US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk

This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is then used to provide implicit prices. The model prices are then compared with observed market prices of credit default swaps to determine if swap rates adequately reflect market risks. The findings of the analysis illustrate the importance of liquidity in the valuation process. Moreover, market liquidity, a measure of investors. willingness to commit resources in the credit default swap (CDS) market, was also found to improve the valuation of investors. autonomous credit risk. Thus a failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined as the fractional credit risk which does not vary with changes in market risk and liquidity conditions.

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.

Endogenous Growth in the Presence of Informal Credit Markets: A Comparative Analysis Between Credit Rationing and Self-Revelation Regimes

This paper examines whether the presence of informal credit markets reduces the cost of credit rationing in terms of growth. In a dynamic general equilibrium framework, we assume that firms are heterogenous with different degrees of risk and households invest in human capital development. With the help of Indian household level data we show that the informal market reduces the cost of rationing by increasing the growth rate by 0.7 percent. This higher growth rate, in the presence of an informal sector, is due to the ability of the informal market to separate the high risk from the low risk firms thanks to better information. But even after such improvement we do not get the optimum outcome. The findings, based on our second question, suggest that the revelation of firms' type, based on incentive compatible pricing, can lead to almost 2 percent higher growth rate as compared to the credit rationing regime with informal sector.

DISTRIBUTION FUNCTIONS, MEAN SQUARED ERRORS, AND CONFIDENCE LIMITS FOR RIDGE REGRESSION ESTIMATORS

A large number of ridge regression estimators have been proposed and used with little knowledge of their true distributions. Because of this lack of knowledge, these estimators cannot be used to test hypotheses or to form confidence intervals.^ This paper presents a basic technique for deriving the exact distribution functions for a class of generalized ridge estimators. The technique is applied to five prominent generalized ridge estimators. Graphs of the resulting distribution functions are presented. The actual behavior of these estimators is found to be considerably different than the behavior which is generally assumed for ridge estimators.^ This paper also uses the derived distributions to examine the mean squared error properties of the estimators. A technique for developing confidence intervals based on the generalized ridge estimators is also presented. ^

Use of a modified delphi process for establishing occupational exposure limits in support of health surveillance for space travelers

On-orbit exposures can come from numerous factors related to the space environment as evidenced by almost 50 years of environmental samples collected for water analysis, air analysis, radiation analysis, and physiologic parameters. For astronauts and spaceflight participants the occupational exposures can be very different from those experienced by workers performing similar tasks in workplaces on Earth, because the duration of the exposure could be continuous for very long orbital, and eventually interplanetary, missions. The establishment of long-term exposure standards is vital to controlling the quality of the spacecraft environment over long periods. NASA often needs to update and revise its prior exposure standards (Spacecrafts Maximum Allowable Concentrations (SMACs)). Traditional standards-setting processes are often lengthy, so a more rapid method to review and establish standards would be a substantial advancement in this area. This project investigates use of the Delphi method for this purpose. ^ In order to achieve the objectives of this study a modified Delphi methodology was tested in three trials executed by doctoral students and a panel of experts in disciplines related to occupational safety and health. During each test/trial modifications were made to the methodology. Prior to submission of the Delphi Questionnaire to the panel of experts a pilot study/trial was conducted using five doctoral students with the goals of testing and adjusting the Delphi questionnaire to improve comprehension, work out any procedural issues and evaluate the effectiveness of the questionnaire in drawing the desired responses. The remainder of the study consisted of two trials of the Modified Delphi process using 6 chemicals that currently have the potential of causing occupational exposures to NASA astronauts or spaceflight participants. To assist in setting Occupational Exposure Limits (OEL), the expert panel was established consisting of experts from academia, government and industry. Evidence was collected and used to create close-ended questionnaires which were submitted to the Delphi panel of experts for the establishment of OEL values for three chemicals from the list of six originally selected (trial 1). Once the first Delphi trial was completed, adjustments were made to the Delphi questionnaires and the process above was repeated with the remaining 3 chemicals (trial 2). ^ Results indicate that experience in occupational safety and health and with OEL methodologies can have a positive effect in minimizing the time experts take in completing this process. Based on the results of the questionnaires and comparison of the results with the SMAC already established by NASA, we conclude that use of the Delphi methodology is appropriate for use in the decision-making process for the selection of OELs.^

Appendix A. Whole-rock major, trace and rare earth element analyses of the Ulubey volcanics, Appendix B. Analytical standards and detection limits for analyses

