Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).

Activation of PPAR delta Regulates Ywhae (Encoding 14-3-3 epsilon Protein), a Gene Required for Ventricular Morphogenesis

Cardiac ventricular morphogenesis is a key developmental stage during which the ventricles grow considerably in size, but the transcriptional pathways controlling this process remains poorly understood. 14-3-3_ is a member of a conserved protein family that regulates a wide range of processes such as transcription, apoptosis and proliferation by binding to the phospho-serine/threonine residues of its target proteins. We found that deletion of the Ywhae gene (encoding 14-3-3_) in mice leads to abnormal ventricular morphogenesis and an embryonic cardiomyopathy (Cieslik KA et al, Circ. Res. 2008, abstract). Interestingly, we recently showed in cultured cells that the Ywhae gene is regulated directly by peroxisome proliferator-activated receptor _ (PPAR_) (Brunelli L et al, Circ. Res. 2007), a ligand-inducible nuclear receptor that controls energy metabolism and development. Postnatal cardiac-specific deletion of the Ppard gene in mice causes a lethal dilated cardiomyopathy, but it is still unknown whether PPAR_ regulates genes involved in heart development. We hypothesized that the expression of the Ywhae gene is responsive to PPAR_ during heart development. We confirmed that PPAR_ is expressed in the heart during development, and found higher expression at E10.5 compared to later gestational ages. We showed by immunofluorescence that a PPAR_ agonist (50 _M L-165,041 for 24 hr) upregulates 14-3-3_ in primary cardiomyocytes. We showed that when P19CL6 cells are driven towards cardiomyocyte lineage by dimethyl sulfoxide (DMSO), 14-3-3_ levels increase 4-fold, while L-165,041 treatment increases levels by an additional 50%. Based on previous work in mice (Leibowitz MD et al, FEBS Lett. 2000; Letavernier E et al, J. Am. Soc. Nephrol. 2005), we tested the response of Ywhae to PPAR_ in vivo . We fed 30 mg/kg/day L-165,041 to 14-3-3__/_ adult pregnant mice for 3 days starting at E9.5 and assessed Ywhae mRNA levels in embryonic hearts at E12.5. Baseline mRNA levels in Ywhae_/_ hearts were double that of Ywhae_/ hearts, while L-165,041 upregulated Ywhae mRNA levels in both Ywhae_/_ and Ywhae_/ hearts by 65%. These results indicate that Ywhae responds to PPAR_ in vivo, and suggest that PPAR_ regulates Ywhae during ventricular morphogenesis.

Una comparación de la selección de los ratios contables en los modelos contable-financieros de predicción de la insolvencia empresarial : la literatura previa frente al analisis factorial

En los últimos 30 años la proliferación de modelos cuantitativos de predicción de la insolvencia empresarial en la literatura contable y financiera ha despertado un gran interés entre los especialistas e investigadores de lamateria. Lo que en un principio fueron unos modelos elaborados con un único objetivo, han derivado en una fuente de investigación constante.En este documento se formula un modelo de predicción de la insolvencia a través de la combinación de diferentes variables cuantitativas extraídas de los estados contables de una muestra de empresas para los años 1994-1997. A través de un procedimiento por etapas se selecciona e interpreta cuáles son las más relevantes en cuanto a aportación de información.Una vez formulado este primer tipo de modelos se busca una alternativa a las variables anteriores a través de la técnica factorial del análisis de componentes principales. Con ella se hace una selección de variables y se aplica, junto conlos ratios anteriores, el análisis univariante. Por último, se comparan los modelos obtenidos y se concluye que aunque la literatura previa ofrece mejores porcentajes de clasificación, los modelos obtenidos a través del análisis decomponentes principales no deben ser rechazados por la claridad en la explicación de las causas que conducen a una empresa a la insolvencia.

[Pierre Loti] : [les logis flottants] / [Pierre Loti... et al.], dess.[les logis flottants]

Enregistrement : 00-00-1859 - 00-00-1923

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.

Anàlisi 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.

Lattice-dynamical study of the premartensitic state of the Cu-Al-Be alloys

Neutron-scattering techniques have been used to study the premartensitic state of a family of Cu-Al-Be alloys, which transform from the bcc phase to an 18R martensitic structure. We find that the phonon modes of the TA2[110] branch have very low energies with anomalous temperature dependence. A slight anomaly at q=2/3 was observed; this anomaly, however, does not change significantly with temperature. No elastic peaks, related to the martensite structure, were found in the premartensitic state of these alloys. The results are compared with measurements, performed under the same instrumental conditions, on two Cu-Al-Ni and a Cu-Zn-Al martensitic alloy.

