Modelling the liquidity premium on corporate bonds

AbstractThe liquidity premium on corporate bonds has been high on the agenda of Solvency regulators owing to its potential relationship to an additional discount factor on long-dated insurance liabilities. We analyse components of the credit spread as a function of standard bond characteristics during 2003–2014 on a daily basis by regression analyses, after introducing a new liquidity proxy. We derive daily distributions of illiquidity contributions to the credit spread at the individual bond level and find that liquidity premia were close to zero just before the financial crisis. We observe the time-varying nature of liquidity premia as well as a widening in the daily distribution in the years after the credit crunch. We find evidence to support higher liquidity premia, on average, on bonds of lower credit quality. The evolution of model parameters is economically intuitive and brings additional insight into investors’ behaviour. The frequent and bond-level estimation of liquidity premia, combined with few data restrictions makes the approach suitable for ALM modelling, especially when future work is directed towards arriving at forward-looking estimates at both the aggregate and bond-specific level.</jats:p

Empirical studies in corporate credit modelling; liquidity premia, factor portfolios & model uncertainty

Insurers match the cash flows of typically illiquid insurance liabilities, such as in-force annuities, with government and corporate bonds. As they intend to buy corporate bonds and hold them to maturity, they can capture the value attached to liquidity, without running the market liquidity risk that is associated with having to sell bonds in the open market. During the long consultation period dedicated to the mark-to-market valuation of insurance assets and liabilities for the Solvency II regulatory framework, CEIOPS noted the importance of the accurate breakdown of the credit spread into its components, most notably the credit and non-credit (i.e. liquidity) components. In this thesis we review many modelling efforts to isolate the liquidity premium and propose a reduced-form modelling approach that relies on a new, relative liquidity proxy. Challenging the status quo when it comes to active and passive investment strategies, products and funds, Exchange Traded Funds and `smart-beta' products provide investors with straightforward ways to strategically expose a portfolio to risk drivers, raising the bar for traditional investment funds and managers. In this thesis, we investigate how traditional sources of equity outperformance (alpha), such as small caps, low volatility and value, translate to UK corporate bonds. For automated trading strategies in corporate bonds, and those with specific factor exposure requirements in particular, transaction costs, rebalancing and an optimal turnover strategy are crucial; these aspects of building factor portfolios are explored for the UK market. Since the financial crisis, mathematical models used in finance have been subject to a fair amount of criticism. More than ever has this highlighted the need of better risk management of financial models themselves, leading to a surge in `model validation' roles in industry and an increased scrutiny from regulatory bodies. In this thesis we look at stochastic credit models that are commonly used by insurers to project forward credit-risky bond portfolios and the model uncertainty and parameter risk that arises as a result of relying on published credit migration matrices. Specifically, our investigation focuses on two violations of the Markovian process that credit transitions are assumed to follow and statistical uncertainty of the migration matrix

Ice chemistry in massive Young Stellar Objects: the role of metallicity

We present the comparison of the three most important ice constituents (water, CO and CO2) in the envelopes of massive Young Stellar Objects (YSOs), in environments of different metallicities: the Galaxy, the Large Magellanic Cloud (LMC) and, for the first time, the Small Magellanic Cloud (SMC). We present observations of water, CO and CO2 ice in 4 SMC and 3 LMC YSOs (obtained with Spitzer-IRS and VLT/ISAAC). While water and CO2 ice are detected in all Magellanic YSOs, CO ice is not detected in the SMC objects. Both CO and CO2 ice abundances are enhanced in the LMC when compared to high-luminosity Galactic YSOs. Based on the fact that both species appear to be enhanced in a consistent way, this effect is unlikely to be the result of enhanced CO2 production in hotter YSO envelopes as previously thought. Instead we propose that this results from a reduced water column density in the envelopes of LMC YSOs, a direct consequence of both the stronger UV radiation field and the reduced dust-to-gas ratio at lower metallicity. In the SMC the environmental conditions are harsher, and we observe a reduction in CO2 column density. Furthermore, the low gas-phase CO density and higher dust temperature in YSO envelopes in the SMC seem to inhibit CO freeze-out. The scenario we propose can be tested with further observations.Comment: accepted by MNRAS Letters; 5 pages, 3 figures, 1 tabl

Impact of exercise-nutritional state interactions in patients with type 2 diabetes

