Assessing, perceiving and insuring credit risk

This thesis is concerned with the assessment, perception and insurance of credit risk. The thesis aims to make contributions both within these areas, and at specific points of interface between them. No attempt is made to develop a single unifying thesis. Rather, a series of partial models are developed, both theoretical and empirical, that develop and connect particular facets of financial economics. The first model demonstrates how movements in market risk produce movements in lender risk-assessment effort. It is demonstrated that deleterious movements in market-wide risk can actually produce a fall in assessment effort. The capricious nature of risk assessment causes changes in the lender's perception of the weights placed on determinants. This has important implications for borrowers' attempts to minimize risk premiums. Time-variability of signal-weights is tested using structural break tests on ordinary least squares and fixed effects panel models. Results suggest a fluid relationship between risk and determinants. Central to empirical investigation is the measurement of perceived risk. A critique of potential measures rejects the use of interest rate spreads - the most commonly used measure - on the basis that they do not take into account the possibility of credit rationing. A model is then constructed to reproduce the standard explanation of credit rationing - Adverse Selection induced Credit Rationing Equilibrium (ASCRE). This model is then extended to include classificatory risk assessment. Assessment is found to reduce the scope for ASCRE, and to cause favourable selection. Credit insurance is then included, and it is found that insurance cover makes risk assessment less of an imperative to lenders, and reduces the utility losses from raising interest rates. The parallel implication is that credit insurance weakens ASCRE, to the extent that full insurance with flat-rate premiums removes the possibility of ASCRE altogether. If the terms of insurance are made contingent on the terms of the loan, a new form of credit rationing emerges: Contingent Insurance induced Credit Rationing Equilibrium (CICRE). CICRE is separate, but not mutually exclusive, to ASCRE. A theoretical model of the demand for loan insurance is developed, and empirically estimated, in the context of the UK mortgage market. Inter alia, the model examines the role of auto-perception of risk determining credit insurance demand. Results reveal the take-up of credit insurance to be relatively insensitive to the borrower's perception ofhis/her own risk

Accounting for dominance to improve genomic evaluations of dairy cows for fertility and milk production traits

Background: Dominance effects may contribute to genetic variation of complex traits in dairy cattle, especially for traits closely related to fitness such as fertility. However, traditional genetic evaluations generally ignore dominance effects and consider additive genetic effects only. Availability of dense single nucleotide polymorphisms (SNPs) panels provides the opportunity to investigate the role of dominance in quantitative variation of complex traits at both the SNP and animal levels. Including dominance effects in the genomic evaluation of animals could also help to increase the accuracy of prediction of future phenotypes. In this study, we estimated additive and dominance variance components for fertility and milk production traits of genotyped Holstein and Jersey cows in Australia. The predictive abilities of a model that accounts for additive effects only (additive), and a model that accounts for both additive and dominance effects (additive + dominance) were compared in a fivefold cross-validation. Results: Estimates of the proportion of dominance variation relative to phenotypic variation that is captured by SNPs, for production traits, were up to 3.8 and 7.1 % in Holstein and Jersey cows, respectively, whereas, for fertility, they were equal to 1.2 % in Holstein and very close to zero in Jersey cows. We found that including dominance in the model was not consistently advantageous. Based on maximum likelihood ratio tests, the additive + dominance model fitted the data better than the additive model, for milk, fat and protein yields in both breeds. However, regarding the prediction of phenotypes assessed with fivefold cross-validation, including dominance effects in the model improved accuracy only for fat yield in Holstein cows. Regression coefficients of phenotypes on genetic values and mean squared errors of predictions showed that the predictive ability of the additive + dominance model was superior to that of the additive model for some of the traits. Conclusions: In both breeds, dominance effects were significant (

Generality of shear thickening in suspensions

Suspensions are of wide interest and form the basis for many smart fluids. For most suspensions, the viscosity decreases with increasing shear rate, i.e. they shear thin. Few are reported to do the opposite, i.e. shear thicken, despite the longstanding expectation that shear thickening is a generic type of suspension behavior. Here we resolve this apparent contradiction. We demonstrate that shear thickening can be masked by a yield stress and can be recovered when the yield stress is decreased below a threshold. We show the generality of this argument and quantify the threshold in rheology experiments where we control yield stresses arising from a variety of sources, such as attractions from particle surface interactions, induced dipoles from applied electric and magnetic fields, as well as confinement of hard particles at high packing fractions. These findings open up possibilities for the design of smart suspensions that combine shear thickening with electro- or magnetorheological response.Comment: 11 pages, 9 figures, accepted for publication in Nature Material

Integrated xenosurveillance of Loa loa, Wuchereria bancrofti, Mansonella perstans and Plasmodium falciparum using mosquito carcasses and faeces: A pilot study in Cameroon.

