Excess liquidity premia of single-name CDS vs iTraxx/CDX spreads: 2007-2017

2019 ◽  
Vol 37 (1) ◽  
pp. 18-27
Author(s):  
Mariya Gubareva
Keyword(s):  
North America ◽  
Term Structure ◽  
Credit Default Swap ◽  
Liquidity Premium ◽  
Content Type ◽  
Long Run ◽  
Excess Liquidity ◽  
The Mean ◽  
Liquidity Premia ◽  
Risk Parameters

Purpose The aim of this research is twofold. First, we study average levels of liquidity for long-run through-the-cycle periods, which potentially allow eliminating procyclicality from risk parameters used for expected credit-loss calculations. Second, we investigate to what extent the relative illiquidity of individual credit default swap (CDS) contracts affects their spreads in comparison with the respective CDS indices. Design/methodology/approach Based on the iTraxx Europe CDS index covering European firms and the CDX North America CDS index covering US firms, as well as on individual CDS transactions involving the reference entities constituting these two benchmark indices, we investigate the excess liquidity premia in spreads of the single-name CDS contracts over the spreads of the iTraxx and CDX indices over 2007-2017. Findings First, single-name CDS excess liquidity premia depend on CDS contract maturity. Second, the long-run average spread of a benchmark index may stay as low as three-fourths of the respective long-run average of the mean of the single-name CDS spreads, meaning that the excess liquidity premium may be as high as one-fourth of the firm-specific CDS spread. Third, the term structure of the excess liquidity differs between the Europe and North America geographies. Fourth, on average, the excess liquidity premia in the single-name CDS spreads over the respective CDS indices diminish with increasing maturities of CDS contracts. Originality/value No previous research addresses differences between the liquidity component in a benchmark CDS index spreads and the mean spread averaged across the constituents of the index. Our work fills this gap.

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan

2017 ◽  
Vol 18 (4) ◽  
pp. 368-380
Author(s):  
Abdul Rashid ◽  
Farooq Ahmad ◽  
Ammara Yasmin
Keyword(s):  
Exchange Rate ◽  
Credit Default Swap ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Credit Default ◽  
Macroeconomic Indicators ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate

Purpose This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves and the rate of inflation) and sovereign credit default swap (SCDS) spreads for Pakistan. Design/methodology/approach The authors apply the autoregressive distributed lag (ARDL) model to explore the level relationship between the macroeconomic variables and SCDS spreads. The error correction model is estimated to examine the short-run effects of the underlying macroeconomic variables on SCDS spreads. Finally, the long-run estimates are obtained in the ARDL framework. The study uses monthly data covering the period January 2001-February 2015. Findings The results indicate that there is a significant long-run relationship between the macroeconomic indicators and SCDS spreads. The estimated long-run coefficients reveal that both the interest rate and foreign exchange reserves are significantly and negatively, whereas imports and the rate of inflation are positively related to SCDS spreads. Yet, the results suggest that the exchange rate and exports do not have any significant long-run impact on SCDS spreads. The findings regarding the short-run relationship indicate that the exchange rate, imports and the rate of inflation are positively, whereas the interest rate and exports are negatively related to SCDS spreads. Practical implications The results suggest that State Bank of Pakistan should design monetary and foreign exchange rate polices to minimize unwanted variations in the exchange rate to reduce SCDS spreads. The results also suggest that it is incumbent to Pakistan Government to improve the balance of payments to reduce SCDS spreads. The findings also suggest that the inflation targeting policy can also help in reducing SCDS spreads. Originality/value This is the first study to examine the empirical determinants of SCDS spreads for Pakistan. Second, it estimates the short- and long-run effects in the ARDL framework. Third, it considers both internal and external empirical determinants of SCDS spreads.

