1,721,142 research outputs found
ESSAYS ON THE INTERACTIONS BETWEEN CREDIT DEFAULT SWAP AND BOND MARKETS
Full text linkThis Ph.D. thesis consists of three research papers which are the result of my studies at the Lombardy Advanced School of Economic Research, University of Milan. Part of this work was accomplished during my visiting period at the Market Operations Analysis division at the European Central Bank.
Abstract I: Since the issuance of the first credit default swap (CDS) contract in 1994, trading volume in CDS has been growing exponentially, transforming a niche market into a multi-trillion-dollar market. The subprime crisis in the US and the sovereign crisis in the EU contributed to raise concerns on the potential destabilising role of such an instrument. Thus, also the academic literature started to hotly debate the benefits and costs that trading in CDSs has on both the financial market and the real economy. The aim of this study is to review some segments of the literature on CDSs, and to identify existing gaps and room for further research. After discussing the features of CDSs and the relative welfare implications, we survey theoretical studies which model CDS pricing, empirical literature exploring the determinants of CDS spreads, and papers which study the relationship between CDSs and their underlying assets.
Abstract II: This study performs two empirical analyses to address (i) whether credit default swaps (CDS) written on European banks lead the price of their underlying bonds and (ii) the implications of the leading role of the CDS market on the determinants of banks' credit risk. The results of the first analysis show that the CDS market leads bonds' prices for nearly half of the banks in our sample. To assess the impact of this phenomenon on banks' credit risk, the sample is split into two groups, and the explained part of CDS spread changes is decomposed according to various risk drivers. It is shown that the home country sovereign risk has a different impact on the two groups, revealing a stronger transaction mechanism of risk when the CDS market is in the lead.
Abstract III: Using a continuous-time, stochastic, and dynamic framework, this study derives a closed-form solution for the optimal investment problem for an agent with hyperbolic absolute risk aversion preferences for maximising the expected utility of his or her final wealth. The agent invests in a frictionless, complete market in which a riskless asset, a (defaultable) bond, and a credit default swap written on the bond are listed. The model is calibrated to market data of six European countries and assesses the behaviour of an investor exposed to different levels of sovereign risk. A numerical analysis shows that it is optimal to issue credit default swaps in a larger quantity than that of bonds, which are optimally purchased. This speculative strategy is more aggressive in countries characterised by higher sovereign risk. This result is confirmed when the investor is endowed with a different level of risk aversion
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
Magnesium supplementation in adults with marginal deficiency: response in blood indices, urine and saliva
No full textMagnesium in plasma, erythrocyte, urine and saliva was measured before intervention, and at weekly intervals during two 28-d cycles of Mg supplementation in a group of 10 adults with marginal Mg deficiency (mean daily intake = 3.58 mg/kg). A group of untreated subjects with higher Mg intake (4.51 mg/kg) served as control. Urinary Mg excretion was correlated with Mg intake, and increased significantly by treatment. No difference was ascertained in plasma, except in subjects with the lowest Mg intake. Mg in erythrocytes was 10% lower in the deficient group, and reached values close to controls after 2 weeks of supplementation. Modifications in salivary Mg were also detected. The significance and usefulness of each index for clinical purpose 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
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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