Background Community presence of loiasis must be determined before mass drug administration programmes for lymphatic filariasis and onchocerciasis can be implemented. However, taking human blood samples for loiasis surveillance is invasive and operationally challenging. A xenosurveillance approach based on the molecular screening of mosquitoes and their excreta/feces (E/F) for Loa loa DNA may provide a non-invasive method for detecting the community presence of loiasis. Methods We collected 770 wild mosquitoes during a pilot study in a known loiasis transmission area in Mbalmayo, Cameroon. Of these, 376 were preserved immediately while 394 were kept in pools to collect 36-hour E/F samples before processing. Carcasses and E/F were screened for L. loa DNA. To demonstrate this method’s potential for integrated disease surveillance, the samples were further tested for Wuchereria bancrofti, Mansonella perstans, and Plasmodium falciparum. Results Despite limited sample numbers, L. loa DNA was detected in eight immediately-stored mosquitoes (2.13%; 95% CI 1.08 to 4.14), one carcass stored after providing E/F (0.25%; 95% CI 0.04 to 1.42), and three E/F samples (estimated prevalence 0.77%; 95% CI 0.15 to 2.23%). M. perstans and P. falciparum DNA were also detected in carcasses and E/F samples, while W. bancrofti DNA was detected in E/F. None of the carcasses positive for filarial worm DNA came from pools that provided a positive E/F sample, supporting the theory that, in incompetent vectors, ingested parasites undergo a rapid, complete expulsion in E/F. Conclusions Mosquito xenosurveillance may provide a useful tool for the surveillance of loiasis alongside other parasitic diseases

Deletion of the Ste20-like kinase SLK in skeletal muscle results in a progressive myopathy and muscle weakness

Background The Ste20-like kinase, SLK, plays an important role in cell proliferation and cytoskeletal remodeling. In fibroblasts, SLK has been shown to respond to FAK/Src signaling and regulate focal adhesion turnover through Paxillin phosphorylation. Full-length SLK has also been shown to be essential for embryonic development. In myoblasts, the overexpression of a dominant negative SLK is sufficient to block myoblast fusion. Methods In this study, we crossed the Myf5-Cre mouse model with our conditional SLK knockout model to delete SLK in skeletal muscle. A thorough analysis of skeletal muscle tissue was undertaken in order to identify defects in muscle development caused by the lack of SLK. Isometric force analysis was performed on adult knockout mice and compared to age-matched wild-type mice. Furthermore, cardiotoxin injections were performed followed by immunohistochemistry for myogenic markers to assess the efficiency muscle regeneration following SLK deletion. Results We show here that early deletion of SLK from the myogenic lineage does not markedly impair skeletal muscle development but delays the regenerative process. Interestingly, adult mice (~6 months) display an increase in the proportion of central nuclei and increased p38 activation. Furthermore, mice as young as 3 months old present with decreased force generation, suggesting that the loss of SLK impairs myofiber stability and function. Assessment of structural components revealed aberrant localization of focal adhesion proteins, such as FAK and paxillin. Our data show that the loss of SLK results in unstable myofibers resulting in a progressive myopathy. Additionally, the loss of SLK resulted in a delay in muscle regeneration following cardiotoxin injections. Conclusions Our results show that SLK is dispensable for muscle development and regeneration but is required for myofiber stability and optimal force generation

Loss of periostin/OSF-2 in ErbB2/Neu-driven tumors results in androgen receptor-positive molecular apocrine-like tumors with reduced Notch1 activity

INTRODUCTION: Periostin (Postn) is a secreted cell adhesion protein that activates signaling pathways to promote cancer cell survival, angiogenesis, invasion, and metastasis. Interestingly, Postn is frequently overexpressed in numerous human cancers, including breast, lung, colon, pancreatic, and ovarian cancer.METHODS: Using transgenic mice expressing the Neu oncogene in the mammary epithelium crossed into Postn-deficient animals, we have assessed the effect of Postn gene deletion on Neu-driven mammary tumorigenesis.RESULTS: Although Postn is exclusively expressed in the stromal fibroblasts of the mammary gland, Postn deletion does not affect mammary gland outgrowth during development or pregnancy. Furthermore, we find that loss of Postn in the mammary epithelium does not alter breast tumor initiation or growth in mouse mammary tumor virus (MMTV)-Neu expressing mice but results in an apocrine-like tumor phenotype. Surprisingly, we find that tumors derived from Postn-null animals express low levels of Notch protein and Hey1 mRNA but increased expression of androgen receptor (AR) and AR target genes. We show that tumor cells derived from wild-type animals do not proliferate when transplanted in a Postn-null environment but that this growth defect is rescued by the overexpression of active Notch or the AR target gene prolactin-induced protein (PIP/GCDFP-15).CONCLUSIONS: Together our data suggest that loss of Postn in an ErbB2/Neu/HER2 overexpression model results in apocrine-like tumors that activate an AR-dependent pathway. This may have important implications for the treatment of breast cancers involving the therapeutic targeting of periostin or Notch signaling

Writing in Britain and Ireland, c. 400 to c. 800

No abstract available