[Illustrations de Vues remarquables des montagnes de la Suisse avec leur description] / A. Dunker [et al.], dess. ; Hentzy, aut. du texte

Comprend : [Fig. p.1 : groupe de randonneurs dans les montagnes Suisses du Canton de Berne.] [Cote : Res g M 23/Microfilm R 122251] ; [Fig. après p.15 : carte et vue des montagnes de la Suisse. Canton de Berne. Le Mont Jungfrau, le Moench, le Grofshorn, le ruisseau Schmadribach, le Bietenhorn...] [Cote : Res g M 23/Microfilm R 122251] ; [Pl.1 après p.15 :] Breitlauwiren, contre le glacier du Breithorn. [Cote : Res g M 23/Microfilm R 122251] ; [Pl.2 après p.15 :] Vallée de Lauterbrounn, contre les glaciers du Canton de Berne. [Cote : Res g M 23/Microfilm R 122251] ; [Pl.3 après p.15 :] Schiltwaldbac en hyver vis-à-vis du Staubbach (...). [Cote : Res g M 23/Microfilm R 122251] ; [Pl.4 après p.15 :] Première chûte du Staubbach (...). [Cote : Res g M 23/Microfilm R 122251] ; [Pl.5 après p.15 :] Seconde chûte du Staubbach (...). [Cote : Res g M 23/Microfilm R 122251] ; [Pl.6 après p.15 :] Seconde chûte du Staubbach en hyver (...). [Cote : Res g M 23/Microfilm R 122251] ; [Pl.7 après p.15 :] Glacier du Breithorn contre le couchant. [Cote : Res g M 23/Microfilm R 122251] ; [Pl.8 après p.15 :] Chûte du Myrrenbach (... ). [Cote : Res g M 23/Microfilm R 122251] ; [Pl.9 après p.15 :] Glacier du Breithorn (.. .). [Cote : Res g M 23/Microfilm R 122251] ; [Pl.10 après p.15 :] Herrenbaechlé (...). [Cote : Res g M 23/Microfilm R 122251]

Algunes reflexions crítiques al voltant de la lectura de Michel Foucault de L'Eròtic (Amatorius) de Plutarc

L'objectiu d'aquest article és fer una reflexió crítica de la lectura de M. Fouccault de l'Eròtic de Plutarc en la seva Histoire de la sexualité, posant especial èmfasi en el fet que, en contra del que afirma el pensador francès, el centre del debat no és, en opinió de l'autor, el tema del veritable plaer, l'obtingut per l'erastés del seu erómenos o l'obtingut pel marit de la muller, sinó la necessitat d'atribuir també éros i amistat (éros kaì philia) a l'amor matrimonial.

"Maurice" de James Ivory . ¿Traición a la Tradición Clásica al adaptar la novela de E. M. Forster?

De acuerdo con los estudios sobre literatura y cine y desde el punto de vista de la influencia de la Tradición Clásica -Tradición Griega Clásica, en este caso-, este artículo es un análisis minucioso de las traiciones inevitables ¿hasta un cierto punto- de los guionistas a los textos literarios que adaptan. Sin embargo, a pesar de ser prácticamente inevitable, el Dr. Pau Gilabert Barberà indica cuáles son en su opinión los límites más allá de los cuales Ivory/Hesketh-Harvey no deberían haber ido a fin de no diluir el temperamento helénico de "Maurice" de E. M. Forster.

Verí sense antídot per al Sòcrates històric i la tragèdia barroca al Verí del teatre de Rodolf Sirera. (Una dosi extrema de sadisme per aturar els excessos de la ficció teatral).

Socrates' serene attitude before his death -although this is questioned-, as described by Xenophon in his Apologia Socratis becomes for the playwright Rodolf Sirera a useful reference in an effort to reflect boldly on the limits of theatrical fiction in another clear example of the Classical Tradition, including that derived from Baroque Tragedy. However, in this case, it is judged severely to make us more conscious of the risk of turning life into a mere theatrical performance and human beings into actors and actresses in a play they did not write.

Structural and magnetic characterization of maghemites prepared from Al-substituted magnetites

Synthetic aluminum-substituted maghemites were characterized by total chemical analysis, powder X-ray diffraction (XRD), Mössbauer spectroscopy (ME), and vibrating sample magnetometry (VSM). The aim was to determine the structural, magnetic, and hyperfine properties of γ-Fe2-xAl xO3 as the Al concentration is varied. The XRD results of the synthetic products were indexed exclusively as maghemite. Increasing Al for Fe substitution decreased the mean crystalline dimension and shifted all diffraction peaks to higher º2θ angles. The a0 dimension of the cubic unit cell decreased with increasing Al according to the equation a o = 0.8385 - 3.63 x 10-5 Al (R²= 0.94). Most Mössbauer spectra were composed of one sextet, but at the highest substitution rate of 142.5 mmol mol-1 Al, both a doublet and sextet were obtained at 300 K. All hyperfine parameters from the sub-spectra were consistent with high-spin Fe3+ (0.2 a 0.7 mms-1) and suggested a strong superparamagnetic component associated with the doublet. The magnetic hyperfine field of the sextets decreased with the amount of Al-substitution [Bhf (T) = 49.751 - 0.1202Al; R² = 0.94] while the linewidth increased linearly. The saturation magnetization also decreased with increasing isomorphous substitution.

Influence of RF power on the properties of sputtered ZnO:Al thin films

Transparent conducting, aluminium doped zinc oxide thin films (ZnO:Al) were deposited by radio frequency (RF) magnetron sputtering. The RF power was varied from 60 to 350Wwhereas the substrate temperature was kept at 160 °C. The structural, electrical and optical properties of the as-deposited films were found to be influenced by the deposition power. The X-ray diffraction analysis showed that all the films have a strong preferred orientation along the [001] direction. The crystallite size was varied from 14 to 36 nm, however no significant change was observed in the case of lattice constant. The optical band gap varied in the range 3.44-3.58 eV. The lowest resistivity of 1.2×10 -3Vcm was shown by the films deposited at 250 W. The mobility of the films was found to increase with the deposition power.