Multirating decision model validation: the relevance of the quality of the securitization issues

Rating enables the information asymmetry existing in the issuer-investor relationship to be reduced, particularly for issues with a high degree of complexity, as is the case of securitizations. However, there may be a serious conflict of interest between the issuer’s choice and remuneration of the agency and the credit rating awarded, resulting in lower quality and information power of the published rating. In this paper, we propose an explicative model of the number of ratings requested, by analyzing the relevance of the number of ratings to measure the reliability, where multirating is shown to be associated to the quality, size, liquidity and the degree of information asymmetry relating to the issue. Thus, we consider that the regulatory changes that foster the widespread publication of simultaneous ratings could help to alleviate the problem of rating model arbitrage and the crisis of confidence in credit ratings in general and in the securitization issues, in particular

Multi-tranche securitisation structures: more than just a zero-sum game?

This paper explains multi-tranche structuring and the yield that securitisation bonds offer by incorporating several factors into a comprehensive model. Results indicate that the degree of complexity of multi-tranche securitisation structures is related to market completeness and solving information asymmetry problems. We also find that the complexity of multi-tranche structure enables the yield offered by triple-A bonds to be reduced but not the average yield, concluding that tranching is a zero-sum game. This research uses a database comprising of all the MBS and ABS issues (1993–2011) in Spain, one of the world’s main securitisation markets. Analysing this long period has allowed us, for the first time, to contrast the Great Financial Crisis (GFC) disruptive effect on the analysed relationships in the securitisation market.University of the Basque Country (UPV/EHU): [Grant Number NUPV12/01]; FESIDE Fundation: [Grant Number Securitization13/01/25]

Incremental k-Anonymous microaggregation in large-scale electronic surveys with optimized scheduling

Improvements in technology have led to enormous volumes of detailed personal information made available for any number of statistical studies. This has stimulated the need for anonymization techniques striving to attain a difficult compromise between the usefulness of the data and the protection of our privacy. k-Anonymous microaggregation permits releasing a dataset where each person remains indistinguishable from other k–1 individuals, through the aggregation of demographic attributes, otherwise a potential culprit for respondent reidentification. Although privacy guarantees are by no means absolute, the elegant simplicity of the k-anonymity criterion and the excellent preservation of information utility of microaggregation algorithms has turned them into widely popular approaches whenever data utility is critical. Unfortunately, high-utility algorithms on large datasets inherently require extensive computation. This work addresses the need of running k-anonymous microaggregation efficiently with mild distortion loss, exploiting the fact that the data may arrive over an extended period of time. Specifically, we propose to split the original dataset into two portions that will be processed subsequently, allowing the first process to start before the entire dataset is received, while leveraging the superlinearity of the microaggregation algorithms involved. A detailed mathematical formulation enables us to calculate the optimal time for the fastest anonymization, as well as for minimum distortion under a given deadline. Two incremental microaggregation algorithms are devised, for which extensive experimentation is reported. The theoretical methodology presented should prove invaluable in numerous data-collection applications, including largescale electronic surveys in which computation is possible as the data comes in.Peer ReviewedPostprint (published version

On the revocation of malicious users in anonymous and non-traceable VANETs

For the proper performance of Vehicular Ad-hoc NETworks (VANETs) it is essential to protect the service against malicious nodes aiming at disrupting the proper operation by injecting fake, invalid data into the network. It is common to define a traditional identity-based authentication for vehicles, which are loaded with individual credentials. However, the use of these credentials in VANETs may allow vehicle tracking and thus violate users’ privacy, a risk that can be overcome by means of anonymity schemes. This comes at the expenses, however, of on the one hand preventing VANET authorities from identifying malicious users and revoking them from the network, or on the other hand to avoid anonymity of users in front of the CA thus to allow their revocation. In this work, we describe a novel revocation scheme that is able to track and revoke specific users only after a number of complaints have been received while otherwise guaranteeing vehicle’s anonymity.This work was partially supported by the Spanish Ministerio de Economía y Competitividad, the Spanish Comisión Interministerial de Ciencia y Tecnología, the Spanish Ministerio de Industria, Energía y Turismo, the Generalitat de Catalunya and European FEDER funds under the projects: MINECO TUERI (TIN2011-25452), CICYT TAMESIS (TEC2011-22746), INNPACTO DEPHISIT (IPT-2012-0585-370000), CONSOLIDER ARES (CSD2007-00004), as well as the grant 2009 SGR-1362 to consolidated research groups, the funding of which is gratefully acknowledged

