1,720,957 research outputs found
The determinants of lapse rates in the Italian life insurance market
No full textWe investigate the drivers of lapses in life insurance contracts of a large Italian insurance company. We consider both traditional (with profit or participating) and unit-linked policies. We develop two different types of analyses. First of all, we investigate the determinants of lapse decisions by policyholders looking at microdata on each contract and some macroeconomic variables. Then, through a panel study, we investigate the role of macroeconomic variables on lapses at the regional level. We observe that policy features affecting lapses of the two types of contracts are quite different. Only for the contracts stipulated few years before, we find weak evidence supporting the Interest Rate Hypothesis, i.e. a positive correlation between interest and lapse rates. Instead, there is some positive evidence that lapse rates are positively related to personal financial/economic difficulties (emergency fund hypothesis)
Bond-CDS implied rating systems
No full textMarket-implied ratings gained importance as efficient early warnings of official credit rating migrations. We build a two-dimensional implied rating system based on bonds and CDS spreads, and test its forecast performances on a set of worldwide sovereign issuers. We show that the method efficiently uses the information from both markets, and is able to outperform implied ratings based on recent machine learning techniques. (c) 2022 Elsevier Inc. All rights reserved.Market-implied ratings gained importance as efficient early warnings of official credit rating migrations. We build a two-dimensional implied rating system based on bonds and CDS spreads, and test its forecast performances on a set of worldwide sovereign issuers. We show that the method efficiently uses the information from both markets, and is able to outperform implied ratings based on recent machine learning techniques. (c) 2022 Elsevier Inc. All rights reserved
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Alternative funds : risk-performance econometric analysis
No full textLAUREA MAGISTRALELa tesi si concentra sull'analisi dei fondi di investimento rientranti nella categoria Alternative di Morningstar. Il driving principale di questo progetto è stata la nascita di una nuova normativa in ambito bancario, nota come MiFID II. Grazie a questa direttiva, l'Unione Europea ha rafforzato e migliorato la protezione nei confronti degli investitori. Le principali conseguenze sono state la necessità di identificare i prodotti finanziari equivalenti per l'investitore e la definizione di un metodo valutativo che permetta di vendere, tra i prodotti equivalenti, solo quelli aventi una performance attesa positiva. Il lavoro di questa tesi è quindi indirizzato a risolvere queste due problematiche nel caso particolare dei fondi della categoria Alternative, che non hanno un benchmark dichiarato e che risultano caratterizzati da ampie flessibilità nelle scelte di investimento. In particolare questa tesi propone un metodo di clusterizzazione che sfrutti l'intera storia del fondo e un metodo di valutazione in ottica predittiva che, a seconda delle caratteristiche del fondo, modellizza lo Sharpe Ratio e la volatilità.This thesis is focused on analysing the Alternative Funds Morningstar Category.
The driving reason of this project is the new legislative framework: MiFID II. Thanks to this directive, the European Union has strengthened and enhanced investor protection. As one of the main consequence, the financial institutions must identify equivalent products and define an assessment method in order to sell, between equivalent products, the ones having a positive expected performance. The purpose of this project is to address these problems for the Alternative Funds, where no benchmark is declared and a broad flexibility in the types of investment strategies is allowed.
