Credit Index Research Articles

A further analysis of the conference board’s new Leading Economic Index

We examine the marginal effect of replacing M2 with the Leading Credit Index in TCB’s latest comprehensive benchmark revision of the Index of Leading Economic Indicators using a number of appropriate diagnostic measures, and re-affirm the relative superiority of the new leading index from the standpoint of business cycle forecasting.

The impact of liquidity on senior credit index spreads during the subprime crisis

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.

Saying it with songs: popular music and the coming of sound to Hollywood cinema

Acknowledgments Introduction Chapter 1. Singing a Song: The Culture and Conventions of Popular in the 1920s Chapter 2. Owning a Song: The Restructuring of Hollywood and Tin Pan Alley Chapter 3. Plugging a Song: The Discrete Charm of the Popular Song, From Broadway to Hollywood Chapter 4. Integrating a Song: The Threat to Narrative Plausibility Chapter 5. Curtailing a Song: Toward the Classical Background Score Conclusion: The Fate of the Motion Picture Song Appendix 1: Confirmatory License Issued by Publishers Protective Association (1929) Appendix 2: Tieups of Film and Music as Reported by Variety Appendix 3: Timeline of Relationships Between Film and Companies Appendix 4: Agreement between Al Dubin, The Vitaphone Corp., and Publishers Holding Corporation Appendix 5: Summary of Agreement between Vitaphone Corporation, M. Witmark & Sons, and Ray Perkins Bibliography Credits Index

SATVPC: Secure-agent-based trustworthy virtual private cloud model in open computing environments

Private clouds and public clouds are turning mutually into the open integrated cloud computing environment, which can aggregate and utilize WAN and LAN networks computing, storage, information and other hardware and software resources sufficiently, but also bring a series of security, reliability and credibility problems. To solve these problems, a novel secure-agent-based trustworthy virtual private cloud model named SATVPC was proposed for the integrated and open cloud computing environment. Through the introduction of secure-agent technology, SATVPC provides an independent, safe and trustworthy computing virtual private platform for multi-tenant systems. In order to meet the needs of the credibility of SATVPC and mandate the trust relationship between each task execution agent and task executor node suitable for their security policies, a new dynamic composite credibility evaluation mechanism was presented, including the credit index computing algorithm and the credibility differentiation strategy. The experimental system shows that SATVPC and the credibility evaluation mechanism can ensure the security of open computing environments with feasibility. Experimental results and performance analysis also show that the credit indexes computing algorithm can evaluate the credibilities of task execution agents and task executor nodes quantitatively, correctly and operationally.

Reading Magnum: a visual archive of the modern world

Foreword (Geoff Dyer) Introduction. Decisive Moments and Caustic Comments: Reading the Magnum Archive (Steven Hoelscher) 1. On Becoming an Archive (Alison Nordstrom) Notes from the Archive: Philip Jones Griffiths's Vietnam Inc. 2. War and Conflict through Magnum's Eyes (Barbie Zelizer) War and Conflict Portfolio Notes from the Archive: Eve Arnold's Black Muslims 3. The Face Redrawn: Magnum Portraits (Frank H. Goodyear III) Portraiture Portfolio Notes from the Archive: Alex Webb's Crossings: Photographs from the U.S.-Mexico Border 4. Magnum's Geographies: Toward a Progressive Sense of Place (Steven Hoelscher) Geography Portfolio Notes from the Archive: Susan Meiselas's Carnival Strippers 5. Hollywood Stars, High-Paid Llamas, and Car Shows: Magnum's Cultural Project (Erika Doss) Cultural Life Portfolio Notes from the Archive: Cornell Capa's Attica 6. Seeing the Stranger in the Mirror: Everyday Life in Magnum's Public World (Robert Hariman) Social Relations Portfolio Notes from the Archive: David Chim Seymour's Children of Europe 7. Magnum's Global Enterprise (Liam Kennedy) Globalization Portfolio Acknowledgments Contributors Illustration Credits Index

The systematic risk of corporate bonds: default risk, term risk, and index choice

In this paper, we empirically examine the systematic risk of corporate bonds in the Euro area. Based on a unique sample of 784 bonds from 1999 to 2010, we show that the systematic risk of constructed bond portfolios and individual bonds—measured against three different market indices—depends on credit quality, term risk, and index choice. A significant increase in systematic risk for lower-rated bonds is observed following the start of the financial crisis. In multi-factor models, bond portfolios load significantly on default and term risk, which are included as additional factors. Conducting Fama and MacBeth cross-sectional tests, we find that default and term risk are priced with economically relevant premiums that range from 0.35 to 0.62 % per month. Our results are robust to the inclusion of characteristics such as rating and time to maturity.

