Default risk: Poisson mixture and the business cycle

As emphasized by the introduction of Basel II, the macroeconomic factors strongly affect credit risk variables. In order to account for the business cycle in a forward-looking way, a macroeconimic forecast can be introduced in the estimation of credit risk variables. This work proposes to model the distribution of the default rate as a mixture distribution which accounts for a binary representation of the business cycle: the distribution changes according to the estimated probability of recession over the credit horizon considere

Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis

Recent years witnessed commodity prices increases which have fostered researchworks on their predictability and a renewed interest of practitioners and policy makers. The objective of this paper is to test the predictive ability of futures prices on the underlying spot prices by taking corn, which is one of the most important agricultural commodities in terms of trading volumes and for its role in the dietary regime of many countries. We consider the corn futures on the CBOT in the period May 1998-December 2011 so as to extend previous studies on this market and to assess a possible effect of the financial crisis. Our results do not emphasize a role for the latter and, although we do not find evidence of efficiency and unbiasedness, the futures corn price turns out to be the best predictor of the spot price if compared with most used alternatives

Systemic risk measures and macroprudential stress tests An assessment over the 2014 EBA exercise

The European Banking Authority (EBA) stress tests, which aim to quantify banks’ capital shortfall in a potential future crisis (adverse economic scenario), further stimulated an academic debate over systemic risk measures and their predictive/informative content. Focusing on marked based measures, Acharya et al. (2010) provides a theoretical background to justify the use of Marginal Expected Shortfall (MES) for predicting the stress test results, and verify it on the first stress test conducted after the 2007-2008 crises on the US banking system (SCAP, Supervisory Capital Assessment Program). The aim of this paper is to further test the goodness of MES as a predictive measure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by EBA. Our results are strongly dependent on index used to capture the systemic distress event, whereby MES, based on a global market index, does not show association with EBA stress test, by contrast to F-MES, which is based on a financial market index, and has a significant information and predictive power. Our results may carry useful regulatory implication for the stress test exercises

The impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio

The aim of this paper is to gauge the impact in terms of capital requirements of the Fundamental Review of the Trading Book (FRTB). To this end we take a stylized portfolio sensible to the risk factors mostly affected by the review and we implement the new regulation both under the Standard Approach (SA) and the Internal Model Approach (IMA). Our results provide an order of magnitude of the increase across the two regulations and the two approaches (SA and IMA), and disentangle the expected increase implied by the FRTB in its main effects both for the SA and IMA approach. Our analyses prove a very relevant increase especially under the SA and underscore possible implications of the review both in terms of regulamentary model’s choice and business strategies

Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy

The Basel II capital accord has fostered the debate over the financial stability of the aggregate banking sector. There is a large empirical literature focused on the effects of macroeconomic disturbances on the banking system. Specifically, loan losses are an important factor for the banking stability and a stream of research in this field aims to identify explanatory variables for this critical indicator. This paper focuses on Italian banks data over the period 1990-2007 and investigates the relationship between the ratio of non-performing loans to total loans, the business cycle and firms’ indebtedness so as to test the impact of both real and financial fragility on banks’ default losses. We use a regression model with an interaction term representing the joint effect of real and financial fragility, which to our knowledge has never been applied before to Italian default data. The results show that the impact of financial fragility on default losses is enhanced by adverse economic conditions

Fantastic animals as an experimental model to teach animal adaptation

Background: Science curricula and teachers should emphasize evolution in a mannercommensurate with its importance as a unifying concept in science. The concept of adaptationrepresents a first step to understand the results of natural selection. We settled an experimentalproject of alternative didactic to improve knowledge of organism adaptation. Students wereinvolved and stimulated in learning processes by creative activities. To set adaptation in a historicframe, fossil records as evidence of past life and evolution were considered.Results: The experimental project is schematized in nine phases: review of previous knowledge;lesson on fossils; lesson on fantastic animals; planning an imaginary world; creation of an imaginaryanimal; revision of the imaginary animals; adaptations of real animals; adaptations of fossil animals;and public exposition. A rubric to evaluate the student's performances is reported. The projectinvolved professors and students of the University of Modena and Reggio Emilia and of the "G.Marconi" Secondary School of First Degree (Modena, Italy).Conclusion: The educational objectives of the project are in line with the National Indications ofthe Italian Ministry of Public Instruction: knowledge of the characteristics of living beings, themeanings of the term "adaptation", the meaning of fossils, the definition of ecosystem, and theparticularity of the different biomes. At the end of the project, students will be able to graspparticular adaptations of real organisms and to deduce information about the environment in whichthe organism evolved. This project allows students to review previous knowledge and to form theirpersonalities

Importance of Sexual Function Assessment in Multidimensional Evaluation of AGHD Patients: Results from the MAGHD Study.

Background: Adult growth hormone deficiency (AGHD) is a debilitating clinical condition leading to decreased quality of life (QoL). The impact of reduced muscle mass, weakening and loss of vitality on QoL have been well characterized in AGHD. The impact of AGHD on sexual function, a recognized factor able to modify well-being, has never been investigated. Aim: To investigate the prevalence of sexual dysfunction in AGHD patients referring to a single endocrinological center and grouped according to their his- tory of r-hGH therapy.Methods: The Management of Adult Growth Hormone Deficiency (MAGHD) Study is a pro- spective, real-life trial aiming to improve management of AGHD patients through a smartphone app (MAGHD App)and a wearable device. The 83 AGHD enrolled patients (31 Females, 52 Males, mean age 56.27 + 14.68 years) were divided in 3 groups (G) according to r-hGH therapy: on long-term r-hGH therapy (G1, n=32), previously treated with r-hGH (G2, n=20), never treated (G3, n=31). Within the first phase of the study, a large database was created collecting clinical, biochemical and psychological data. In addition to QLS-H and QoL-AGHDA routinely used to as- sess QoL, IIEF-15 and FSFI were employed to evaluate sexual function in males and females, respectively. The nonparametric Kruskal-Wallis test was used for compar- ison among 3 groups.Results: Here only baseline data of the MAGHD Study are presented.According to IIEF-15 results, the prevalence of erectile dysfunction (ED) in male AGHD cohort was 60%. Erectile function (EF) score was signifi- cantly higher in G1 compared to both G2 and G3 (p < 0.05) with an ED prevalence of 35% in G1, 75% in G2 and 75% in G3. Even excluding patients with serum testosterone lower than 2 ng/ml and older than 65 years, ED prevalence did not change significantly in the 3 groups. Moreover, EF do- main was inversely and directly correlated to age (R20.130, β-0.360) and IGF1 levels (R20.156, β0.395), respectively. The prevalence of female sexual dysfunction according to FSFI was 89.3%. Even though desire, arousal, lubrication and overall scores were significantly higher (better results) in G1 compared to G2 and G3 (p < 0.05), no correlation resulted between FSFI domains and IGF1 levels. Instead an inverse correlation resulted between desire domain and age.Conclusions: This study, performed in a real-life clinical setting, demonstrates a high prevalence of sexual dysfunc- tion in AGHD patients and that r-hGH treatment seems to be associated to better sexual outcomes. These results suggest that the evaluation of sexual function should be in- tegrated in the global assessment of AGHD patients since sexual activity is a fundamental domain able to influence both well-being and QoL