Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default correlation and non-uniform default probabilities. We obtain the default probability distribution and study the effect of the inhomogeneity on it. The second case corresponds to a portfolio with inhomogeneous default correlation. Assets are categorized in several different sectors and the inter-sector and intra-sector correlations are not the same. We construct the joint default probabilities and obtain the default probability distribution. We show that as the number of assets in each sector decreases, inter-sector correlation becomes more important than intra-sector correlation. We study the maximum values of the inter-sector default correlation. Our generalization method can be applied to any correlated binomial default distribution model which has explicit relations to the conditional default probabilities or conditional default correlations, e.g. Credit Risk${}^{+}$, implied default distributions. We also compare some popular CDO pricing models from the viewpoint of the range of the implied tranche correlation.Comment: 29 pages, 17 figures and 1 tabl

Predicting live birth, preterm and low birth weight infant after in-vitro fertilisation: a prospective study of 144018 treatment cycles

Background The extent to which baseline couple characteristics affect the probability of live birth and adverse perinatal outcomes after assisted conception is unknown. Methods and Findings We utilised the Human Fertilisation and Embryology Authority database to examine the predictors of live birth in all in vitro fertilisation (IVF) cycles undertaken in the UK between 2003 and 2007 (n = 144,018). We examined the potential clinical utility of a validated model that pre-dated the introduction of intracytoplasmic sperm injection (ICSI) as compared to a novel model. For those treatment cycles that resulted in a live singleton birth (n = 24,226), we determined the associates of potential risk factors with preterm birth, low birth weight, and macrosomia. The overall rate of at least one live birth was 23.4 per 100 cycles (95% confidence interval [CI] 23.2–23.7). In multivariable models the odds of at least one live birth decreased with increasing maternal age, increasing duration of infertility, a greater number of previously unsuccessful IVF treatments, use of own oocytes, necessity for a second or third treatment cycle, or if it was not unexplained infertility. The association of own versus donor oocyte with reduced odds of live birth strengthened with increasing age of the mother. A previous IVF live birth increased the odds of future success (OR 1.58, 95% CI 1.46–1.71) more than that of a previous spontaneous live birth (OR 1.19, 95% CI 0.99–1.24); p-value for difference in estimate <0.001. Use of ICSI increased the odds of live birth, and male causes of infertility were associated with reduced odds of live birth only in couples who had not received ICSI. Prediction of live birth was feasible with moderate discrimination and excellent calibration; calibration was markedly improved in the novel compared to the established model. Preterm birth and low birth weight were increased if oocyte donation was required and ICSI was not used. Risk of macrosomia increased with advancing maternal age and a history of previous live births. Infertility due to cervical problems was associated with increased odds of all three outcomes—preterm birth, low birth weight, and macrosomia. Conclusions Pending external validation, our results show that couple- and treatment-specific factors can be used to provide infertile couples with an accurate assessment of whether they have low or high risk of a successful outcome following IVF

Time preferences and risk aversion: tests on domain differences

The design and evaluation of environmental policy requires the incorporation of time and risk elements as many environmental outcomes extend over long time periods and involve a large degree of uncertainty. Understanding how individuals discount and evaluate risks with respect to environmental outcomes is a prime component in designing effective environmental policy to address issues of environmental sustainability, such as climate change. Our objective in this study is to investigate whether subjects' time preferences and risk aversion across the monetary domain and the environmental domain differ. Crucially, our experimental design is incentivized: in the monetary domain, time preferences and risk aversion are elicited with real monetary payoffs, whereas in the environmental domain, we elicit time preferences and risk aversion using real (bee-friendly) plants. We find that subjects' time preferences are not significantly different across the monetary and environmental domains. In contrast, subjects' risk aversion is significantly different across the two domains. More specifically, subjects (men and women) exhibit a higher degree of risk aversion in the environmental domain relative to the monetary domain. Finally, we corroborate earlier results, which document that women are more risk averse than men in the monetary domain. We show this finding to, also, hold in the environmental domain

How weeds emerge: a taxonomic and trait‐based examination using United States data

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/106812/1/nph12698.pd

A Schur complement approach to preconditioning sparse linear least-squares problems with some dense rows

The effectiveness of sparse matrix techniques for directly solving large-scale linear least-squares problems is severely limited if the system matrix A has one or more nearly dense rows. In this paper, we partition the rows of A into sparse rows and dense rows (A s and A d ) and apply the Schur complement approach. A potential difficulty is that the reduced normal matrix AsTA s is often rank-deficient, even if A is of full rank. To overcome this, we propose explicitly removing null columns of A s and then employing a regularization parameter and using the resulting Cholesky factors as a preconditioner for an iterative solver applied to the symmetric indefinite reduced augmented system. We consider complete factorizations as well as incomplete Cholesky factorizations of the shifted reduced normal matrix. Numerical experiments are performed on a range of large least-squares problems arising from practical applications. These demonstrate the effectiveness of the proposed approach when combined with either a sparse parallel direct solver or a robust incomplete Cholesky factorization algorithm