The Portuguese residential real estate market: An evaluation of the last decade

This article presents an integrated vision of the context of the residential real estate market in Portugal. It analyses the evolution of several macroeconomic indicators during the last decade. The article is complemented with the analysis of the house prices, where an evaluation of average prices of apartments in Portugal according to different typologies and regions have been done. Regarding the market environment, several indicators are assessed, such as the evolution of interest rates, the evolution of households? credit, the consumption and construction confidence indexes and the evolution of foreign direct investment in housing. The conclusion is that after a booming period, the future of the real estate market is somehow worrying.

Liquidity Risk in Credit Default Swap Markets

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary asset pricing, illiquidity and risk premia correlate negatively with proxies for the risk-bearing capacity of CDS market intermediaries.

A Primer on Trading SIFMA Swaps

SIFMA/LIBOR ratios tend to underperform in the wake of tax reform proposals and during rallies (especially risk-off trades). Because of the relative “stickiness” of municipal yields, receive-fixed SIFMA swaps offer better risk-adjusted carry than comparable LIBOR swaps. In recent years, the municipal cash market has become more credit focused; trading ratios versus high-grade corporate credit indexes (e.g., CDX.IG) presents relative value opportunities with good risk–reward characteristics. SFIMA swaps are better suited to hedging municipal cash bonds because of their lower tracking error compared to taxable market products such as LIBOR swaps. Additionally, trading municipal cash bonds against SIFMA swaps offers a good risk–reward dynamic when bonds are trading substantially away from swaps. <b>TOPICS:</b>Fixed income and structured finance, legal/regulatory/public policy

Fuzzy Reasoning Model and Calculating Method for the Sellers' Credit of C2C Based on the Evaluating Indexes of Taobao Net

Aiming at the limitation to the credit evaluating system of C2C, a multi-variables fuzzy reasoning model is constructed and the calculating scheme is designed to evaluate the sellers credit of C2C referring to the evaluating indexes of Taobao net. The score of credit indexes is defined by the form of continuous interval in the model based on the interdependent relationship between the global assessment and the secondary evaluation indexes. Since the effect of the subjective factors on credit rating is efficiently eliminating in the algorithm and the credit description is more close to the transaction fact, the rating results of credit got by fuzzy calculation is more reliable than the ones obtained by traditional evaluation method. To verify the effectiveness of the fuzzy method, an applied example is given under the background of Taobao transaction.

Juan in a hundred: the representation of Latinos on network news

Acknowledgments Transcription and Semiotic Conventions Prologue: Studying the Network News Coverage on Latinos Chapter 1: What US Latino Stories Make the Network News? Section I: Semiotic Analyses of Network News Stories about Latinos Chapter 2: Inside-the-Beltway Stories Jose Padilla: Citizen Terrorist or Simply Terrorist? CNN News Brief, #2 CBS News Report, #60 Latinos in the White House ABC: Alberto Gonzales Nominated Attorney General, #100 CNN: Carlos Gutierrez Nominated Commerce Secretary, #112 Presidential Campaign for Latino Voters ABC: Speaking Spanish Garners Latino Votes, #10 NBC: Rejecting a Latino Voter Myth, #82 NBC: Latino Voters in Western States, #90 ABC: Candidates Appear on Sabado Gigante, #97 Chapter 3: News Briefs and Feature Stories Economic Impact of Latinos NBC News Brief on Jobs, #27 Health of Latinos CBS News Brief on Strokes, #80 CBS Investigative Report: Hospitals Price-Gouging Latinos, #47 Politics of Entertainment ABC: Visas Denied to Cuban Musicians, #13 Multiple News Briefs on Defecting Cuban Dancers CBS: Day without a Mexican, #49 CBS: Reality Show !Gana la Verde! #87 Latinos and Public Education CBS: Increasingly Segregated Schools, #51 NBC/Telemundo: DREAM Act Students, #57 Iraq War Latino Soldiers CNN: Death of a Green Card Soldier, #33 ABC: Sergeant Rafael Peralta, #109 Latinos in Sports ABC: NFL Marketing to Latinos, #9 Baseball's A-Rod, #16, #18, #19, #20, #21, #22, #23 NBC: Olympic Triple Jumper Becomes Iconic Immigrant, #85 Chapter 4: News Stories about Caribbean Immigrants Cuban Migrants as Refugees ABC and CBS News Briefs about Cubans Floating on a Buick, #11, #12 ABC News Brief about Mexican Pinata Girl, #105 ABC and CBS News Briefs on Cubans Migrating by Inner Tube, #34, #35 Dominican Migrants as Victims NBC and ABC News Briefs and NBC Report, #63, #81, #14 Dominican Migrants as Criminals ABC In-Depth Story, #74 Chapter 5: Immigration Policy Stories Bush's Immigration Policy Initiative ABC World News Tonight with Peter Jennings, #3 CNN NewsNight with Aaron Brown, #1 NBC Nightly News with Tom Brokaw, #4 Phoenix Drop Houses NBC News Brief, #15 CNN News Brief, #24 Second CNN News Brief, #28 CNN Feature-Length Story, #30 New Flood of Immigrants? First NBC/Telemundo Report, #17 Second NBC Report, #48 Chapter 6: Feature-Length News Stories about Mexican Immigrants NBC: Mexican Migrants in the Aftermath of a Hurricane, #83 NBC/Telemundo: Air Flight Repatriations, #89 CBS: Contrasting Views of Arizona's Prop 200, #117 CBS: Immigration: What Does It Mean to You? #77 ABC/BBC: Dangerous Crossing, #116 Conclusions: Semiotic Analyses of Network News Stories about Latinos Section II: Humanist Theories and Cognitive Modeling of Television News Readings Chapter 7: A Cognitive Model to Incorporate Second-Order Signs Chapter 8: Adding Narrative to Semiotics: Myths That Underlie News Stories Chapter 9: Conclusion Appendix A: Summary Table of 118 Network Evening News Stories about Latinos in 2004 Appendix B: Template for Social Semiotic Analysis of Network News Stories (#48) Notes References Credits Index