GEOSISMO: Visualisation of Events and Seismologic Characteristics in the Internet

An inventory of seismic movements at global level exists that is based on the data gathered by the seismographers of each observatory. This inventory includes the location and characteristics of the technical equipment of the observatories, as well as the location and date of each earthquake. The inventory is stored in an Access database, and the accelerograms (temporal series of accelerations) are stored in text files. It is proposed that a web service based in a Web Feature Service be created, following the specifications of the OGC (Open Geospatial Consortium), that would visualize the location of the seismographers and of the epicenters of the earthquakes for the spatial and temporal intervals provided. The representation of the places will be a geometric symbol proportional to the PGA magnitude, based on information extracted automatically by the system. When the context (number of elements to represent or zoom level) permit it, the accelerograms will be visualized as scaled in proportion to the magnitude of seismic activity instead of as a geometric symbol. This type of visualization will facilitate interpretation and a rapid decision when the page is consulted. This objective will be enhanced by the possibility of visualizing the information from anyplace that has Internet access, because the tool will be configured as a piece of SDI in conformance with OGC standards

Síntesis de un lípido catiónico derivado de un aminoácido básico y su caracterización química y biológica para la transferencia de genes

La terapia génica es una estrategia terapéutica basada en la modificación del repertorio genético de las células mediante la administración de ácidos nucleicos. La principal limitante de su aplicación in vivo es la dificultad de transportar el material genético hasta el núcleo de las células para su expresión, por lo que se han diseñado vehículos genéticos, como los liposomas catiónicos, para facilitar este proceso. Existe una gran variedad de lípidos catiónicos eficientes para la transferencia de genes, sin embargo, son caros y citotóxicos en cierto grado, por lo que se sigue en la búsqueda de nuevos lípidos catiónicos inocuos, eficientes y económicos. En el presente trabajo se diseñó, sintetizó y caracterizó un nuevo lípido catiónico derivado de un aminoácido básico y un alcohol alifático, el cual es eficiente para la transferencia de genes y seguro por estar formado con moléculas propias de la célula, además económico y de fácil manejo.Gene therapy is a therapeutic strategy based on modification of genetic repertoire of cells by nucleic acids administration. The main limitation in vivo application is the difficulty to transport genetic material into nucleus cell without degradation and achieve its expression, for this it has been synthesized cationic liposomes as genetic vehicles that aid in this process. There is a variety of efficient cationic lipids for gene transfer, however, are expensive and cytotoxic, so that it remains in the search for new cationic lipids: safe, efficient and economical. In this work it was designed, synthesized and characterized a new cationic lipid derived from basic aminoacid and aliphatic alcohol to use in gene therapy, because it was formed with self-molecules of cell, it is safe and because of its synthesis, it is economic and easy to use

Local sustainability processes worldwide: a systematic review of the literature and research agenda

This article presents a systematic literature review of 109 articles (1992–2015) dealing with Local Agenda 21 processes worldwide. It analyzes two essential elements of Local Agenda 21: (1) the holistic approach of the sustainable development concept and (2) the main driving forces behind such processes. It shows that, although at the beginning, sustainability was seen as a natural extension of environmental policy work, it has been perceived over recent years as a guiding principle applied to issues of environment, economic development, and social welfare, and Local Agenda 21 is perceived as a coherent approach to sustainability planning. In addition, Local Government Strategy is the main typology followed, although it suffers from important limitations. Future studies could focus on local sustainability process outcomes. Further quantitative studies would be welcome, given the qualitative case study dominance in the field. We conclude with a research agenda to tackle theoretical, methodological, and empirical lacunae.The research was funded by the Spanish Government [grant number ECO2016-76348-R]; the Basque Government [grant number GIC 15/128-IT-952-16]; and the University of the Basque Country (UPV/EHU) [grant number UFI 11/51]

Los determinantes de la rentabilidad primaria de los bonos de titulización hipotecaria: la influencia de las estructuras multitramo

