functional system (FS) score, and cognitive evaluation, including the Paced Auditory Serial Addition Test (PASAT) and the Symbol-Digit Modalities Test (SDMT). Magnetic resonance imaging was performed with a 3T scanner and variables of interest were: brain white-matter and cortical lesion load, cerebellar intracortical and leukocortical lesion volumes, and brain cortical and cerebellar white-matter and grey-matter volumes. After multivariate analysis high burden of cerebellar intracortical lesions was the only predictor for the EDSS (p<0.001), cerebellar FS (p = 0.002), arm function (p = 0.049), and for leg function (p<0.001). Patients with high burden of cerebellar leukocortical lesions had lower PASAT scores (p = 0.013), while patients with greater volumes of cerebellar intracortical lesions had worse SDMT scores (p = 0.015). Cerebellar grey-matter pathology is widely present and contributes to clinical dysfunction in relapsing-remitting multiple sclerosis patients, independently of brain grey-matter damage.

Iis--integrated Interactome System: A Web-based Platform For The Annotation, Analysis And Visualization Of Protein-metabolite-gene-drug Interactions By Integrating A Variety Of Data Sources And Tools.

High-throughput screening of physical, genetic and chemical-genetic interactions brings important perspectives in the Systems Biology field, as the analysis of these interactions provides new insights into protein/gene function, cellular metabolic variations and the validation of therapeutic targets and drug design. However, such analysis depends on a pipeline connecting different tools that can automatically integrate data from diverse sources and result in a more comprehensive dataset that can be properly interpreted. We describe here the Integrated Interactome System (IIS), an integrative platform with a web-based interface for the annotation, analysis and visualization of the interaction profiles of proteins/genes, metabolites and drugs of interest. IIS works in four connected modules: (i) Submission module, which receives raw data derived from Sanger sequencing (e.g. two-hybrid system); (ii) Search module, which enables the user to search for the processed reads to be assembled into contigs/singlets, or for lists of proteins/genes, metabolites and drugs of interest, and add them to the project; (iii) Annotation module, which assigns annotations from several databases for the contigs/singlets or lists of proteins/genes, generating tables with automatic annotation that can be manually curated; and (iv) Interactome module, which maps the contigs/singlets or the uploaded lists to entries in our integrated database, building networks that gather novel identified interactions, protein and metabolite expression/concentration levels, subcellular localization and computed topological metrics, GO biological processes and KEGG pathways enrichment. This module generates a XGMML file that can be imported into Cytoscape or be visualized directly on the web. We have developed IIS by the integration of diverse databases following the need of appropriate tools for a systematic analysis of physical, genetic and chemical-genetic interactions. IIS was validated with yeast two-hybrid, proteomics and metabolomics datasets, but it is also extendable to other datasets. IIS is freely available online at: http://www.lge.ibi.unicamp.br/lnbio/IIS/.

Feasibility And Reproducibility Of Diffusion-weighted Magnetic Resonance Imaging Of The Fetal Brain In Twin-twin Transfusion Syndrome.

The aim of this study is to test the feasibility and reproducibility of diffusion-weighted magnetic resonance imaging (DW-MRI) evaluations of the fetal brains in cases of twin-twin transfusion syndrome (TTTS). From May 2011 to June 2012, 24 patients with severe TTTS underwent MRI scans for evaluation of the fetal brains. Datasets were analyzed offline on axial DW images and apparent diffusion coefficient (ADC) maps by two radiologists. The subjective evaluation was described as the absence or presence of water diffusion restriction. The objective evaluation was performed by the placement of 20-mm(2) circular regions of interest on the DW image and ADC maps. Subjective interobserver agreement was assessed by the kappa correlation coefficient. Objective intraobserver and interobserver agreements were assessed by proportionate Bland-Altman tests. Seventy-four DW-MRI scans were performed. Sixty of them (81.1%) were considered to be of good quality. Agreement between the radiologists was 100% for the absence or presence of diffusion restriction of water. For both intraobserver and interobserver agreement of ADC measurements, proportionate Bland-Altman tests showed average percentage differences of less than 1.5% and 95% CI of less than 18% for all sites evaluated. Our data demonstrate that DW-MRI evaluation of the fetal brain in TTTS is feasible and reproducible.

Neurodevelopment Of Small-for-gestational Age Infants: Behavioral Aspects In First Year.

The purpose of this study was to compare the behavior of full-term small-for-gestational age (SGA) with full-term appropriate-for gestational age (AGA) infants in the first year of life. We prospectively evaluated 68 infants in the 2nd month, 67 in the 6th month and 69 in the 12th month. The Bayley Scales of Infant Development-II were used, with emphasis on the Behavior Rating Scale (BRS). The groups were similar concerning the item interest in test materials and stimuli; there was a trend toward differences in the items negative affect, hypersensitivity to test materials and adaptation to change in test materials. The mean of Raw Score was significantly lower for the SGA group in the items predominant state, liability of state of arousal, positive affect, soothability when upset, energy, exploration of objects and surroundings, orientation toward examiner. A lower BRS score was associated with the SGA group in the 2nd month.