Swaps central clearing for asset managers: How clear is it?

The Asset Management Group (AMG) of the Securities Industry and Financial Markets Association (SIFMA) provides a summary of ten major concerns facing its asset manager members as they transition to mandatory central clearing for most interest rate swaps and credit index swaps on behalf of their clients. Concerns covered include documentation requirements, counterparty risk, treatment of collateral, margin requirements, changes in operational workflows, clearing certainty, allocation of trades, backloading and uncertainty of future global mandates.

Equity Sector Rotation via Credit Relative Value

NAAIM 2013 Wagner Award-winning paper. Describes a straightforward sector rotation + tactical asset allocation strategy that uses a high yield credit index to judge equity relative value.

Opening up Middle English manuscripts: literary and visual approaches

Preface Acknowledgments Abbreviations Glossary of Key Manuscript Terminology Note on Transcriptions and Transcription SymbolsTHE FRONT PLATES: Transcriptions, Scripts, and Descriptive Analysis for Learning to Read Literary Texts on the Manuscript PageHow to Transcribe Middle English / Kathryn Kerby-Fulton-Bare Essentials 1: A Transcription Is Not an EditionIntroduction: The Order of the Plates and Scripts Most Commonly Found in Middle English Literary Texts / Kathryn Kerby-Fulton1. The Land of Cokaygne (British Library, ms Harley 913) / Kathryn Kerby-Fulton2. Ihesu (Newberry Library, MS 31) / Kathryn Kerby-Fulton3. The Pricke of Conscience (Newberry Library, MS 32.9) / Kathryn Kerby-Fulton4. Chaucer's Cook's Tale (Hg) (National Library of Wales, Peniarth MS 392D, Hengwrt MS 154) / Kathryn Kerby-Fulton5. Chaucer's Cook's Tale (Cp) (Corpus Christi College, MS 198) / Kathryn Kerby-Fulton6. Omnis plantacio (formerly The Clergy May Not Hold Property) (Huntington Library, MS HM 503) / Kathryn Kerby-Fulton7. Hoccleve 's Chanceon to Somer and Envoy to Regiment des Princes (Huntington Library, MS HM 111) / Kathryn Kerby-Fulton8. Langland, Piers Plowman (Bodleian Library, MS Douce 104) / Kathryn Kerby-Fulton9. Sir Degrevant (Cambridge University Library, MS Ff.1.6, Findern MS) / Linda Olson10. Wisdom (Folger Shakespeare Library, MS V.a.354, Macro MS) / Linda OlsonChapter 1. Major Middle English Poets and Manuscript Studies, 1300-1450 / Kathryn Kerby-FultonA Brief Overview of Topics Covered in This ChapterI. BL MS Arundel 292, Archaism, and the Preservation of Alliterative Poetry c. 1300-c. 1450II. BL MS Harley 2253 and Principles of Compilatio, or: Why Read the Harley Lyrics in their Natural Habitat?-Bare Essentials 2: Anglicana Script and Profiling the Individual ScribeIII. Gawain and the Medieval Reader: The Importance of Manuscript Ordinatio in a Poem We Think We Know-Bare Essentials 3: Assessing Emendation in a Modern EditionIV. The Rise of English Book Production in Ricardian London: Professional Scribes and Langland's Piers Plowman-Bare Essentials 4: Some Basic Concepts of Editing, Types of Written Standard Middle English, and Scribal Handling of DialectV. Some of the Earliest Attempts to Assemble the Canterbury TalesVI. The Scribe Speaks at Last: Hoccleve as Scribe EChapter 2. Romancing the Book: Manuscripts for Euerich Inglische / Linda Olson-Middle English Romances in the Auchinleck, Thornton, and Findern ManuscriptsI. Englishing Romance: The Auchinleck ManuscriptII. Romancing the Gentry Household: Robert Thornton's Homemade Family Library-Thornton Names in the Lincoln and London ManuscriptsIII. Courting Romance in the Provinces: The Findern ManuscriptChapter 3. The Power of