Search results for " spread"
showing 10 items of 241 documents
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
2017
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after…
Do sovereign ratings cause instability in cross-border emerging CDS markets?
2020
We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which i…
Credit risk transmission in the European banking sector: the case of the subprime and Eurozone debt crises
2014
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a diversas cuestiones: (i) ¿existe evidencia de transmisión del riesgo de crédito entre las entidades financieras europeas de la Eurozona y las que no pertenecen a dicha zona?, (ii) ¿es esta transmisión bidireccional o unidireccional?, (iii) concretamente, ¿qué países han liderado dicha transmisión?, y (iv) ¿cómo se ha visto afectada dicha transmisión con las recientes crisis financieras? Los resultados indican un cambio significativo en la transmisión del riesgo de crédito con e…
Volatility spillovers in the European bank CDS market
2015
From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads data from January 2006 to March 2013, thispaper sheds light on the impact of three recent significant events ofcredit risk volatility transmission between, firstly, Eurozone andnon-Eurozone banks, and then between distressed peripheral andcore countries inside the Eurozone. We employ an asymmetricmultivariate BEKK model to measure cross-market volatility spil-lovers. We find that both recent crises are distinct episodes. Theglobal financial crisis that originated outside Eu…
The Neapolitan Yellow Tuff caldera offshore the Campi Flegrei: Stratal architecture and kinematic reconstruction during the last 15 ky
2014
In this study we integrate high-resolution swath bathymetry, single channel reflection seismic data and gravity core data, to provide new insights into the shallow structure and latest Quaternary to Holocene evolution of the submerged sector of the Neapolitan Yellow Tuff (NYT) caldera (Campi Flegrei) in the Pozzuoli Bay. The new data allow for a reconstruction of the offshore geometry of the NYT caldera collapse-ring fault system, along with the style and timing of deformation of the inner caldera resurgence.Our interpretation shows that the NYT eruption (~. 15. ka BP) was associated with a caldera collapse bounded by an inward-dipping ring fault system. The ring fault system consists in a …
The effect of genetic complementation on the fitness and diversity of viruses spreading as collective infectious units
2019
Viruses can spread collectively using different types of structures such as extracellular vesicles, virion aggregates, polyploid capsids, occlusion bodies, and even cells that accumulate virions at their surface, such as bacteria and dendritic cells. Despite the mounting evidence for collective spread, its implications for viral fitness and diversity remain poorly understood. It has been postulated that, by increasing the cellular multiplicity of infection, collective spread could enable mutually beneficial interactions among different viral genetic variants. One such interaction is genetic complementation, whereby deleterious mutations carried by different genomes are compensated. Here, we…
Reactions and countermeasures of medical oncologists towards the incoming COVID-19 pandemic: A whatsapp messenger-based report from the Italian colle…
2020
Background This descriptive, unplanned investigation has been undertaken to report reactions, attitudes and countermeasures which have been put in place and implemented by medical oncology units facing the COVID-19 outbreak in Southern Italy. Materials and methods Data have been retrospectively obtained from the time-related analysis of conversations via a WhatsApp messenger-based group chat between the medical directors belonging to the Italian College of Medical Oncology Directors. Overall number, intensity and time trend of conversations related to reactions during the 4 weeks of observation related to the crucial events which occurred between 24 February and 28 March, 2020 2020 are incl…
Preliminary data concerning the morphology of a Calabrian Ionian margin area: Caulonia and Marina di Gioiosa canyons
2008
In the framework of the Vector National Italian Project (VulCost line), aimed to study the role of the morphology and the geology of the Ionian Calabrian margin in the coastline evolution, an oceanographic cruise was planned to collect geophysical data along two canyon systems: Caulonia and Marina di Gioiosa. The survey explored the continental shelf and slope from a depth of 15 m to more than 1150 m, using Multibeam Echosounder to investigate the seafloor topography. This work provides an outline of the erosive feature of the slope, shaped mostly by seasonal river input and by the connection to the structural and geological characteristics of the margin, made interesting by a narrow shelf …
On the spectral moments of non-WSSUS mobile-to mobile double-Rayleigh fading channels
2017
This paper deals with the mathematical analysis of the spectral moments of non-wide-sensestationary uncorrelated-scattering (non-WSSUS) mobile-to-mobile (M2M) double-Rayleigh fading channels. The point of departure is a recently proposed geometry-based statistical model (GBSM) for M2M double-Rayleigh fading channels from which general analytical expressions are derived for the average Doppler shift, Doppler spread, average delay, and delay spread. Closed-form solutions of such expressions are presented for the particular case of the geometrical two-rings scattering model. The obtained results indicate that the average Doppler shift and Doppler spread are directly influenced by not only the …
Instantaneous frequency measurement of dissipative soliton resonant light pulses
2016
Fil: Cuadrado-Laborde, Christian. Universidad de Valencia. Departamento de Física Aplicada y Electromagnetismo. Instituto Universitario de Ciencia de los Materiales; España Fil: Cuadrado-Laborde, Christian. Consejo Nacional de Investigaciones Científicas y Técnicas. Instituto de Física Rosario; Argentina Fil: Cuadrado-Laborde, Christian. Pontificia Universidad Católica Argentina. Facultad de Química e Ingeniería del Rosario; Argentina Fil: Armas Rivera, I. Benemérita Universidad Autónoma de Puebla. Facultad de Ciencias Físico Matemáticas; Mexico Fil: Carrascosa, A. Universidad de Valencia. Departamento de Física Aplicada y Electromagnetismo. Instituto Universitario de Ciencia de los Materia…