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]

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

Crisis del calzado en el barrio Restrepo, Bogotá análisis y perspectivas

Se realizó un análisis en el sector del barrio Restrepo para verificar cuales podrían ser las falencias de la industria que han venido en declive y generando la quiebra de empresas pertenecientes al sector del calzado. Entre los resultados se encontró que una de las posibles causas son la falta de competencia, renovación de su producción y mano de obra calificada. Las cuales se analizará para dar a cabo una viabilidad para la mejora del sector en su competitividad interna como externa. Se verificará industrias donde su maquinaria para fabricar calzado de alta calidad y la técnicas de uso que le dan a esto productos tener competencia en el mercado les pueda tomar para modernizar la industria del calzado en el sector del Restrepo.RESUMEN ABSTRACT INTRODUCCIÓN 1 TÍTULO 2 PROBLEMA 2.1 DESCRIPCIÓN DEL PROBLEMA 2.2 FORMULACIÓN DEL PROBLEMA 3 OBJETIVOS DE LA INVESTIGACIÓN 3.1 OBJETIVO GENERAL 3.2 OBJETIVOS ESPECÍFICOS 4 JUSTIFICACIÓN Y DELIMITACIÓN DE LA INVESTIGACIÓN 4.1 JUSTIFICACIÓN 4.2 DELIMITACIÓN 5 MARCO DE REFERENCIA DE LA INVESTIGACIÓN 5.1 MARCO TEÓRICO 5.1.1 Innovación 5.1.1.1 Principales tipos de innovación 5.1.3 Estrategia 5.1.4 Competitividad 5.2 MARCO CONCEPTUAL 5.3 MARCO LEGAL 5.4 MARCO HISTÓRICO 6 MARCO METODOLÓGICO 6.1 TIPO DE INVESTIGACIÓN 6.2 MATERIALES Y MÉTODOS 6.3 VALIDEZ Y CONFIABILIDAD 6.4 TÉCNICAS E INSTRUMENTOS DE RECOLECCIÓN DE DATOS 6.4.1 Fuentes primarias 6.4.2 Fuentes secundarias 6.5 TÉCNICAS DE PROCESAMIENTO Y ANÁLISIS DE DATOS 7 SECTOR DEL CALZADO EN BOGOTÁ DESDE EL AÑO 2005 AL 2013 8 ANÁLISIS DE LA TENDENCIA MUNDIAL EN LA INDUSTRIA DEL CALZADO Y PERSPECTIVAS PARA BOGOTÁ FRENTE AL MAYOR EXPORTADOR DE CALZADO (CHINA) 8.1.1 Tendencia mundial del Calzado 8.1.2 Calzado en Bogotá 8.1.2.1 Informalidad y dumping 8.1.2.3 Insuficiencia de materias primas 8.1.3 Calzado en China 9 ANÁLISIS DEL CLÚSTER EN EL SECTOR DE CALZADO EN BOGOTÁ 9.1 QUÉ HA LLEVADO AL QUE EL SECTOR DEL CALZADO EN BOGOTÁ SE HAYA VISTO OBLIGADO A CREAR SUS PROPIOS CLÚSTER 10 PROPUESTA PARA MEJORAR EL SECTOR DEL CALZADO DESDE UN PUNTO DE VISTA ECONÓMICO EN EL SECTOR DEL RESTREPO BOGOTÁ Asociatividad entre productores y proveedores de materias primas Reducir el peligro de residir en un solo mercado Desarrollo de la cadena de valor Innovación desarrollo e investigación para mejorar la producción Marketing e internacionalización Financiación a pequeñas y medianas empresas CONCLUSIONES RECOMENDACIONES REFERENCIAS BIBLIOGRÁFICASPregradoProfesional en Comercio InternacionalComercio Internaciona

Rating market analysis of securitization in Spain (1993-2011)

[ES] La calificación crediticia externa es un elemento clave para el buen fin de las operaciones de titulización. No obstante, las agencias de calificación han sido objeto de una intensa controversia, cuestionándose su fiabilidad y objetividad. En este trabajo abundamos en esta cuestión, analizando la distribución de los ratings otorgados a las emisiones de bonos de titulización llevadas a cabo en España (1993-2011), uno de los países más activos en cuanto al volumen de emisiones, llegaron a ocupar el segundo puesto a nivel europeo y el tercero a nivel mundial. Aportamos evidencia sobre ciertas anomalías entre las que cabe destacar la estructura oligopolística del mercado del rating, la fragilidad desde una perspectiva histórica de las calificaciones otorgadas, y la existencia de patrones no homogéneos en la elección de la agencia de calificación, tanto si se tiene en cuenta la sociedad gestora, como el colateral de respaldo.[EN] External credit rating is a key aspect for the successful completion of securitization operations. However, rating agencies have been the subject of intense controversy, with questions being raised about their reliability and objectivity. This paper delves further into this point, by analysing the distribution of the ratings awarded to the securitization bond issues performed in Spain (1993-2011), one of the most active countries in terms of the volume of issues, reaching second place in Europe and third worldwide. We provide evidence on certain discrepancies, including the oligopolistic structure of the rating market, the fragility from a historical perspective of the awarded ratings, and the existence of non-homogenous patterns in the choice of the rating agency, irrespective of whether the manager or the collateral provided is taken into account

