Using the SWAP to connect water, human rights and mining

It is important that industries’ water interactions respect the human right to water. Historically, within the mining industry there has been a disconnect between the management of sites’ internal water interactions and the consequences of their external impacts, including human rights impacts. This poses a challenge for the mining industry as it attempts to put the Ruggie Guiding Principles for Business and Human Rights into practice, particularly as United Nations has recently recognised the human right to water. A technical framework such as the Minerals Council of Australia’s Water Accounting Framework (WAF) can help to bridge this disconnect and to integrate human rights considerations into business practice by connecting a site’s external and internal water interactions and by encouraging regular monitoring of performance. However, at present the connection is limited since the WAF lacks the capability to formalise a site’s social water context. This work presents the Social Water Assessment Protocol (SWAP), a scoping tool consisting of a set of questions organised into taxonomic themes that capture a site’s social water context and that can be combined with the WAF to better connect human rights with mine water interactions.

Interplay between the Dzyaloshinskii-Moriya anisotropic antisymmetric interaction and the SWAP operation in a two-qubit Heisenberg model

The SWAP operation in a two-qubit Heisenberg model in the presence of Dzyaloshinskii-Moriya (DM) anisotropic antisymmetric interaction is investigated. 1t is shown that the SWAP operation can be implemented for some kinds of DM coupling and the influence of DM couplings is divided into different cases. The conditions of the DM coupling under which the SWAP operation is feasible are established. (C) 2007 Elsevier B.V. All rights reserved.

SWAP operation in the two-qubit Heisenberg XXZ model: Effects of anisotropy and magnetic field

In this paper we study the SWAP operation in a two-qubit anisotropic XXZ model in the presence of an inhomogeneous magnetic field. We establish the range of anisotropic parameter lambda within which the SWAP operation is feasible. The SWAP errors caused by the inhomogeneous field are evaluated.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Los Credit Default Swap (CDS) o seguros contra cesación de pagos y su estructuración legal como garantía para los inversionistas

La crisis financiera del 2008 provocó la pérdida de riqueza y el derrumbe de los mercados bursátiles y de la economía real, traducida en desempleo, reducción de la productividad, recesión profunda, e incertidumbre en los mercados financieros. En el marco de la crisis de deuda soberana europea, es cuestionable también el grado de certeza de los CDS (Credit Default Swap) como garantía para los inversionistas, considerando las negociaciones existentes entre emisores y bancos europeos para evitar el default de estos instrumentos y por tanto, evitar la indemnización a los inversionistas en su calidad de acreedores. Remontándonos, la crisis financiera internacional del año 2008 tuvo como uno de sus orígenes a las hipotecas denominadas como “subprime”. Estas hipotecas fueron “empaquetadas” junto a otras de alta calificación, en grupos de hipotecas para ser titularizadas y colocadas en el mercado bursátil, mediante instrumentos denominados CDO (Collateralized Debt Obligations), y a aseguradas en algunos casos, través de los CDS (Credit Default Swap), siendo principalmente estos últimos instrumentos financieros, blanco de las críticas y señalados como uno de los culpables de la crisis financiera internacional. Bajo estas consideraciones, se pretende en esta investigación, analizar específicamente los CDS (Credit Default Swap), para determinar su naturaleza jurídica como verdaderos seguros contra cesación de pagos, o como permutas de incumplimiento crediticio. Comprender su estructuración legal como instrumento de garantía para los inversionistas institucionales o particulares, considerando el acontecimiento de la quita de los bonos griegos, la crisis de deuda soberana europea y el default de la deuda argentina, así como las consideraciones del ISDA (International Swaps and Derivatives Association) en estos puntos; su marco legal, su contribución en la reducción del riesgo, su papel especulativo y su incidencia real en la crisis financiera del año 2008.

Low-frequency volatility of yen interest rate swap market in relation to macroeconomic risk

Using ‘low-frequency’ volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk proxies (e.g., volatility of consumer price index, industrial production volatility, foreign exchange volatility, slope of the term structure and money supply) with the exception of the unemployment rate, which is negatively related to IRS volatility. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of derivative instruments to hedge or speculate. The relationship between the macroeconomic risks and IRS volatility varies slightly across the different swap maturities but is robust to alternative volatility specifications. This linkage between swap market and macroeconomy has practical implications since market makers and hedgers use the swap rate as benchmark for pricing long-term interest rates, corporate bonds and various other securities.

Can the choice of interpolation method explain the difference between swap prices and futures prices?

The standard model linking the swap rate to the rates in a contemporaneous strip of futures interest rate contracts typically produces biased estimates of the swap rate. Institutional differences usually require some form of interpolation to be employed and may in principle explain this empirical result. Using Australian data, we find evidence consistent with this explanation and show that model performance is greatly improved if an alternative interpolation method is used. In doing so, we also provide the first published Australian evidence on the accuracy of the futures-based approach to pricing interest rate swaps.

Australian and US interest rate swap markets : comparison and linkages

We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice-versa.