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Research

At Bay Atlantic University, we are dedicated to disciplined, critical inquiry. As scholar-practitioners, our professors make research contributions in several branches of knowledge. BAU encourages and supports these contributions, promoting the expression of divergent views and the positing of innovative solutions to the world’s social and environmental challenges.

Below you may find links to selected publications of BAU faculty members:
(click on name for articles)

FREDDY ROJAS CAMA, PhD

The Effect of Mutualization and Collateralization on Credit Default Swaps Premium

July 2019

This paper examines the effect of collateralization and mutualization (of losses) on credit default swaps (CDS) premium in a context of high counterparty risk operating through an opaque derivatives market. This setup certainly makes clearing practices to affect the size of
positions, recovery rate and premium. This model not only has the benefit of being realist to the light of causes and propagation of great recession but also to assessing clearing practices in a partial equilibrium. I closely follow contributions of Koeppl and Monnet [36], Koeppl [33], Acharya and Bisin [1] and Stephens and Thompson [52]. I show that premium is high when mutualization takes place as clearing policy; the new allocation is characterized by a high recovery rate and low risk premium as fully-insured contracts spread significantly relative to OTC markets. The risk premium ebbs as different type of default-fund calls from participants spilling into the clearinghouse. The aforementioned pushes down the premium, however it does not offset the upward effect stemming from the increasing recovery rate. On the other hand, as literature suggests collateralization avoids default, premium is high and the value of the position (or recovery rate) increases. This research contributes to compress the asset pricing theory into a material that may be a critical input in large macroeconomic models.

Keywords: price discovery; financial economics; clearing; credit default swaps; collateralization; mutualization; OTC; risk premium; CCP

Full Article

The Impact of Collateralization on Swaps Rates Under Clearing

April 2019

I study the relationship between the price of derivatives and clearing practices in a theoretical framework. I setup this connection by measuring the total exposure (the loss upon default of a contract) registered in a clearinghouse and its respective amount of collateral requirement. I find that netting through novation has significant gains in reducing exposures and therefore making a clearinghouse more competitive in terms of prices and collateral requirements thus clearing turns out to be appealing to more participants. Additionally, I also find above gains are large when comparing a financial structure of one clearing house respect to other with two specialized clearinghouses. In the case of interest rate swaps I find a relationship between netting and the Libor rate that may affect the difference in prices among clearinghouses; in other words, a linear correlation calculated over time-series data and term structure seems to validate the appearance of a widening basis -a price differential between London Clearing House and Chicago Mercantile Exchange.

Keywords: Clearinghouse; price discovery; financial economics; Interest rate swaps; credit default swaps; collateralization; netting; novation.

Full Article

The Impact of Collateralization on Swaps Rates Under Clearing: What Data Say?

December 2018

In this paper I show statistical evidence of a negative and significant impact of clearing practices on price of derivatives. This empirical finding supports the theoretical model discussed in Cama [3] which provides a method for swap valuation that hinges on the size of the exposure in a clearing arrangement; particularly when the clearing practices strengthen. In practice, hedging exposures and performing risk management (through collateralization) introduce multilateral netting, compression and other clearing procedures. These practices eventually would affect the price of contracts making possible the observation of a significant wedge in the pricing of derivatives amid markets. I consider the cases of interest rate and credit default swaps for the quantitative assessment. I found that the basis (difference of swap rates between clearinghouses) has a higher persistence and its variance may be large when market participation increases, the former -as discussed in the paper- is a sign of eventual deepening clearing practices. The regression analysis supports previous findings and show that bias is not significant larger when variables measuring additional characteristics of contracts are omitted due to access-to-data issues.

Keywords: Clearinghouse; financial economics; Interest rate swaps; credit default swaps; collateralization; netting; basis; CME; LCH.

Full Article

DEBORAH AIKEN

Printed Publications List

“Valuation of Quality of Life Losses Associated with Nonfatal Injury: Insights from Jury Verdict Data” with William Zamula: Review of Law and Economics, 5, Article 13, 2009.

“Pollution Abatement and Productivity Growth: Evidence from Germany, Japan, the Netherlands, and the United States” with Rolf Färe, Shawna Grosskopf and Carl A. Pasurka, Jr: Environmental and Resource Economics, 44, 11-28, 2009.

“Assessing Regulatory Effectiveness with Exogenously Declining Risk: A Case Study of the CPSC’s 1973 Mattress Standard” with Soumaya M. Tohamy: Journal of Safety Research, 38, 661-668, 2007.

“Application of the Distance Function to Nonmarket Valuation of Environmental Goods and Services: An Illustrative Example”: Ecological Economics, 60, 168-175, 2006.

“Adjusting the Measurement of U.S. Manufacturing Productivity for Air Pollution Emissions Control” with Carl A. Pasurka, Jr: Resource and Energy Economics, 25, 329-351, 2003.

“Assessing Incentive-Based Environmental Policies for Reducing Household Waste Disposal” with Michael J. Podolsky: Contemporary Economic Policy, XVI, 401-411, 1998.

“Policy Evaluation with Combined Actual and Contingent Response Data”: American Journal of Agricultural Economics, 80, 264-276, 1998.

“Environmental Protection Activities and Their Consequences” with Carl A. Pasurka, Jr: Environmental Accounting in Theory and Practice (Kimio Uno and Peter Bartelmus, eds.), Kluwer Academic Publishers, 1997.

“The Demand for Solid Waste Disposal: Comment” with Michael J. Podolsky: Land Economics, 72, 191-131, 1996.

“The U.S. Environmental Protection Industry: A Proposed Framework for Assessment” with Carl. A. Pasurka, Jr: The Environment Industry: The Washington Meeting, OECD, 1996.

“Environment-Economic Accounting and Indicators of the Economic Importance of Environmental Protection Activities” with Carl A. Pasurka, Jr: The Review of Income and Wealth, 41, 1-23, 1995.

“Alternative Specifications for Environmental Control Costs in a General Equilibrium Framework” with Carl A. Pasurka, Jr: Economics Letters, 48, 273-280, 1995.

“CGE Model of Pollution Abatement Processes for Assessing the Economic Effects of Environmental Policy” with Carl A. Pasurka, Jr: Economic Modelling, 12, 53-59, 1995.

“Issues in the Design of Recycling Policy: The Case of Old Newspapers”: Journal of Environmental Management, 40, 245-256, 1994.

“Partial Static Equilibrium Model of Newsprint Recycling”: Applied Economics, 24, 411-417, 1992.

ALEXANDER MURINSON

Online Publications List

–An ‘unfrozen’ conflict in Nagorno-Karabakh:
http://www.washingtontimes.com/news/2016/aug/24/an-unfrozen-conflict-in-nagorno-karabakh/

–The other nuclear threat:
http://www.washingtontimes.com/news/2016/may/3/alexander-murinson-armenias-nuclear-threat/

–Revisiting events in Nagorno-Karabakh:
http://www.washingtontimes.com/news/2015/oct/4/alexander-murinson-revisiting-events-in-nagorno-ka/

–Azerbaijan: Israel’s Secret Muslim Friend:
http://www.themedialine.org/news/azerbaijan-israels-secret-muslim-friend/

–Azerbaijan and Israel—genuine Muslim-Jewish relations:
http://origin-nyi.thehill.com/blogs/congress-blog/foreign-policy/312506-azerbaijan-and-israel-genuine-muslim-jewish-relations-and

–Anti-Semitism in Armenia:
http://thehill.com/blogs/congress-blog/foreign-policy/227301-anti-semitism-in-armenia

–How Long Can Russia Maintain It’s Sanctions Against Turkey?:
http://www.jpost.com/Arab-Israeli-Conflict/How-long-can-Russia-maintain-its-sanctions-against-Turkey-435864

Printed Publications List

“Turkey’s Entente with Israel and Azerbaijan: State Identity and Security in the Middle East and Caucasus”: Routledge Paperback Edition, 2013, & Routledge Studies in Middle Eastern Politics, 2009.

“The Ties Between Israel and Azerbaijan”: Mideast Security and Policy Studies Number 110, The Begin-Sadat Center for Strategic Studies, Bar-Ilan University, 2014.

“It Is Not Science Fiction: Opportunities and Challenges in Israeli-Azerbaijani Relations”: Caucasus International, 2012.

“A Bone in the Throat: Azerbaijani-Iranian Relations in the beginning of the 21st Century”: Revue EuroOrient France, Special Edition, 2012.

“Le poids de l’histoire”: Outre-Terre, the European Journal of Geopolitics France, Special Edition 28, Iran, le compte à rebours, August 2011.

“Russia Accuses Turkey of Violating Montreux Convention”: CACI Analyst, 2008.

“Azerbaijan-Turkey-Israel Relations: The Energy Factor”: MERIA Journal, Volume 12, Number 3, 2008.

“Azerbaijan-Jewish Relations: Realpolitik Embedded in History”: The Caucasus and Globalization: Journal of Social, Political and Ecomonic Studies, Volume 2, Issue 2, 2008.

“Good Relations between Azerbaijan and Israel: A Model for Other Muslim States in Eurasia?”: Policy Watch #982, The Washington Institute for the Near East Policy, Co-Authored by Soner Cagaptay, 30 March 2005.

TAM ROGERT NGUYEN

Online Publications List

–How Infrastructure Companies Deliver Real Benefits:
http://www.mckinsey.com/industries/capital-projects-and-infrastructure/our-insights/how-infrastructure-companies-deliver-real-benefits

–Regional Public Goods: From Theory to Practice:
https://publications.iadb.org/handle/11319/260

PAOLO VON SCHIRACH

SchirachReport.com: More than 1,200 articles written on economic, budgetary, innovation, energy, education, public policy and U.S. foreign policy issues, along with many others on the NATO Alliance, terrorism, Syria, the Chinese economy, European integration, (monetary economic and social issues) and Africa, and more.

Online Publications List

–Global Policy Institute Current Videos:
https://globalpi.org/video/

–Paolo vS – Project and Roadmap Presentation:
https://prezi.com/e8tb_7uhp-we/paolo-vs-project-and-roadmap-presentation/

–Independency from grid: the power revolution for developed and developing countries:
http://www.sun-connect-news.org/technology/details/independency-from-grid-the-power-revolution-for-developed-and-developing-countries/

–Bush alerts Gorbachev coup loomed – Ex Advisor to USAID:
http://philippinesreport.com/bush-alerts-gorbachev-coup-loomed-ex-advisor-to-usaid/

–Ex EU Adviser: Ceasefire Ensures President Assad on Top in Syrian Peace:
http://en.farsnews.com/newstext.aspx?nn=13941211001340

–Revealed about the political turning point in 1991 in the Soviet Union:
http://vietnamnet.vn/vn/the-gioi/ho-so/he-lo-moi-ve-chinh-bien-nam-1991-o-lien-xo-322695.html

–Ex-EU Adviser: Bill Clinton Pick to Fix Economy Unlikely to Impress Voters:
https://sputniknews.com/us/201605171039723787-bill-clinton-unlikely-impress-voters/

–Mexico Trip Helps Trump Project ‘Presidential’ Image – Former Diplomat:
https://sputniknews.com/us/201609021044872908-trump-mexico-trip/

–Doha oil-freeze talks: ‘Iran plays crucial role’:
https://www.rt.com/op-edge/339965-opec-doha-iran-oil-price/

–To-Do List for Rex Tillerson: Start With Repairing Relations With Europe:
https://sputniknews.com/us/201702041050336063-rex-tillerson-mend-ties-europe/

–Trump Faces Uphill Battle, But Can Still Win US Presidency – Ex-USAID Aide:
https://sputniknews.com/us/201603171036469372-trump-us-presidency/

–Revised US Strategy in Afghanistan Can’t Win War – Ex-USAID Adviser:
https://sputniknews.com/military/201606111041166896-afghanistan-us-strategy/

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