The term structure of equity factor diversification

2020 ◽  
Vol 21 (1) ◽  
pp. 23-35
Author(s):  
Julien Fouquau ◽  
Cecile Kharoubi
Keyword(s):  
Risk Factors ◽  
Term Structure ◽  
Point Of View ◽  
Dependence Structure ◽  
Copula Functions ◽  
Momentum Strategies ◽  
Content Type ◽  
Time Horizons ◽  
Long Run ◽  
Factor Investing

Purpose Risk factor investing has grown in popularity in recent years and has become a cornerstone of investment portfolios. The goal of factor investing is to generate more returns in the long run. This paper aims to studies the term structure of equity factor. The authors consider the point of view of an American investor and use risk, diversification and performance measures. Design/methodology/approach The authors combine two methodologies as follows: wavelets and copulas. The authors use daily, weekly and monthly equity factor returns to calibrate wavelets and copulas. Copula functions are useful instruments to describe “joint” fluctuations in different markets, especially to capture nonlinearities, providing a reasonable alternative to the assumption of joint normality. To check robustness, the authors propose three different wavelet mother functions to decompose the data and three different time horizons and the authors add a complementary exercise based on performance and diversification measurement without wavelet transform. Findings The authors identify temporal horizons for which diversification benefits would be optimized with the decrease in the level of dependence or even the inversion of the dependence structure. Thus, investors seeking diversification with factor investing have to care about the considered horizon: size and book to market factors seem to provide better diversification in the short term. Momentum strategies seem to deliver better diversification in the long run. All the results are very consistent. Originality/value Very few papers have documented the diversification properties of the equity risk factors. While factors are built to capture systematic risk premia, their diversification properties are still poorly understood. It is necessary to take into account non-normality of risk factors and to study the diversification over different time horizons. The solution is to use wavelet methodology to decompose returns into temporal series of different maturities.

Arteriovenous malformations of the brain

1972 ◽  
Vol 37 (5) ◽  
pp. 562-570 ◽  
Author(s):  
David M. C. Forster ◽  
Ladislau Steiner ◽  
Sten Håkanson
Keyword(s):  
Arteriovenous Malformations ◽  
Indications For Surgery ◽  
Content Type ◽  
Long Run ◽  
The Mean ◽  
The Brain ◽  
Fine Print

✓ The quality of survival of 150 patients with arteriovenous malformations of the brain is presented. The mean period of follow-up was over 15 years. The surgically operated and conservatively managed groups are compared, a comparison that in the long run appears to favor the operated cases. The results are discussed and indications for surgery summarized.

Competitive vs coopetitive strategies: lessons from professional sport leagues

2018 ◽  
Vol 39 (2) ◽  
pp. 12-21 ◽  
Author(s):  
François Fulconis ◽  
Jean Nollet ◽  
Gilles Paché
Keyword(s):  
Human Capital ◽  
North America ◽  
North American ◽  
Major Elements ◽  
Professional Sport ◽  
Capital Management ◽  
Human Capital Management ◽  
Content Type ◽  
The North ◽  
Long Run

Purpose Over the past decades, analyses of the functioning of professional sport leagues have been done from various angles: economic, financial and sociological; in some cases, comparisons were made between North-American and European leagues. The purpose of this paper is to look at this reality from a different angle, i.e. human capital management, by showing how different the models from both continents are. Design/methodology/approach Based on an identification of the major elements associated to human capital management in professional sport leagues in North America and Europe, this paper compares competitive and coopetitive strategies using an original framework based on consortium sourcing and pooling dimensions. Findings The paper underlines the benefits that North-American professional sport leagues get from acquiring players using a consortium sourcing perspective (coopetition). In Europe, the most powerful clubs use their financial resources to get the best players; as a result, it is always the same clubs with get the best results (competition). In the long run, the European approach might result in less attractiveness to TV viewers, and less revenues for TV networks. Originality/value This paper helps to understand the differences between professional sport leagues in North America and Europe; it also discusses the risk associated to the adoption, without any adjustment in the human capital management, in Europe of the North-American model based on a coopetitive perspective. This dimension is seldom mentioned in articles dealing with professional sport leagues.

