CDS Data Research Articles

Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets

We examine the dynamic interconnections between sovereign credit and liquidity risks in ten euro area countries at the 5-year maturity with daily CDS data from IHS Markit and high-frequency data from MTS between 2008 and 2018 using the extended TVP-VAR connectedness approach of Antonakakis et al. (2020). We find that, for most of the period, net connectedness is from credit risk to liquidity risk, but this indicator is time-dependent, detecting some episodes where it goes from liquidity risk to credit risk. We set up an event study and discover that most of the latter episodes can be related to several unconventional monetary policy measures of the ECB. Then, we examine the drivers of the connectedness indicator using a Probit model. Our results suggest that a decline in global funding liquidity, monetary policy shocks and economic policy uncertainty increase the probability of risk transmission from liquidity to credit, while tensions in financial markets and the deterioration of fiscal sustainability are factors that reduce such a probability.

Impact of Astronomy Evolution on the Documentalists’ Activities at CDS

The CDS is a science driven data centre for reference astronomy data. The objectives have been defined since its creation in 1972: collecting, improving and distributing data for the international astronomical community. However, science and techniques have significantly evolved over the past 50 years, resulting in a deluge of data in terms of both quantity and complexity. The CDS has been able to constantly adapt to these evolutions to offer the community appropriate services and quality data with high added value. In this presentation we will focus mainly on the impact of these changes on the the skills of the CDS data stewards, the so-called documentalists, in terms of specialisation, adaptation to technologies and understanding of data taking into account the evolution of astronomy. All this while ensuring a high level of quality and quick availability of the data.

Volatility spillover effects among crude oil future market, SAR/EUR and Saudi Arabia CDS Market: The evidence of DCC-FIGARCH model

This empirical study examines the time-varying spillover and contagion effects between one major future market, one major FOREX market and six major Islamic CDS markets. We use daily data for crude oil future, SAR/EUR and Saudi Arabia CDS markets. The data spans from February 15, 2011 to August 27, 2020, which entails major economic events. In this paper, we deploy DCC-FIGARCH process. The empirical findings indicate volatility effects spilling over from crude oil future returns to SAR/EUR returns and CDS market returns. Dynamic Conditional Correlations provide empirical evidence of strong contagion effects between the market returns. Conclusions of this paper are of interest to investors diversifying their portfolios of the above markets and to financial derivative markets regulators providing regulations for the under investigation derivative markets.

ExoMol molecular line lists – XLIII. Rovibronic transitions corresponding to the close-lying X 2Π and A 2Σ+ states of NaO

ABSTRACT The sodium monoxide radical (NaO) is observed in night-glow in the Earth’s mesosphere and likely has astronomical importance. This study concerns the optical transitions within the ground X 2Π state and to the very low-lying (Te ≈ 2000 cm−1) excited A 2Σ+ state. A line list consisting of rovibronic term values, allowed electric dipole transitions, Einstein coefficients, and partition functions for varying temperature are produced using a variational solution of the coupled-channel Schrödinger equations using the program duo. multi-reference configuration interaction (MRCI) ab initio calculations characterizing the potential energy curves of the two states, spin-orbit and L-uncoupling non-adiabatic matrix elements, as well as permanent and transition dipole moments were integral in the formation of the final deperturbation model. Ab initio potential energy curves are represented in the analytical Extended Morse Oscillator form and refined, along with the spin-orbit and L-uncoupling functions, by least-squares fitting to the available spectroscopic data. The input experimental data consisted of pure rotational transitions within the fine-structure components of the X 2Π state for v″ ∈ [0, 3] vibrational levels as well as the rovibronic A 2Σ+(v′ = 0) ← X 2Π(v″ = 0) transitions, both with limited coverage over rotational excitation. The lack of data detailing the vibrational structure of the X and A states points to the need for further experimental study of higher excited levels, which would provide a more robust spectroscopic model. The NaO NaOUCMe line list is available via www.exomol.com and the CDS data base.

Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis

Given the financialization of commodities and the increase in the CDS markets' size and structure, we examine the co-movement and dependence structure between four commodity indexes and sovereign credit risk via an extreme volatility risk spillover methodology. We use the daily change in sovereign CDS data between October 1, 2010 to March 31, 2020 for ten commodity-dependent countries and four commodity indexes (agricultural, precious and industrial metals, and energy). The results of White et al.'s (2015) VAR for Value at Risk (VaR) and the pseudo quantile impulse response function (QIRF) show that the volatility of the primary commodity export category (e.g., agriculture, mineral, and energy) substantially influences the volatility of sovereign spreads (except for two agriculture-dependent exporters). Still, it does not always have the strongest risk spillover effect when other commodity indixes are included in the analysis. When drilling down on the data and examining the single commodity index (i.e., gold, corn, etc.), our results indicate that the primary commodity exports significantly influence the volatility of its sovereign CDS spreads. Based on the results of the QIRF, most shocks are absorbed within 30 days. Most risk spillover from the volatility of sovereign CDS spreads to the volatility of commodity indexes is found to be insignificant.