Collisional and post-collisional volcanic rocks in the Ulubey (Ordu) area at the western edge of the Eastern Pontide Tertiary Volcanic Province (EPTVP) in NE Turkey are divided into four suites; Middle Eocene (49.4-44.6 Ma) aged Andesite-Trachyandesite (AT), Trachyandesite-Trachydacite-Rhyolite (TTR), Trachydacite-Dacite (TD) suites, and Middle Miocene (15.1 Ma) aged Trachybasalt (TB) suite. Local stratigraphy in the Ulubey area starts with shallow marine environment sediments of the Paleocene-Eocene time and then continues extensively with sub-aerial andesitic to rhyolitic and rare basaltic volcanism during Eocene and Miocene time, respectively. Petrographically, the volcanic rocks are composed primarily of andesites/trachyandesites, with minor trachydacites/rhyolites, basalts/trachybasalts and pyroclastics, and show porphyric, hyalo-microlitic porphyric and rarely glomeroporphyric, intersertal, intergranular, fluidal and sieve textures. The Ulubey (Ordu) volcanic rocks indicate magma evolution from tholeiitic-alkaline to calc-alkaline with medium-K contents. Primitive mantle normalized trace element and chondrite normalized rare earth element (REE) patterns show that the volcanic rocks have moderate light rare earth element (LREE)/heavy rare earth element (HREE) ratios relative to E-Type MORB and depletion in Nb, Ta and Ti. High Th/Yb ratios indicate parental magma(s) derived from an enriched source formed by mixing of slab and asthenospheric melts previously modified by fluids and sediments from a subduction zone. All of the volcanic rocks share similar incompatible element ratios (e.g., La/Sm, Zr/Nb, La/Nb) and chondrite-normalized REE patterns, indicating that the basic to acidic rocks originated from the same source. The volcanic rocks were produced by the slab dehydration-induced melting of an existing metasomatized mantle source, and the fluids from the slab dehydration introduced significant large ion lithophile element (LILE) and LREE to the source, masking its inherent HFSE-enriched characteristics. The initial 87Sr/86Sr (0.7044-0.7050) and eNd (-0.3 to +3.4) ratios of the volcanics suggest that they originated from an enriched lithospheric mantle source with low Sm/Nd ratios. Integration of the geochemical, petrological and isotopical with regional and local geological data suggest that the Tertiary volcanic rocks from the Ulubey (Ordu) area were derived from an enriched mantle, which had been previously metasomatized by fluids derived from subducted slab during Eocene to Miocene in collisional and post-collisional extension-related geodynamic setting following Late Mesozoic continental collision between the Eurasian plate and the Tauride-Anatolide platform.

Reconstructed glaciation limits in Eurasia (digitized from map Fig.1)

Based on field investigations in northern Russia and interpretation of offshore seismic data, we have made a preliminary reconstruction of the maximum ice-sheet extent in the Barents and Kara Sea region during the Early/Middle Weichselian and the Late Weichselian. Our investigations indicate that the Barents and Kara ice sheets attained their maximum Weichselian positions in northern Russia prior to 50 000 yr BP, whereas the northeastern flank of the Scandinavian Ice Sheet advanced to a maximum position shortly after 17000 calendar years ago. During the Late Weichselian (25 000-10000 yr BP), much of the Russian Arctic remained ice-free. According to our reconstruction, the extent of the ice sheets in the Barents and Kara Sea region during the Late Weichselian glacial maximum was less than half that of the maximum model which, up to now, has been widely used as a boundary condition for testing and refining General Circulation Models (GCMs). Preliminary numerical-modelling experiments predict Late Weichselian ice sheets which are larger than the ice extent implied for the Kara Sea region from dated geological evidence, suggesting very low precipitation.

Antagonistic interactions between the african weaver ant Oecophylla longinoda and the parasitoid Anagyrus pseudococci potentially limits suppression of the invasive mealybug Rastrococcus iceryoides

The ant Oecophylla longinoda Latreille forms a trophobiotic relationship with the invasive mealybug Rastrococus iceryoides Green and promotes the latter's infestations to unacceptable levels in the presence of their natural enemies. In this regard, the antagonistic interactions between the ant and the parasitoid Anagyrus pseudococci Girault were assessed under laboratory conditions. The percentage of parasitism of R. iceryoides by A. pseudococci was significantly higher on "ant-excluded" treatments (86.6% ± 1.27%) compared to "ant-tended" treatments (51.4% ± 4.13%). The low female-biased sex-ratio observed in the "ant-tended" treatment can be attributed to ants' interference during the oviposition phase, which disrupted parasitoids' ability to fertilize eggs. The mean foraging time, host handling time and number of successful oviposition in "ant-excluded" treatment were significantly higher compared to "ant-tended" treatments. When ant workers were allowed access to sterilized sand grains, mummified and unmummified R. iceryoides, they selectively removed the mummified mealybugs, indicating that they recognized the mummies as potential foods (1.2 ± 0.46 to 7.8 ± 1.17 mummies at 10 min intervals for 2 h). Percentage emergence from mummified R. iceryoides removed by the ants was significantly lower compared to emergence from mummies not exposed to ants. Although, host seeking parasitoids frequently evaded attacks, some were killed by the foraging ant workers (2.0 ± 0.38 to 6.0 ± 0.88 at 10 min intervals for 2 h). These results suggest for the first time that the presence of O. longinoda has a detrimental effect on the abundance, reproductive success and possibly oviposition strategy of female parasitoids, which might be a delimiting factor in field conditions if both natural enemies are to be recommended for use within the same agro-ecosystem.

Atterberg limits of sediments from DSDP Leg 65 Holes

Atterberg limits have been determined for 32 unconsolidated sediment samples, ranging in composition from silty clay to sandy silt and recovered from four sites drilled at the mouth of the Gulf of California during DSDP Leg 65. The liquid limit of the samples ranged from 41.5% to 157.5%, and the plastic limit from 32.8% to 65.1%. The plasticity index ranged from 5.9% to 102.0%. In some samples, the water content was less than the liquid limit. The liquidity index averaged 76% while the flow and toughness indices averaged 35% and 2.18%, respectively. On the basis of these limits, the sediments analyzed can be classified as inorganic clays of high plasticity, organic clays of moderate to high plasticity, and diatomaceous sands, silts, and silty clays of low plasticity.