On the survival of earnings fixated traders in an informational environment

2018 ◽  
Vol 8 (1) ◽  
pp. 109-116
Author(s):  
Guo Ying Luo
Keyword(s):  
Securities Market ◽  
Noise Traders ◽  
Content Type ◽  
Long Run ◽  
Mean And Variance ◽  
The Mean ◽  
Informational Environment ◽  
Practical Implications ◽  
Relative Profitability ◽  
Irrational Traders

Purpose The purpose of this paper is to examine the long-run survival of earnings fixated traders. Design/methodology/approach This paper builds a theoretical model of a competitive securities market where both rational traders and earnings fixated traders receive an informational signal about the asset payoff before any trade occurs. Since earnings fixated traders underestimate the mean and variance of the risky asset payoff, earnings fixated traders is shown to make less expected profits than rational traders. Findings If traders’ types replicate according to the relative profitability of their trading strategies, then earnings fixated traders will disappear in the long run. The results of this paper provide analytical support to Tinic’s (1990) intuition about the eventual disappearance of earnings fixated traders. Research limitations/implications In the literature, the underestimation of risk is popularly viewed as the cause of irrational traders being better able to exploit the misvaluations (created by noise traders) than rational traders. Hence, it favors the survival of irrational traders over rational traders. However, this paper disapproves this intuition in the informational environment of the competitive securities market. Practical implications The market environment plays a crucial role in determining the long-run survival of irrational traders. Originality/value This paper is the first to present a theoretical result showing that in this informational environment of the competitive securities market, the underestimation of risk by irrational traders does not give them advantage over rational traders in exploiting the misvaluations (created by noise traders) as it does in Callen and Luo (2011) and Hirshleifer and Luo (2001).

Gamma knife radiosurgery in the management of cavernous sinus meningiomas

2000 ◽  
Vol 93 (supplement_3) ◽  
pp. 68-73 ◽  
Author(s):  
Pierre-Hugues Roche ◽  
Jean Régis ◽  
Henry Dufour ◽  
Henri-Dominique Fournier ◽  
Christine Delsanti ◽  
...  
Keyword(s):  
Mr Imaging ◽  
Tumor Growth ◽  
Gamma Knife ◽  
Cavernous Sinus ◽  
Gamma Knife Radiosurgery ◽  
Surgical Removal ◽  
Content Type ◽  
Cavernous Sinus Meningioma ◽  
The Mean ◽  
Fine Print

Object. The authors sought to assess the functional tolerance and tumor control rate of cavernous sinus meningiomas treated by gamma knife radiosurgery (GKS). Methods. Between July 1992 and October 1998, 92 patients harboring benign cavernous sinus meningiomas underwent GKS. The present study is concerned with the first 80 consecutive patients (63 women and 17 men). Gamma knife radiosurgery was performed as an alternative to surgical removal in 50 cases and as an adjuvant to microsurgery in 30 cases. The mean patient age was 49 years (range 6–71 years). The mean tumor volume was 5.8 cm3 (range 0.9–18.6 cm3). On magnetic resonance (MR) imaging the tumor was confined in 66 cases and extensive in 14 cases. The mean prescription dose was 28 Gy (range 12–50 Gy), delivered with an average of eight isocenters (range two–18). The median peripheral isodose was 50% (range 30–70%). Patients were evaluated at 6 months, and at 1, 2, 3, 5, and 7 years after GKS. The median follow-up period was 30.5 months (range 12–79 months). Tumor stabilization after GKS was noted in 51 patients, tumor shrinkage in 25 patients, and enlargement in four patients requiring surgical removal in two cases. The 5-year actuarial progression-free survival was 92.8%. No new oculomotor deficit was observed. Among the 54 patients with oculomotor nerve deficits, 15 improved, eight recovered, and one worsened. Among the 13 patients with trigeminal neuralgia, one worsened (contemporary of tumor growing), five remained unchanged, four improved, and three recovered. In a patient with a remnant surrounding the optic nerve and preoperative low vision (3/10) the decision was to treat the lesion and deliberately sacrifice the residual visual acuity. Only one transient unexpected optic neuropathy has been observed. One case of delayed intracavernous carotid artery occlusion occurred 3 months after GKS, without permanent deficit. Another patient presented with partial complex seizures 18 months after GKS. All cases of tumor growth and neurological deficits observed after GKS occurred before the use of GammaPlan. Since the initiation of systematic use of stereotactic MR imaging and computer-assisted modern dose planning, no more side effects or cases of tumor growth have occurred. Conclusions. Gamma knife radiosurgery was found to be an effective low morbidity—related tool for the treatment of cavernous sinus meningioma. In a significant number of patients, oculomotor functional restoration was observed. The treatment appears to be an alternative to surgical removal of confined enclosed cavernous sinus meningioma and should be proposed as an adjuvant to surgery in case of extensive meningiomas.

