A Capital Adequacy Buffer Model

__Abstract__ In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures distance to default and the timeless capital asset pricing model (CAPM) which measures additional returns to compensate for additional share price risk

Volatility Spillovers from the US to Australia and China across the GFC

This paper features an analysis of volatility spillover eects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of whether there are any spillover eects in the mean equations as well as in the variance equations. We adopt a bi-mean equation to model the conditional mean in the Australian markets plus an ARMA model to capture volatility spillovers from the US. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we also explore the non-constancy of correlations between the markets and apply a moving window of 120 days of daily observations to explore time-varying conditional and tted correlations. There appears to be strong evidence of regime switching behaviour in the Australian market and changes in correlations between the two markets particularly in the period of the GFC. We also apply a tri-variate Cholesky-GARCH model to include potential eects from the Chinese market, as represented by the Hang Seng Inde

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to Octobe

Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nin

Volatility Spillovers from Australia's Major Trading Partners across the GFC

__Abstract__ This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng. (in the case of China, as both China and Hong Kong appear in Australian trade statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009) Spillover Index, constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis confirms that the US and Hong Kong markets have the greatest influence on the Australian one. We then move to a GARCH framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and Chinese market, as represented by the Hang Seng Index

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility and market return as quantified by Ordinary Least Square (OLS) regression is not uniform across the distribution of the volatility-price return pairs using quantile regressions. We examine the bivariate relationship of six volatility-return pairs, viz. CBOE-VIX and S&P-500, FTSE-100 Volatility and FTSE-100, NASDAQ-100 Volatility (VXN) and NASDAQ, DAX Volatility (VDAX) and DAX-30, CAC Volatility (VCAC) and CAC-40 and STOXX Volatility (VSTOXX) and STOXX. The assumption of a normal distribution in the return series is not appropriate when the distribution is skewed and hence OLS does not capture the complete picture of the relationship. Quantile regression on the other hand can be set up with various loss functions, both parametric and non-parametric (linear case) and can be evaluated with skewed marginal based copulas (for the non linear case). Which is helpful in evaluating the non-normal and non-linear nature of the relationship between price and volatility. In the empirical analysis we compare the results from linear quantile regression (LQR) and copula based non linear quantile regression known as copula quantile regression (CQR). The discussion of the properties of the volatility series and empirical findings in this paper have significance for portfolio optimization, hedging strategies, trading strategies and risk management in general

Genotype by Environment Interaction for Holstein Milk Yield in Colombia, Mexico, and Puerto Rico

Components of (co)variance and genetic parameters were estimated by REML procedures from first lactation mature equivalent Holstein milk records from 54,604 Colombian, Mexican, and Puerto Rican cows and 198,079 US cows. The objective was to determine the cause of heterogeneous daughter response to sire selection for milk yield between the regions. Data from Latin America were partitioned by country and by herd-year SD class for milk to obtain five joint analyses between the US and Latin America, low herd-year SD, high herd year SD, Colombia, and Mexico. Sire and residual variances for milk were 41 and 29% smaller in Latin America than in the US, 47 and 58% smaller for low than for high herd-year SD, and 31 and 49% smaller for Colombia than for Mexico. Resultant heritabilities ranged from .20 to .29. Genetic correlations for milk yield between the US and Latin America, low and high herd-year SD, Colombia, and Mexico were .91, .82, .89, .78, and .90. Expected correlated responses for milk in Latin America, low and high herd-year SD, Colombia, and Mexico were 70, 53, 79.56, and 78% of the direct response in the US. The scaling effects of heterogeneous variance resulted in smaller daughter milk responses in Latin America compared with the US even when herd-year SD was similar

Bereavement care for ethnic minority communities : a systematic review of access to, models of, outcomes from, and satisfaction with, service provision

Objectives To review and synthesize the existing evidence on bereavement care, within the United Kingdom (UK), for ethnic minority communities in terms of barriers and facilitators to access; models of care; outcomes from, and satisfaction with, service provision. Design A systematic review adopting a framework synthesis approach was conducted. An electronic search of the literature was undertaken in MEDLINE, Embase, PsycINFO, Social Work Abstract and CINAHL via EBSCO, Global Health, Cochrane library, the Trip database and ProQuest between 1995 and 2020. Search terms included bereavement care, ethnic minority populations and the UK setting. Results From 3,185 initial records, following screening for eligibility, and full-text review of 164 articles, seven studies were identified. There was no research literature outlining the role of family, friends and existing networks; and a real absence of evidence about outcomes and levels of satisfaction for those from an ethnic minority background who receive bereavement care. From the limited literature, the overarching theme for barriers to bereavement care was ‘unfamiliarity and irregularities’. Four identified subthemes were ‘lack of awareness’; ‘variability in support’; ‘type and format of support’; and ‘culturally specific beliefs’. The overarching theme for facilitators for bereavement care was ‘accessibility’ with the two subthemes being ‘readily available information’ and ‘inclusive approaches’. Three studies reported on examples of different models of care provision. Conclusions This review reveals a stark lack of evidence about bereavement care for ethnic minority populations. In particular, understanding more about the role of family, friends and existing support systems, alongside outcomes and satisfaction will begin to develop the evidence base underpinning current provision. Direct user-representation through proactive engagement and co-design approaches may begin to determine the most appropriate models and format of bereavement care for ethnic minority communities to inform service design and delivery