Este artículo analiza los determinantes de la rentabilidad primaria de los bonos de titulización hipotecaria (conocidos en la literatura como mortgage backed securities, o MBS) emitidos en España durante el periodo 1993-2011, periodo en el que el mercado español llegó a convertirse en el más importante de Europa continental. Los resultados obtenidos sobre el análisis de la población completa de MBS emitidos (262 tramos configurados sobre 94 fondos de titulización) indican que la estructuración multitramo de los MBS ha ayudado a reducir el riesgo percibido global de las emisiones de MBS, mediante la generación de mercados más completos y la reducción de los problemas derivados de la existencia de asimetrías informativas implícitas en el proceso de selección de los activos transmitidos por parte de la entidad cedente. Esta reducción del riesgo percibido ha tenido un efecto directo sobre la rentabilidad ofrecida por los bonos de titulización emitidos. Además, no se encuentran evidencias de que la emisión de MBS persiga la transmisión efectiva de riesgos, más bien al contrario. Las entidades de crédito, por lo general, han retenido los tramos de primeras pérdidas, lo que ha contribuido a mantener en niveles muy bajos (por debajo de la rentabilidad de la deuda soberana) la rentabilidad ofrecida por los MBS. Precisamente, el escaso diferencial ofrecido por los bonos de titulización se debe a que los tramos retenidos no han ofrecido primas de rentabilidad ajustadas al riesgo inherente

Os determinantes da rentabilidade primária das gratifica¬ções de titulação hipotecária: a influência das estruturas “multitranches”

[ES] Este artículo analiza los determinantes de la rentabilidad primaria de los bonos de titulización hipotecaria (conocidos en la literatura como mortgage backed securities, o MBS) emitidos en España durante el periodo 1993-2011, periodo en el que el mercado español llegó a convertirse en el más importante de Europa continental. Los resultados obtenidos sobre el análisis de la población completa de MBS emitidos (262 tramos configurados sobre 94 fondos de titulización) indican que la estructuración multitramo de los MBS ha ayudado a reducir el riesgo percibido global de las emisiones de MBS, mediante la generación de mercados más completos y la reducción de los problemas derivados de la existencia de asimetrías informativas implícitas en el proceso de selección de los activos transmitidos por parte de la entidad cedente. Esta reducción del riesgo percibido ha tenido un efecto directo sobre la rentabilidad ofrecida por los bonos de titulización emitidos. Además, no se encuentran evidencias de que la emisión de MBS persiga la transmisión efectiva de riesgos, más bien al contrario. Las Entidades de crédito, por lo general, han retenido los tramos de primeras pérdidas, lo que ha contribuido a mantener en niveles muy bajos (por debajo de la rentabilidad de la deuda soberana) la rentabilidad ofrecida por los MBS. Precisamente, el escaso diferencial ofrecido por los bonos de titulización se debe a que los tramos retenidos no han ofrecido primas de rentabilidad ajustadas al riesgo inherente.[EN] This article analyzes the determinants of the primary profitability of mortgage-backed securities (MBS) issued in Spain between 1993 and 2011, a period during which the Spanish market became the most important in continental Europe. The results obtained from an analysis of the entire population of MBS issued (262 tranches from 94 securitization funds) indicates that their multiframe structuring helped reduce the perceived global risk associated with issuing these bonds by creating more complete markets. It also helped reduce the problems derived from the existence of information assymetries implicit in the selection of assets transferred by the issuing entity. This reduction in perceived risk had a direct effect on the profitability of the bonds issued. Furthermore, no evidence is found that the issue of MBS led to the transmission of risk. On the contrary, the credit agencies have on the whole retained the first loss tranches, contributing to maintaining MBS profitability levels at very low levels (be¬neath sovereign debt profitability). Indeed, the scant difference in profitability is due to the fact that the tranches that were retained did not offer return premiums that were adjusted to the inherent risk.[FRE] Cet article analyse les déterminants de la rentabilité primaire des bons de titrisation hypothécaire (connus dans les publications comme mortgage backed securities, ou MBS) émis en Espagne dans la période 1993-2011, pendant laquelle le marché espagnol est devenu le plus important de l’Europe continentale. Les résultats obtenus sur l’analyse de la totalité des MBS émis (232 segments constitués sur 94 fonds de titrisation) indiquent que la structuration multi branche des MBS a aidé à réduire le risque perçu global des émissions de ces bons de titrisation, par la génération de marchés plus complets et la réduction des problèmes dérivés de l’existence d’asymétries informatives, implicites dans le processus de sélection des actifs transmis par l’organisme cédant. Cette réduction du risque perçu a eu un effet direct sur la rentabilité offerte par les bons de titrisation émis. En outre, il existe des évidences que l’émission de MBS poursuit la transmission effective de risques. Bien au contraire, les organismes de crédit, en général, ont retenu les segments des premières pertes, ce qui a contribué à maintenir des niveaux très bas (en dessous de la rentabilité de la dette souveraine) la rentabilité offerte par les MBS. Précisément, la rare différence offerte par les bons de titrisation est due au fait que les segments retenus n’ont pas offert de primes de rentabilité ajustées au risque inhérent.[POR] Este artigo analisa os determinantes da rentabilidade primária das gratificações de titulação hipotecária (conhecidos na literatura como mortgage backed securities ou MBS), emitidos na Espanha durante o período de 1993 e 2011, período no qual o mercado espanhol chegou a se converter no mais importante da Europa Continental. Os resultados obtidos sobre a análise da população completa de MBS emitidos (262 tranches configurados sobre 94 fundos de titulação) indicam que a estruturação multitranche dos MBS ajudou a reduzir o risco percebido global das emissões dessas gratificações de titulação, mediante a geração de mercados mais completos e a redução dos problemas derivados da existência de assimetrias informativas, implícitas no processo de seleção dos ativos transmitidos por parte da entidade cedente. Essa redução do risco percebido teve um efeito direto sobre a rentabilidade oferecida pelas gratificações de titulação emitidas. Além disso, não se encontram evidências de que a emissão de MBS persiga a transmissão efetiva de riscos. Provavelmente o contrário: as entidades de crédito, geralmente, retêm os tranches de primeiras perdas, o que contribui para a manutenção em níveis muito baixos (abaixo da rentabilidade da dívida soberana) da rentabilidade oferecida pelos MBS. Precisamente, o escasso diferencial oferecido pelas gratificações de titulação se deve a que tranches retidos não oferecem prêmios de rentabilidade ajustadas ao risco inerente.Investigación realizada en el marco del proyecto de investigación NUPV12/0

