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A look inside credit risk: theoretical and pratical issues with insights on distributional effects
No full textLa Tesi si occupa, nell’ambito dei tre articoli scientifici che la compongono, della
tematica attualmente forse più di attualità nella discussione sia scientifica che
pratica, in merito alla situazione dei mercati finanziari odierni: Il Rischio di
Credito.
Molto è stato detto e scritto in merito alle cause dell’attuale crisi finanziaria che
sta sconvolgendo i mercati globali. Sebbene non sia unanime l’individuazione di
particolari settori dell’economia, quali focolai scatenanti della grande crisi,
sembra esserci una notevole adesione alla tematica della necessità di migliorare e
potenziare l’attuale metodologia di calcolo dei rischi.
Molte istituzioni bancarie e finanziarie hanno dedicato risorse anche importanti
all’adeguamento dei loro standard di misurazione dei rischi al protocollo di
Basilea II.
Ma ciò apparentemente non ha sortito effetti benefici immediati e tangibili, in
quanto la crisi sembra aver approfittato di evidenti lacune nel sistema gestionale
delle istituzioni, per insinuarsi profondamente e pericolosamente nelle economie
europee e mondiali.
Sembra urgere un nuovo sistema mondiale di misurazione e rilevazione dei rischi
finanziari associati alle posizioni scoperte delle banche e non pare potersi più dire
sufficiente la mera applicazione di una modellistica standard e obsoleta, risalente
alle elaborazioni teoriche dei primi anni cinquanta.
Tutto ciò è stata la molla che ha spinto il mio lavoro per questa tesi. Il quesito che
mi sono posto sin dall’inizio è stato se e come fosse stato possibile addivenire a
una conformazione e individuazione delle dinamiche di rischio, slegandole dalla
staticità e inefficienza dei modelli classici.
La Tesi si compone di tre articoli scientifici che trattano diversi aspetti relativi al
Rischio di Credito.
Il primo articolo si sviluppa attorno a un modello da me personalmente elaborato.
Dopo un’ampia introduzione, si inserisce la presentazione delle tecniche
econometriche e statistiche per la determinazione di grandezze fondamentali quali
volatilità e probabilità di default. Le tecniche analizzate sono le funzioni di copula
e i modelli GARCH.
Il cuore della trattazione è centrato su un modello di determinazione della
performance di rischio. Il dataset riguarda un gruppo di aziende americane con
uguali caratteristiche in termini di esposizione debitoria e qualità del debito.
L’analisi mostra una certa coerenza con le ipotesi fatte all’inizio; l’effetto di
correlazione prevale su quello di diversificazione, con la conseguenza che una
minore diversificazione di portafoglio, derivante da una restrizione del numero di
asset, concordemente con le performance di prima analisi, porta a un
miglioramento della performance di rischio del portafoglio.
Il secondo articolo si occupa di un modello noto nella letteratura, il modello
multifattoriale di Vasicek per i credit spreads. L’innovazione che viene portata
consiste nell’applicazione al modello di un filtro di Kalman, dopo aver
necessariamente espresso il modello stesso in state space form.
Il passo successivo consiste nell’analisi di dati relativi a un gruppo di aziende del
mercato statunitense, caratterizzate da una comune situazione economica e
finanziaria, centrata su un evento di distress centrato sul dataset.
L’ipotesi iniziale è di un ovvio cambiamento del livello degli spread in
conseguenza dell’evento di distress. La stima dei parametri e la conseguente
applicazione dei dati conferma l’ipotesi, indicando una netta impennata del livello
degli spread sul debito conseguente a un evento disastroso.
Un’ulteriore analisi delle probabilità di default conferma i risultati, quale diretta
conseguenza dell’applicazione del modello.
Il terzo articolo è strutturato come un survey della letteratura mondiale in ambito
della Teoria dei valori estremi per l’analisi della coda della distribuzione dei
rendimenti di titoli obbligazionari.
L’analisi comprende le tecniche più utilizzate nell’analisi dei valori estremi e
propone un criticismo sui modelli classici di rischio di credito, le cui performance
sono nettamente superate da tecniche più raffinate.