Estimated Disability-adjusted Life Years Averted By Long-term Provision Of Long Acting Contraceptive Methods In A Brazilian Clinic.

What is the contribution of the provision, at no cost for users, of long acting reversible contraceptive methods (LARC; copper intrauterine device [IUD], the levonorgestrel-releasing intrauterine system [LNG-IUS], contraceptive implants and depot-medroxyprogesterone [DMPA] injection) towards the disability-adjusted life years (DALY) averted through a Brazilian university-based clinic established over 30 years ago. Over the last 10 years of evaluation, provision of LARC methods and DMPA by the clinic are estimated to have contributed to DALY averted by between 37 and 60 maternal deaths, 315-424 child mortalities, 634-853 combined maternal morbidity and mortality and child mortality, and 1056-1412 unsafe abortions averted. LARC methods are associated with a high contraceptive effectiveness when compared with contraceptive methods which need frequent attention; perhaps because LARC methods are independent of individual or couple compliance. However, in general previous studies have evaluated contraceptive methods during clinical studies over a short period of time, or not more than 10 years. Furthermore, information regarding the estimation of the DALY averted is scarce. We reviewed 50 004 medical charts from women who consulted for the first time looking for a contraceptive method over the period from 2 January 1980 through 31 December 2012. Women who consulted at the Department of Obstetrics and Gynaecology, University of Campinas, Brazil were new users and users switching contraceptive, including the copper IUD (n = 13 826), the LNG-IUS (n = 1525), implants (n = 277) and DMPA (n = 9387). Estimation of the DALY averted included maternal morbidity and mortality, child mortality and unsafe abortions averted. We obtained 29 416 contraceptive segments of use including 25 009 contraceptive segments of use from 20 821 new users or switchers to any LARC method or DMPA with at least 1 year of follow-up. The mean (± SD) age of the women at first consultation ranged from 25.3 ± 5.7 (range 12-47) years in the 1980s, to 31.9 ± 7.4 (range 16-50) years in 2010-2011. The most common contraceptive chosen at the first consultation was copper IUD (48.3, 74.5 and 64.7% in the 1980s, 1990s and 2000s, respectively). For an evaluation over 20 years, the cumulative pregnancy rates (SEM) were 0.4 (0.2), 2.8 (2.1), 4.0 (0.4) and 1.3 (0.4) for the LNG-IUS, the implants, copper IUD and DMPA, respectively and cumulative continuation rates (SEM) were 15.1 (3.7), 3.9 (1.4), 14.1 (0.6) and 7.3 (1.7) for the LNG-IUS, implants, copper IUD and DMPA, respectively (P < 0.001). Over the last 10 years of evaluation, the estimation of the contribution of the clinic through the provision of LARC methods and DMPA to DALY averted was 37-60 maternal deaths; between 315 and 424 child mortalities; combined maternal morbidity and mortality and child mortality of between 634 and 853, and 1056-1412 unsafe abortions averted. The main limitations are the number of women who never returned to the clinic (overall 14% among the four methods under evaluation); consequently the pregnancy rate could be different. Other limitations include the analysis of two kinds of copper IUD and two kinds of contraceptive implants as the same IUD or implant, and the low number of users of implants. In addition, the DALY calculation relies on a number of estimates, which may vary in different parts of the world. LARC methods and DMPA are highly effective and women who were well-counselled used these methods for a long time. The benefit of averting maternal morbidity and mortality, child mortality, and unsafe abortions is an example to health policy makers to implement more family planning programmes and to offer contraceptive methods, mainly LARC and DMPA, at no cost or at affordable cost for the underprivileged population. This study received partial financial support from the Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP), grant # 2012/12810-4 and from the National Research Council (CNPq), grant #573747/2008-3. B.F.B., M.P.G., and V.M.C. were fellows from the scientific initiation programme from FAPESP. Since the year 2001, all the TCu380A IUD were donated by Injeflex, São Paulo, Brazil, and from the year 2006 all the LNG-IUS were donated by the International Contraceptive Access Foundation (ICA), Turku, Finland. Both donations are as unrestricted grants. The authors declare that there are no conflicts of interest associated with this study.

Mechanical Properties And Fracture Dynamics Of Silicene Membranes.

As graphene has become one of the most important materials, there is renewed interest in other similar structures. One example is silicene, the silicon analogue of graphene. It shares some of the remarkable graphene properties, such as the Dirac cone, but presents some distinct ones, such as a pronounced structural buckling. We have investigated, through density functional based tight-binding (DFTB), as well as reactive molecular dynamics (using ReaxFF), the mechanical properties of suspended single-layer silicene. We calculated the elastic constants, analyzed the fracture patterns and edge reconstructions. We also addressed the stress distributions, unbuckling mechanisms and the fracture dependence on the temperature. We analysed the differences due to distinct edge morphologies, namely zigzag and armchair.