Search results for " SWAP"
showing 10 items of 66 documents
‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk
2012
A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk mitigation for banks' assets has led to the idea of too interconnected to fail (TITF) resulting, as in the case of AIG, of a tax payer bailout. We provide an empirical reconstruction of the US CDS network based on the FDIC Call Reports for off balance sheet bank data for the 4th quarter in 2007 and 2008. The propagation of financial contagion in networks with dense clustering which reflects high concentration or localization of exposures between few parti…
Future directions in international financial integration research - A crowdsourced perspective
2018
This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This paper highlights the actual state of scientific knowledge in a multitude of fields in finance and proposes different directions for future research.
Dynamic Asset Allocation Strategies Based on Unexpected Volatility
2013
In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to expected future returns and positively related to future volatility. We demonstrate how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, we demonstrate that active strategies based on unexpected volatility outperform the popular active strategy with volatility target mechanism and have the edge over the widely reputed market timing strategy with 10-month simple moving average rule.
Determining the RMB Exchange Regime
2011
Although China has claimed since 2005 that it will move towards a more market-oriented system of managing its foreign exchange, it has remained, in part, a managed economic system. This chapter examines the relative importance of fundamentalist, chartist and currency arrangements in determining the RMB exchange regime using both traditional linear and non-linear artificial intelligence models. We find that the emphasis on the US dollar as a reference currency has declined. Fundamentalist forces are becoming strong determinants of the currency exchange. The genetic programming approach is among the best performing in minimizing forecasting error.
Gestione dell’irrigazione del vigneto attraverso l’uso di modelli di simulazione e misure di campo.
2008
In the paper the applicability of a numerical model, i.e. SWAP (Soil Water Atmosphere Plant), and a functional model, i.e. FAO 56, for irrigation scheduling is assessed. Model validation was initially carried out through the comparison between simulated and measured water content of a soil profile. The two models were then used in order to verify the possibility to simulate the typical irrigation management of the study area. In particular, the attitude of the two models to simulate the number and the distribution of watering, as well as the seasonal water consumption found in the ordinary management irrigation was assessed. Different scenarios of irrigation management allowed the analysis …
Comparison of SWAP and FAO Agro-Hydrological Models to Schedule Irrigation of Wine Grapes
2012
This paper compares two agro-hydrological models that are used to schedule irrigation of a typical Mediterranean crop. In particular, a comparison between the Food and Agriculture Organization (FAO) model, which uses a black box approach, and the soil-water-atmosphere-plant (SWAP) model, which is based on the numerical analysis of Richards' equation, are shown for wine grape. The comparison was carried out for the 2005 and 2006 irrigation seasons and focused on hydrological balance components and on soil water contents. Next, the ordinary scheduling parameters were identified so that the performance of the two models, which aimed to evaluate the seasonal water requirements and the irrigatio…
Estimation of Mediterranean crops evapotranspiration by means of remote-sensing based models
2009
Abstract. Actual evapotranspiration from typical Mediterranean crops has been assessed in a Sicilian study area by using Surface Energy Balance and Agro-Hydrological models. Both modelling approaches require remotely sensed data to estimate evapotranspiration fluxes in a spatially distributed way. The first approach exploits visible (VIS), near-infrared (NIR) and thermal (TIR) observations to solve the surface energy balance equation. To this end two different schemes have been tested: the two-sources TSEB model, where soil and vegetation components of the surface energy balance are treated separately, and the widely used one-source SEBAL model, where soil and vegetation are considered as a…
Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market
2010
What are the dominant stocks which drive the correlations present among stocks traded in a stock market? Can a correlation analysis provide an answer to this question? In the past, correlation based networks have been proposed as a tool to uncover the underlying backbone of the market. Correlation based networks represent the stocks and their relationships, which are then investigated using different network theory methodologies. Here we introduce a new concept to tackle the above question--the partial correlation network. Partial correlation is a measure of how the correlation between two variables, e.g., stock returns, is affected by a third variable. By using it we define a proxy of stoc…
Why banks are not too big to fail - evidence from the CDS market
2013
This paper argues that bank size is not a satisfactory measure of systemic risk because it neglects aspects such as interconnectedness, correlation, and the economic context. In order to differentiate the effect of bank size from that of systemic importance, we control for systemic risk using the CoVaR measure introduced by Adrian and Brunnermeier (2011). We show that a bank's contribution to systemic risk has a significant negative effect on banks’ credit default swap (CDS) spreads, supporting the too‐systemic‐to‐fail hypothesis. Once we control for systemic risk, bank size (relative to gross domestic product (GDP)) has either no or a positive effect on banks’ CDS spreads. The effect of ba…
Long-Run Growth and Volatility: Which Source Really Matters
2010
The aim of the article is to analyse the relationship between long-run growth and business cycle volatility. In particular, the main purpose of this article is to identify which source of volatility is most detrimental to growth. Using cross-country data from 1970 to 2000, and several indicators of volatility (such as inflation, exchange rate, government expenditure, output and investment volatility) this article shows that although, all these measures of volatility are remarkably harmful for growth, business cycle investment volatility is the main source that hampers long-run growth. This relation is robust to different measures of business cycle, and to different sub-samples of countries.