L’articolo si conclude con un esperimento con dati, per la comparazione di diversi
modelli nella stima della coda della distribuzione. Appare chiaro come il Value at
Risk sottostimi il rischio estremo in confronto con tecniche più evolute come la
teoria dei valori estremi.The Thesis is, in the three articles that compose it, the issue now perhaps more
than in the current debate is that scientific practice, on the situation of financial
markets today: The Risk of Credit.
Much has been said and written about the causes of the financial crisis that is
disrupting global markets. Although not unanimous identification of particular
sectors of the economy, which triggers outbreaks of great crisis, there seems to be
a considerable accession to the theme of the need to improve and enhance the
current methodology for calculating risk.
Many banks and financial institutions have also devoted significant resources to
adjust their standard of measuring risk to the protocol of Basel II.
But that apparently did not yield immediate benefits and tangible, as the crisis
seems to have taken advantage of obvious weaknesses in the management system
of institutions, to infiltrate deeply and dangerously in the European and world
economies.
It seems urgent a new global system of detection and measurement of financial
risks associated with uncovered positions of banks and does not seem able to say
more just the mere application of a modeling standard and obsolete, dating back to
the early theoretical elaborations fifties.
All this has been the driving force that has driven my work for this thesis. The
question that I have been from the beginning has been whether and how it can
reach a conformation and the identification of the dynamics of risk, and decoupled
from the static inefficiency of the classical models.
The thesis consists of three scientific papers that deal with various aspects of
credit risk.
The first feature is developed around a model developed by me personally. After
an extensive introduction, we find the presentation of statistical and econometric
techniques to determine which fundamental volatility and probability of default.
The techniques considered are the functions of copula and GARCH models.
The heart of the discussion is centered on a model for determining the
performance of risk. The dataset covers a group of American companies with the
same characteristics in terms of debt exposure and quality of the debt.
The analysis shows some consistency with the assumptions made at the
beginning, the correlation effect takes precedence over that of diversification, with
the result that a less diversified portfolio, resulting from a restriction on the
number of assets, agreed with the performance of first analysis, leads to an
improvement in the performance of portfolio risk.
The second article deals with a model known in the literature, the multifactorial
model of Vasicek for credit spreads. The innovation that is brought in to the
model consists of a Kalman filter, having necessarily the same model expressed in
state space form.
The next step in the analysis of data from a group of companies in the U.S.
market, characterized by a common economic and financial situation, centered on
an event of distress centered on the dataset.
The initial hypothesis is an obvious change in the level of spread as a result of the
distress. The estimation of the parameters and the consequent application of the
data confirms the hypothesis, indicating a sharp rise in the level of spreads on debt
resulting from a disastrous event.
Further analysis of default probabilities confirm the results as a direct
consequence of the model.
The third article is structured as a survey of world literature in the theory of
extreme values for the analysis of the tail of the distribution of returns of bonds.
The analysis includes the techniques used in the analysis of extreme values and
suggests a criticism on classical models of credit risk, whose performance is
clearly superseded by more refined techniques.
The article concludes with an experiment with data for the comparison of different
models in estimating the tail of the distribution. It seems clear that the Value at
Risk understates the extreme risk in comparison with more advanced techniques
such as the theory of extreme values
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
Direct vs. Anonymous Feedback: Teacher Behavior in Higher Education, with Focus on Technology Advances
No full textAbstractThe paper aims at analyzing how feedback and valuations from students impact on the behavior of the teacher. It offers a broad view on the effectiveness of feedback, based on the direct experience of the author, and the discussions and interviews held in the previous years with other faculties. What follows is an in depth analysis of the students reaction to various learning approaches and how their opinion and feedback are formed. The behavior of teachers is then described, according to the actual feedback received by the students, especially relating to how the form of feedback influences the will of the instructor to accept and implement it. A description of the role of technology is taken into account then, with in depth analysis of the impact of such a methodology on the general behavior of the teacher. The conclusion is that higher education is characterized by high sensitivity on both sides. Students can reveal strong and even harsh opinions, which are usually followed by well determined reactions by the teacher in terms of the adjustments made to the course structure and teaching material
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
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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