Dynamic provisioning: a countercyclical tool for loan loss reserves

In the wake of the financial crisis of 2007-2009, as various banking policymakers revisit loan loss provisioning rules, the Spanish approach of dynamic provisioning has garnered attention as a potential alternative to the current incurred loss approach. We review the current approach to loan loss reserves in the United States, focusing on how loan loss reserves relate to bank solvency and why the current accounting approach may have procyclical effects. We present a conceptual framework to compare loan loss provisioning under the incurred loss framework and dynamic provisioning. Then we simulate dynamic provisioning with U.S. data to present an empirical comparison.Loans

Orthonormal representations of HH-free graphs

Let $x_1, \ldots, x_n \in \mathbb{R}^d$ be unit vectors such that among any three there is an orthogonal pair. How large can $n$ be as a function of $d$, and how large can the length of $x_1 + \ldots + x_n$ be? The answers to these two celebrated questions, asked by Erd\H{o}s and Lov\'{a}sz, are closely related to orthonormal representations of triangle-free graphs, in particular to their Lov\'{a}sz $\vartheta$-function and minimum semidefinite rank. In this paper, we study these parameters for general $H$-free graphs. In particular, we show that for certain bipartite graphs $H$, there is a connection between the Tur\'{a}n number of $H$ and the maximum of $\vartheta \left( \overline{G} \right)$ over all $H$-free graphs $G$.Comment: 16 page

Privatization, Unemployment and Subsidy

transition, privatization, unemployment

Equiangular subspaces in Euclidean spaces

A set of lines through the origin is called equiangular if every pair of lines defines the same angle, and the maximum size of an equiangular set of lines in $\mathbb{R}^n$ was studied extensively for the last 70 years. In this paper, we study analogous questions for $k$-dimensional subspaces. We discuss natural ways of defining the angle between $k$-dimensional subspaces and correspondingly study the maximum size of an equiangular set of $k$-dimensional subspaces in $\mathbb{R}^n$. Our bounds extend and improve a result of Blokhuis

Decoding messages from the yield curve

Bank supervision ; Federal Reserve District, 5th

Equiangular Lines and Spherical Codes in Euclidean Space

A family of lines through the origin in Euclidean space is called equiangular if any pair of lines defines the same angle. The problem of estimating the maximum cardinality of such a family in $\mathbb{R}^n$ was extensively studied for the last 70 years. Motivated by a question of Lemmens and Seidel from 1973, in this paper we prove that for every fixed angle $\theta$ and sufficiently large $n$ there are at most $2n-2$ lines in $\mathbb{R}^n$ with common angle $\theta$. Moreover, this is achievable only for $\theta = \arccos(1/3)$. We also show that for any set of $k$ fixed angles, one can find at most $O(n^k)$ lines in $\mathbb{R}^n$ having these angles. This bound, conjectured by Bukh, substantially improves the estimate of Delsarte, Goethals and Seidel from 1975. Various extensions of these results to the more general setting of spherical codes will be discussed as well.Comment: 24 pages, 0 figure

Hem-fehérjék okozta lipoprotein modifikációk: Oxidatív vascularis károsodások kialakulása és az endothelialis adaptáció indukciója = Oxidative modification of lipoproteins by heme proteins: Promotion of oxidation and induction of cytoprotectants in vascular endothelial cells

Számos vaszkuláris megbetegedésben a hem-vas eredetű endotheliális károsodás pathogenetikai szerepére egyre több adat utal. Munkánk során in vitro és in vivo körülmények között (humán hem oxigenáz-1 deficienciában) igazoltuk, hogy a hem-protein eredetű hem, amellett hogy önmagában is citotoxikus, az LDL oxidatív modifikációja révén is vezethet endotheliális funkciózavarhoz. Endotheliális sejtkárosodás végstádiumú veseelégtelenségben szenvedőkben is igazolást nyert. Munkánk során bizonyítottuk, hogy a hemodialízis során az antioxidáns tulajdonságú retenciós molekulák eltávolítása elősegítheti az LDL oxidatív modifikációját és a bekövetkező endothelsejt-károsodás veszélyeztetheti az érrendszert. Az endothelium gyorsan változó oxidatív környezete és a késlekedő adaptáció megnövelheti az atherosclerosis rizikóját a hemodializált krónikus veseelégtelenségben szenvedő betegekben. A hem okozta érkárosodások vizsgálata mellett klinikai tanulmányban igazoltuk, hogy az agyi erek korai érelmeszesedésének rizikója elsősorban az inflammációs markerek megemelkedett szintjével van összefüggésben. | Numerous pathologies may involve toxic side effects of free heme and heme derived iron. Deficinecy of the heme catabolizing enzyme, heme oxygenase-1 in both human and mice leads to abundance of circulating heme and damage to vascular endothelium. Although heme can be directly cytotoxic, we have shown that hemoglobin-derived heme might be indirectly cytotoxic through the generation of oxidized forms of low-density lipoprotein. Endothelial dysfunction has been observed in patients with chronic kidney disease on maintenance hemodialysis too. We have shown that oxidative modification of LDL and consequent endothelial cell damage is a result of depletion of retention solutes with antioxidant capacity, and might represent an immediate threat to the vasculature. The adaptation to such an insult may require many hours in order to gain defense mechanisms, leaving cells susceptible to oxidative damage. In a rapidly undulating oxidative environment of endothelium, the delayed adaptation may not be entirely sufficient to prevent lipid peroxidation and endothelial cell injury in uremic patients on hemodialysis, resulting in an enhanced risk for atherosclerosis

Red blood cell, hemoglobin and heme in the progression of atherosclerosis

For decades plaque neovascularization was considered as an innocent feature of advanced atherosclerotic lesions, but nowadays growing evidence suggest that this process triggers plaque progression and vulnerability. Neovascularization is induced mostly by hypoxia, but the involvement of oxidative stress is also established. Because of inappropriate angiogenesis, neovessels are leaky and prone to rupture, leading to the extravasation of red blood cells (RBCs) within the plaque. RBCs, in the highly oxidative environment of the atherosclerotic lesions, tend to lyse quickly. Both RBC membrane and the released hemoglobin (Hb) possess atherogenic activities. Cholesterol content of RBC membrane contributes to lipid deposition and lipid core expansion upon intraplaque hemorrhage. Cell-free Hb is prone to oxidation, and the oxidation products possess pro-oxidant and pro-inflammatory activities. Defense and adaptation mechanisms evolved to cope with the deleterious effects of cell free Hb and heme. These rely on plasma proteins haptoglobin (Hp) and hemopexin (Hx) with the ability to scavenge and eliminate free Hb and heme form the circulation. The protective strategy is completed with the cellular heme oxygenase-1/ferritin system that becomes activated when Hp and Hx fail to control free Hb and heme-mediated stress. These protective molecules have pharmacological potential in diverse pathologies including atherosclerosis