Market dynamics associated with credit ratings: a literature review.

Credit ratings produced by the major credit rating agencies (CRAs) aim to measure the creditworthiness, or more specifically the relative creditworthiness of companies, i.e. their ability to meet their debt servicing obligations. In principle, the rating process focuses on the fundamental long-term credit strength of a company. It is typically based on both public and private information, except for unsolicited ratings, which focus only on public information. The basic rationale for using ratings is to achieve information economies of scale and solve principal-agent problems. Partly for the same reasons, the role of credit ratings has expanded significantly over time. Regulators, banks and bondholders, pension fund trustees and other fiduciary agents have increasingly used ratings-based criteria to constrain behaviour. As a result, the influence of the opinions of CRAs on markets appears to have grown considerably in recent years. One aspect of this development is its potential impact on market dynamics (i.e. the timing and path of asset price adjustments, credit spreads, etc.), either directly, as a consequence of the information content of ratings themselves, or indirectly, as a consequence of the “hardwiring” of ratings into regulatory rules, fund management mandates, bond covenants, etc. When considering the impact of ratings and rating changes, two conclusions are worth highlighting. – First, ratings correlate moderately well with observed credit spreads, and rating changes with changes in spreads. However, other factors, such as liquidity, taxation and historical volatility clearly also enter into the determination of spreads. Recent research suggests that reactions to rating changes may also extend beyond the immediately-affected company to its peers, and from bond to equity prices. Furthermore, this price reaction to rating changes seems to be asymmetrical, i.e. more pronounced for downgrades than for upgrades, and may be more significant for equity prices than for bond prices. – Second, the hardwiring of regulatory and market rules, bond covenants, investment guidelines, etc., to ratings may influence market dynamics, and potentially lead to or magnify threshold effects. The more that different market participants adopt identical ratings-linked rules, or are subject to similar ratings-linked regulations, the more “spiky” the reaction to a credit event is likely to be. This reaction may include, in some cases, the emergence of severe liquidity pressures. Efforts have recently been made, notably with support from the rating agencies themselves, to encourage a more systematic disclosure of rating triggers and to renegotiate and smooth the possibly more destabilising forms of rating triggers. However, the lack of a clear disclosure regime makes it difficult to assess how far this process has evolved. Questions also remain as to the extent to which ratings-based criteria introduce a fundamentally new element into market behaviour, or, conversely, the extent to which they are simply a va riant of more traditional contractual covenants. Rating agencies strive to provide credit assessments that remain broadly stable through the course of the business cycle (rating “through the cycle”). Agencies and other analysts frequently contrast the fundamental credit analysis on which ratings are based with market sentiment — measured for example by bond spreads — which is arguably subject to more short-term influences. Agencies are adamant that they do not directly incorporate market sentiment into ratings (although they may use market prices as a diagnostic tool). On the contrary, they make every effort to exclude transient market sentiment. However, as reliance on ratings grows, CRAs are being increasingly expected to satisfy a widening range of constituencies, with different, and even sometimes conflicting, interests: issuers and “traditional” asset managers will look for more than a simple statement of near-term probability of loss, and will stress the need for ratings to exhibit some degree of stability over time. On the other hand, mark-to-market traders, active investors and risk managers may seek more frequent indications of credit changes. Hence, in the wake of major bankruptcies with heightened credit stress, rating agencies have been under considerable pressure to provide higher-frequency readings of credit status, without loss of quality. So far, they have responded to this challenge largely by adding more products to their traditional range, but also through modifications in the rating process. The rating process and the range of products offered by rating agencies have thus evolved over time, with, for instance, an increasing emphasis on the analysis of liquidity risks, a new focus on the hidden liabilities of companies and an increased use of market-based tools. It is too early, however, to judge whether these changes should simply be regarded as a refinement of the agencies’ traditional methodology or whether they suggest a more fundamental shift in the approach to credit risk measurement. For the same reason, it is not possible to draw any firm conclusions about changes in the effects of credit ratings on market dynamics.

The UNAM-KIAS Catalog of Isolated Galaxies

A new catalog of isolated galaxies from The Sloan Digital Sky Survey (DR5) is presented. 1520 isolated galaxies were found in 1.4 steradians of sky. The selection criteria in this so called UNAM-KIAS catalog was implemented from a variation on the criteria developed by Karachentseva 1973 including full redshift information. Through an image processing pipeline that takes advantage from the high resolution (~ 0.4 ''/pix) and high dynamic range of the SDSS images, a uniform g band morphological classification for all these galaxies is presented. We identify 80% (SaSm) spirals (50% later than Sbc types) on one hand, and a scarce population of early-type E(6.5%) and S0(8%) galaxies amounting to 14.5% on the other hand. This magnitude-limited catalog is ~ 80% complete at 16.5, 15.6, 15.0, 14.6 and 14.4 magnitudes in the ugriz bands respectively. Some representative physical properties including SDSS magnitudes and color distributions, color-color diagrams, absolute magnitude-color, and concentration-color diagrams as a function of morphological type are presented. The UNAM-KIAS Morphological Atlas is also released along with this paper. For each galaxy of type later than Sa, a mosaic is presented that includes: (1) a g-band logarithmic image, (2) a g band filtered-enhanced image where a Gaussian kernel of various sizes was applied and (3) an RGB color image from the SDSS database. For E/S0/Sa galaxies, in addition to the images in (1), (2) and (3), plots of r band surface brightness and geometric profiles (ellipticity, Position Angle PA and A4/B4 coefficients of the Fourier series expansions of deviations of a pure ellipse) are provided...Comment: 40 pages, 17 figures and 3 table