ExoMol line lists – XLIV. Infrared and ultraviolet line list for silicon monoxide (28Si16O)

ABSTRACT A new silicon monoxide (28Si16O) line list covering infrared, visible, and ultraviolet regions called SiOUVenIR is presented. This line list extends the infrared EBJT ExoMol line list by including vibronic transitions to the $A\, {}^{1}\Pi$ and $E\, {}^{1}\Sigma ^{+}$ electronic states. Strong perturbations to the $A\, {}^{1}\Pi$ band system are accurately modelled through the treatment of six dark electronic states: $C\, {}^{1}\Sigma ^{-}$, $D\, {}^{1}\Delta$, $a\, {}^{3}\Sigma ^{+}$, $b\, {}^{3}\Pi$, $e\, {}^{3}\Sigma ^{-}$, and $d\, {}^{3}\Delta$. Along with the $X\, {}^{1}\Sigma ^{+}$ ground state, these nine electronic states were used to build a comprehensive spectroscopic model of SiO using a combination of empirical and ab initio curves, including the potential energy (PE), spin–orbit, electronic angular momentum, and (transition) dipole moment curves. The ab initio PE and coupling curves, computed at the multireference configuration interaction level of theory, were refined by fitting their analytical representations to 2617 experimentally derived SiO energy levels determined from 97 vibronic bands belonging to the X–X, E–X, and A–X electronic systems through the MARVEL (Measured Active Rotational–Vibrational Energy Levels) procedure. 112 observed forbidden transitions from the C–X, D–X, e–X, and d–X bands were assigned using our predictions, and these could be fed back into the MARVEL procedure. The SiOUVenIR line list was computed using published ab initio transition dipole moments for the E–X and A–X bands; the line list is suitable for temperatures up to 10 000 K and for wavelengths longer than 140 nm. SiOUVenIR is available from www.exomol.com and the CDS data base.

Capital requirements in a model of bank runs: The 2008 run on repo

Capital requirements involve a trade-off between financial intermediation and financial stability. I analyze this trade-off in a macroeconomic model that allows for systemic bank runs, à la Gertler and Kiyotaki (2015). I show that fixed capital requirements make the economy more prone to runs because they slow down the recovery and reduce welfare compared to the laissez-faire benchmark. On the other hand, appropriately chosen countercyclical capital requirements can increase financial stability and welfare. To weigh the costs and benefits of this policy, I estimate the probability of a systemic shock to the financial sector using a novel measure derived from CDS data and find it to be around 0.5% per year prior to the 2007-09 financial crisis. I then show that implementing a countercyclical capital requirement that would have prevented the run on repo markets in 2008 would have cost 3% of steady-state bank capital and less than 0.1% in consumption terms.

Escape from COVID-19 pandemic to safe haven.

Gold, which is accepted as a safe haven by households, is known as an investment tool that is preferred especially in times of crisis and uncertainty. Especially in recent days, the uncertainty caused by the COVID‐19 pandemic and the visible increase in Turkey's 5‐year CDS data has led investors in Turkey to grams of gold, which is considered a safe haven. In this context, this study aims to test the long‐term relationship between daily case‐related deaths and Turkey's 5‐year CDS data with gram gold prices in Turkish lira during the COVID‐19 pandemic. The long‐term relationship between the variables was tested with the autoregressive distributed lag bound test (ARDL bound test) applied to the daily data for the period March 17, 2020–April 11, 2020. For the application of ARDL bound test, the stationarity of the variables was tested with unit root tests such as augmented Dickey–Fuller test (ADF) and Phillips–Perron (PP). According to the ARDL bound test findings, there is a statistically significant and positive relationship between the number of case‐related deaths and the gram gold prices in Turkish lira in the long run. However, it has been found that Turkey's 5‐year CDS data does not have a significant long‐term relationship with gram gold prices in Turkish lira.

