Proposed action lines of the Committee on South-South Cooperation for the period 2016-2018. Note by the Secretariat

The secretariat is hereby circulating the present document, prepared by the Mexican Agency for International Development Cooperation (AMEXCID), to members of the Economic Commission for Latin America and the Caribbean (ECLAC), as input to the meeting of the Committee on South-South Cooperation to be held in the framework of the thirty-sixth session of the Commission.

Molecular markers of angiogenesis and metastasis in lines of oral carcinoma after treatment with melatonin

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Description of 90 inbred lines of castor plant (Ricinus communis L.)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Tolerance to high temperature in F-5 inbred lines of tomato

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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

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

The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies.

A Simple Model of Credit Rationing with Information Externalities

Credit-rationing model similar to Stiglitz and Weiss [1981] is combined with the information externality model of Lang and Nakamura [1993] to examine the properties of mortgage markets characterized by both adverse selection and information externalities. In a credit-rationing model, additional information increases lenders ability to distinguish risks, which leads to increased supply of credit. According to Lang and Nakamura, larger supply of credit leads to additional market activities and therefore, greater information. The combination of these two propositions leads to a general equilibrium model. This paper describes properties of this general equilibrium model. The paper provides another sufficient condition in which credit rationing falls with information. In that, external information improves the accuracy of equity-risk assessments of properties, which reduces credit rationing. Contrary to intuition, this increased accuracy raises the mortgage interest rate. This allows clarifying the trade offs associated with reduced credit rationing and the quality of applicant pool.

Elevation lines of modelled ice sheet extension during last glacial maximum

A numerical ice-sheet model was used to reconstruct the Late Weichselian glaciation of the Eurasian High Arctic, between Franz Josef Land and Severnaya Zemlya. An ice sheet was developed over the entire Eurasian High Arctic so that ice flow from the central Barents and Kara seas toward the northern Russian Arctic could be accounted for. An inverse approach to modeling was utilized, where ice-sheet results were forced to be compatible with geological information indicating ice-free conditions over the Taymyr Peninsula during the Late Weichselian. The model indicates complete glaciation of the Barents and Kara seas and predicts a "maximum-sized" ice sheet for the Late Weichselian Russian High Arctic. In this scenario, full-glacial conditions are characterized by a 1500-m-thick ice mass over the Barents Sea, from which ice flowed to the north and west within several bathymetric troughs as large ice streams. In contrast to this reconstruction, a "minimum" model of glaciation involves restricted glaciation in the Kara Sea, where the ice thickness is only 300 m in the south and which is free of ice in the north across Severnaya Zemlya. Our maximum reconstruction is compatible with geological information that indicates complete glaciation of the Barents Sea. However, geological data from Severnaya Zemlya suggest our minimum model is more relevant further east. This, in turn, implies a strong paleoclimatic gradient to colder and drier conditions eastward across the Eurasian Arctic during the Late Weichselian.