The UNAM-KIAS Catalog of Isolated Galaxies

A new catalog of isolated galaxies from The Sloan Digital Sky Survey (DR5) is presented. 1520 isolated galaxies were found in 1.4 steradians of sky. The selection criteria in this so called UNAM-KIAS catalog was implemented from a variation on the criteria developed by Karachentseva 1973 including full redshift information. Through an image processing pipeline that takes advantage from the high resolution (~ 0.4 ''/pix) and high dynamic range of the SDSS images, a uniform g band morphological classification for all these galaxies is presented. We identify 80% (SaSm) spirals (50% later than Sbc types) on one hand, and a scarce population of early-type E(6.5%) and S0(8%) galaxies amounting to 14.5% on the other hand. This magnitude-limited catalog is ~ 80% complete at 16.5, 15.6, 15.0, 14.6 and 14.4 magnitudes in the ugriz bands respectively. Some representative physical properties including SDSS magnitudes and color distributions, color-color diagrams, absolute magnitude-color, and concentration-color diagrams as a function of morphological type are presented. The UNAM-KIAS Morphological Atlas is also released along with this paper. For each galaxy of type later than Sa, a mosaic is presented that includes: (1) a g-band logarithmic image, (2) a g band filtered-enhanced image where a Gaussian kernel of various sizes was applied and (3) an RGB color image from the SDSS database. For E/S0/Sa galaxies, in addition to the images in (1), (2) and (3), plots of r band surface brightness and geometric profiles (ellipticity, Position Angle PA and A4/B4 coefficients of the Fourier series expansions of deviations of a pure ellipse) are provided...Comment: 40 pages, 17 figures and 3 table

Biochemical, bone and renal patterns in hyperparathyroidism associated with multiple endocrine neoplasia type 1

Primary hyperparathyroidism associated with multiple endocrine neoplasia type I (hyperparathyroidism/multiple endocrine neoplasia type 1) differs in many aspects from sporadic hyperparathyroidism, which is the most frequently occurring form of hyperparathyroidism. Bone mineral density has frequently been studied in sporadic hyperparathyroidism but it has very rarely been examined in cases of hyperparathyroidism/multiple endocrine neoplasia type 1. Cortical bone mineral density in hyperparathyroidism/multiple endocrine neoplasia type 1 cases has only recently been examined, and early, severe and frequent bone mineral losses have been documented at this site. Early bone mineral losses are highly prevalent in the trabecular bone of patients with hyperparathyroidism/multiple endocrine neoplasia type 1. In summary, bone mineral disease in multiple endocrine neoplasia type 1-related hyperparathyroidism is an early, frequent and severe disturbance, occurring in both the cortical and trabecular bones. In addition, renal complications secondary to sporadic hyperparathyroidism are often studied, but very little work has been done on this issue in hyperparathyroidism/multiple endocrine neoplasia type 1. It has been recently verified that early, frequent, and severe renal lesions occur in patients with hyperparathyroidism/multiple endocrine neoplasia type 1, which may lead to increased morbidity and mortality. In this article we review the few available studies on bone mineral and renal disturbances in the setting of hyperparathyroidism/multiple endocrine neoplasia type 1. We performed a meta-analysis of the available data on bone mineral and renal disease in cases of multiple endocrine neoplasia type 1-related hyperparathyroidism

Model for the analysis of the structural failure of the clay core in rockfill dams due to overtopping, A

Presented at the Protections 2016: 2nd international seminar on dam protection against overtopping: concrete dams, embankment dams, levees, tailings dams held on 7th-9th September, 2016, at Colorado State University in Fort Collins, Colorado, USA. The increasing demand for dam and levee safety and flood protection has motivated new research and advancements and a greater need for cost-effective measures in overtopping protection as a solution for overtopping concerns at levees and dams. This seminar will bring together leading experts from practice, research, development, and implementation for two days of knowledge exchange followed by a technical tour of the Colorado State University Hydraulic Laboratory with overtopping flume and wave simulator. This seminar will focus on: Critical issues related to levees and dams; New developments and advanced tools; Overtopping protection systems; System design and performance; Applications and innovative solutions; Case histories of overtopping events; Physical modeling techniques and recent studies; and Numerical modeling methods.Includes bibliographical references.In 2014 the Dam Safety Research Group (SERPA) of the Technical University of Madrid performed several tests to assess the behavior of rockfill dams in overtopping scenarios. A structural failure pattern of the clay core was observed, as expected. Hence, it was concluded that a model to simulate the observed failure mechanisms was needed. The model described herein provides the first results on assessment of the clay core stability following failure of the downstream shell. The failure process may result in one or more brittle and abrupt breakage phases of the core, herein classified as structural breakages, as opposed to the progressive failure caused by the erosion of the cohesive material. Thus, total or partial failure of the clay core occurs when the acting forces reach one of the instability conditions: overturning or sliding. The model was utilized to retroactively analyze two experiments carried out in the laboratory; the results obtained were consistent with the experimental measurements. The model is based on simple mechanical principles, but represents a paradigm shift in the interpretation and evaluation of the overtopping failure processes, especially since it results in a failure hydrograph different from those typically adopted, and therefore, has repercussions in the development of emergency plans