Diseño y construcción de una secuencia esponja anti-mir-33 dirigida a hepatocitos para terapia génica contra la hipercolesterolemia

La ateroesclerosis es actualmente un problema de salud y la principal causa de muerte en México y a nivel mundial, debido a los malos hábitos alimenticios y al estilo de vida. El microRNA-33 (miR-33) juega un papel importante en el metabolismo de lípidos, ejerce una regulación negativa en varios transportadores ABC, incluyendo ABCA1 y ABCG1, que están involucrados en el transporte del colesterol y favorecen el aumento en la síntesis de las lipoproteínas HDL en los hepatocitos. En este trabajo se diseñó una construcción genética que contiene una secuencia esponja específica anti-miR- 33 para expresarse exclusivamente en hepatocitos. El análisis in silico de la secuencia esponja anti-miR- 33 mostró 2 diferentes formas de interacción del miR-33 con cada sitio de unión de la esponja anti-miR- 33, una de forma parcial y una complementaria, y puede ser blanco de otros miRNAs pero principalmente y con mayor fuerza con los miR-33a y miR-33b. Esto indica que la secuencia esponja anti-miR-33 puede reprimir la acción del miR-33, lo que podría disminuir el riesgo aterogénico.Atherosclerosis is currently a health problem and the leading cause of death in México and worldwide, due to poor eating habits and lifestyle. The microRNA-33 (miR-33) plays a role in lipid metabolism, exerts a negative regulation on several ABC transporters, including ABCA1 and ABCG1, which are involved in cholesterol transport and favor an increase in the synthesis of HDL hepatocytes. In this work was designed a genetic construct containing a sequence specific sponge anti-miR-33 is expressed exclusively in hepatocytes. The in silico analysis of sequence sponge anti-miR-33 showed two different ways of interaction with miR-33 binding site each sponge anti-miR-33, and a partially complementary, and it can be targeted by multiple miRNAs but mainly of miR-33a and miR-33b more strongly, this indicates that the sequence sponge anti-miR-33 can suppress the action of miR-33, reducing atherogenic risk