Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

Co-movements in commodity prices : a note based on network analysis

This article analyses co-movements in a wide group of commodity prices during the time period 1992–2010. Our methodological approach is based on the correlation matrix and the networks inside. Through this approach we are able to summarize global interaction and interdependence, capturing the existing heterogeneity in the degrees of synchronization between commodity prices. Our results produce two main findings: (a) we do not observe a persistent increase in the degree of co-movement of the commodity prices in our time sample, however from mid-2008 to the end of 2009 co-movements almost doubled when compared with the average correlation; (b) we observe three groups of commodities which have exhibited similar price dynamics (metals, oil and grains, and oilseeds) and which have increased their degree of co-movement during the sampled period.

Determinants of trade in recyclable wastes: Evidence from commodity-based trade of waste and scrap

This paper examines factors that affect the trade of recyclable waste in both exporting and importing countries. To this end, we employ two important elements: first, we adopt a gravity model in our empirical methodology; second, we select five waste and scrap commodities and undertake estimations using commodity-level trade data. We demonstrate that, the higher the wage/per capita GDP/population of an importing country, the more recyclable wastes it imports. This result suggests that the demand for final goods and, accordingly, the demand for materials including recycled material, have strong effects on the import volume of recyclable waste. Moreover, this implies that the imports of a developing country from developed countries increase with expanding industrial activity and economic growth. We find no evidence for a pollution haven for wastes and recycling.

The eternal return of teaching in the time of the corporation

This article addresses the new conditions under which teachers are making the choice to teach. Our core contention is that the reorganisation of schools according to the logic of the corporation, as described in Deleuze's ‘Postscript’, is changing the flows and forces on the primary surface of ‘the classroom’. These changes block the usual movements of teaching to discipline, normalise and individualise, which was the role of the school as precursor to the factory. Blocked from repeating, or returning, teaching as it has always been done, teachers must actively re-will to teach; teachers cannot use order words to name themselves and direct flows and forces as they have usually been done. While many choices to teach will be undertaken, the most popular being that of choosing to teach toward the corporation, the repetition of teaching toward enclosed spaces becomes less compelling. Like Nietzsche's Zarathustra, teachers, who have the courage to actively choose, face a new dawn in which teaching cannot be what it once was. In that moment they must choose to repeat that choice an infinite number of times, the choice of eternal return, and it is from here that new times might begin.

Do Students Not Care about Extra Credit Opportunities? Investigating Student Perceptions of Extra Credit Value vs. Effort

Giving “extra credit” work to students has been a controversial and hotly debated pedagogical issue for the last 20 years (Blood et al. 1993; Groves 2000; Muztaba Fuad and Jones 2012; Norcross et al. 1989; Weimer 2011). Previous work has focused on the faculty perspective discussing benefits and drawbacks associated with extra credit work (e.g. Hill et al. 1993; Norcross et al. 1989). Other scholars have investigated the use and effects of pop quizzes and other extra credit assignments on students’ final grades (Thorne 2000; Oley 1993). Some authors have criticized that the empirical exploration of understanding students’ motivational and performance efforts remains scarce and “rarely appears in the literature” (Mays and Bower 2005, p. 1). Besides a gap of empirical work it further appears that most existing studies stem from Psychology or Information Science. Yet it is surprising that, even though the topic of extra credit is considered a common practice in marketing education (Ackerman and Kiesler 2007), there is a wide gap within the marketing education literature. For example, a quick search in the Journal of Marketing Education for the keyword “extra credit” shows only 25 search results; yet none of those papers address motivational or performance effects of extra credit. A further search in Marketing Education Review yielded no results at all. To the authors’ knowledge, the topic has only been addressed once by Ackerman and Kiesler in the 2007 MEA Proceedings who conclude that for “such a common part of the marketing education curriculum, we know surprisingly little about its impact on students” (p. 123).

