Debt refinancing and credit risk

Many firms choose to refinance their debt. We investigate the long run effects of this extended practice on credit ratings and credit spreads. We find that debt refinancing generates systematic rating downgrades unless a minimum firm value growth is observed. Deviations from this growth path imply asymmetric results: A lower value growth generates downgrades and a higher value growth upgrades as expected. However, downgrades will tend to be higher in absolute terms. On the other hand, credit spreads will be independent of the risk free interest rate in the short run, but positively correlated with this rate in the long run

Credit spreads: theory and evidence about the information content of stocks, bonds and cdss

This paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds and CDSs. The measures are based on bond spreads (BS), CDS spreads (CDS) and implied stock market credit spreads (ICS). We compute these measures for a sample of North American and European firms and find that in most cases, the stock market leads the credit risk discovery process with respect to bond and CDS markets

Dimensionality reduction with image data

A common objective in image analysis is dimensionality reduction. The most common often used data-exploratory technique with this objective is principal component analysis. We propose a new method based on the projection of the images as matrices after a Procrustes rotation and show that it leads to a better reconstruction of images

A multivariate Kolmogorov-Smornov test of goodnes of fit

This paper presents a distribution free multivariate Kolmogorov-Smirnov goodıness of fit test. The test uses an statistic which is built using Rosenblatt's transformation and an algorithm is developed to compute it in the bivariate case. An approximate test, that can be easily computed in any dimension, is also presented. The power of these multivariate tests is studied in a simulationı study

HAWC response to atmospheric electricity activity

The HAWC Gamma Ray observatory consists of 300 water Cherenkov detectors (WCD) instrumented with four photo multipliers tubes (PMT) per WCD. HAWC is located between two of the highest mountains in Mexico. The high altitude (4100 m asl), the relatively short distance to the Gulf of Mexico (~100 km), the large detecting area (22 000 m$^2$) and its high sensitivity, make HAWC a good instrument to explore the acceleration of particles due to the electric fields existing inside storm clouds. In particular, the scaler system of HAWC records the output of each one of the 1200 PMTs as well as the 2, 3, and 4-fold multiplicities (logic AND in a time window of 30 ns) of each WCD with a sampling rate of 40 Hz. Using the scaler data, we have identified 20 enhancements of the observed rate during periods when storm clouds were over HAWC but without cloud-earth discharges. These enhancements can be produced by electrons with energy of tens of MeV, accelerated by the electric fields of tens of kV/m measured at the site during the storm periods. In this work, we present the recorded data, the method of analysis and our preliminary conclusions on the electron acceleration by the electric fields inside the clouds.Comment: Presented at the 35th International Cosmic Ray Conference (ICRC2017), Bexco, Busan, Korea. See arXiv:1708.02572 for all HAWC contribution

Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing alternatives. Using four different databases covering the period from 2005 to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find long-run arbitrage opportunities in 26% of the cases and statistical arbitrage opportunities in 24% of the cases. During the crisis, arbitrage opportunities decrease to 8% and 19%, respectively. Arbitrage opportunities are more frequent in the case of relatively low rated bonds and bonds with a high coupon rate

Public space regeneration strategies: the case of Salou

Salou, which is one of the many highly specialized tourist resorts located on the Spanish Mediterranean coast, is a hundred kilometres south of Barcelona. Within its narrow boundaries of 1.481 ha, Salou hosts 7.4 million overnight stays per year and is home to 52 hotels. A ratio which ranks Salou amongst the tenth most visited municipalities in Spain. Distance from Salou’s historical town centre, the area of Carles Buigas Avenue (CB) emerges as being the heart of the municipality’s tourism and leisure industry. Salou developed, as did so many other Spanish coastal touristic locations, during the sixties and seventies as a consequence of the increasing demand for sun and beach destinations amongst the European and Spanish middle classes. Unfortunately, the “ageing” of this built up area clamours for close attention today. The visible physi-cal degradation of the property is becoming a cause for concern and preoccupation amongst the main property owners and investors: public administration, hotel managers, shopkeepers and neighbours. Hotels emerge as the key problem within the set physical boundaries of this study. They occupy approximately 50% of the total land surface, 28 out of a total of 52 hotels within the town being con-centrated in that area. This accumulation of hotels also breaks the particularity of the predominance of second residences which is so customary along the Spanish Coast. This paper delves into the data and proposals obtained from analysing the public space of the CB area. Similarly, as a consequence of the previous analysis, a set of proposals for intervention are also presented. The proposals are conceived to be developed within different time scales, in response to political and social willingness and economic capacity. The objective of the work is to induce an urban and tourism paradigm shift in the area, thus facilitating the emergence of a new tourism model. Solu-tions are urgently needed to provide specific answers to a particular scenario, which has similitudes to those of other Mediterranean Coastal Developments specialized in tourism activities, which too, after being operative for more than forty years, are suffering from deterioration or abandonment. Despite it still being an open process, the study understands that due to the complexity of the com-mitted task and the scale of the area, the goal will require the active commitment and collaboration of the property owners (administration, hotel managers, investors and neighbours).Postprint (published version