Reactive power synchronization method for voltage-sourced converters

There is a growing interest in the parallel operation of voltage source converters (VSCs) both in an isolated microgrid or connected to the utility grid. The most common solution in the literature for the paralellization of VSCs is the so-called droop control, which brings about a relationship between active power and frequency. In this paper, a different approach is proposed where reactive power is used instead of active power to ensure synchronous operation. Active and reactive power are independently controlled using a dq-frame representation based on the vector oriented control, which inherently provides current limitation capability. A detailed dynamic model of the system is used to demonstrate the relation between reactive power and frequency. Due to the intrinsic synchronizing mechanism, the proposed scheme can operate in both isolated and grid-connected modes. As opposed to droop control schemes, active power is not used for synchronization and thus synchronization is possible even if active power is not controllable. Simulation and experimental results, for a case study where a VSC is connected to a host grid, are presented to validate the proposal

La metodología científica en economía de la empresa en la actualidad

[ES] Mientras la realidad se transforma a gran ritmo, las ideas de ciencia y de conocimiento científico entran en crisis. Esta crisis también se manifiesta en los estudios empresariales: muchos afirman que la Economía de la Empresa no es ciencia, sino un conjunto de conocimientos diversos, débilmente conectados entre sí. Otros se pierden en investigaciones alejadas de la realidad, y un último grupo no consigue remontar un enfoque meramente practicista. Por ello, estimamos que es un buen momento para recordar los fundamentos que sustentan una ciencia: su objeto formal y material y su método. Para ello se realizará una exposición sintética del pensamiento del profesor Soldevilla.[EN] While real life is changing, the idea of science and scientific knowledge enters in crisis. This crisis appear in the managerial studies too: many people affirm that business management is not a science, but a set of different knowledges, weakly interconnected. Another group is getting lost in investigations far away from the reality, and a last group does not overcome a practical approach. We think that this is a good moment to remember the foundations of a science: its formal and material object and its method

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

Métodos cuantitativos versus métodos cualitativos en la economía de los Negocios. ¿Es una metodología reconciliable?

Changes in the organizational environment over the last three decades have increasingly led to traditional theories being called into question, by stimulating the search for new models suited to the new realities of business economics, generating a crisis or scientific revolution that may result in the appearance of a new paradigm. The positivism-phenomenology duality provokes an “epistemological crisis” in research in management sciences. But the existence of both approaches does not imply the election of one scientific orientation in frontal opposition to the other. From these two conceptions of research procedure, the methods applied can be classed into groups, quantitative and qualitative. The quantitative methodologies places great confidence in the ability of data and measurement to represent opinions or concepts, while qualitative methodologies focus on words and relations to describe a reality or situation. While the diversity of methods contribute to its development and indicates the maturity of an area, the methods must be suitably implemented to obtain significant, valid results. The methodology to be used is not going to depend solely on the type of study or the reality under examination, but also on the stage the research process has reached

Imaging Tests in the Early Diagnosis of Giant Cell Arteritis

Early recognition of giant cell arteritis (GCA) is crucial to avoid the development of ischemic vascular complications, such as blindness. The classic approach to making the diagnosis of GCA is based on a positive temporal artery biopsy, which is among the criteria proposed by the American College of Rheumatology (ACR) in 1990 to classify a patient as having GCA. However, imaging techniques, particularly ultrasound (US) of the temporal arteries, are increasingly being considered as an alternative for the diagnosis of GCA. Recent recommendations from the European League Against Rheumatism (EULAR) for the use of imaging techniques for large vessel vasculitis (LVV) included US as the first imaging option for the diagnosis of GCA. Furthermore, although the ACR classification criteria are useful in identifying patients with the classic cranial pattern of GCA, they are often inadequate in identifying GCA patients who have the extracranial phenotype of LVV. In this sense, the advent of other imaging techniques, such as magnetic resonance imaging (MRI), computed tomography (CT), and positron emission tomography (PET)/CT, has made it possible to detect the presence of extracranial involvement of the LVV in patients with GCA presenting as refractory rheumatic polymyalgia without cranial ischemic manifestations. Imaging techniques have been the key elements in redefining the diagnostic work-up of GCA. US is currently considered the main imaging modality to improve the early diagnosis of GCA

Analysis of Spontaneous EEG Activity in Alzheimer’s Disease Using Cross-Sample Entropy and Graph Theory

Producción CientíficaThe aim of this pilot study was to analyze spontaneous electroencephalography (EEG) activity in Alzheimer’s disease (AD) by means of Cross-Sample Entropy (Cross-SampEn) and two local measures derived from graph theory: clustering coefficient (CC) and characteristic path length (PL). Five minutes of EEG activity were recorded from 37 patients with dementia due to AD and 29 elderly controls. Our results showed that Cross-SampEn values were lower in the AD group than in the control one for all the interactions among EEG channels. This finding indicates that EEG activity in AD is characterized by a lower statistical dissimilarity among channels. Significant differences were found mainly for fronto-central interactions (p < 0.01, permutation test). Additionally, the application of graph theory measures revealed diverse neural network changes, i.e. lower CC and higher PL values in AD group, leading to a less efficient brain organization. This study suggests the usefulness of our approach to provide further insights into the underlying brain dynamics associated with AD.Ministerio de Economía y Competitividad (TEC2014-53196-R)Junta de Castilla y León (proyecto VA037U16 y BIO/VA08/15