A new data source for fisheries resource assessment: genetic estimates of the effective number of spawners. Final Report to the Fisheries Research and Development Corporation.

The development of innovative methods of stock assessment is a priority for State and Commonwealth fisheries agencies. It is driven by the need to facilitate sustainable exploitation of naturally occurring fisheries resources for the current and future economic, social and environmental well being of Australia. This project was initiated in this context and took advantage of considerable recent achievements in genomics that are shaping our comprehension of the DNA of humans and animals. The basic idea behind this project was that genetic estimates of effective population size, which can be made from empirical measurements of genetic drift, were equivalent to estimates of the successful number of spawners that is an important parameter in process of fisheries stock assessment. The broad objectives of this study were to 1. Critically evaluate a variety of mathematical methods of calculating effective spawner numbers (Ne) by a. conducting comprehensive computer simulations, and by b. analysis of empirical data collected from the Moreton Bay population of tiger prawns (P. esculentus). 2. Lay the groundwork for the application of the technology in the northern prawn fishery (NPF). 3. Produce software for the calculation of Ne, and to make it widely available. The project pulled together a range of mathematical models for estimating current effective population size from diverse sources. Some of them had been recently implemented with the latest statistical methods (eg. Bayesian framework Berthier, Beaumont et al. 2002), while others had lower profiles (eg. Pudovkin, Zaykin et al. 1996; Rousset and Raymond 1995). Computer code and later software with a user-friendly interface (NeEstimator) was produced to implement the methods. This was used as a basis for simulation experiments to evaluate the performance of the methods with an individual-based model of a prawn population. Following the guidelines suggested by computer simulations, the tiger prawn population in Moreton Bay (south-east Queensland) was sampled for genetic analysis with eight microsatellite loci in three successive spring spawning seasons in 2001, 2002 and 2003. As predicted by the simulations, the estimates had non-infinite upper confidence limits, which is a major achievement for the application of the method to a naturally-occurring, short generation, highly fecund invertebrate species. The genetic estimate of the number of successful spawners was around 1000 individuals in two consecutive years. This contrasts with about 500,000 prawns participating in spawning. It is not possible to distinguish successful from non-successful spawners so we suggest a high level of protection for the entire spawning population. We interpret the difference in numbers between successful and non-successful spawners as a large variation in the number of offspring per family that survive – a large number of families have no surviving offspring, while a few have a large number. We explored various ways in which Ne can be useful in fisheries management. It can be a surrogate for spawning population size, assuming the ratio between Ne and spawning population size has been previously calculated for that species. Alternatively, it can be a surrogate for recruitment, again assuming that the ratio between Ne and recruitment has been previously determined. The number of species that can be analysed in this way, however, is likely to be small because of species-specific life history requirements that need to be satisfied for accuracy. The most universal approach would be to integrate Ne with spawning stock-recruitment models, so that these models are more accurate when applied to fisheries populations. A pathway to achieve this was established in this project, which we predict will significantly improve fisheries sustainability in the future. Regardless of the success of integrating Ne into spawning stock-recruitment models, Ne could be used as a fisheries monitoring tool. Declines in spawning stock size or increases in natural or harvest mortality would be reflected by a decline in Ne. This would be good for data-poor fisheries and provides fishery independent information, however, we suggest a species-by-species approach. Some species may be too numerous or experiencing too much migration for the method to work. During the project two important theoretical studies of the simultaneous estimation of effective population size and migration were published (Vitalis and Couvet 2001b; Wang and Whitlock 2003). These methods, combined with collection of preliminary genetic data from the tiger prawn population in southern Gulf of Carpentaria population and a computer simulation study that evaluated the effect of differing reproductive strategies on genetic estimates, suggest that this technology could make an important contribution to the stock assessment process in the northern prawn fishery (NPF). Advances in the genomics world are rapid and already a cheaper, more reliable substitute for microsatellite loci in this technology is available. Digital data from single nucleotide polymorphisms (SNPs) are likely to super cede ‘analogue’ microsatellite data, making it cheaper and easier to apply the method to species with large population sizes.

