Computer trading and systemic risk: a nuclear perspective

Financial markets have evolved to become complex adaptive systems highly reliant on the communication speeds and processing power afforded by digital systems. Their failure could cause severe disruption to the provision of financial services and possibly the wider economy. In this study we consider whether a perspective from the nuclear industry can provide additional insights

Does Central Clearing Reduce Counterparty Risk in Realistic Financial Networks?

Novating a single asset class to a central counterparty (CCP) in an over-the-counter derivatives trading network impacts both the mean and variance of total net exposures between counterparties. When a small number of dealers trade in a relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to increased counterparty risk and higher margin needs. There are intermediate cases where there is a tradeoff: The introduction of a CCP leads to an increase in expected net exposures but this increase is accompanied by a reduction in variance. We extend the work of Duffie and Zhu (2011) by considering general classes of network structures and focus on scale-free and core-periphery structures, which have been shown to be accurate models of real-world financial networks. We find that a CCP is unlikely to be beneficial when the link structure of the network relies on just a few key nodes. In particular, in large scale-free networks a CCP will always worsen expected netting efficiency. In such cases, CCPs can improve netting efficiency only if agents have some degree of risk aversion that allows them to trade off the reduced variance against the higher expected netted exposures. This may explain why, in the absence of regulation, traders in a derivatives network may not develop a CCP themselves

Prognostic Role of Androgen Receptor in Triple Negative Breast Cancer: A Multi-Institutional Study

Background: Androgen Receptor (AR) has emerged as a potential therapeutic target for AR-positive triple-negative breast cancer (TNBC). However, conflicting reports regarding AR’s prognostic role in TNBC are putting its usefulness in question. Some studies conclude that AR positivity indicates a good prognosis in TNBC whereas others suggest the opposite, and some show that AR status has no significant bearing on the patients’ prognosis. Methods: We evaluated the prognostic value of AR in resected primary tumors from TNBC patients from six international cohorts {US (n=420), UK (n=239), Norway (n=104), Ireland (n=222), Nigeria (n=180), and India (n=242); total n=1407}. All TNBC samples were stained with the same anti-AR antibody using the same immunohistochemistry protocol, and samples with ≥1% of AR-positive nuclei were deemed AR-positive TNBCs. Results: AR status shows population-specific patterns of association with patients’ overall survival after controlling for age, grade, population, and chemotherapy. We found AR-positive status to be a marker of good prognosis in US and Nigerian cohorts, a marker of poor prognosis in Norway, Ireland and Indian cohorts, and neutral in UK cohort. Conclusion: AR status, on its own, is not a reliable prognostic marker. More research to investigate molecular subtype composition among the different cohorts is warranted

An Empirical Study of the Mexican Banking System's Network and Its Implications for Systemic Risk

With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectedness is also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size

Identifying Term Interbank Loans from Fedwire Payments Data

Interbank markets for term maturities experienced great stress during the 2007-09 financial crisis, as illustrated by the behavior of one- and three-month Libor. Despite widespread interest in these markets, little data are available on dollar interbank lending for maturities beyond overnight. We develop a methodology to infer individual term dollar interbank loans (for maturities between two days and one year) by applying a set of filters to payments settled on the Fedwire Funds Service, the large-value bank payment system operated by the Federal Reserve Banks. Our approach introduces several innovations and refinements relative to previous research by Furfine (1999) and others that measures overnight interbank lending. Diagnostic tests to date suggest our approach provides a novel and useful source of information about the term interbank market, allowing for a number of research applications. Limitations of the algorithm and caveats on its use are discussed in detail. We also present stylized facts based on the algorithm's results, focusing on the 2007-09 period. At the crisis peak following the failure of Lehman Brothers in September 2008, we observe a sharp increase in the dispersion of inferred term interbank interest rates, a shortening of loan maturities, and a decline in term lending volume

An investigation on the optimization of electrochemically pigmented aluminum oxide collector coatings

Cataloged from PDF version of article.In order to produce selective coatings on aluminium substrates to be used as absorber plates in high efficiency solar collectors, nickel pigmentation has been applied to anodically oxidized surfaces. Optical and structural properties of electrochemically formed aluminium oxide films as function of electrolysis conditions such as, applied current, pH, temperature and concentration of metal ions have been examined using electron spectroscopy and scanning electron microscopy. The optimisation of the absorptivity/emissivity ratio of the surfaces in terms of preparation conditions is described. Nickel pigmentation of porous aluminum surfaces was also investigated as a function of electrochemical pigmentation conditions. Mechanisms contributing to selectivity in anodically produced oxides and electrodeposits are discussed. Copyright © 1996 Published by Elsevier Science Ltd

Bank Behaviour and Risks in Chaps Following the Collapse of Lehman Brothers

Uses payments data for the period 2006– 09 to study the impact of the global financial crisis on payment patterns in CHAPS, the United Kingdom\u27s large-value wholesale payments syste