Introduction This study examines the role of nutritional status during exercise training in patients with type 2 diabetes mellitus by investigating the effect of endurance-type exercise training in the fasted versus the fed state on clinical outcome measures, glycemic control, and skeletal muscle characteristics in male type 2 diabetes patients. Methods Twenty-five male patients (glycated hemoglobin (HbA1c), 57 ± 3 mmol·mol−1 (7.4% ± 0.3%)) participated in a randomized 12-wk supervised endurance-type exercise intervention, with exercise being performed in an overnight-fasted state (n = 13) or after consuming breakfast (n = 12). Patients were evaluated for glycemic control, blood lipid profiles, body composition and physical fitness, and skeletal muscle gene expression. Results Exercise training was well tolerated without any incident of hypoglycemia. Exercise training significantly decreased whole-body fat mass (−1.6 kg) and increased high-density lipoprotein concentrations (+2 mg·dL−1), physical fitness (+1.7 mL·min−1·kg−1), and fat oxidation during exercise in both groups (PTIME 0.05). HbA1c concentrations significantly decreased after exercise training (PTIME < 0.001), with a significant greater reduction after consuming breakfast (−0.30% ± 0.06%) compared with fasted state (−0.08% ± 0.06%; mean difference, 0.21%; PTIME × GROUP = 0.016). No interaction effects were observed for skeletal muscle genes related to lipid metabolism or oxidative capacity. Conclusions Endurance-type exercise training in the fasted or fed state do not differ in their efficacy to reduce fat mass, increase fat oxidation capacity, and increase cardiorespiratory fitness and high-density lipoprotein concentrations or their risk of hypoglycemia in male patients with type 2 diabetes. HbA1c seems to be improved more with exercise performed in the postprandial compared with the postabsorptive state

Using Historical Interlibrary Loan Data and OCLC to Downsize our Print Journal Collection

In 2014 Wayne State University closed its Science & Engineering Library (SEL) converting the building into a mediated storage collection. In 2017 the University received funding from the State of Michigan to convert the SEL into lab and classroom space intended to support our various STEM programs. This project would have a significant impact on our print journal collection, system wide, due to the 600,000 volumes housed in SEL and the limited available space to absorb them in other parts of the library system. This challenge required a radical downsizing of this collection in the most responsible way possible while minimizing the deleterious impact on faculty and student research. Our starting point was using historical data extracted from our Atlas© Illiad database covering 2010-15, in addition to other data sources. Using historical document delivery and lending data we were able to lay the groundwork for making informed decisions about retention candidates. In order to advance the project we partnered with OCLC’s Sustainable Collection Services (SCS) to provide us with access to our Illiad data, title level holdings in Worldcat to compare our titles to, and the technical expertise needed to clean-up and make sense of the data. As we began work on the project the criteria we considered included: usage, special collection status, completeness of the run held, alternative sources of access, and content issues. From a Collection Development perspective, the main focus of this project has been assuring that the faculty and students will continue to have access to the content of weeded journals and would experience minimum delay between the point of identification and having it in-hand. The goal of this presentation is to demonstrate one of many possible uses of the data currently sitting in various ILL databases that can be used to make data-driven collection management decisions

Mitochondrial DNA copy number associates with insulin sensitivity and aerobic capacity, and differs between sedentary, overweight middle-aged males with and without type 2 diabetes

Background/objectives: Increased risk of type 2 diabetes mellitus (T2DM) is linked to impaired muscle mitochondrial function and reduced mitochondrial DNA copy number (mtDNAnum). However, studies have failed to control for habitual physical activity levels, which directly influences both mtDNA copy number and insulin sensitivity. We, therefore, examined whether physical conditioning status (maximal oxygen uptake, V̇O2max) was associated with skeletal muscle mitochondrial volume and mtDNAnum, and was predictive of T2DM in overweight, middle-aged men.Methods: Whole-body physiological (ISI-insulin sensitivity index, HOMA-IR, V̇O2max) and muscle biochemical/molecular (vastus lateralis; mtDNAnum, mitochondrial and glycolytic enzymes activity, lipid content and markers of lipid peroxidation) measurements were performed in 3 groups of overweight, middle-aged male volunteers (n=10 per group): sedentary T2DM (ST2DM); sedentary control (SC) and non-sedentary control (NSC), who differed in aerobic capacity (ST2D

A Spitzer Space Telescope far-infrared spectral atlas of compact sources in the Magellanic Clouds. I. The Large Magellanic Cloud