Risk attribution and interconnectedness in the EU via CDS data

The global financial crisis in 2008, and the European sovereign debt crisis in 2010, highlighted how credit risk in banking sectors cannot be analysed from a uniquely micro-prudential perspective, focused on individual institutions, but it has instead to be studied and regulated from a macro-prudential perspective, considering the banking sector as a complex system. Traditional risk management tools often fail to account for the complexity of the interactions in a financial system, and rely on simplistic distributional assumptions. In recent years machine learning techniques have been increasingly used, incorporating tools such as text mining, sentiment analysis, and network models in the risk management processes of financial institutions and supervisors. Network theory applications in particular are increasingly popular, as they allow to better model the intertwined nature of financial systems. In this work we set up an analytical framework that allows to decompose the credit risk of banks and sovereign countries in the European Union according to systematic (system-wide and regional) components. Then, the non-systematic components of risk are studied using a network approach, and a simple stress-test framework is set up to identify the potential transmission channels of distress and risk spillovers. Results highlight a relevant component of credit risk that is not explained by common factors, but can still be a potential vehicle for the transmission of shocks. We also show that due to the properties of the network structure, the transmission of shocks applied to different institutions is quite diversified, both in terms of breadth and speed. Our work is useful to both regulators and financial institutions, thanks to its flexibility and its requirement of data that can be easily available.

Covid-19 Salgınının CDS Primleri İle Borsa Endeksleri Arasındaki İlişki Üzerine Etkileri: Başlıca Avrupa Endeksleri İçin Bir Uygulama

CDS primlerinin bir risk ölçüsü olarak borsa endeksleri üzerindeki etkileri oldukça ilgi çekmektedir. CDS ve borsa endeksleri arasındaki, ilişki kriz ve benzeri olaylardan etkilenebilmektedir. Bu etkinin derecesi, yatırımcıların kararlarını etkileyebilecek güce sahip olabilmektedir. Bu nedenle CDS ile borsa endeksleri arasındaki ilişkinin Covid-19 pandemisi sonrasındaki değişiminin belirlenmesi ihtiyacı doğmuştur. Çalışmanın amacı Covid 19 salgınının yakın dönemi ile pandemi döneminde Avrupa’nın önemli finans merkezi özelliğine sahip ülkeleri için CDS ve borsa endeksleri arasındaki değişimi izlemektir. 22 Şubat 2019 ile 29 Ağustos 2020 tarihleri arasındaki günlük CDS ve endeks verileri, regresyon analizi, birim kök testleri ve Toda-Yamamoto nedensellik analizleri ile incelenmiştir. Çalışmanın bulguları, pandemi öncesi CDS primleri ile endeksler arasındaki zayıf sayılabilecek ilişkilerin, pandemi sonrasında ciddi biçimde arttığını göstermiştir. Ayrıca, ikinci dönemde İtalya dışındaki ülkelerde CDS primleri ile borsa endeksleri arasında çift yönlü nedensellik ilişki ortaya çıkmıştır. Çalışma, ekonomik olarak zayıf ülkelerde CDS primleri ile borsa endeksi ilişkisinin daha güçlü olduğunu göstermekte ve riskin açık olduğu durumlarda risk fiyatlamasının doğrudan borsada fiyatlandığını ve CDS primlerinin borsa endeksini takip ettiğini göstermektedir.

ExoMol line lists – XL. Rovibrational molecular line list for the hydronium ion (H3O+)

ABSTRACT A new line list for hydronium (H316O+) is computed. The line list is based on a new ab initio dipole moment surface (CCSD(T)/aug-cc-pVQZ) and a new empirical potential energy surface (PES). The empirical PES of H3O+ was obtained by refining an ab initio surface through a global fit to the experimentally determined rovibrational energies collected from the literature covering the ground, $\nu _1^{\pm }$, $\nu _2^{\pm }$, $2\nu _2^{\pm }$, $\nu _3^{\pm }$, and $\nu _4^{\pm }$ vibrational states. The line list covers the wavenumber range up to 10 000 cm−1 (wavelengths $\gt 1 \, \mu$m) and should be complete for temperatures up to T = 1500 K. This is the first comprehensive line list for H3O+ with extensive wavenumber coverage and accurate transitional probabilities. Prospects of detection of hydronium in spectra of Solar system giant planets as well as exoplanets are discussed. The eXeL line list is publicly available from the ExoMol and CDS data bases.