The credit risk(+) model with general sector correlations

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Sexual harassment and the corporation in Australia and Japan: The potential for corporate governance of human rights

The authors explore the legal and social undercurrents in Australia and Japan which are encouraging corporations to embrace broader social responsibilities. They consider a case study of sexual harassment and its regulation within Australian corporations, uncovering the legal and social conditions that have led to the adoption of sexual harassment policies. The authors propose a model for determining when corporate governance of sexual harassment is likely to be effective and test the model by reference to the experience of sexual harassment in Japan. They draw some conclusions about what the experience of corporate implementation of management of sexual harassment might mean for other areas of human rights.

Raw data for project "Development of a DNA based aging technique for use in fisheries assessments" Fisheries and Development Corporation project 2007/033

The primary aim of this study was to determine the relationship between telomere length and age in a range of marine invertebrates including abalone (Haliotis spp) oysters (Saccostrea glomerata), spiny lobsters (Sagmariasus verreauxi formerly Jasus verreauxi and Jasus edwardsii) and school prawns (Metapenaeus macleayi). Additionally, this relationship was studied in a vertebrate organism using the freshwater fish Silver perch (Bidyanus bidyanus). Telomere length differences between tissues were also examined in some species such as Saccostrea glomerata, Sagmariasus verreauxi and Bidyanus bidyanus. In some cases cultured specimens of known age were used and this is quoted in the spreadsheets. For other wild-caught specimens where age was not known, size was used as a proxy for age. This may be a broad size class, or be determined by shell size or carapace length depending on the organism. Each spreadsheet contains raw data of telomere length estimates from Terminal Restriction Fragment Assays (TRF) for various individuals of each species including appropriate details such as age or size and tissue. Telomere length estimates are given in base pairs (bp). In most cases replicate experiments were conducted on groups of samples three times but on a small number of occasions only two replicate experiments were conducted. Further description of the samples can be found in final report of FRDC 2007/033. The arithmetic average for each individual (sample ID) across the two or three replicate experiments is also given. Bidyanus bidyanus (SilverPerch) Two sheets are contained within. a) Comparison of telomere length between different tissues (heart, liver and muscle) within the three year old age class - two replicate experiments were conducted. b) Comparison of telomere length between fish of different but known ages (0.25, 1, 2, and 3 years old) in each of three tissues, heart, liver and muscle – three replicate experiments were conducted per tissue. Haliotis spp (Abalone species) Three species were tested. H. asinina Telomere length was compared in two age classes-11 month and 18 month old abalone using muscle tissue from the foot. Within gel-variation was also estimated using a single sample run three times on one gel (replicate experiment). H. laevigata x H. rubra hybrids Telomere length was compared in three known age classes – two, three and four years old using muscle tissue from the foot. H. rubra Telomere length was compared in a range of different sized abalone using muscle tissue from the foot. Shell size is also given for each abalone Saccostrea glomerata Three sheets are contained within the file. a) Samples came from Moreton Bay Queensland in 2007. Telomere length was compared in two tissues (gill and mantle) of oysters in three age groups (1, 3 and 4 years) b) Samples came from Moreton Bay Queensland in 2009. Telomere length was compared in three age classes using DNA from gill tissue only c) Samples came from Wallis Lake, New South Wales. Telomere length was estimated from whole body minus the shell from 1 year old oysters, gill tissue of 3 age classes (1.5 years, 3 and 4 years), mantle tissue of two age classes (3 and 4 years). Sagmariasus verreauxi (formerly Jasus verreauxi) Telomere length was estimated from abdomen tissue of puerulus, gill and muscle tissue of 3 year old, large and very large size classes of lobsters. Jasus edwardsii Telomere length was measured in two size classes of lobsters- adults of varying sizes using muscle tissue and puerulus using tissues from the abdomen minus the exoskeleton. Metapenaeus macleayi Telomere length was measured in three size classes of school prawns adults. Muscle tissue was used, minus the exoskeleton.