Images in the Auchinleck, Vernon, Pearl, and Two Piers Plowman Manuscripts / Maidie HilmoI. Looking at Medieval ImagesII. The Auchinleck ManuscriptIII. The Vernon ManuscriptIV. The Pearl ManuscriptV. Two Piers Plowman Manuscripts and the Ushaw Prick of ConscienceVI. ConclusionChapter 4. Professional Readers at Work: Annotators, Editors, and Correctors in Middle English Literary Texts / Kathryn Kerby-FultonI. Categories of Marginalia: The Annotating and Glossing of ChaucerII. The Annotations in Manuscripts of Langland's Piers PlowmanIII. Annotations and Corrections in the Book of Margery Kempe: Cruxes, Controversies, and Solutions-Appendix on the Red Ink Annotator and Previous Annotators in BL MS Add. 61823IV. The Quiet Connoisseur: The First Annotator(s) of Julian of Norwich's Showings in the Amherst Manuscript (British Library, MS Add. 37790)Chapter 5. Illuminating Chaucer's Canterbury Tales: Portraits of the Author and Selected Pilgrim Authors / Maidie HilmoI. IntroductionII. The Decoration and Borders of the Hengwrt and Ellesmere ManuscriptsIII. The Historiated Initial with an Author Portrait: A Further Development of the Hengwrt TraditionIV. The Ellesmere Traditions: Illustrated Pilgrim AuthorsV. ConclusionChapter 6. Swete Cordyall of Lytterature: Some Middle English Manuscripts from the Cloister / Linda OlsonI. Nourishing the Spirit of Religious Women: Vernacular Texts and ManuscriptsII. Monastic Manuscripts of Chaucer: Literary Excellence under Religious Rule-The Contents of London, British Library, MS Harley 7333III. Lots of Lydgate and a Little Hoccleve: Chaucer's Successors in Monastic HandsIV. Sadde Mete for Mind and Soul: Contemplative and Visionary Texts in the CloisterV. Taking it to the Streets: Middle English Drama from the CloisterReferences Cited Illustration Credits Index of Manuscripts and Incunabula General Index

The Impact of Liquidity on Senior Credit Spreads During the Subprime Crisis

This paper examines the effects of liquidity during the 2007-09 crisis, focussing on the senior tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. The aim is to understand whether these senior credit indices were discounted below fair value and to what extent this discount reflects a lack of depth in the relevant markets, scarcity of risk-capital, and liquidity preference exhibited by investors. Using cointegration analysis, the paper shows that during the crisis lower market and funding liquidity and higher investors' risk-aversion are important drivers of the increase in the spread of triple-A structured securities, while they are less significant to explain the spread of a portfolio of unstructured credits. Looking at the experience of the subprime crisis, the study explores the pitfalls of securitization when the conditions under which it can work properly (transparency and tradability) suddenly disappear; leaving investors highly exposed to systemic risk factors.

Identification of Credit Risk of Personal Loan in Commercial Bank Based on SVM

Guard against financial risks, reduce bad loans, increase the ability to identity risk of commercial banks, the key is risk warning. In view of the increasing proportion of personal loans in banking business, it is particularly important to warning personal loans credit risk. Commercial bank lending itself is a complex nonlinear system, using general linear theory is difficult to objectively reflect the laws of this, this paper uses SVM(support vactor machine). Personal loan credit index first constructed, and then use SVM to identify risk. Results showed that SVM plays an important role in identifying risk in personal loans.

