Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing

Building on De Nicolò and Lucchetta (2010), this paper presents a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) reduced-form stress tests as historical simulations; and (c) structural stress-tests as impulse responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of the G-7 economies in 1980Q1-2010Q2. We show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations in each country. Furthermore, reduced-form stress tests, as well as structural stress tests in which aggregate demand shocks and bank credit demand shocks are identified as the main drivers of cycles in real activity and bank lending, provide significant early warnings on the build-up of real and financial vulnerabilities

Financial Intermediation, Competition, and Risk: A General Equilibrium Exposition

We study a simple general equilibrium model in which investment in a risky technology is subject to moral hazard and banks can extract market power rents. We show that more bank competition results in lower economy-wide risk, lower bank capital ratios, more efficient production plans and Pareto-ranked real allocations. Perfect competition supports a second best allocation and optimal levels of bank risk and capitalization. These results are at variance with those obtained by a large literature that has studied a similar environment in partial equilibrium. Importantly, they are empirically relevant, and demonstrate the need of general equilibrium modeling to design financial policies aimed at attaining socially optimal levels of systemic risk in the economy

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

This paper formulates a dynamic model of a bank exposed to both credit and liquidity risk, which can resolve financial distress in three costly forms: fire sales, bond issuance and equity issuance. We use the model to analyze the impact of capital regulation, liquidity requirements and taxation on banks' optimal policies and metrics of efficiency of intermediation and social value. We obtain three main results. First, mild capital requirements increase bank lending, bank efficiency and social value relative to an unregulated bank, but these benefits turn into costs if capital requirements are too stringent. Second, liquidity requirements reduce bank lending, efficiency and social value significantly, they nullify the benefits of mild capital requirements, and their private and social costs increase monotonically with their stringency. Third, increases in corporate income and bank liabilities taxes reduce bank lending, bank efficiency and social value, with tax receipts increasing with the former but decreasing with the latter. Moreover, the effects of an increase in both forms of taxation are dampened if they are jointly implemented with increases in capital and liquidity requirements

Seasonal variation of antiretroviral drug exposure during the year: The experience of 10 years of therapeutic drug monitoring

Although studies show an annual trend for immunosuppressive drugs, particularly during different seasons, no data are available for antiretroviral drugs exposures in different periods of the year. For this reason, the aim of this study was to investigate an association between seasonality and antiretroviral drugs plasma concentrations. Antiretroviral drugs exposures were measured with liquid chromatography validated methods. A total of 4148 human samples were analysed. Lopinavir, etravirine and maraviroc levels showed seasonal fluctuation. In detail, maraviroc and etravirine concentrations decreased further in summer than in winter. In contrast, lopinavir concentrations had an opposite trend, increasing more in summer than in winter. The etravirine efficacy cut-off value of 300 ng/mL seems to be affected by seasonality: 77.1% and 22.9% of samples achieved this therapeutic target, respectively, in winter and summer, whereas 30% in winter and 70% in summer did not reach this value. Finally, age over 50 years and summer remained in the final multivariate regression model as predictors of the etravirine efficacy cut-off. This study highlights the seasonal variation in antiretroviral drugs plasma concentrations during the year, leading to a better understanding of inter-individual variability in drug exposures. Studies are required in order to confirm these data, clarifying which aspects may be involved

Initial Results from the CHOOZ Long Baseline Reactor Neutrino Oscillation Experiment

Initial results are presented from CHOOZ, a long-baseline reactor-neutrino vacuum-oscillation experiment. Electron antineutrinos were detected by a liquid scintillation calorimeter located at a distance of about 1 km. The detector was constructed in a tunnel protected from cosmic rays by a 300 MWE rock overburden. This massive shielding strongly reduced potentially troublesome backgrounds due to cosmic-ray muons, leading to a background rate of about one event per day, more than an order of magnitude smaller than the observed neutrino signal. From the statistical agreement between detected and expected neutrino event rates, we find (at 90% confidence level) no evidence for neutrino oscillations in the electron antineutrino disappearance mode for the parameter region given approximately by deltam**2 > 0.9 10**(-3) eV**2 for maximum mixing and (sin(2 theta)**2) > 0.18 for large deltam**2.Comment: 13 pages, Latex, submitted to Physics Letters

Search for neutrino oscillations on a long base-line at the CHOOZ nuclear power station

This final article about the CHOOZ experiment presents a complete description of the electron antineutrino source and detector, the calibration methods and stability checks, the event reconstruction procedures and the Monte Carlo simulation. The data analysis, systematic effects and the methods used to reach our conclusions are fully discussed. Some new remarks are presented on the deduction of the confidence limits and on the correct treatment of systematic errors.Comment: 41 pages, 59 figures, Latex file, accepted for publication by Eur.Phys.J.

A combined analysis technique for the search for fast magnetic monopoles with the MACRO detector

We describe a search method for fast moving ($\beta > 5 \times 10^{-3}$) magnetic monopoles using simultaneously the scintillator, streamer tube and track-etch subdetectors of the MACRO apparatus. The first two subdetectors are used primarily for the identification of candidates while the track-etch one is used as the final tool for their rejection or confirmation. Using this technique, a first sample of more than two years of data has been analyzed without any evidence of a magnetic monopole. We set a 90% CL upper limit to the local monopole flux of $1.5 \times 10^{-15} cm^{-2} s^{-1} sr^{-1}$ in the velocity range $5 \times 10^{-3} \le \beta \le 0.99$ and for nucleon decay catalysis cross section smaller than $\sim 1 mb$.Comment: 29 pages (12 figures). Accepted by Astroparticle Physic

Triplet schedule of weekly 5-Fluorouracil and alternating irinotecan or oxaliplatin in advanced colorectal cancer: A dose-finding and phase II study

A weekly administration of alternating irinotecan or oxaliplatin associated to 5-Fluorouracil in advanced colorectal cancer was planned in order to evaluate a new schedule maintaining dose intensities of each drug as in double combinations and tolerability of the triplet association. The following weekly schedule was administered: irinotecan, days 1 and 15; oxaliplatin, days 8 and 22; 5-fluorouracil (5-FU) over 12-h (from 10:00 p.m. to 10:00 a.m.) timed flat infusion, days 1-2, 8-9, 15-16 and 22-23, every 4 weeks. Dosefinding and phase II study were planned. Thirteen patients were enrolled in the dose-finding study and 23 in the phase II study. The recommended doses of our study are: irinotecan 160 mg/m2; oxaliplatin 80 mg/m2; 5-FU 900 mg/m2. The doselimiting toxicity was diarrhea (35% of patients) but no cases of febrile neutropenia were observed. In 30 patients assessable for response two complete (6.7%) and 18 partial (60%) responses were observed, for an overall response rate of 66.7% (α0.05, CI±7). The triplet association using this weekly alternating schedule is an active and well-tolerated outpatient regimen. Surgical removal of residual disease was considered in 5 patients and a radical resection was performed in 5 patients (14%)