Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Anà lisi factorial confirmatòria per a variables categòriques: Aplicació al qüestionari de discapacitat WHODAS-II

Objective: To describe the methodology of Confirmatory Factor Analyis for categorical items and to apply this methodology to evaluate the factor structure and invariance of the WHO-Disability Assessment Schedule (WHODAS-II) questionnaire, developed by the World HealthOrganization.Methods: Data used for the analysis come from the European Study of Mental Disorders(ESEMeD), a cross-sectional interview to a representative sample of the general population of 6 european countries (n=8796). Respondents were administered a modified version of theWHODAS-II, that measures functional disability in the previous 30 days in 6 differentdimensions: Understanding and Communicating; Self-Care, Getting Around, Getting Along withOthers, Life Activities and Participation. The questionnaire includes two types of items: 22severity items (5 points likert) and 8 frequency items (continuous). An Exploratory factoranalysis (EFA) with promax rotation was conducted on a random 50% of the sample. Theremaining half of the sample was used to perform a Confirmatory Factor Analysis (CFA) inorder to compare three different models: (a) the model suggested by the results obtained in theEFA; (b) the theoretical model suggested by the WHO with 6 dimensions; (c) a reduced modelequivalent to model b where 4 of the frequency items are excluded. Moreover, a second orderfactor was also evaluated. Finally, a CFA with covariates was estimated in order to evaluatemeasurement invariance of the items between Mediterranean and non-mediterranean countries.Results: The solution that provided better results in the EFA was that containing 7 factors. Twoof the frequency items presented high factor loadings in the same factor, and one of thempresented factor loadings smaller than 0.3 with all the factors. With regard to the CFA, thereduced model (model c) presented the best goodness of fit results (CFI=0.992,TLI=0.996,RMSEA=0.024). The second order factor structure presented adequate goodness of fit (CFI=0.987,TLI=0.991, RMSEA=0.036). Measurement non-invariance was detected for one of the items of thequestionnaire (FD20 ¿ Embarrassment due to health problems).Conclusions: AFC confirmed the initial hypothesis about the factorial structure of the WHODAS-II in 6factors. The second order factor supports the existence of a global dimension of disability. The use of 4of the frequency items is not recommended in the scoring of the corresponding dimensions.

Heat capacity measurements on the equiatomic compounds in Ni-X (X = Al, In, Si, Ge and Bi) and M-Sb (with M = Ni, Co and Fe) systems

Molar heat capacities of the binary compounds NiAl, NiIn, NiSi, NiGe, NiBi, NiSb, CoSb and FeSb were determined every 10 K by differential scanning calorimetry in the temperature range 310-1080 K. The experimental results have been fitted versus temperature according to C-p = a + b . T + c . T-2 + d . T-2. Results are given, discussed and compared to estimations found in the literature. Two compounds, NiBi and FeSb, are subject to transformations between 460 and 500 K. (C) 1999 Elsevier Science Ltd. All rights reserved.

[Illustrations de Génie du Christianisme ou beautés de la religion chrétienne] / A.Villerey, grav. ; Dambrun, grav. [et al...]; Chateaubriand, aut. du texte

Comprend : [Tome I. Frontispice : la Foi chrétienne commandant aux Arts et aux travaux des hommes.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome I. Pl. en reg. p.110 : Chapitre XI. L'extrême-onction.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome I. Pl. en reg. p.319 : Livre V. Partie I. On se console par la douleur.] L'une apportoit son enfant mort, l'autre son enfant vivant (...) Elle mettoient ensuite leurs enfants sur une branche de catalpa, et les balançoient ensemble, en chantant des airs de leurs pays. Hélas! ces jeux maternels, qui souvent endormoient l'innocence, ne pouvoient réveiller la mort! [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome II. Pl. en reg. p.239 : Partie II. Livre IV. Les passions. Amélie décidée à rentrer au couvent.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome II. Pl. en reg. p.250 : Partie II. Livre IV. Les passions. Chateaubriand guettant la fenêtre d'Amélie au couvent.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome III. Pl. en reg. p.368 : Partie III. Livre VI. La mort d'Atala. Le Père Aubry et Chactas enterrent Atala.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome III. Pl. en reg. p.372 : Partie III. Livre VI. Chactas pleure sur la tombe d'Atala.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome IV. Pl. en reg. p.167 : Partie IV. Livre III. Chapitre VI. Vue générale du Clergé. Un moine Trappiste.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635] ; [Tome IV. Pl. en reg. p.217 : Partie IV. Livre III. Chapitre VI. Vue générale du Clergé. Un missionnaire remonte le Rio de la Plata pour évangéliser les Indiens.] [Cote : Res D 5716/Microfilm R 122368 à 122370 et R 132635]

SEQUENTIAL EXTRACTION OF PHOSPHORUS BY MEHLICH-1 AND ION EXCHANGE RESIN FROM B HORIZONS OF FERRIC AND PERFERRIC LATOSOLS (OXISOLS)

In general, Latosols have low levels of available P, however, the influence of the parent material seems to be decisive in defining the pool and predominant form of P in these soils. This study evaluated P availability by extraction with Mehlich-1 (M-1) and Ion Exchange Resin (IER), from samples of B horizons of Ferric and Perferric Latosols developed from different parent materials. To this end, in addition to the physical and chemical characterization of soils, 10 sequential extractions were performed with M-1 and IER from samples of B horizons (depth between 0.8 and 1.0 m). Total contents of Ca, P, Fe, Al, and Ti were determined after digestion with nitric, hydrofluoric and perchloric acids. The effects of sequential P extractions on Fe oxides were also evaluated from the analyses of dithionite-citrate-bicarbonate and ammonium acid oxalate. The high similarity between contents of P accumulated after sequential extractions with M-1 and IER in soils developed on tuffite indicated a predominance of P-Ca. Higher contents of P after a single IER extraction show greater efficiency in P removal from highly weathered soils, as from the Latosols studied here. The P contents also show the high sensitivity of extractant M-1 in highly buffered soils. Furthermore, a single extraction with extractant M-1 or IER is not sufficient to estimate the amount of labile P in these soils.

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Algunes reflexions al voltant del tractament de l'equilibri químic en el batxillerat

En aquest escrit es recorda el tractament que rebia l"equilibri químic en el batxillerat que va estudiar l"autor de l"article i es compara amb el què es dóna en el batxillerat actual. Es palesa que en el batxillerat d"avui dia, l"equilibri químic rep un tractament força més extens i amb una major càrrega conceptual que el d"aquells anys. Aquest fet pot portar, si la matèria no es tracta amb el temps requerit, a que els estudiants d"avui dia no acabin d"entendre massa bé el significat i la utilitat de les magnituds i constants fisicoquímiques introduïdes i, a la vegada, es dificulti que puguin assolir completament d"altres objectius més elementals. D"altra banda, a partir de la revisió d"alguns dels textos de química més usats en els centres de batxillerat, es proposa reconsiderar el tractament que reben alguns aspectes concrets de l"equilibri químic i, en aquest sentit, es discuteixen algunes de les inconveniències observades i es plantegen alternatives per a tractar d"una manera més adient.