More in detail, this thesis proposes a clustering algorithm considering the whole funds past history, and an assessment method for the expected performance that, according to funds characteristics, modelled the Sharpe Ratio and the volatility
An econometric analysis of the CDS spreads written in different currencies by linear and thresholds VECM
Full text linkLAUREA MAGISTRALEIn questa tesi, ho analizzato la differenza di prezzo tra due CDS scritti sulle stesso bond, ma in due valute differenti, Euro e Dollaro americano. Questa discrepanza nei prezzi era già stata catturata da un un intensity-based model di Philippe Ehlers and Philipp Schonbucher [2004], e l’arbitraggio è già stato individuato e sfruttato utilizzando strumenti innovativi come i quanto CDS, nel mercato dei CDS sovrani. la mia analisi si è concentrata sul modernizzare il comportamento di questa differenza e sull’analizzare la price discovery. Gli strumenti più utilizzati in letterature per queste analisi sono la co-integrazione e il VECM lineare; ho deciso di utilizzare anche il più sofisticato Threshold VECM quando quest’ultimo ha migliorato la descrizione e l’interpretazione della differenza di prezzo. Inizialmente, ho considerato l’intervallo temporale che va da Dicembre 2007 a Dicembre 2017; poi lo ho suddiviso in tre sotto.intervalli: la crisi finanziaria dei subprime e il successivo periodo di politiche monetarie ed economiche, la crisi del debito sovrano europeo, e infine il periodo di Quantitative Easing. Inoltre, ho individuato due periodi osservando il cammino delle differenze di prezzo: il primo caratterizzato da elevata volatilità e divergenze di prezzo per piccoli intervalli di tempo, il secondo caratterizzato da meno volatilità e differenze decisamente minori, ma molto più persistenti. Grazie all’analisi su questi sei intervalli, è stata osservato che nei periodi di crisi, quando la volatilità è elevata e la mean-reversion molto forte, il VECM lineare classico si addice meglio a descrivere le differenze tra gli spread nelle due valute. Al contrario, quando la volatilità è bassa e le differenze persistenti, come in periodi più economicamente stabili, il TVECM modernizza meglio l’evoluzione dei prezzi. Infine, risulta che la price discovery avvenga in entrambi i mercati.In this thesis I considered the difference in price between two CDS written on the same bank's bond in two different currencies, Euro and US dollars. This difference has already been theoretically captured by an intensity based model of Philippe Ehlers and Philipp Schonbucher [2004], and already exploited in the case of sovereign CDS by arbitrageurs using innovative instrument as Quanto CDS. I focused on the size behaviour of this discrepancy between CDS spreads, and to analyze its price discovery. Typical instrument to perform this analysis are cointegration and linear VECM; I chose to apply also the more sophisticated threshold VECM to understand if it improves the description and interpretation of this difference in prices. I considered first the time period that goes from December 2007 to December 2017. Then, I separated the time-span in three historical periods, the sub-prime financial crisis and following period of policies, the European sovereign debt crisis and the quantitative easing regime. Finally, observing the path of the discrepancies, I individuated two periods: one extremely volatile and that reaches high absolute values but for short time intervals, the other lower in absolute value and volatility, but in which the difference is really more persistent. Thanks to the analysis on this six time periods, it can be concluded that in period of crisis, when volatility is high and the mean reversion process is really strong, the classic linear VECM describes better the behaviour of the differences in spreads. On the opposite, when volatility is low and the difference is more persistent, as during more stable historical periods, the TVECM perfectly fits the evolution of two prices. Finally, the price discovery is leaded by both markets
Risk premia and European debt crisis: CDS-hedging, Ponzi public finance and a dynamic approach to sovereign default
No full textThe financial crisis affecting European Monetary Union (EMU) since late 2008 led to the deterioration of credit quality of several countries in the Eurozone. The thesis explores both financial and macroeconomic issues of such debt crisis. The goal is to infer a cross-country sovereign risk measure in order to monitor and anticipate perilous recessive spirals which might lead to default. In the first part, results on risk-neutral pricing of defaultable claims are applied to government bonds, so that idiosyncratic risk premia decompositions are available for any EMU country. The sovereign risk portion is detachable with the use of standardized Credit Default Swaps (CDS) contracts. Dynamic term structures of hedging portfolios are coherently retrievable in this new standard market, bringing forth a set of default-free sovereign term structures. A comparison of these latter to money-market rates induces an alternative definition of the CDS-bond basis. The determinants of synthetic-cash credit market arbitrage opportunities are to be investigated within a full macro-financial environment.This motivates the second part of this work. The well-known prociclicality of the banking sector in real business cycle plays a central role in the exacerbation of economic crises. In this sense, credit crunch and increase in global risk aversion of investors may induce both safe-haven (liquidity floods) and default (liquidity dries-up) phenomena, attributable to shifts in sovereign debt demand curves. The aim becomes thus to construct a dynamic score which allows to detect the 'point of no return', beyond which target country cannot increase its debt level whatever the premium provided in yields, because of a lack of investors willing to buy it. A pure econometric approach is unsatisfacory, so the analysis evolves with the economic backdrop provided by the analysis of Ponzi borrowing schemes.
Positive growth rates of debt-to-gdp ratios evaluated at market yields induce a dynamic scoring which can be compared to risk-neutral hazard rates, and be used to compute a physical default metric.
Cointegration analysis shows long-run equilibria between the two default probability measures in non-core countries. This proves that both macroeconomic and financial conditions pace a common long-term path as instructed by the joint macro-financial situation of target distressed country
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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