[abridged] We present 52-93 micron spectra obtained with Spitzer in the MIPS-SED mode, of a representative sample of luminous compact far-IR sources in the LMC. These include carbon stars, OH/IR AGB stars, post-AGB objects and PNe, RCrB-type star HV2671, OH/IR red supergiants WOHG064 and IRAS05280-6910, B[e] stars IRAS04530-6916, R66 and R126, Wolf-Rayet star Brey3a, Luminous Blue Variable R71, supernova remnant N49, a large number of young stellar objects, compact HII regions and molecular cores, and a background galaxy (z~0.175). We use the spectra to constrain the presence and temperature of cold dust and the excitation conditions and shocks within the neutral and ionized gas, in the circumstellar environments and interfaces with the surrounding ISM. Evolved stars, including LBV R71, lack cold dust except in some cases where we argue that this is swept-up ISM. This leads to an estimate of the duration of the prolific dust-producing phase ("superwind") of several thousand years for both RSGs and massive AGB stars, with a similar fractional mass loss experienced despite the different masses. We tentatively detect line emission from neutral oxygen in the extreme RSG WOHG064, with implications for the wind driving. In N49, the shock between the supernova ejecta and ISM is revealed by its strong [OI] 63-micron emission and possibly water vapour; we estimate that 0.2 Msun of ISM dust was swept up. Some of the compact HII regions display pronounced [OIII] 88-micron emission. The efficiency of photo-electric heating in the interfaces of ionized gas and molecular clouds is estimated at 0.1-0.3%. We confirm earlier indications of a low nitrogen content in the LMC. Evidence for solid state emission features is found in both young and evolved object; some of the YSOs are found to contain crystalline water ice.Comment: Accepted for publication in The Astronomical Journal. This paper accompanies the Summer 2009 SAGE-Spec release of 48 MIPS-SED spectra, but uses improved spectrum extraction. (Fig. 2 reduced resolution because of arXiv limit.

The significance of intra-abdominal pressure in neurosurgery and neurological diseases : a narrative review and a conceptual proposal

Intra-abdominal pressure (IAP) is a physiological parameter that has gained considerable attention during the last few decades. The incidence of complications arising from increased IAP, known as intra-abdominal hypertension (IAH) or abdominal compartment syndrome in critically ill patients, is high and its impact is significant. The effects of IAP in neurological conditions and during surgical procedures are largely unexplored. IAP also appears to be relevant during neurosurgical procedures (spine and brain) in the prone position, and in selected cases, IAH may affect cerebrospinal fluid drainage after a ventriculoperitoneal shunt operation. Furthermore, raised IAP is one of the contributors to intracranial hypertension in patients with morbid obesity. In traumatic brain injury, case reports described how abdominal decompression lowers intracerebral pressure. The anatomical substrate for transmission of the IAP to the brain and venous system of the spine is the extradural neural axis compartment; the first reports of this phenomenon can be found in anatomical studies of the sixteenth century. In this review, we summarize the available knowledge on how IAP impacts the cerebrospinal venous system and the jugular venous system via two pathways, and we discuss the implications for neurosurgical procedures as well as the relevance of IAH in neurological disorders

The problems of offenders with mental disorders: A plurality of perspectives within a single mental health care organisation

Managers, doctors, nurses, occupational therapists, social workers, psychologists, unqualified staff and service users were interviewed for a qualitative study of risk management and rehabilitation in an inner city medium secure forensic mental health care unit. Different professional orientations to service user problems were identified. Doctors focused primarily on the diagnosis of mental disorder, which they managed mainly through pharmaceutical interventions. Psychologists were principally concerned with personal factors, for example service user insight into their biographical history. Occupational therapists concentrated mainly on daily living skills, and social workers on post-discharge living arrangements. Some front line nurses, held accountable for security lapses, adopted a criminogenic approach. Service users were more likely than professionals to understand their needs in terms of their wider life circumstances. These differences are explored qualitatively in relation to four models of crossdisciplinary relationships: monoprofessional self-organisation combined with restricted communication; hermeneutic reaching out to other perspectives; the establishment of interdisciplinary sub-systems; and transdisciplinary merger. Relationships between professions working in this unit, as portrayed in qualitative interviews, corresponded mainly to the first model of monoprofessional self-organisation. Reasons for restricted crossdisciplinary understanding, particularly the wide power/status differences between the medical and other professions, and between staff and patients, are discussed