Development of a DNA based aging technique for use in fisheries assessments. Final report, Australian Fisheries Research and Development Corporation Project 2007/033.

The productivity of a fisheries resource can be quantified from estimates of recruitment, individual growth and natural and fisheries-related mortality, assuming the spatial extent of the resource has been quantified and there is minimal immigration or emigration. The sustainability of a fisheries resource is facilitated by management controls such as minimum and maximum size limits and total allowable catch. Minimum size limits are often set to allow individuals the opportunity to reproduce at least once before the chance of capture. Total allowable catches are a proportion of the population biomass, which is estimated based on known reproduction, recruitment, mortality and growth rates. In some fisheries, however, management actions are put in place without quantification of the resource through the stock assessment process. This occurs because species-specific information, for example individual growth, may not be available. In these circumstances, management actions need to be precautionary to protect against future resource collapse, but this often means that the resource is lightly exploited. Consequently, the productivity of the resource is not fully realised. Australia’s most valuable fisheries are invertebrate fisheries (Australian Department of Agriculture Fisheries and Forestry, 2008). For example, Australian fisheries (i.e. excluding aquaculture) production of crustaceans (largely prawns, rock lobster and crab) was 41,000 tonnes in 2006/7, worth $778 million. Production from mollusc (largely abalone, scallops, oysters and squid) fisheries was 39,000 tonnes, worth $502 million. Together, in 2006/7 crustacean and mollusc fisheries represented 58% of the total value of Australian wild fisheries production. Sustainable management of Australia’s invertebrate fisheries is frustrated by the lack of data on species-specific growth rates. This project investigated a new method to estimate age, and hence individual growth rates, in invertebrate fisheries species. The principle behind the new aging method was that telomeres (i.e. DNA end-caps of chromosomes) get shorter as an individual gets older. We studied commercial crustacean and molluscan species. A vertebrate fish species (silver perch, Bidyanus bidyanus) was used as a control to standardise our work against the literature. We found a clear relationship between telomere length and shell size for temperate abalone (Haliotis rubra). Further research is recommended before the method can be implemented to assist management of wildharvested abalone populations. Age needs to be substituted for shell size in the relationship and it needs to be studied for abalone from several regions. This project showed that telomere length declined with increasing age in Sydney rock oysters (Saccostrea glomerata) and was affected by regional variation. A relationship was not apparent between telomere length and age (or size as a surrogate for age) for crustacean species (school prawns, Metapenaeus macleayi; eastern rock lobster, Sagmariasus verreauxi; southern rock lobster, Jasus edwardsii; and spanner crabs, Ranina ranina). For school prawns, there was no difference between telomere length in males and females. Further research is recommended, however, as telomeric DNA from crustaceans was difficult to analyse using the terminal restriction fragment (TRF) assay. Telomere lengths of spanner crabs and lobsters were at the upper limit of resolution of the assay used and results were affected by degradation and possible contamination of telomeric DNA. It is possible that telomere length is an indicator of remaining lifespan in molluscan and crustacean individuals, as suggested for some vertebrate species (e.g. Monaghan, 2010). Among abalone of similar shell size and among lobster pueruli, there was evidence of individuals having significantly longer or shorter telomeres than the group average. At a population level, this may be a surrogate for estimates of future natural mortality, which may have usefulness in the management of those populations. The method used to assay telomere length (terminal restriction fragment assay) performed adequately for most species, but it was too expensive and time-consuming to be considered a useful tool for gathering information for fisheries management. Research on alternative methods is strongly recommended.

Forest and Wood Products Research and Development Corporation (FWPRDC) Cypress exatractives

Study to investigate the use of cypress pine extractives as a novel timber preservative.

Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions.