Applying stress-testing on value at risk (VaR) methodologies

In recent years, Value at Risk (VaR) methodologies, i. e., Parametric VaR, Historical Simulation and the Monte Carlo Simulation have experienced spectacular growth within the new regulatory framework which is Basle II. Moreover, complementary analyses such a Stress-testing and Back-testing have also demonstrated their usefulness for financial risk managers. In this paper, we develop an empirical Stress-Testing exercise by using two historical scenarios of crisis. In particular, we analyze the impact of the 11-S attacks (2001) and the Latin America crisis (2002) on the level of risk, previously calculated by different statistical methods. Consequently, we have selected a Spanish stock portfolio in order to focus on market risk

Internal models (IRB) in Basel II: an approach to determining the probability of default

The New Accord of Basel, known as Basel II, opens the way for and encourages the implementation of credit entities' own models for measuring their financial risks. In this paper, we focus on the internal models for the assessment of credit risk (IRB), and specifically on the approach to one of their components: the probability of default (PD). Our paper is structured in three sections. In the first section, we present the most significant aspects of the credit risk treatment in Basel II. In the second part, the available financial literature is reviewed. And finally, we undertake an empirical application with the object of determining what is or are the variables that are able to explain why a company defaults. Furthermore, this would serve as a preventive "warning system" for financial entities

Social Vulnerability and Touristification of Historic Centers

Historic centers have su ered di erent processes of neglect, occupation, segregation, gentrification, and touristification as a result of changes in demand and policies. Currently, they are going through a homogenization process motivated by tourist pressure, which is causing the expulsion of the local population; this is a common topic of interest for media and political agendas, which requires scientific analysis. This research aims at identifying the winning and the losing tourist groups in the historic center of Seville. It is structured in two parts: a conceptual one based on the bibliographic review with which one wants to know how the current society responds to tourist pressure through defining and characterizing the processes of substitution of uses and inhabitants, and another empirical one in which the analysis of statistical indicators (demographic, economic, and residential) treated with Geographic Information System (GIS) allows us to measure the degree of existing vulnerability and analyze social and spatial e ects caused by the tourism in Sevill

Museos y sociedad

Capítulo del libro: De la teoría a la práctica antropológica: el museo como referencia. Autora: PASTOR ALFONSO, María José. Material de lectura para complementar el Tema 5: Museos y Turismo

Examining the Impact of Innovation Forms on Sustainable Economic Performance: The Influence of Family Management

The aim of this research is to explore the effect that innovation, as a potential source of sustained competitive advantage and firm growth, has on the achievement of sustainable economic performance. In particular, this paper empirically examines the influence of four innovation forms (intramural R&D, extramural R&D, product innovation, and process innovation) on firms’ sustainable economic performance, considering the moderating effect of family involvement in management. To test the hypotheses, random-effects regression analyses are applied to a longitudinal sample of 598 Spanish private manufacturing firms throughout the 2006–2015 period. The results show a negative effect of intramural and extramural R&D on sustainable economic performance and a positive effect of process innovation on sustainable economic performance. Moreover, a reinforced relationship between process innovation and sustainable economic performance is also revealed when family involvement in management acts as a moderator. The findings make several contributions to research and practice

Hybrid model using logit and nonparametric methods for predicting micro-entity failure

Following the calls from literature on bankruptcy, a parsimonious hybrid bankruptcy model is developed in this paper by combining parametric and non-parametric approaches.To this end, the variables with the highest predictive power to detect bankruptcy are selected using logistic regression (LR). Subsequently, alternative non-parametric methods (Multilayer Perceptron, Rough Set, and Classification-Regression Trees) are applied, in turn, to firms classified as either “bankrupt” or “not bankrupt”. Our findings show that hybrid models, particularly those combining LR and Multilayer Perceptron, offer better accuracy performance and interpretability and converge faster than each method implemented in isolation. Moreover, the authors demonstrate that the introduction of non-financial and macroeconomic variables complement financial ratios for bankruptcy prediction

Impact of Vegetable Oil Type on the Rheological and Tribological Behavior of Montmorillonite-Based Oleogels

We formulated and characterized oleogels based on montmorillonite clay and vegetable oils that could serve as eco-friendly semi-solid lubricants. In particular, we studied the influence of the physical-chemical properties of olive, castor, soybean, linseed, and sunflower oils on the rheological, chemical, thermal, and tribological properties of the semi-solid lubricants. We prepared the oleogels via the highly intensive mixing of vegetable oils with clay at a concentration of 30 wt.%. The oleogels exhibited shear-thinning, thixotropy, structural recovery, and gel-like behavior commonly related to that of a three-dimensional network. The results were corroborated via XRD measurements showing the presence of intercalated nanoclay structures well-dispersed in the vegetable oil. Empirical correlations between the content of saturated (SFAs), unsaturated (UFAs), mono-unsaturated (MUFAs) and poly-unsaturated (PUFAs) fatty acids and the plateau modulus of the aerogels were found. From these experimental results, we can conclude that the fatty acid profile of the vegetable oils exerts an important influence on the rheological and tribological properties of resulting clay and vegetable oil oleogelsThis research was supported by FEDER European Programme and Junta de Andalucía, grant number PY20_00751. The authors acknowledge the X-ray Diffraction Service (Universidad de Huelva) for providing full access and assistance in X-ray Diffraction measurement

Assessment of the Tribological Performance of Electrospun Lignin Nanofibrous Web-Thickened Bio-Based Greases in a Nanotribometer

The tribological performance of novel bio-based lubricating greases thickened with electrospun lignin nanostructures was investigated in a nanotribometer using a steel-steel ball-on-disc configuration. The impact of electrospun nanofibrous network morphology on friction and wear is explored in this work. Different lignin nanostructures were obtained with electrospinning using ethylcellulose or PVP as co-spinning polymers and subsequently used as thickeners in castor oil at concentrations of 10-30% wt. Friction and wear generally increased with thickener concentration. However, friction and wear decreased when using homogeneous bead-free nanofiber mats (with higher fiber diameter and lower porosity) rather than nanostructures dominated by the presence of particles or beaded fibers, which was favored by reducing the lignin:co-spinning polymer ratio.This work is part of a research project (PID2021-125637OB-I00) funded by MCIN/AEI/10.13039/501100011033 and by “ERDF A way of making Europe” (EU). The financial support is gratefully acknowledged

Mercury pollution caused by artisanal gold mining the Ocoña river Valley, Peru

Peer ReviewedPostprint (published version

Citizenship Education : Projects and Programs in Andalusia

This paper focuses citizenship education in Spain and Andalusia. We present a study where we show the main features of education for citizenship in Spain and analyze projects and programs offered by Andalusia's Consejería [Local Government Ministry] of Education to address the problem of coexistence. Specifically, the schools have various bodies and instruments including the Commission on Coexistence, the Coexistence Classroom, the Space of Peace School Project, the School Mediation Workshop, the Workshop on Reflection, etc. The concept of citizenship admits of different definitions adapted to the context and events. This research work shares the vision given by Pérez Luño (2002): Citizenship is defined as a concept belonging to a democratic society that grants the exercise of rights and implies the responsibility of duties. It is a concept closely related to the freedom and equality of the human being, free of impositions and submissions, and which aims to consider men and women as active and responsible actors in the social context. Taking an educational approach as a starting point, Karen O’Shea elaborates in 2003 a Glossary of terms for Education for Democratic Citizenship (O’Shea, 2003), taking as groundwork the reports, studies and programs developed by the Council of Europe about this topic. He highlights the double dimension (juridical and socio-cultural) of the term citizenship referring, on the one hand, to the personal status of an individual whose rights and duties are legally recognized and, on the other hand, to the role played by the individual. It means the values and rules of behavior with regard to other members belonging to the same community. To understand citizenship as a concept with a double dimension is to recognize the importance of its accomplishment, to highlight participation, and the necessity of looking for a way to grant peaceful coexistence fostering shared norms and values as well as the development of common awareness. Citizenship becomes not only a juridical status but also a way of life where it is necessary to share values and norms in order to cope with the common responsibilities of a social life. This final concept directly connects with the social and civic competence defined in European politics. Despite the differences, the common pillar of the social and civic competence is the education geared to the application of the social dimension of citizenship. This sort of education is currently in great demand. We are witnessing the increasing significance of education as a key aspect for the development of skills, abilities and attitudes granting a peaceful coexistence and the rights and duties of human beings. The so-called knowledge-based society demands individuals able to face continuous changes, take decisions without external influence of the means of communication, select information and be aware of the necessity to grant a peaceful coexistence and fight for equal rights. Consequently, citizenship education is understood as a current need born from the characteristics of our society, which emphasizes the requirement of active citizens, aware of their rights and responsible for their duties. Citizens capable of making their own decisions, with critical thinking, engaged in achieving the common good, defending and promoting democratic values, and willing to fight for equal opportunities as well as for the respect to diversity