High-resolution regional gravity field recovery from Poisson wavelets using heterogeneous observational techniques

2016-2017 > Academic research: refereed > Publication in refereed journal201804_a bcmaVersion of RecordPublishe

Relationship between eating behaviors and physical activity of preschoolers and their peers: a systematic review

Abstract: Objectives: Children learn by observing and imitating others, meaning that their eating behaviors and physical activity may be influenced by their peers. This paper systematically reviews how preschoolers’ eating behaviors and physical activity relate to their peers’ behaviors, and discusses avenues for future research. Methods: Six databases were searched for quantitative, peer-reviewed studies published up to July 2015 reporting on the correlates, predictors or effectiveness of peers on eating behaviors and physical activity in preschoolers. Risk of bias was independently assessed by two evaluators using the Quality Assessment Tool for Quantitative Studies. Results: Thirteen articles were included: six measured physical activity, and seven assessed eating behaviors. Four of the six physical activity studies reported that children were more active when peers were present, while large peer group size was negatively associated with physical activity in two cross-sectional studies. All nutrition interventions reported that children’s eating behaviors may be influenced by their peers. Conclusions: Although supported by weak evidence, peers appear to influence children’s eating behaviors and physical activity. However, this influence may be moderated by the number of peers, gender, age and the perceived status of the role models. Future obesity prevention interventions should consider involving peers as agents for positive eating behaviors and physical activity in preschoolers

Genome-wide association and HLA fine-mapping studies identify risk loci and genetic pathways underlying allergic rhinitis

Allergic rhinitis is the most common clinical presentation of allergy, affecting 400 million people worldwide, with increasing incidence in westernized countries1,2. To elucidate the genetic architecture and understand the underlying disease mechanisms, we carried out a meta-analysis of allergic rhinitis in 59,762 cases and 152,358 controls of European ancestry and identified a total of 41 risk loci for allergic rhinitis, including 20 loci not previously associated with allergic rhinitis, which were confirmed in a replication phase of 60,720 cases and 618,527 controls. Functional annotation implicated genes involved in various immune pathways, and fine mapping of the HLA region suggested amino acid variants important for antigen binding. We further performed genome-wide association study (GWAS) analyses of allergic sensitization against inhalant allergens and nonallergic rhinitis, which suggested shared genetic mechanisms across rhinitis-related traits. Future studies of the identified loci and genes might identify novel targets for treatment and prevention of allergic rhinitis

2019 international consensus on cardiopulmonary resuscitation and emergency cardiovascular care science with treatment recommendations : summary from the basic life support; advanced life support; pediatric life support; neonatal life support; education, implementation, and teams; and first aid task forces

The International Liaison Committee on Resuscitation has initiated a continuous review of new, peer-reviewed, published cardiopulmonary resuscitation science. This is the third annual summary of the International Liaison Committee on Resuscitation International Consensus on Cardiopulmonary Resuscitation and Emergency Cardiovascular Care Science With Treatment Recommendations. It addresses the most recent published resuscitation evidence reviewed by International Liaison Committee on Resuscitation Task Force science experts. This summary addresses the role of cardiac arrest centers and dispatcher-assisted cardiopulmonary resuscitation, the role of extracorporeal cardiopulmonary resuscitation in adults and children, vasopressors in adults, advanced airway interventions in adults and children, targeted temperature management in children after cardiac arrest, initial oxygen concentration during resuscitation of newborns, and interventions for presyncope by first aid providers. Members from 6 International Liaison Committee on Resuscitation task forces have assessed, discussed, and debated the certainty of the evidence on the basis of the Grading of Recommendations, Assessment, Development, and Evaluation criteria, and their statements include consensus treatment recommendations. Insights into the deliberations of the task forces are provided in the Justification and Evidence to Decision Framework Highlights sections. The task forces also listed priority knowledge gaps for further research

Religious pro-sociality? Experimental evidence from a sample of 766 Spaniards

This study explores the relationship between several personal religion-related variables and social behaviour, using three paradigmatic economic games: the dictator (DG), ultimatum (UG), and trust (TG) games. A large carefully designed sample of the urban adult population in Granada (Spain) is employed (N = 766). From participants' decisions in these games we obtain measures of altruism, bargaining behaviour and sense of fairness/equality, trust, and positive reciprocity. Three dimensions of religiosity are examined: (i) religious denomination; (ii) intensity of religiosity, measured by active participation at church services; and (iii) conversion out into a different denomination than the one raised in. The major results are: (i) individuals with “no religion” made decisions closer to rational selfish behaviour in the DG and the UG compared to those who affiliate with a “standard” religious denomination; (ii) among Catholics, intensity of religiosity is the key variable that affects social behaviour insofar as religiously-active individuals are generally more pro-social than non-active ones; and (iii) the religion raised in seems to have no effect on pro-sociality, beyond the effect of the current measures of religiosity. Importantly, behaviour in the TG is not predicted by any of the religion-related variables we analyse. While the results partially support the notion of religious pro-sociality, on the other hand, they also highlight the importance of closely examining the multidimensional nature of both religiosity and pro-social behaviour