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Asset pricing under habit formation and disaster risk

Asset pricing under habit formation and disaster risk

Rietz (1988) is the first to propose the idea of disasters (like wars or financial crises) as a solution to the equity premium puzzle, but it was discredited in the following years because the parameters of the disasters used in the calibration seemed implausible. Barro (2006) undertakes a deeper analysis of the international disaster probabilities, which support a level of risk sufficient to change the economic cycle. However, the development of the model uses an endowment economy, leaving aside feedback of some macroeconomic variables. This study together with the recent crises of 2008 and 2011 have intensified interest in economic models whose main explanatory channel is disaster risk. I use the disaster calibration of Barro (2006) in this work.
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45 Lee mas

Analysis of risk disclosure in Spanish firms

Analysis of risk disclosure in Spanish firms

Cabedo and Tirado (2004) state that investors must assess the risk-related information reported by firms so as to specify the level of risk they are exposed to and take investment decisions based on the values of the binomial ‘expected return and risk’. As the ICAEW (2002) explains, an investor needs to properly understand the risks of the potential future cash flows of a business. This understanding should be based on an analysis of business risk affecting the firm, the measures used in order to quantify these risks and the actions undertook by the company in managing risk exposure. In spite of this, Cabedo and Tirado (2004, p.182) argue that ‘under the present model of accounting information, investors must work as outsiders, by interpreting this information and inferring company risk levels from it {…} the disclosure of information about risk would improve this situation: the company, using internal data, would directly establish levels of various risks it faces’. Likewise, the ICAEW (2002) recommends companies to include information about risks in the listed annual reports.
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Concentration in CRE

Concentration in CRE

An institution’s lending policies should reflect the level of risk that is acceptable to its board of directors and should provide clear and measurable underwriting standards that enable the institution’s lending staff to evaluate all relevant credit factors. When an institution has a CRE concentration, the establishment of sound lending policies becomes even more critical. In establishing its policies, an institution should consider both internal and external factors, such as its market position, historical experience, present and prospective trade area, probable future loan and funding trends, staff capabilities, and technology resources. Consistent with the Agencies’ real estate lending guidelines, CRE lending policies should address the following underwriting standards:
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Descargar

Descargar

It is well-known that when banks are able to invest their deposits directly in risky projects, increased degree of deposit market competition induces banks to take more risk (e.g. Matutes and Vives, 1996, 2000; Repullo, 2004). A lower intermediation margin, implied by more competition in deposit market, incentivizes banks to take more risk as riskier projects, if successful, yield higher returns. This is due to the implied moral hazard problem as in case a project fails the bank is not required to repay its depositors since it is protected by limited liability. 1 Boyd and De Nicoló (2005), in their seminal paper, show that when banks are able to invest their deposits only in loans, the so-called positive relationship between competition and risk is reversed. In particular, they consider a banking sector where financial intermediaries compete in homogeneous deposit and loan services. Since in a lending relationship the borrowers face the moral hazard problems in choice of risk, incentive compatibility implies a positive association between the level of risk and loan rate. Therefore, greater competition induces lower rates in equilibrium, and diminishes the risk of bank failure, which is the risk-shifting effect of competition.
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13 Lee mas

Bioaccessibility of metals and human health risk assessment in community urban gardens

Bioaccessibility of metals and human health risk assessment in community urban gardens

For children only playing in urban gardens, the highest level of risk is associated with accidental ingestion of soil particles during games, whereas for adult farmers and children who e[r]

7 Lee mas

Euro Crisis or Fiscal Crisis: Looking for the Right Diagnosis and Therapy

Euro Crisis or Fiscal Crisis: Looking for the Right Diagnosis and Therapy

Which factors led to such unprecedented deteriora- tion of fiscal accounts in most of developed coun- tries? The recession of 2008–2009, high costs of finan- cial sector rescue and resulting high budget deficits played, of course, an important role. However, the negative fiscal trends in all major economies started earlier – either at the beginning of 2000s (the United States and most of the EU) or in 1990s (Japan). In case of the United States these were the costs of the war on terror and generous tax incentives aimed to overcome consequences of the dotcom recession in 2001. In case of Japan this was the effect of long stag- nation in 1990s, subsequent unsuccessful attempts to reactivate the economy through aggressive fiscal stim- ulus and costs of banks restructuring after the 1990 financial crisis. Finally, in the EU this was a combina- tion of the slowdown (similar to that of the United States) and relaxation of fiscal discipline in early 2000s.
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7 Lee mas

Global risk perceptions and expectations on fundamentals - emerging market bond spreads drivers

Global risk perceptions and expectations on fundamentals - emerging market bond spreads drivers

3 Various factors have been cited for the decline in spreads during this period, such as, the continuing process of globalisation, the low level of industrial countries short-term interest rates and the improvement in the creditworthiness of emerging market borrowers, (Kamin and Kleist, 1999). However the decline of spreads did not come through to all the issuers of emerging market bonds. While Brazilian sovereign spreads recovered from their crisis level of 1400 basis points at the beginning of 1999 to 600 basis points by the beginning of 2001 (thanks to a return to dynamic growth after devaluation) in line with the EMBI index, Venezuelan spreads did not break the range of 800 basis points in the same period (due to weak macroeconomic performance between 1999 and 2000). Since the beginning of 2001, when economic and financial problems in Argentina started to be more evident, emerging bond spreads were again hit by the uncertainty of a possible contagion to the rest of the emerging economies. Although there were some indirect effects on neighbouring countries (e.g. the financial system in Uruguay was severely affected by the measures taken in Argentina to prevent the falling of deposits), the important role of both the discriminating and the domestic investor according to the IMF 3 , limited the adverse effects on other developing countries.
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44 Lee mas

The Colombian Financial Sector From an Investor Perspective

The Colombian Financial Sector From an Investor Perspective

He came to CapMAC in 1989 from Kidder, Peabody, where he was Director of the Market Analysis and Product Development Group in the Asset Finance Department. Mr. Kotecha led Kidder into the UK mortgage backed securities markets, structured the first public Collateralized Bond Obligation (CBO), and advised International Finance Corporation (IFC) and Turkey on capital markets issues. Previously, Mr. Kotecha worked for eight years at Standard & Poor's, where he was responsible for all ratings based on non-US collateral: mortgage and non-mortgage. Earlier, Mr. Kotecha worked for four years at the Federal Reserve Bank of New York and for three years at the United Nations Fund for Population Activities (UNFPA).
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34 Lee mas

Genetic variability and ploidy level in species of Prosopis (Leguminosae, Mimosoideae) - Sociedad Argentina de Botánica

Genetic variability and ploidy level in species of Prosopis (Leguminosae, Mimosoideae) - Sociedad Argentina de Botánica

juliflora belongs to Section Algarobia which is characterized by low genetic differentiation among the species so far studied isoenzymatically with heterozygosity (H) estimates varying f[r]

9 Lee mas

Coordinated intermediation in the federal funds market

Coordinated intermediation in the federal funds market

I explain the market and motivate the economic mechanisms chosen and relate them to the literature. A small scale simulation allows me to illustrate microeconomic con- siderations and economywide effects where members of one group become middlemen. I proceed to address concerns about multiplicity of equilibria and show that mild and realistic modifications of basic parameters allow for a single equilibrium where one group becomes the middlemen group and the other accepts their services. These modifications are all associated with big banks. A large scale model based on stylized facts of the federal fund market in 2006 allows me to replicate the behaviour of banks explaining the main puzzle addressed in this paper. PDS matches empirical moments better than the US counterpart without calibration. The variance of the federal funds rates is addressed in a small scale simulation. A slight modification using stylized facts documented by Furfine (1999) addresses the issue of the large variance of federal fund rates in an US environment which can be reduced using PDS.
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52 Lee mas

Risk aversion at the country level

Risk aversion at the country level

Although there is a vast literature on measuring risk aversion, there is not yet a commonly accepted estimate. Probably the most commonly accepted measures of the coefficient of relative risk aversion lie between 1 and 3, but there is a wide range of estimates in the literature—from as low as 0.2, to 10, and higher. 1 In estimating this parameter, the literature has focused almost exclusively on developed countries. 2 Moreover, with the exception of Szpiro and Outreville (1988), to the best of our knowledge, no additional study has yet applied a homogenous methodology for estimating risk aversion to a large set of countries comprising both high- and low- income countries. 34 In this note, we fill this gap by eliciting risk aversion measures for 80 countries from self-reports of personal well-being. This is important for several reasons. First, the replication of the same methodology for different countries is useful to assess the robustness of the estimates. Second, it is a starting point for the study of cross-country differences in risk aversion and how this correlates with multiple variables of interest. Third, calibration of the utility function is a part of most dynamic stochastic general equilibrium models; however, in most cases, the calibration is based on estimates for developed countries and there are no measures of the relevant parameters for developing countries.
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Modifiable causes of premature death in middle-age in Western Europe: results from the EPIC cohort study.

Modifiable causes of premature death in middle-age in Western Europe: results from the EPIC cohort study.

There are three possible explanations for these differ- ences. Firstly, the estimates of relative risk used in the calculations might differ – indeed, we estimated modest relative risks for overweight and obesity and physical in- activity. Secondly, the distribution of the risk factors used for the GBD computations might differ from the distribution in EPIC which, for example, includes relatively few very heavy consumers of alcohol or very obese partici- pants. This is a well-known phenomenon in prospective cohort studies, also called “ healthy volunteer ” effect. Fi- nally, the reference or counterfactual distributions used for the AF calculations might differ. For instance, the GBD used a “ theoretical minimum-risk exposure distribution”. On the other hand, we have chosen to not necessarily use a theoretically “optimal” exposure distribution in all cases. For instance, using the lowest risk category for alcohol intake or BMI would involve an increase in alcohol intake or BMI in a proportion of the participants. Instead, we have focused on the AF for high alcohol intake and overweight and obesity per se. Low reported alcohol intake in particular is associated Table 1 Baseline and covariate distributions in the EPIC cohort: overall, for premature deaths (prior to age 70 years), and by sex (Continued)
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Abstracts

Abstracts

Abstract: Policy analysis has improved substancially since the eighties’ decade, because of a new group of studies. One of the best of them is the advocacy coalition framework. Its methodological rigor and deeply constructed theory allow a wide comprehension of the complexity of policy processes, and make easy its empirical application by a great deal of researchers who have been developing the model. The ex- plicit object of this study is policy change and, even as the framework emphasizes the roll of ideas, it does not ignore any other explicative factor.
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Molecular level of genetics

Molecular level of genetics

The sequence of bases from one nucleotide to the next in line is the code for the assembly of spe- cific amino acids to make specific types of proteins. Therefore, a gene is essentially a specific sequence of these base pairs. The sequence need not be continuous but can be divided into differ- ent sections of a DNA molecule. Apparently, only 1.2-1.5% of the 2.9 billion base pairs in human DNA actually code for genes. These meaningful code sequences are called exons . The remaining 98+% of our DNA base pairs were in the past thought to consist merely of genetic "junk", referred to as introns . However, it is now becoming clear that much of this "junk" actually has important functions. Some of the introns act as subtle enhancers of genes. Others function as buffers against change by absorbing the mutagenic effect of viruses. Still others help determine the shape of chromosomes. It is likely that future research will discover that the "non-gene" intron code sec- tions, that make up the bulk of DNA, perform still other important tasks.
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58 • Identificación de factores de riesgo y calidad microbiológica de menús elaborados en comedores del Hogar maternal Nro.1 de la ciudad de Rosario.

58 • Identificación de factores de riesgo y calidad microbiológica de menús elaborados en comedores del Hogar maternal Nro.1 de la ciudad de Rosario.

Dining room was provided with six big marble tables, wood and iron benches screwed into the floor, two wall fans and four heating screens. The kitchen had a marble table, another stainless steel one with double sink and hot/cold water supply. Stainless steel equipments were in a very good state and composed of an industrial kitchen with four burners and oven containing two trays, an industrial cook top with two burners, a pizza oven with three trays, a fryer and a cheese grater. A stainless steel cooking fume extractor was located over the fire zone, and an external extractor on the north faced wall, a stainless steel covered table was located in the centre. Two masonry tile covered shelves in which utensils were kept on granite shelves were located on the west faced wall. Washing sector was provided by a stainless steel kitchen table with two big sinks with hot/cold water. Dishes were kept in a synthetic enamel painted wood cupboard. The Warehouse was divided into two sectors, the economy office where suppliers were received was located in the first one, but there also were two commercial stainless steel refrigerators with four doors where perishable foods were kept and a freezer used as a refrigerator. A scale was hanged from the ceiling, some non-perishable food ordered according to time of arrival were kept on shelves. A door opened to the other section, a white tile covered kitchen table having two sinks and a cold water faucet was attached to the wall. There was a stiff slicer on the upper part, cleaning products were under the kitchen table. Toilets and locker room were physically separated from the food manipulation area and had liquid soap and paper towels.
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7 Lee mas

Evaluating the risk to Ramsar Sites from climate change induced sea level rise

Evaluating the risk to Ramsar Sites from climate change induced sea level rise

Figures 7-9 provide regional views of the relative risk of Ramsar Sites to SLR in Mexico, northwestern Europe (from the Netherlands to Scandinavia and the Baltic), and the Black Sea and the eastern Mediterranean. In Mexico (Figure 7), Sites on the Yucatan Peninsula face considerable risks, together with Sites surrounding the Gulf of California and many smaller Sites along the Pa- cific coast. Figure 8 shows that the Netherlands, Ger- many, and Denmark have many Sites at risk, although Sites in the Netherlands are generally behind seawalls and therefore are not technically in immediate inunda- tion danger. The Baltic and Scandinavian countries (Fig- ure 8) have a large number of Sites with greater than 71% of their areas at risk. For the Black Sea and eastern Mediterranean (Figure 9), there are few Sites at risk, but some of them are large, such as the Danube Delta (see also Figure 3), which has 80% of its area at risk to a 0-1m SLR.
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18 Lee mas

3D updating of solid models based on local geometrical meshes applied to the reconstruction of ancient monumental structures

3D updating of solid models based on local geometrical meshes applied to the reconstruction of ancient monumental structures

The development of digital techniques for surveying historical buildings and cultural monuments has made possible the creation of accurate 3D models describing the geometry of those structures for multiple applications in heritage documentation, preservation, and archaeological interpretations [1,2], including accurate 3D databases with topological, geometrical and texture information, and virtual reality environments [3,4]. Time-of-flight 3D laser scanning devices are able to record the position of millions of points describing the geometrical surface of monumental buildings and large structures [5]. Photogrammetric reconstruction methods record the same geometrical information by applying dense stereo reconstruction algorithms on a set of unordered images describing the target object [6]. At the same time, computer-aided design (CAD) solid modeling procedures developed in the context of modern mechanical and civil engineering applications have been used successfully to reconstruct the solid geometry of complex monumental structures for engineering analysis [7,8]. Although serving similar purposes, laser scanning and photogrammetry differ substantially from solid modeling CAD techniques both in their algorithmic structure and in the type of 3D reconstructions they provide. The first two are highly automatic procedures which provide a geometrical approximation to the boundary surface of the structure in the form of dense 3D point clouds and 2D meshes containing millions of triangles. In contrast, CAD procedures are predicated on user interactive control, consisting in defining primitive geometrical entities (points, lines, surfaces, solids), positioning these into a three-dimensional space, and finally assigning controlling parameters to combine primitive entities into complex solids. Furthermore, CAD solid models are geometrical exact representation of 3D domains from which approximate representations can be extracted according to specific engineering needs (e.g., structural analysis, construction sequencing, etc.).
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46 Lee mas

New methodology for urban seismic risk assessment from a holistic perspective

New methodology for urban seismic risk assessment from a holistic perspective

damage and losses in the infrastructure, obtained from loss scenarios, were used as the basic information for the evaluation of a physical risk index in each unit of analysis (Carreño et al. 2007a). In addition, this method improves the procedure of normalization and calculates the final risk indices in an absolute (non relative) manner. This feature facilitates the com- parison of risk among urban centers. The exposure and the seismic hazard were eliminated in the evaluation method because they are included into the calculation of the physical risk variables. The descriptor of population density, which in Cardona’s model was included as a component of the exposure, is now a descriptor of social fragility. This new approach pre- serves the use of indicators and fuzzy sets or membership functions, proposed originally by Cardona (2001), but in a different way. Other improvements of the proposed model refer to the units of some of the descriptors; in certain cases it is more important to normalize the input values respecting the population than with respect to the area of the studied area (Carreño et al. 2007a). Afterwards, Marulanda et al. (2009) evaluate the robustness of the methodology proposed by Carreño (2006) and (Carreño et al. 2007a).
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20 Lee mas

Essays on the Economics of Crime: Determinants of Crime in an Urban Context

Essays on the Economics of Crime: Determinants of Crime in an Urban Context

The aim of this Chapter therefore is twofold. On the one hand, and drawing on a unique dataset, we analyze the temporal profile of urban crime in Barcelona (Spain) in an attempt at obtaining further evidence of monthly, weekly and hourly patterns of crime. We undertake an in-depth examination of the temporal nature of crime by determining if there is a temporal displacement of crime attributable to major events in the city of Barcelona, more specifically in relation to the matches played by Football Club Barcelona (FCB, hereafter). The social importance of football in Spanish society makes it an ideal event for determining whether the sport is responsible for a temporal displacement of crime in the city. Football matches, major sporting events that attract a large proportion of the population, provide excellent scenarios for analyzing temporal displacement, given that for certain periods of time (before, during and after the match) the feelings and attitudes of individuals are subject to fluctuation. Such a differentiated time profile is, therefore, optimal for analyzing the potential temporal effects on crime. Moreover, given the media coverage dedicated to football, these effects are not necessarily spatially constrained and, so, football matches are ideal for analyzing temporal displacement effects in criminal activities, and should further our understanding of the relationship between crime and time. The results of this analysis should provide interesting insights into the impact of football on crime, a particularly relevant issue today for governments concerned with the security issues related to major sporting events, among others. 20
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141 Lee mas

Public and private sector response to mutual funds in Pakistan using binary logistic regression

Public and private sector response to mutual funds in Pakistan using binary logistic regression

Other countries have a preference for mutual funds rather debt and equity. Whereas precisely in Pakistan, shared funds yet to be groomed and thus, they are an emerging phase. Additional, non-secular minded ones never deposit their money in financial institutions. They choose enormous utilization which plants many subdivisions idle. Mutual funds mainly influenced by individual’s savings choices. According to speculation fund of a Sweden association among eighteen to seventy-four years’ reserves in the form of savings augmented from 62% to 76% subsequently in between 1998 to2012. Which further not having the M-funds owing to consumer savings, funding managers, inducements and upcoming affluence effect by M-funds. Financiers in M-funds stick to more prominence that’s why their influence is devouring broader impact at microeconomic & macroeconomic stages(Ferson & Kim, 2012).
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