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

A New Method for Isolation of Interstitial Fluid from Human Solid Tumors Applied to Proteomic Analysis of Ovarian Carcinoma Tissue

Major efforts have been invested in the identification of cancer biomarkers in plasma, but the extraordinary dynamic range in protein composition, and the dilution of disease specific proteins make discovery in plasma challenging. Focus is shifting towards using proximal fluids for biomarker discovery, but methods to verify the isolated sample's origin are missing. We therefore aimed to develop a technique to search for potential candidate proteins in the proximal proteome, i.e. in the tumor interstitial fluid, since the biomarkers are likely to be excreted or derive from the tumor microenvironment. Since tumor interstitial fluid is not readily accessible, we applied a centrifugation method developed in experimental animals and asked whether interstitial fluid from human tissue could be isolated, using ovarian carcinoma as a model. Exposure of extirpated tissue to 106 g enabled tumor fluid isolation. The fluid was verified as interstitial by an isolated fluid:plasma ratio not significantly different from 1.0 for both creatinine and Na+, two substances predominantly present in interstitial fluid. The isolated fluid had a colloid osmotic pressure 79% of that in plasma, suggesting that there was some sieving of proteins at the capillary wall. Using a proteomic approach we detected 769 proteins in the isolated interstitial fluid, sixfold higher than in patient plasma. We conclude that the isolated fluid represents undiluted interstitial fluid and thus a subproteome with high concentration of locally secreted proteins that may be detected in plasma for diagnostic, therapeutic and prognostic monitoring by targeted methods

Performance of the CMS Cathode Strip Chambers with Cosmic Rays

The Cathode Strip Chambers (CSCs) constitute the primary muon tracking device in the CMS endcaps. Their performance has been evaluated using data taken during a cosmic ray run in fall 2008. Measured noise levels are low, with the number of noisy channels well below 1%. Coordinate resolution was measured for all types of chambers, and fall in the range 47 microns to 243 microns. The efficiencies for local charged track triggers, for hit and for segments reconstruction were measured, and are above 99%. The timing resolution per layer is approximately 5 ns

Re-evaluating a vision-related quality of life questionnaire with item response theory (IRT) and differential item functioning (DIF) analyses

Background: For the Low Vision Quality Of Life questionnaire (LVQOL) it is unknown whether the psychometric properties are satisfactory when an item response theory (IRT) perspective is considered. This study evaluates some essential psychometric properties of the LVQOL questionnaire in an IRT model, and investigates differential item functioning (DIF). Methods: Cross-sectional data were used from an observational study among visually-impaired patients (n = 296). Calibration was performed for every dimension of the LVQOL in the graded response model. Item goodness-of-fit was assessed with the S-X2-test. DIF was assessed on relevant background variables (i.e. age, gender, visual acuity, eye condition, rehabilitation type and administration type) with likelihood-ratio tests for DIF. The magnitude of DIF was interpreted by assessing the largest difference in expected scores between subgroups. Measurement precision was assessed by presenting test information curves; reliability with the index of subject separation. Results: All items of the LVQOL dimensions fitted the model. There was significant DIF on several items. For two items the maximum difference between expected scores exceeded one point, and DIF was found on multiple relevant background variables. Item 1 ‘Vision in general’ from the “Adjustment” dimension and item 24 ‘Using tools’ from the “Reading and fine work” dimension were removed. Test information was highest for the “Reading and fine work” dimension. Indices for subject separation ranged from 0.83 to 0.94. Conclusions: The items of the LVQOL showed satisfactory item fit to the graded response model; however, two items were removed because of DIF. The adapted LVQOL with 21 items is DIF-free and therefore seems highly appropriate for use in heterogeneous populations of visually impaired patients. (aut.ref.

Inflammation and blood-brain barrier breach remote from the primary injury following neurotrauma

Background: Following injury to the central nervous system, increased microglia, secretion of pro- and anti-inflammatory cytokines, and altered blood-brain barrier permeability, a hallmark of degeneration, are observed at and immediately adjacent to the injury site. However, few studies investigate how regions remote from the primary injury could also suffer from inflammation and secondary degeneration. Methods: Adult female Piebald-Viral-Glaxo (PVG) rats underwent partial transection of the right optic nerve, with normal, age-matched, unoperated animals as controls. Perfusion-fixed brains and right optic nerves were harvested for immunohistochemical assessment of inflammatory markers and blood-brain barrier integrity; fresh-frozen brains were used for multiplex cytokine analysis. Results: Immediately ventral to the optic nerve injury, immunointensity of both the pro-inflammatory biomarker inducible nitric oxide synthase (iNOS) and the anti-inflammatory biomarker arginase-1 (Arg1) increased at 7 days post-injury, with colocalization of iNOS and Arg1 immunoreactivity within individual cells. CD11b+ and CD45+ cells were increased 7 days post-injury, with altered BBB permeability still evident at this time. In the lower and middle optic tract and superior colliculus, IBA1+ resident microglia were first increased at 3 days; ED1+ and CD11b+ cells were first increased in the middle and upper tract and superior colliculus 7 days post-injury. Increased fibrinogen immunoreactivity indicative of altered BBB permeability was first observed in the contralateral upper tract at 3 days and middle tract at 7 days post-injury. Multiplex cytokine analysis of brain homogenates indicated significant increases in the pro-inflammatory cytokines, IL-2 and TNFa, and anti-inflammatory cytokine IL-10 1 day post-injury, decreasing to control levels at 3 days for TNFa and 7 days for IL-2. IL-10 was significantly elevated at 1 and 7 days post-injury with a dip at 3 days post-injury. Conclusions: Partial injury to the optic nerve induces a complex remote inflammatory response, characterized by rapidly increased pro- and anti-inflammatory cytokines in brain homogenates, increased numbers of IBA1+ cells throughout the visual pathways, and increased CD11b+ and ED1+ inflammatory cells, particularly towards the synaptic terminals. BBB permeability can increase prior to inflammatory cell infiltration, dependent on the brain region