Adequacy Assessment Considerations in Wind Integrated Power Systems

There is a wide range of possible data representations, models and solution techniques available when conducting adequacy assessments of wind integrated generation or composite generation and transmission systems. This paper presents some of the basic factors and procedures that need to be considered when conducting wind integrated system adequacy assessment. Focus is placed on possible wind speed data models, wind energy conversion system models and their application in generation and bulk system adequacy evaluation. A series of studies is presented using two published test systems, the RBTS and the IEEE-RTS. These studies illustrate the effects of wind farm correlation on the determination of wind power capacity credit indices and on general adequacy assessment in generating and bulk electric systems. The impacts on the system well-being indices of adding wind power to a bulk electric system and the effects on the adequacy of a wind integrated system from energy storage obtained using hydro generation are examined by application to the IEEE-RTS.

Comprehensive Benchmark Revisions for The Conference Board Leading Economic Index® for the United States

Following an extensive reevaluation of existing indicators included in The Conference Board Leading Economic Index® for The United States, we propose a comprehensive revision of the composite index. In this paper we present the case for replacing three of the components and making a minor adjustment to one other component. The resulting index addresses structural changes that have occurred in the U.S. economy in the last several decades. The changes in the LEI composition include: 1) incorporating in the LEI a new Leading Credit Index (LCI) rather than real money supply (M2) starting in 1990 (real M2 remains in the index before 1990); 2) replacing the ISM Supplier Delivery Index with the ISM New Orders Index; 3) replacing the Reuters/University of Michigan Consumer Expectations Index with an equally weighted average of consumer expectations of business and economic conditions using questions from surveys conducted by Reuters/University of Michigan and The Conference Board; and 4) replacing “New Orders for (nondefense) Capital Goods” with “New Orders for (nondefense) Capital Goods excluding Aircraft.” These changes are assessed using turning point analysis, probit models and an indicator scoring system based on Markov Switching models. Real time out-of-sample forecasting exercises are used to confirm that the changes to the composition help the LEI forecast more accurately future economic conditions.

Using a Leading Credit Index to Predict Turning Points in the U.S. Business Cycle

Financial indicators such as yield curves and stock prices have been extensively used as leading indicators of economic activity due to their forward looking content. Indeed, the Leading Economic Index (LEI) for the United States, a widely used forecasting tool for business cycle turning points, includes several financial components. However, we argue that the coverage of financial and credit market activity in the LEI can be improved to account for some of the structural changes in the U.S. economy (especially in financial markets) and we present evidence that at least one of the existing components, namely real money supply does not perform as well as it used to as a leading indicator in the past several decades. Over the past three decades, many new financial indicators, such as interest rate swaps, credit default swaps, certain corporate-treasury spreads, the Federal Reserve’s senior loan officer survey, etc. have become available, but, since most of these new indicators have not been available for a long enough period, very little research has been conducted to evaluate their utility as leading indicators. In this paper we evaluate the usefulness of a large number of financial indicators according to their ability to predict recessions (i.e. peaks in the business cycle). First, we establish the criteria which are helpful for assessing whether and when such financial indicators generate signals of recessions. We then choose the best ones and aggregate them into a single composite index of financial indicators which we name the Leading Credit Index (LCI). Our approach differs from others in the literature in that we focus on a small, carefully selected set of indicators as index components and, additionally, in our selection criteria we target business cycle turning points rather than financial stability. We argue that this leading credit index can be helpful to estimate recession probabilities better than individual indicators, including some of the existing components of the LEI, especially real money supply. As opposed to other recent financial indexes created to measure financial instability or volatility, the purpose of ours is to signal recessions in the US economy, and as such it could serve as an appropriate new component for the U.S. LEI.

Credit Risk Management in Banking and its Implementation in Iran

The main task in the system of banking in Iran is equipping the resources and allotting them as bank subsidies (facilities) to the customers. In this system most of the bank’s assets belong to depositors i.e. bank hold people’s properties and lends them to customers. To make decision about lending, an overall study should be made to minimize loan risks especially the credit risk, which is the main risk. An important question to be asked here is: “is there any meaningful relationship between credit risk indices and customers’ commitments To answer this question we first determine the credit risk indices, which are the most related to the customers’ payback and then we design a model by which a number, as the credit index of borrower, will be assigned to the borrower. This credit index is a criterion which helps us to decide about lending.