The Term Structure of Credit Spreads on Euro Corporate Bonds

Although there is a broad literature on structural credit risk models, there has been little empirical testing of these models.In this paper we examine the term structure of credit spreads on euro corporate bonds and the empirical validation of structural credit risk models.The latter provide a framework to analyze the main determinents of credit spreads.Using a dataset of 1577 investment grade corporate and 250 AAA rated government bonds, we first estimate the term structure of credit spreads for di.erent (sub)rating categories with an extension of the Nelson-Siegel method.Within each rating category, credit spreads on plus rated bonds have significantly higher credit spreads than minus rated bonds.According to the structural models, the results indicate that credit spread changes are significantly negatively correlated with changes in the level and the slope of the default-free term structure.While changes in the slope a.ect all rating categories, changes in the level are more important for higher rated bonds (AAA and AA).The stock return and the implied volatility of the stock price seem to significantly influence credit spread changes.The lower the rating category and the longer the maturity of the bond the stronger both e.ects.For BBB rated bonds, changes in liquidity -measured as the bid-ask spread- significantly influence credit spread changes.Higher rated bonds (AAA and AA) are also driven by past credit spread changes.capital markets;risk management;bonds;volatility;credit risk

The Term Structure of Credit Spreads on Euro Corporate Bonds

Although there is a broad literature on structural credit risk models, there has been little empirical testing of these models.In this paper we examine the term structure of credit spreads on euro corporate bonds and the empirical validation of structural credit risk models.The latter provide a framework to analyze the main determinents of credit spreads.Using a dataset of 1577 investment grade corporate and 250 AAA rated government bonds, we first estimate the term structure of credit spreads for di.erent (sub)rating categories with an extension of the Nelson-Siegel method.Within each rating category, credit spreads on plus rated bonds have significantly higher credit spreads than minus rated bonds.According to the structural models, the results indicate that credit spread changes are significantly negatively correlated with changes in the level and the slope of the default-free term structure.While changes in the slope a.ect all rating categories, changes in the level are more important for higher rated bonds (AAA and AA).The stock return and the implied volatility of the stock price seem to significantly influence credit spread changes.The lower the rating category and the longer the maturity of the bond the stronger both e.ects.For BBB rated bonds, changes in liquidity -measured as the bid-ask spread- significantly influence credit spread changes.Higher rated bonds (AAA and AA) are also driven by past credit spread changes.

Neisseria oralis sp. nov., isolated from healthy gingival plaque and clinical samples

A polyphasic analysis was undertaken of seven independent isolates of Gram-negative cocci collected from pathological clinical samples from New York, Louisiana, Florida and Illinois and healthy subgingival plaque from a patient in Virginia, USA. The 16S rRNA gene sequence similarity among these isolates was 99.7–100 %, and the closest species with a validly published name was Neisseria lactamica (96.9 % similarity to the type strain). DNA–DNA hybridization confirmed that these isolates are of the same species and are distinct from their nearest phylogenetic neighbour, N. lactamica. Phylogenetic analysis of 16S and 23S rRNA gene sequences indicated that the novel species belongs in the genus Neisseria. The predominant cellular fatty acids were C16 : 0, summed feature 3 (C16 : 1ω7c and/or iso-C15 : 0 2-OH) and C18 : 1ω7c. The cellular fatty acid profile, together with other phenotypic characters, further supports the inclusion of the novel species in the genus Neisseria. The name Neisseria oralis sp. nov. (type strain 6332T = DSM 25276T = LMG 26725T) is proposed

