Characterization of the shallow subsurface structure across the Carrascoy Fault System (SE Iberian Peninsula) using P-wave tomography and Multichannel Analysis of Surface Waves

The seismicity in the SE Iberian Peninsula is distributed parallel to the coast in a well-developed strike-slip fracture system known as the Eastern Betic Shear Zone (EBSZ). This work focuses on the characterization of the shallow subsurface structure of the Algezares-Casas Nuevas Fault, within the Carrascoy Fault System of the EBSZ. The Carrascoy Fault borders the Guadalentín Depression to the south, which is a densely populated area with extensive agricultural activity. Therefore, this faults system represents a seismic hazard with significant social and economic implications. We have constructed two velocity-depth models based on P-wave tomography and Multichannel Analysis of Surface Waves (MASW) acquired from seismic reflection data. The resulting velocity models have allowed us to interpret the first ~250m depth and have revealed: i) the thickness of the critical zone; ii) the geometry of the Algezares-Casas Nuevas Fault; iii) the depth of the Messinian/Tortonian contact and iv) the presence of blind thrusts and damage zones under the Guadalentín Depression. Our results have also helped us to estimate an apparent vertical slip rate of 0.66±0.06m/ky for the Algezares-Casas Nuevas Fault since 209.1±6.2ka. Our results provide a methodological and backflow protocol to study the shallow subsurface of active faults, complementing previous geological models based on paleoseismological trenches, and can be used to improve the seismic hazard assessment of tectonically active regions around the world

Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis

We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the current crisis of the European Monetary Union (EMU). We first document that deviations between CDS and bond spreads are related to counterparty risk, common volatility in EMU equity markets, market illiquidity, funding costs, flight-to-quality, and the volume of debt purchases by the European Central Bank (ECB) in the secondary market. Based on this we conduct a state-dependent price-discovery analysis that reveals that the levels of the counterparty risk and the common volatility in EMU equity markets, and the banks agreements to accept losses on their holdings of Greek bonds impair the ability of the CDS market to lead the price discovery process. On the other hand, the funding costs, the flight-to-quality indicator and the volume of debt purchases by the ECB worsen the efficiency of the bond market

Derivatives Holdings and Systemic Risk in the U.S. Banking Sector

This paper studies the impact of the banks portfolio holdings of financial derivatives on the banks individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 91 U.S. bank holding companies from 2002 to 2011, we compare five measures of the banks contribution to systemic risk and find that the new measure proposed in this study, Net Shapley Value, outperforms the others. Using this measure we find that the banks holdings of foreign exchange and credit derivatives increase the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the proportion of non-performing loans over total loans and the leverage ratio have much stronger impact on systemic risk than derivatives holdings. We find that before the subprime crisis credit derivatives decreased systemic risk whereas during the crisis increased it. So, credit derivatives seemed to change their role from shock absorbers to shock issuers. This effect is not observed in the other types of derivatives

Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain

This paper presents a procedure for computing the theoretically optimal portfolio under the assumption that housing is an indivisible, illiquid asset that restricts the portfolio choice decision. The analysis also includes the financial constraints households may face when they apply for external funding. The set of financial assets that constitute the household's portfolios are bank time deposits, stocks, mortgage, and housing. We compare the theoretically optimal portfolio against Spanish household's actual choices using a unique data set, the Spanish Survey of Household Finance. In comparison with the optimal portfolio, households significantly underinvest in stocks and deposits. In the case of mortgages, the optimal and actual portfolios weights are not unequal. At a more disaggregated level, some additional differences emerge that are explained by demographic, educational, and income characteristics

Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on firm's characteristics. The level of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financial distress episodes such that the effect of market liquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to alternative liquidity measures

Case Report A Case of Cutaneous Plasmablastic Lymphoma in HIV/AIDS with Disseminated Cryptococcus

We present a case of a patient with HIV/AIDS who presented with a tender left lower extremity cutaneous mass over a site of previous cryptococcal infection and was found to have plasmablastic lymphoma (PBL). The incidence of PBL is estimated to account for less than 5% of all cases of non-Hodgkin lymphoma (NHL) in HIV-positive individuals. In fact, there were only two reports of extraoral PBL at the time of a 2003 review. PBL in HIV-positive individuals is an aggressive malignancy that tends to occur in middle-aged males with low CD4 counts, high viral loads, and chronic HIV infection. The definitive diagnosis can be made with biopsy which typically shows malignant lymphoid cells that stain positive for plasma cell markers and negative for B-cell markers. The most common treatment is chemotherapy with cyclophosphamide, doxorubicin, vincristine, and prednisone (CHOP) or CHOP-like regimens, but the overall survival rate is poor despite its relative responsiveness to chemotherapy. This case highlights the challenges that remain in improving clinical outcomes, the importance of antiretroviral therapy and HIV disease control, and a potential association between a chronic inflammatory state caused by disseminated Cryptococcus and tumorigenesis in individuals with PBL

Incorporating Descriptive Metadata into Seismic Source Zone Models for Seismic Hazard Assessment: A case study of the Azores-West Iberian region

In probabilistic seismic-hazard analysis (PSHA), seismic source zone (SSZ) models are widely used to account for the contribution to the hazard from earth- quakes not directly correlated with geological structures. Notwithstanding the impact of SSZ models in PSHA, the theoretical framework underlying SSZ models and the criteria used to delineate the SSZs are seldom explicitly stated and suitably docu- mented. In this paper, we propose a methodological framework to develop and docu- ment SSZ models, which includes (1) an assessment of the appropriate scale and degree of stationarity, (2) an assessment of seismicity catalog completeness-related issues, and (3) an evaluation and credibility ranking of physical criteria used to delin- eate the boundaries of the SSZs. We also emphasize the need for SSZ models to be supported by a comprehensive set of metadata documenting both the unique character- istics of each SSZ and the criteria used to delineate its boundaries. This procedure ensures that the uncertainties in the model can be properly addressed in the PSHA and that the model can be easily updated whenever new data are available. The pro- posed methodology is illustrated using the SSZ model developed for the Azores–West Iberian region in the context of the Seismic Hazard Harmonization in Europe project (project SHARE) and some of the most relevant SSZs are discussed in detail