ExoMol line lists – XXXIX. Ro-vibrational molecular line list for CO2

ABSTRACT A new hot line list for the main isotopologue of CO2, 12C16O2 is presented. The line list consists of almost 2.5 billion transitions between 3.5 million rotation-vibration states of CO2 in its ground electronic state, covering the wavenumber range 0–20 000 cm−1 (λ > 0.5 µm) with the upper and lower energy thresholds of 36 000 cm−1 and 16 000 cm−1, respectively. The ro-vibrational energies and wavefunctions are computed variationally using the accurate empirical potential energy surface Ames-2. The ro-vibrational transition probabilities in the form of Einstein coefficients are computed using an accurate ab initio dipole moment surface with variational program TROVE. A new implementation of TROVE which uses an exact nuclear-motion kinetic energy operator is employed. Comparisons with the existing hot line lists are presented. The line list should be useful for atmospheric retrievals of exoplanets and cool stars. The UCL-4000 line list is available from the CDS and ExoMol data bases.

Bank credit risk networks: Evidence from the Eurozone

This work proposes a credit risk model for large panels of financial institutions in which default intensity interdependence is induced by exposure to common factors as well as dependence between entity specific idiosyncratic shocks. In particular, the idiosyncratic shocks have a sparse partial correlation structure that we call the bank credit risk network. A lasso estimation procedure is introduced to recover the network from CDS data. The methodology is used to study credit risk interdependence among European financial institutions. The analysis shows that the network captures a substantial amount of interconnectedness in addition to what is explained by common factors.

Occupant injuries in light passenger vehicles—A NASS study to enable priorities for development of injury prediction capabilities of human body models

To prioritize how the development of mathematical human body models for injury prediction in crash safety analysis should be made, the most frequent injuries in the NASS CDS data from 2000 to 2015 were analyzed. The crashes were divided into seven types, from front to side. Non-minor injuries (AIS2+) were analyzed in two steps. In the first step, a grouping was made according to the AIS definition of body regions: head, face, neck, thorax, abdomen and pelvic contents, spine, upper extremities (including shoulder girdle) and lower extremities (including pelvis). In a second step, the body regions were divided in organs, parts of the spine, and parts of the extremities. The three most often injured anatomical structures of each body region were estimated for drivers and front seat passengers in each type of crash.For drivers, an injury risk greater than 2.4 % was found for the lower extremities (pelvis) and the head (concussion) in side oblique near side impacts, for the head in frontal oblique near side impacts (concussion) and for the lower extremities (ankle joint) in frontal impacts. For passengers, an injury risk greater than 2.4 % was found for the thorax (lungs) in side near side impacts, for the head (concussion) in front oblique near side impacts, and for the thorax (sternum) and the upper extremities (wrist, hand) in frontal impacts.Future development of human body models should focus on injuries to the head, thorax and the lower extremities. More specifically, it should focus on concussion in all impact directions and on rib and pelvic fractures in side near side impacts and in side oblique near side impacts.

ExoMol molecular line lists – XXXVII. Spectra of acetylene

ABSTRACT A new ro-vibrational line list for the ground electronic state of the main isotopologue of acetylene, 12C2H2, is computed as part of the ExoMol project. The aCeTY line list covers the transition wavenumbers up to 10 000 cm−1 (λ > 1 $\mu$m), with lower and upper energy levels up to 12 000 and 22 000 cm−1 considered, respectively. The calculations are performed up to a maximum value for the vibrational angular momentum, Kmax = Lmax = 16, and maximum rotational angular momentum, J = 99. Higher values of J were not within the specified wavenumber window. The aCeTY line list is considered to be complete up to 2200 K, making it suitable for use in characterizing high-temperature exoplanet or cool stellar atmospheres. Einstein-A coefficients, which can directly be used to calculate intensities at a particular temperature, are computed for 4.3 billion (4 347 381 911) transitions between 5 million (5 160 803) energy levels. We make comparisons against other available data for 12C2H2, and demonstrate this to be the most complete line list available. The line list is available in electronic form from the online CDS and ExoMol data bases.

Biases in CDS Spreads after the CDS Big Bang

The ISDA CDS standard model assumes a single flat hazard rate (default intensity) rather than a term structure of hazard rates. This assumption introduces biases into CDS spreads for empirical research after the CDS Big Bang. This paper is the first to document the biases and provide a simple correction scheme. We quantify the biases using a large panel of CDS data for the period from April 2010 to October 2016. The correction is important for measures based on differences in CDS spreads, such as CDS-bond basis.