A Relay Prevention Technique for Near Field Communication

The use of near field communication (NFC) has expanded as rapidly as Bluetooth or similar technologies and shows no signs of slowing down. It is used in many different systems such as contactless payment processing, movie posters, security access and passport identification. NFC enabled devices include cell phones, credit cards and key chains. With the spread of any new technology come security vulnerabilities that malicious users will try to exploit. NFC is particularly vulnerable to what is known as a relay attack. The relay attack is similar to the man-in-the-middle attack but the data need not be unencrypted to be vulnerable. The relay attack is currently undetectable and unstoppable. Many solutions have been proposed but no real-world solution has been found that does not require significant changes to the NFC protocol, or even the hardware. In this work we propose a technique that uses careful timing analysis of tag communication to identify a transaction as dangerous and thus set off an alert of the potential threat. This could be built into mobile devices and readers already deployed and provide a level of security to the market not currently available while maintaining the protocols set forth by the ISO. A proof of concept has been built and tested on custom hardware as well as on an Android Nexus 4 to detect and prevent the relay attack. In this thesis we give an overview of security issues in NFC communication, describe the relay attack in detail, present our timing based countermeasures and its implementation, and give results of our evaluation of timing based relay prevention

Hazenella coriacea gen. nov., sp nov., isolated from clinical specimens

A Gram-staining-positive, endospore-forming rod was isolated independently from clinical specimens in New York State, USA, once in 2009 and twice in 2011. The three isolates had identical 16S rRNA gene sequences and, based on their 16S rRNA gene sequence, are most closely related to the type strains of Laceyella sediminis and L. sacchari (94.6% similarity). The partial 23S rRNA gene sequences of the three strains were also 100% identical. Maximumlikelihood phylogenetic analysis suggests that the new isolates belong to the family Thermoactinomycetaceae. Additional biochemical and phenotypic characteristics of the strains support the family designation and suggest that the three isolates represent a single species. In each of the strains, the predominant menaquinone is MK-7, the diagnostic diamino acid is mesodiaminopimelic acid and the major cellular fatty acids are iso-C15 : 0, anteiso-C15 : 0 and iso-C13 : 0. The polar lipids are phosphatidylglycerol, diphosphatidylglycerol, phosphatidylethanolamine, four unknown phospholipids, four unknown aminophospholipids and an unknown lipid. It is proposed that the novel isolates represent a single novel species within a new genus, for which the name Hazenella coriacea gen. nov., sp. nov. is proposed. The type strain of Hazenella coriacea is strain 23436T (5DSM 45707T5LMG 27204T)

Neisseria oralis sp. nov., isolated from healthy gingival plaque and clinical samples

A polyphasic analysis was undertaken of seven independent isolates of Gram-negative cocci collected from pathological clinical samples from New York, Louisiana, Florida and Illinois and healthy subgingival plaque from a patient in Virginia, USA. The 16S rRNA gene sequence similarity among these isolates was 99.7–100 %, and the closest species with a validly published name was Neisseria lactamica (96.9 % similarity to the type strain). DNA–DNA hybridization confirmed that these isolates are of the same species and are distinct from their nearest phylogenetic neighbour, N. lactamica. Phylogenetic analysis of 16S and 23S rRNA gene sequences indicated that the novel species belongs in the genus Neisseria. The predominant cellular fatty acids were C16 : 0, summed feature 3 (C16 : 1ω7c and/or iso-C15 : 0 2-OH) and C18 : 1ω7c. The cellular fatty acid profile, together with other phenotypic characters, further supports the inclusion of the novel species in the genus Neisseria. The name Neisseria oralis sp. nov. (type strain 6332T = DSM 25276T = LMG 26725T) is proposed

Modelling credit spreads with time volatility, skewness, and kurtosis

This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bond indices in the US credit market. To overcome the idiosyncratic nature of credit spread data reflected in time varying volatility, skewness and thick tails, it proposes asymmetric GARCH models with alternative probability density functions. The results show that credit spread changes are mainly explained by the interest rate and interest rate volatility, the slope of the yield curve, stock market returns and volatility, the state of liquidity in the corporate bond market and, a heretofore overlooked variable, the foreign exchange rate. They also confirm that the asymmetric GARCH models and Student-t distributions are systematically superior to the conventional GARCH model and the normal distribution in in-sample and out-of-sample testing