Dual role of the exocyst in AMPA receptor targeting and insertion into the postsynaptic membrane

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/102104/1/emboj7601065.pdfhttp://deepblue.lib.umich.edu/bitstream/2027.42/102104/2/emboj7601065-sup-0001.pd

In pursuit of P2X3 antagonists: novel therapeutics for chronic pain and afferent sensitization

Treating pain by inhibiting ATP activation of P2X3-containing receptors heralds an exciting new approach to pain management, and Afferent's program marks the vanguard in a new class of drugs poised to explore this approach to meet the significant unmet needs in pain management. P2X3 receptor subunits are expressed predominately and selectively in so-called C- and Aδ-fiber primary afferent neurons in most tissues and organ systems, including skin, joints, and hollow organs, suggesting a high degree of specificity to the pain sensing system in the human body. P2X3 antagonists block the activation of these fibers by ATP and stand to offer an alternative approach to the management of pain and discomfort. In addition, P2X3 is expressed pre-synaptically at central terminals of C-fiber afferent neurons, where ATP further sensitizes transmission of painful signals. As a result of the selectivity of the expression of P2X3, there is a lower likelihood of adverse effects in the brain, gastrointestinal, or cardiovascular tissues, effects which remain limiting factors for many existing pain therapeutics. In the periphery, ATP (the factor that triggers P2X3 receptor activation) can be released from various cells as a result of tissue inflammation, injury or stress, as well as visceral organ distension, and stimulate these local nociceptors. The P2X3 receptor rationale has aroused a formidable level of investigation producing many reports that clarify the potential role of ATP as a pain mediator, in chronic sensitized states in particular, and has piqued the interest of pharmaceutical companies. P2X receptor-mediated afferent activation has been implicated in inflammatory, visceral, and neuropathic pain states, as well as in airways hyperreactivity, migraine, itch, and cancer pain. It is well appreciated that oftentimes new mechanisms translate poorly from models into clinical efficacy and effectiveness; however, the breadth of activity seen from P2X3 inhibition in models offers a realistic chance that this novel mechanism to inhibit afferent nerve sensitization may find its place in the sun and bring some merciful relief to the torment of persistent discomfort and pain. The development philosophy at Afferent is to conduct proof of concept patient studies and best identify target patient groups that may benefit from this new intervention

Multiple star systems in the Orion nebula

This is the author accepted manuscript. The final fersion is available from EDP Sciences via the DOI in this record.This work presents an interferometric study of the massive-binary fraction in the Orion Trapezium cluster with the recently comissioned GRAVITY instrument. We observed a total of 16 stars of mainly OB spectral type. We find three previously unknown companions for θ1 Ori B, θ2 Ori B, and θ2 Ori C. We determined a separation for the previously suspected companion of NU Ori. We confirm four companions for θ1 Ori A, θ1 Ori C, θ1 Ori D, and θ2 Ori A, all with substantially improved astrometry and photometric mass estimates. We refined the orbit of the eccentric high-mass binary θ1 Ori C and we are able to derive a new orbit for θ1 Ori D. We find a system mass of 21.7 M⊙ and a period of 53 days. Together with other previously detected companions seen in spectroscopy or direct imaging, eleven of the 16 high-mass stars are multiple systems. We obtain a total number of 22 companions with separations up to 600 AU. The companion fraction of the early B and O stars in our sample is about two, significantly higher than in earlier studies of mostly OB associations. The separation distribution hints toward a bimodality. Such a bimodality has been previously found in A stars, but rarely in OB binaries, which up to this point have been assumed to be mostly compact with a tail of wider companions. We also do not find a substantial population of equal-mass binaries. The observed distribution of mass ratios declines steeply with mass, and like the direct star counts, indicates that our companions follow a standard power law initial mass function. Again, this is in contrast to earlier findings of flat mass ratio distributions in OB associations. We excluded collision as a dominant formation mechanism but find no clear preference for core accretion or competitive accretion.Marie Skłodowska-Curie Grant AgreementFCT-PortugalERC Starting Gran