Credit contagion in the presence of non-normal shocks

We generalize existing structural credit risk models that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution. We specify Skew-Normal and Skew-Student t densities for the underlying asset return process and estimate the derived credit loss density using sector default rates based on proprietary data from the Central Bank of Mexico for six firm sectors. We show that, out of the six sectors analyzed, there is a significant contagion effect in ‘Commerce’, ‘Services’ and ‘Transport’. Moreover, we show that the non-Gaussian modelling of the common factor provides a better characterization than its Gaussian counterpart for the ‘Services’ sector. This result has a significant impact on the shape and the corresponding Value-at-Risk levels of the ‘Services’ credit loss distribution. In this context, traditional Basel and vendor-based credit risk models are inadequate as these do not consider the individual or the joint impact of contagion and non-Gaussian asset returns.     

Africa Research Bulletin, Economic, Financial and Technical Series, July 16th–August 15th 2005

In This Issue
Africa-Japan
More Development Aid 16611
Mauritania
New Leaders' Commitments 16615
Food Crisis
Niger 16616
Millions at Risk 16617
Nigeria
Electronic Banking 16623
Zimbabwe
Currency Devaluation 16625
Namibia
Growth in Uranium 16630
Contents
Continental Developments 16609
Policy and Practice 16614
Communications and Transport 16625
Commodities 16629
Industries 16635
Rates 16637
Index 16638     

New development: Decentralizing governance in England—transport's key role

Transport holds the key to effective decentralization of responsibilities in England. But transport cannot be considered in isolation from other functions. It has close links with spatial planning and other environmental, economic and social activities and they must function together. Decentralization must take this on board for England as a whole. There should be combined authorities established throughout England that are viable and accountable to the areas they serve.     

Policy Instruments and Greenhouse Gas Emissions from Transport in the UK

‘There is now general recognition that a continuing upward trend in road traffic would not be environmentally or socially acceptable. The need is to find transport policies for the UK and Europe which will be sustainable in the long term.’ Transport and the Environment (Eighteenth Report of the Royal Commission on Environmental Pollution, 1994), para. 14.1.     

Africa Research Bulletin, Economic, Financial and Technical Series, November 16th–December 15th 2004

In This Issue
Africa–China
Strength to Strength 16320
Cote d'Ivoire
Bruised Economy 16323
Rwanda
Economic Resurgence 16327
Tunisia
Fifth‐Economics 16329
Infrastructure
Air Safety 16334
Satellite Technology 16336
South Africa
BEE And Earning Power 16344
Contents
Continental Developments 16317
Policy and Practice 16323
Communications and Transport 16334
Commodities 16338
Industries 16344
Economic Aid 16349
Rates 16337
Index 16350     

Africa Research Bulletin, Economic, Financial and Technical Series, March 16th–April 15th 2003 Published May 8th 2003

In This Issue
Africa – US
Casualty of War 15582
Benin
Stable Economy 15585
Ethiopia
Strong Potential 15587
ADB
Privatisation Report 15592
Mozambique
Porto Dobela 15597
Industry
African Clusters 15607
Contents
Continental Developments 15582
Policy and Practice 15585
Communications and Transport 15596
Commodities 15600
Industries 15606
Economic Aid 15612
Rates 15611
Index 15614     

Africa Research Bulletin, Economic, Financial and Technical Series, August 16th–September 15th 2004

In This Issue
African Union
Unemployment Summit 16214
Unions in Crisis 16215
Angola
Cash-Strapped 16218
South Africa
Job Loss Worries 16221
West Africa
A Plague of Locusts 16223
Franc Zone
"Dirty Money" Replaced 16225
Diamonds
Under-Cutting de Beers 16236
Contents
Continental Alignments 16214
Policy and Practice 16218
Communications and Transport 16230
Commodities 16232
Industries 16238
Economic Aid 16241
Rates 16241
Index 16242     

Africa Research Bulletin, Economic, Financial and Technical Series, March 16th–April 15th 2004, Published May 13th 2004

In This Issue
Nile Basin Initiative
Tensions Grow 16027
Namibia
Expropriation Plans 16031
Nigeria
War on Oil Graft 16032
Seychelles
Rene's Legacy 16033
Stock Markets
Beating the World 16040
Cotton
GM Threat 16048
Contents
Continental Alignments 16024
Policy and Practice 16029
Communications and Transport 16043
Commodities 16047
Industries 16053
Economic Aid 16056
Rates 16026
Index 16058     

Africa Research Bulletin: Economic, Financial and Technical Series, April 16th-May 15th 1999. Published June 7th 1999

In This Issue
Angola
Commodities to Arms 13869
Currency Slide 13876
Niger
Coup Pulls the Plug 13872
Nigeria
Last Spending Spree 13873
Further Devaluation 13880
Malawi
Upbeat 13879
Africa
Telecommunications 13884
Contents
1 Continental Developments 13865
2 Policy and Practice 13868
3 Communications and Transport 13883
4 Commodities 13886
5 Industries 13893
6 Economic Aid 13896
Rates 13897
Index 13898     

Africa Research Bulletin, Economic, Financial and Technical Series, May 16th-June 15th 2000 Published July 13th 2000

In This Issue Burundi Economy in Ruins 14354 Egypt Liquidity Problems 14355 Madagascar Privatisation Slow 14356 South Africa Momentary Blip? 14359 Zimbabwe World Bank Action 14360 Oil Angolan Wealth 14375 Chad Pipeline 14376 Contents 1 Continental Developments 14350 2 Policy and Practice 14354 3 Communications and Transport 14367 4 Commodities 14370 5 Industries 14377 6 Economic Aid 14383 Rates 14385 Index 14386     

Africa Research Bulletin, Economic, Financial and Technical Series, September 16th–October 15th 2001 Published November 9th 2001

In This Issue
Recession
Aftermath of Attacks 14922
Botswana
Pressure to Diversify 14926
Cote d'Ivoire
Economic Doldrums 14927
Zimbabwe
IMF Suspends Package 14931
Algeria
IMF Assessment 14934
Commodities
Gold Rides Storm 14942
Contents
1 Continental Developments 14922
2 Policy and Practice 14926
3 Communications and Transport 14939
4 Commodities 14942
5 Industries 14948
6 Economic Aid 14953
Rates 14938
Index 14954     

Africa Research Bulletin: Economic, Financial and Technical Series, May 16th-June 15th 1998. Published July 6 1998

In This Issue Eritrea-Ethiopia Nafka to Blame? 13459 Angola Oil Mortgaged 13462 Burundi Embargoed Economy 13463 Nigeria Abacha’s Legacy 13467 South Africa Rand Tumble 13471 Botswana New Mineral Code 13481 Contents 1 Continental Developments 13458 2 Policy and Practice 13462 3 Communications and Transport 13475 4 Commodities 13477 5 Industries 13482 6 Economic Aid 13487 Rates and Sources 13489 Index 13490     

Africa Research Bulletin, Economic, Financial and Technical Series, August 16th–September 15th 2000 Published October 12th 2000

In This Issue Comesa Beginning of End? 14456 Nigeria Clinton’s Visit 14459 DR Congo Split in Two 14461 South Africa Privatisation 14465 Zimbabwe Damage Assessment 14466 Oil Impact of Price Rise 14477 Contents 1 Continental Developments 14456 2 Policy and Practice 14461 3 Communications and Transport 14473 4 Commodities 14476 5 Industries 14484 6 Economic Aid 14488 Rates 14472 Index 14490     

Africa Research Bulletin, Economic, Financial and Technical Series, January 16th–February 15th 2000 Published March 9th 2000

In This Issue
Gabon
Cost of Living 14205
Niger
Back to the Fold 14207
Zimbabwe
Fuel Crisis 14209
Cote d'Ivoire
Coulibaly's Choice 14211
Debt
ESAF Out; PRGF In 14213
Textiles
Undermined by Imports 14232
Contents
1 Continental Developments 14201
2 Policy and Practice 14205
3 Communications and Transport 14215
4 Commodities 14220
5 Industries 14229
6 Economic Aid 14233
Rates 14204
Index 14234     

Africa Research Bulletin, Economic, Financial and Technical Series, February 16th–March 15th 2004 Published April 9th 2004

In This Issue
Nigeria
Shades Of Progress 15998
Money Laundering Act 16003
Swaziland
All-Round Crisis 15999
Democratic Republic of Congo
IMF Approval 16001
Ethiopia
Airline's Success Story 16007
Telecommunications
Satellite Technology 16009
Commodity Trap
UNCTAD Report 16010
Contents
Continental Developments 15991
Policy and Practice 15994
Communications and Transport 16006
Commodities 16010
Industries 16017
Economic Aid 16020
Rates 16018
Index 16022     

Africa Research Bulletin: Economic, Financial and Technical Series, June 16th-July 15th 1999. Published August 2nd 1999

In This Issue
SADC
World Economic Forum 13944
Debt Burden
G-8 Deal 13949
South Africa
Revised GDP 13953
Malawi
Stable Currency 13950
Nigeria
Anti-Corruption Drive 13952
Gold
Take From Poor to Pay Poor 13966
Contents
1 Continental Developments 13944
2 Policy and Practice 13948
3 Communications and Transport 13962
4 Commodities 13966
5 Industries 13971
6 Economic Aid 13974
Rates and Sources 13977
Index 13978     

Africa Research Bulletin, Economic, Financial and Technical Series, March 16th-April 15th 2000, Published May 11th 2000

In This Issue
Africa-Europe
Cairo Summit 14277
Africa-Russia
Change of Focus 14280
Kenya
CBK Review 14284
Nigeria
Privatisation 14286
Morocco
Budget 14301
Zambia
ZCCM's Anglo Deal 14302
Contents
1 Continental Developments 14277
2 Policy and Practice 14283
3 Communications and Transport 14294
4 Commodities 14297
5 Industries 14305
6 Economic Aid 14308
Rates 14309
Index 14310     

Africa Research Bulletin, Economic, Financial and Technical Series, July 16th–August 15th 2004 Published September 15th 2004

In This Issue
Southern Africa
The Great Trek 16181
Equatorial Guinea
Bank Probe 16184
Sudan
Lack of International Action 16188
African Currencies
Showing Resilience 16195
Infrastructure
Northern Corridor Project 16198
Mobile Telephony 16199
Oil and Gas
North African Expansion 16205
Contents
Continental Alignments 16177
Policy and Practice 16182
Communications and Transport 16197
Commodities 16200
Industries 16206
Economic Aid 16209
Rates 16183
Index 16210     

Africa Research Bulletin, Economic, Financial and Technical Series, June 16th–July 15th 2005

In This Issue G8 Gleneagles Summit 16576 Malawi Fiscal Prudence 16581 South Africa Jobs at Risk 16583 Gold Industry Declining? 16600 Zambia Turning the Corner 16584 Nigeria Debt Relief 16589 Stock Markets High Growth 16590 Contents Continental Developments 16575 Policy and Practice 16579 Communications and Transport 16592 Commodities 16596 Industries 16602 Economic Aid 16605 Rates 16605 Index 16606     

Risikoorientierte Prämiendifferenzierung in der Kfz-Haftpflichtversicherung — Mehr Prämiengerechtigkeit und weniger Verkehrsunfälle?

New empirical studies and foreign experiences are able to show that risk classification improves the incentives for traffic safety in the mandatory third-party motor insurance. The introduction of rebates and surcharges which will be based on demerit points could help for a better risk classification. In Germany demerit points are registered by the Federal Transport Authority in Flensburg. The article shows how German insurance companies could use these demerit points for the mandatory third-party motor insurance. There are no legal restrictions to voluntarily invent such kind of risk classification.