Credit and liquidity risks in euro area sovereign yield curves

In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage-free valuation framework involves five factors and two regimes, one of the latter being interpreted as a crisis regime. These common factors and regimes explain most of the fluctuations in euro-area yields and spreads. The regime-switching feature of the model turns out to be particularly relevant to capture the rise in volatility experienced by fixed-income markets over the last years. In our reduced-form set up, each country is characterized by a hazard rate, specified as some linear combinations of the factors and regimes. The hazard rates incorporate both liquidity and credit components, that we aim at disentangling. The estimation suggests that a substantial share of the changes in euro-area yield differentials is liquidity-driven. Our approach is consistent with the fact that sovereign default risk is not diversifiable, which gives rise to specific risk premia that are incorporated in spreads. Once liquidity-pricing effects and risk premia are filtered out of the spreads, we obtain estimates of the actual –or real-world– default probabilities. The latter turn out to be significantly lower than their risk-neutral counterparts.default risk, liquidity risk, term structure of interest rates, regime-switching, euro-area spreads.

High-attitude low-speed static aerodynamic characteristics of an F-4D fighter airplane model with leading edge slats

An investigation was conducted to determine the effects of two-position leading edge slats on the low speed aerodynamic characteristics of a swept wing twin-jet supersonic fighter airplane model at high angle of attack and various Reynolds numbers. The investigation was performed at a Mach number of 0.20 over a range of angle of attack from 19 deg to 90 deg and angles of slideslip from -10 deg to 30 deg and Reynolds numbers from 1.97 to 13.12 million per meter

Real convergence in Europe: a cluster analysis

In this paper we analyse real convergence in GDP per worker in the EU member states. The aim is to test whether there is evidence of club convergence in the EU, i.e. divergence in GDP per worker. Evidence in favour of cluster or club convergence may be an indication of significant productivity divergences between countries, which may also explain the current turmoil in the euro zone. The results show evidence of different economic growth rates within Europe, which also converge to different steady states, implying divergence in the EU-14. Within the EU-14 member states we observe two convergence clubs, which are not related to the fact that some countries belong to the euro area. Furthermore, Eastern European countries are also divided in two clubs, with a more direct effect of belonging to the euro zone in the composition of the clubs

Taking into account extreme events in European option pricing.

According to traditional option pricing models,1 financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we compare the option prices obtained from the standard Black and Scholes model with those resulting from our model. We show that the traditional model leads to an overvaluation of at-the-money options, which are the most traded options, while the less liquid in-the-money and out-of-the-money options are undervalued.

Taxonomic clarification in W-Mediterranean Androcymbium (Colchicaceae): A. wyssianum sunk in the synonymy of A.gramineum and A.europaeum restored

Capsule dehiscence has been used as a diagnostic character for W Mediterranean species of Androcymbium. Depending on the state of capsule maturity, the character, however, can be ambiguous in herbarium material. Based on morphological, phenological and cpDNA characters it is shown that misinterpretation of the capsule as indehiscent in the type material of A. gramineum has led to serious taxonomic confusion. The combined analyses produced evidence that A. gramineum of the population from the type locality at Essaouira, Morocco, is conspecific with A. wyssianum. A. gramineum is therefore the correct name for the species with dehiscent capsules, whereas the populations with indehiscent capsules at the Atlantic coast north of Essaouira and in SE Spain represent a second species, which is correctly named A. europaeu

Required Capital for Long-Run Risks

National audienceOne of the objectives of the recent microprudential regulation is to separate the computation of required capital for short-run and long-run risks. This paper provides a coherent framework to define, compute, and update these components. The approach is developed in greater details in the context of the transition to low-carbon economies. A numerical example is given

Effect of Lewis Acids on the Catalyst Activity for Alkene Metathesis, Z-/E- Selectivity and Stability of Tungsten Oxo Alkylidenes

Altres ajuts: Acord transformatiu CRUE-CSICLewis acids increase the catalytic activity of classical heterogeneous catalysts and molecular d tungsten oxo alkylidenes in a variety of olefin metathesis processes. The formation of labile adducts between the metal complex and the Lewis acid has been observed experimentally and suggested to be involved in the catalyst activity increase. In this contribution, DFT (M06) calculations have been performed to determine the role of Lewis acids on catalyst activity, Z-/E- selectivity and stability by comparing three W(E)(CHR)(2,5-dimethylpyrrolide)(O-2,6-dimesithylphenoxide) (E = oxo, imido or oxo-Lewis acid adduct) alkylidenes. Results show that the formation of the alkylidene-Lewis acid adducts influences the reactivity of tungsten oxo alkylidenes due to both steric and electronic effects. The addition of the Lewis acid on the E group increases its bulkiness and this decreases catalyst Z-selectivity. Moreover, the interaction between the oxo ligand and the Lewis acid decreases the donating ability of the former toward the metal. This is important when the oxo group has either a ligand in trans or in the same plane that is competing for the same metal d orbitals. Therefore, the weakening of oxo donating ability facilitates the cycloaddition and cycloreversion steps and it stabilizes the productive trigonal bipyramid metallacyclobutane isomer. The two factors increase the catalytic activity of the complex. The electron donating tuneability by the coordination of the Lewis acid also applies to catalyst deactivation and particularly the key β-hydride elimination step. In this process, the transition states show a ligand in pseudo trans to the oxo. Therefore, the presence of the Lewis acid decreases the Gibbs energy barrier significantly. Overall, the optimization of the E group donating ability in each step of the reaction makes tungsten oxo alkylidenes more reactive and this applies both for the catalytic activity and catalyst deactivation

Development of a compact fluorescence spectroscopy sensor for non-invasive monitoring gut function

Monitoring gut permeability is currently either invasive, inaccurate or difficult to perform in infants. We present a compact fluorescence sensor that overcomes some of these limitations, paving the way for non-invasive gut permeability monitoring

Optical Absorption by Indirect Excitons in a Transition Metal Dichalcogenide Double Layer

We calculate the binding energy, transition energies, oscillator strength, and absorption coefficient of indirect excitons in transition metal dichalcogenide (TMDC) double layers separated by an integer number of hexagonal boron nitride (h-BN) monolayers. The absorption factor, a dimensionless quantity which gives the fraction of incoming photons absorbed by the indirect excitons in the double layer, is evaluated. The aforementioned optical quantities are obtained for transitions from the ground state to the first two excited states. All quantities are studied as a function of the interlayer separation, which may be experimentally controlled by varying the number of h-BN monolayers between the TMDC layers. Calculations are performed by using the exciton wave function and eigenenergies obtained for the Keldysh potential. For each material, we choose a combination of the exciton reduced mass and the dielectric screening length from the existing literature which give the largest and the smallest indirect exciton binding energy. These combinations of material parameters provide upper and lower bounds on all quantities presented. Our findings can be examined experimentally via two-photon spectroscopy.Comment: 13 pages, 3 figure

Prescripció de programes d’entrenament abdominal. Revisió i posada al dia

L’èxit dels programes d’entrenament abdominal depèn de factors múltiples, principalment, del nombre i tipus d’exercicis utilitzats, del tipus i velocitat de contracció muscular i de la intensitat, volum i freqüència de l’entrenament. L’objectiu del nostre treball és revisar aquests factors i aportar informació per a la prescripció de programes d’entrenament abdominal. Segons els treballs existents a la literatura, cada sessió ha d’combinar tipus d’exercicis diversos: exercicis de flexió del tronc per al desenvolupament del recte de l’abdomen, exercicis de rotació i de flexió lateral per al desenvolupament dels músculs oblics i exercicis d’estabilització per millorar la funció abdominal estabilitzadora. Es recomana la utilització d’intensitats elevades (pesos, màquines de musculació, etc.) per tal de desenvolupar la força abdominal i grans volums d’entrenament (15-30 repeticions per sèrie o més) per a l’increment de la resistència. En general, es realitzen tres sessions d’entrenament setmanals en dies alterns, encara que dues sessions podrien ser suficients per al condicionament de la musculatura abdominal en individus no entrenats