Gamma knife radiosurgery for craniopharyngiomas

2000 ◽  
Vol 93 (supplement_3) ◽  
pp. 47-56 ◽  
Author(s):  
Wen-Yuh Chung ◽  
David Hung-Chi Pan ◽  
Cheng-Ying Shiau ◽  
Wan-Yuo Guo ◽  
Ling-Wei Wang
Keyword(s):  
Clinical Outcome ◽  
Gamma Knife ◽  
Tumor Volume ◽  
Gamma Knife Radiosurgery ◽  
Tumor Control ◽  
Content Type ◽  
Stereotactic Aspiration ◽  
Cystic Component ◽  
The Mean ◽  
Fine Print

Object. The goal of this study was to elucidate the role of gamma knife radiosurgery (GKS) and adjuvant stereotactic procedures by assessing the outcome of 31 consecutive patients harboring craniopharyngiomas treated between March 1993 and December 1999. Methods. There were 31 consecutive patients with craniopharyngiomas: 18 were men and 13 were women. The mean age was 32 years (range 3–69 years). The mean tumor volume was 9 cm3 (range 0.3–28 cm3). The prescription dose to the tumor margin varied from 9.5 to 16 Gy. The visual pathways received 8 Gy or less. Three patients underwent stereotactic aspiration to decompress the cystic component before GKS. The tumor response was classified by percentage reduction of tumor volume as calculated based on magnetic resonance imaging studies. Clinical outcome was evaluated according to improvement and dependence on replacement therapy. An initial postoperative volume increase with enlargement of a cystic component was found in three patients. They were treated by adjuvant stereotactic aspiration and/or Ommaya reservoir implantation. Tumor control was achieved in 87% of patients and 84% had fair to excellent clinical outcome in an average follow-up period of 36 months. Treatment failure due to uncontrolled tumor progression was seen in four patients at 26, 33, 49, and 55 months, respectively, after GKS. Only one patient was found to have a mildly restricted visual field; no additional endocrinological impairment or neurological deterioration could be attributed to the treatment. There was no treatment-related mortality. Conclusions. Multimodality management of patients with craniopharyngiomas seemed to provide a better quality of patient survival and greater long-term tumor control. It is suggested that GKS accompanied by adjuvant stereotactic procedures should be used as an alternative in treating recurrent or residual craniopharyngiomas if further microsurgical excision cannot promise a cure.

Gamma knife radiosurgery for uveal melanomas: an 8-year experience

2000 ◽  
Vol 93 (supplement_3) ◽  
pp. 184-188 ◽  
Author(s):  
Gerald Langmann ◽  
Gerhard Pendl ◽  
Georg Papaefthymiou ◽  
Helmuth Guss ◽  
Keyword(s):  
Gamma Knife ◽  
Ciliary Body ◽  
Tumor Regression ◽  
Gamma Knife Radiosurgery ◽  
Neovascular Glaucoma ◽  
Content Type ◽  
Prescription Dose ◽  
The Mean ◽  
Fine Print ◽  
Uveal Melanomas

Object. The authors report their experience using gamma knife radiosurgery (GKS) to treat uveal melanomas. Methods. Between 1992 and 1998, 60 patients were treated with GKS at a prescription dose between 45 Gy and 80 Gy. The mean diameter of the tumor base was 12.2 mm (range 3–22 mm). The mean height of the tumor prominence was 6.7 mm (range 3–12 mm). The eye was immobilized. The follow-up period ranged from 16 to 94 months. Tumor regression was achieved in 56 (93%) of 60 patients. There were four recurrences followed by enucleation. The severe side effect of neovascular glaucoma developed in 21 (35%) patients in a high-dose group with larger tumors and in proximity to the ciliary body. A reduction in the prescription dose to 40 Gy or less and excluding treatment to tumors near the ciliary body decreased the rate of glaucoma without affecting the rate of tumor control. Conclusions. Gamma knife radiosurgery at a prescription dose of 45 Gy or more can achieve tumor regression in 85% of the uveal melanomas treated. Neovascular glaucoma can develop in patients when using this dose in tumors near the ciliary body. It is advised that such tumors be avoided and that the prescription dose be reduced to 40 Gy.