ExoMol molecular line lists – XXXV. A rotation-vibration line list for hot ammonia

ABSTRACT A new hot line list for 14NH3 is presented. The line list CoYuTe was constructed using an accurate, empirically refined potential energy surface and a CCSD(T)/aug-cc-pVQZ ab initio dipole moment surface of ammonia, previously reported. The line list is an improvement of the ammonia line list BYTe. The CoYuTe line list covers wavenumbers up to 20 000 cm−1, i.e. wavelengths beyond 0.5 μm for temperatures up to 1500 K. Comparisons with the high temperature experimental data from the literature show excellent agreement for wavenumbers below 6000 cm−1. The CoYuTe line list contains 16.9 billion transitions and is available from the ExoMol website (www.exomol.com) and the CDS data base.

ExoMol molecular line lists XXXVI: X 2Π – X 2Π and A 2Σ+ – X 2Π transitions of SH

ABSTRACT The GYT line list covering rotational, rovibrational, and rovibronic transitions of the mercapto radical SH is presented. This work extends and replaces the SNaSH line list, which covers the ground (electronic) X 2Π state only. This extension is prompted by the tentative identification of the ultraviolet features of SH as being of importance in the transmission spectrum of the ultrahot Jupiter exoplanet WASP-121b. This GYT line list model is generated by fitting empirical potential energy, spin–orbit, and electronic angular momenta functions to experimentally measured wavelengths within the X 2Π and A 2Σ+ states and to the A 2Σ+–X 2Π band system using ab initio curves as a starting reference point. The fits are compatible with the quoted uncertainty of the experimental data used of ∼0.03–0.3 cm−1. The GYT line list covers wavelengths longer than 0.256 $\mu$m and includes 7686 rovibronic states and 572 145 transitions for 32SH. Line lists for the 33SH, 34SH, 36SH, and 32SD isotopologues are generated including a consideration of non-Born–Oppenheimer effects for SD. The line lists are available from the CDS (http://cdsarc.u-strasbg.fr) and ExoMol (www.exomol.com) data bases.

ExoMol molecular line lists – XXXIII. The spectrum of Titanium Oxide

ABSTRACT Accurate line lists are crucial for correctly modelling a variety of astrophysical phenomena, including stellar photospheres and the atmospheres of extrasolar planets. This paper presents a new line database Toto for the main isotopologues of titanium oxide (TiO): $^{46}\text{Ti}^{16}\text{O}$, $^{47}\text{Ti}^{16}\text{O}$, $^{48}\text{Ti}^{16}\text{O}$, $^{49}\text{Ti}^{16}\text{O}$, and $^{50}\text{Ti}^{16}\text{O}$. The $^{48}\text{Ti}^{16}\text{O}$ line list contains transitions with wave-numbers up to 30 000 cm−1, i.e. longwards of 0.33 μm. The Toto line list includes all dipole-allowed transitions between 13 low-lying electronic states (X 3Δ, a1Δ, d 1Σ+, E 3Π, A 3Φ, B3Π, C 3Δ, b 1Π, c1Φ, f1Δ, e 1Σ+). Ab initio potential energy curves (PECs) are computed at the icMRCI level and combined with spin–orbit and other coupling curves. These PECs and couplings are iteratively refined to match known empirical energy levels. Accurate line intensities are generated using ab initio dipole moment curves. The Toto line lists are appropriate for temperatures below 5000 K and contain 30 million transitions for $^{48}\text{Ti}^{16}\text{O}$; it is made available in electronic form via the CDS data centre and via www.exomol.com. Tests of the line lists show greatly improved agreement with observed spectra for objects such as M-dwarfs GJ876 and GL581.

ExoMol line list – XXXIV. A rovibrational line list for phosphinidene (PH) in its $X\, {}^3\Sigma ^-$ and $a\, {}^1\Delta$ electronic states

ABSTRACTA rovibronic line list for the ground (X 3Σ−) and first excited (a 1Δ) states of phosphinidene, 31PH, is computed. The line list is designed for studies of exoplanetary and cool stellar atmospheres with temperatures up to 4000 K. A combination of empirical and ab initio data is used to produce the line list: potential energy curves (PECs) are fitted using experimental transition frequencies; these transitions are reproduced with a root mean square error of 0.01 cm−1. The nuclear Schrödinger equation is solved using these PECs plus Born–Oppenheimer and spin splitting correction terms. Line intensities and Einstein A coefficients are computed using ab initio dipole moment curves for X–X and a–a transitions. The resulting LaTY line list, which contains 65 055 transitions for 2528 rovibronic states up to 24 500 cm −1 and J = 80, is used to simulate spectra in emission and absorption for a range of temperatures. The line list is made available in electronic form at the CDS and ExoMol data bases.