On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach

The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a VAR framework via a Factor Augmented Vector Autoregressive (FAVAR) approach to analyse the role of risk interactions with monetary policy shocks. We find that the impact of a restrictive monetary policy shock on credit risk is amplified when considering the feedback effect deriving from macroeconomic and equity market risk. Thus, neglecting dynamic interactions among risks may lead to biased estimates of the overall risk measure. The approach provides a framework for modelling macro and financial feedback dynamics, shedding some light on the complex interdependence between the financial sector and the real economy.FAVAR approach, credit risk, market risk, factor model

Are there asymmetries in the response of bank interest rates monetary shocks?

This paper examines the velocity and asymmetry in the response of bank interest rates to monetary policy shocks. Using an Asymmetric Vector Error Correction Model (AVECM), it analyses the pass-through of changes in the money market rates to retail bank interest rates in Italy in the period 1985-2002. The main results of the paper are: 1) the speed in adjustment of bank interest rates to monetary policy changes have significantly increased after the introduction of the 1993 Consolidated Law on Banking; 2) interest rate adjustment, in response to positive and negative shocks, are asymmetric in the short run, but not in the long run; 3) banks adjust their loan (deposit) rate at a faster rate during period of monetary tightening (easing); 4) this asymmetry has almost vanished since the nineties.monetary policy transmission, interest rates, asymmetries, liberalization

Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure

The paper develops a Value-at-Risk methodology to assess Italian banksÂ’ interest rate risk exposure. By using 5 years of daily data, the exposure is evaluated through a Principal Component VaR based on Monte Carlo simulation according to two different approaches (parametric and non-parametric). The main contribution of the paper is a methodology for modelling interest rate changes when underlying risk factors are skewed and heavy-tailed. The methodology is then implemented on a one year holding period in order to compare the results from those resulting from the Basel II standardized approach. We find that the risk measure proposed by Basel II gives an adequate description of risk, provided that duration parameters are changed to reflect market conditions. Finally, the methodology is used to perform a stress testing analysis.Interest rate risk, VAR, PCA, Non-normality, Non parametric methods

Improving diet quality and micronutrient nutrition: Homestead food production in Bangladesh

millions fed, food security, Homestead food production, HFP, Micronutrient, Homestead garden,

Pharmacological Actions and Potential Therapeutic Use of Cannabinoids in Duchenne’s Muscular Dystrophy

The scientific community uses the term endocannabinoid system (ECS) to refer to a large group of molecules that in our body control the production and function of the two major cannabinoid lipid mediators, namely, anandamide (AEA) and 2-arachidonoylglycerol (2-AG). Following their discovery, an impressive number of studies have shown that both AEA and 2-AG play a key role in a large plethora of functions in living organisms. Consequently, functional impairment or dysregulation of AEA and 2-AG activity leads to a variety of disorders affecting the nervous system as well as peripheral organs and tissues. For this reason, cannabinoids and/or cannabinoid synthetic drugs currently represent an important area of research for their potential therapeutic use to treat many human diseases having or not a genetic component. Despite these evidences, the role of the endocannabinoid system and hence potential changes in its activity in inherited muscular dystrophies remains largely unknown. Only recently, the role of endocannabinoid CB1 receptors was identified in Duchenne’s muscular dystrophy (DMD). In this chapter, I summarize the chemical properties and functional role of the endocannabinoids as well as plant-derived cannabinoids during skeletal muscle formation and repair under physiological conditions as well as DMD

La gestione della domanda IT: modelli di riferimento, realta odierne e sviluppi futuri

Ad oggi è indiscusso il ruolo di fondamentale importanza che l'IT ricopre per il business. In un contesto sempre più dinamico e sempre più complesso diventa cruciale adottare meccanismi di governance adeguati, che permettano di tenere allineati gli obiettivi IT agli obiettivi Business. Lo studio, frutto dell'esperienza lavorativa maturata presso Nolan Norton Italia (NNI), società di Management Advisory dell'ICT, si è concentrato sugli aspetti di gestione della domanda IT. Partendo dall'analisi dei framework di riferimento per l'IT governance, il lavoro analizza i modelli di gestione IT tradizionali, evidenziandone i punti critici; si focalizza successivamente sulle metodologie di gestione della domanda IT, richiamando le indicazioni dai framework di IT governance; infine propone un modello di sintesi indicandone vantaggi, ruoli e responsabilità. L'analisi è arricchita da due case studies, relativi a progetti presso clienti dell'area Financial Services, che hanno visto l'autore direttamente coinvolto: - nel primo caso l'autore ha potuto analizzare il processo di demand dalla prospettiva dell'ufficio PMO, a supporto della fase di pianificazione e controllo dei progetti in corso d'opera; - nel secondo caso l'autore è stato coinvolto nell'implementazione di un tool a supporto dei processi di IT governance e ha collaborato a stretto contatto con i responsabili del demand

Twisted Index on Hyperbolic Four-Manifolds

We introduce the topologically twisted index for four-dimensional $\mathcal N=1$ gauge theories quantized on ${\rm AdS}_2 \times S^1$. We compute the index by applying supersymmetric localization to partition functions of vector and chiral multiplets on ${\rm AdS}_2 \times T^2$, with and without a boundary: in both instances we classify normalizability and boundary conditions for gauge, matter and ghost fields. The index is twisted as the dynamical fields are coupled to a R-symmetry background 1-form with non-trivial exterior derivative and proportional to the spin connection. After regularization the index is written in terms of elliptic gamma functions, reminiscent of four-dimensional holomorphic blocks, and crucially depends on the R-charge.Comment: 22 page

Family Gym: A Novel Initiative to Prevent Obesity among Families with Young Children

Family Gym is a program that occurs every Saturday at one of three community centers. In this program, parents bring their child(ren) in for up to 90 minutes to play in areas equipped with engaging, age-appropriate activities. Each area is staffed by student activity leaders trained to make the experience safe and fun. Parents are encouraged to play with their child(ren). The research aspect of Family Gym is observing the families and how they interact as well as their activity level. As a research team, we want to learn how parents participating in physical activity with their child(ren) affects both the parent and the child(ren)’s physical activity and health

Multilevel correlates of household anthropometric typologies in Colombian mothers and their infants

Background. The aim of this study was to establish the association of maternal, family, and contextual correlates of anthropometric typologies at the household level in Colombia using 2005 Demographic Health Survey (DHS/ENDS) data.Methods. Household-level information from mothers 18-49 years old and their children less than 5 years old was included. Stunting and overweight were assessed for each child. Mothers were classified according to their body mass index. Four anthropometric typologies at the household level were constructed: normal, underweight, overweight, and dual burden. Four three-level [households (n = 8598) nested within municipalities (n = 226), nested within states (n = 32)] hierarchical polytomous logistic models were developed. Household log-odds of belonging to one of the four anthropometric categories, holding 'normal' as the reference group, were obtained.Results. This study found that anthropometric typologies were associated with maternal and family characteristics of maternal age, parity, maternal education, and wealth index. Higher municipal living conditions index was associated with a lower likelihood of underweight typology and a higher likelihood of overweight typology. Higher population density was associated with a lower likelihood of overweight typology.Conclusion. Distal and proximal determinants of the various anthropometric typologies at the household level should be taken into account when framing policies and designing interventions to reduce malnutrition in Colombia. Copyright © The Author(s) 2018