Gamma knife radiosurgery for intracranial metastatic melanoma: a 6-year experience

2002 ◽  
Vol 97 ◽  
pp. 494-498 ◽  
Author(s):  
Jorge Gonzalez-martinez ◽  
Laura Hernandez ◽  
Lucia Zamorano ◽  
Andrew Sloan ◽  
Kenneth Levin ◽  
...  
Keyword(s):  
Prognostic Factors ◽  
Brain Metastases ◽  
Metastatic Melanoma ◽  
Gamma Knife Radiosurgery ◽  
Tumor Control ◽  
Karnofsky Performance Scale ◽  
Content Type ◽  
Significant Difference ◽  
The Mean ◽  
Fine Print

Object. The purpose of this study was to evaluate retrospectively the effectiveness of stereotactic radiosurgery for intracranial metastatic melanoma and to identify prognostic factors related to tumor control and survival that might be helpful in determining appropriate therapy. Methods. Twenty-four patients with intracranial metastases (115 lesions) metastatic from melanoma underwent radiosurgery. In 14 patients (58.3%) whole-brain radiotherapy (WBRT) was performed, and in 12 (50%) chemotherapy was conducted before radiosurgery. The median tumor volume was 4 cm3 (range 1–15 cm3). The mean dose was 16.4 Gy (range 13–20 Gy) prescribed to the 50% isodose at the tumor margin. All cases were categorized according to the Recursive Partitioning Analysis classification for brain metastases. Univariate and multivariate analyses of survival were performed to determine significant prognostic factors affecting survival. The mean survival was 5.5 months after radiosurgery. The analyses revealed no difference in terms of survival between patients who underwent WBRT or chemotherapy and those who did not. A significant difference (p < 0.05) in mean survival was observed between patients receiving immunotherapy or those with a Karnofsky Performance Scale (KPS) score of greater than 90. Conclusions. The treatment with systemic immunotherapy and a KPS score greater than 90 were factors associated with a better prognosis. Radiosurgery for melanoma-related brain metastases appears to be an effective treatment associated with few complications.

Prolonged survival in a subgroup of patients with brain metastases treated by gamma knife surgery

2005 ◽  
Vol 102 (Special_Supplement) ◽  
pp. 262-265
Author(s):  
C. P. Yu ◽  
Joel Y. C. Cheung ◽  
Josie F. K. Chan ◽  
Samuel C. L. Leung ◽  
Robert T. K. Ho
Keyword(s):  
Brain Metastases ◽  
Gamma Knife ◽  
Patient Survival ◽  
Gamma Knife Surgery ◽  
Prolonged Survival ◽  
Organ Involvement ◽  
Lesion Volume ◽  
Content Type ◽  
The Mean ◽  
Fine Print

Object. The authors analyzed the factors involved in determining prolonged survival (≥ 24 months) in patients with brain metastases treated by gamma knife surgery (GKS). Methods. Between 1995 and 2003, a total of 116 patients underwent 167 GKS procedures for brain metastases. There was no special case selection. Smaller and larger lesions were treated with different protocols. The mean patient age was 56.9 years, the mean number of initial lesions was 3.15, and the mean lesion volume was 10.45 cm.3 The mean follow-up time was 9.2 months. The median patient survival was 8.68 months. One-, 2-, 3-, 4-, and 5-year actuarial survival rates were 31.8%, 19.8%, 14.6%, 7.7%, and 6.9%, respectively. Patient age, number of lesions at presentation, and lesion volume had no influence on patient survival. Twenty-three (19.8%) patients survived for 24 months or more. Certain factors were associated with increased survival time. These were stable primary disease (21 of 23 patients), a long latency between diagnosis of the primary tumor and the occurrence of brain metastases (mean 28.4 months, median 16 months), absence of third-organ involvement, and repeated local procedures. Ten patients underwent repeated GKS (mean 3.4 per patient). Seven patients required open surgery for local treatment failures (recurrence or radiation necrosis). Two patients had both. Fifteen patients underwent repeated procedures. Conclusions. Aggressive local therapy with GKS, repeated GKS, and GKS plus surgery can achieve increased survival in a subgroup of patients with stable primary disease, no third-organ involvement, and long primary-brain secondary intervals.

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