The financial stress index: identification of systemic risk conditions

This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four sectors of the fi nancial markets—the credit, foreign exchange, equity, and interbank markets. A dynamic weighting method is employed to capture changes in the relative importance of these four sectors as they occur. In addition, the design of the index allows the origin of the stress to be identified. We compare the CFSI to alternative indexes, using a detailed benchmarking methodology, and show how the CFSI can be applied to systemic stress monitoring and early warning system design. To that end, we investigate alternative stress-signaling thresholds and frequency regimes and then establish optimal frequencies for filtering out market noise and idiosyncratic episodes. Finally, we quantify a powerful CFSI-based rating system that assigns a probability of systemic stress to ranges of CFSI outcomes.Systemic risk ; Risk assessment

SAFE: An early warning system for systemic banking risk

This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the fi nancial system and a feedback amplification mechanism. The models explain fi nancial stress using both public and proprietary supervisory data from systemically important institutions, regressing institutional imbalances using an optimal lag method. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from the largest bank holding companies to anticipate the buildup of macroeconomic stresses in the financial markets. To mitigate inherent uncertainty, SAFE develops a set of medium-term forecasting specifi cations that gives policymakers enough time to take ex-ante policy action and a set of short-term forecasting specifications for verification and adjustment of supervisory actions. This paper highlights the application of these models to stress testing, scenario analysis, and policy.Systemic risk ; Liquidity (Economics)

Electronic properties of alkali-metal loaded zeolites -- a "supercrystal" Mott insulator

First-principles band calculations are performed for the first time for an open-structured zeolite (LTA) with guest atoms (potassium) introduced in their cages. A surprisingly simple band structure emerges, which indicates that this system may be regarded as a "supercrystal", where each cluster of guest atoms with diameter $\sim$10\AA acts as a "superatom" with well-defined $s$- and $p$-like orbitals, which in turn form the bands around the Fermi energy. The calculated Coulomb and exchange energies for these states turn out to be in the strongly-correlated regime. With the dynamical mean-field theory we show the system should be on the Mott-insulator side, and, on a magnetic phase diagram for degenerate-orbital systems, around the ferromagnetic regime, in accord with experimental results. We envisage this class of systems can provide a new avenue for materials design.Comment: 4 pages, 4 figure

TGFβ Is Specifically Upregulated on Circulating CD14++ CD16+ and CD14+ CD16++ Monocytes in Patients with Atrial Fibrillation and Severe Atrial Fibrosis

Background/Aims: Fibrotic remodeling of the atria plays a key role in the pathogenesis of atrial fibrillation (AF). As little is known about the contribution of circulating monocytes in atrial remodeling and the pathophysiology of AF, we investigated profibrotic factors in different subsets of circulating monocytes obtained from patients with atrial fibrillation undergoing catheter ablation. Methods: A 3D high density voltage mapping was performed in sinus rhythm to evaluate the extent of low-voltage areas (LVAs) in the atria of 71 patients with persistent AF. Low-voltage was defined as signals of < 0.5mV during sinus rhythm. Prior to ablation, blood was drawn and monocytes were analyzed by FACS. Based on the expression of CD14 and CD16, three subgroups including CD14++ CD16- (‘classical’), CD14++ CD16+ (‘intermediate’), and CD14+ CD16++ (‘non-classical’) were analyzed for the expression of TGFb, CD147, and MMP-9, representing pivotal profibrotic pathways in myocardial remodeling. Results: Expression of TGFb was increased in CD14+ monocytes of patients with extensive LVAs compared to patients with a low extend of LVAs. While CD14++ CD16- monocytes showed no difference, CD14++ CD16+ and CD14+ CD16++ monocytes showed a strong increase of TGFb abundance. Although CD147 and MMP-9 are strongly associated with myocardial fibrosis, we found no difference in expression between the two groups in any monocyte subsets. Conclusion: TGFb is specifically upregulated on CD14++ CD16+ and CD14+ CD16++ monocytes in patients with extensive LVAs undergoing catheter ablation

LiFtEr: Language to Encode Induction Heuristics for Isabelle/HOL

Proof assistants, such as Isabelle/HOL, offer tools to facilitate inductive theorem proving. Isabelle experts know how to use these tools effectively; however, there is a little tool support for transferring this expert knowledge to a wider user audience. To address this problem, we present our domain-specific language, LiFtEr. LiFtEr allows experienced Isabelle users to encode their induction heuristics in a style independent of any problem domain. LiFtEr's interpreter mechanically checks if a given application of induction tool matches the heuristics, thus automating the knowledge transfer loop.Comment: This is the pre-print of our paper of the same title accepted at APLAS2019 (https://doi.org/10.1007/978-3-030-34175-6_14). We updated the draft after fixing the errata found by Kenji Miyamot

Multistep Ion Channel Remodeling and Lethal Arrhythmia Precede Heart Failure in a Mouse Model of Inherited Dilated Cardiomyopathy

Background: Patients with inherited dilated cardiomyopathy (DCM) frequently die with severe heart failure (HF) or die suddenly with arrhythmias, although these symptoms are not always observed at birth. It remains unclear how and when HF and arrhythmogenic changes develop in these DCM mutation carriers. In order to address this issue, properties of the myocardium and underlying gene expressions were studied using a knock-in mouse model of human inherited DCM caused by a deletion mutation DK210 in cardiac troponinT. Methodology/Principal Findings: By 1 month, DCM mice had already enlarged hearts, but showed no symptoms of HF and a much lower mortality than at 2 months or later. At around 2 months, some would die suddenly with no clear symptoms of HF, whereas at 3 months, many of the survivors showed evident symptoms of HF. In isolated left ventricular myocardium (LV) from 2 month-mice, spontaneous activity frequently occurred and action potential duration (APD) was prolonged. Transient outward (Ito) and ultrarapid delayed rectifier K + (IKur) currents were significantly reduced in DCM myocytes. Correspondingly, down-regulation of Kv4.2, Kv1.5 and KChIP2 was evident in mRNA and protein levels. In LVs at 3-months, more frequent spontaneous activity, greater prolongation of APD and further down-regulation in above K + channels were observed. At 1 month, in contrast, infrequent spontaneous activity and down-regulation of Kv4.2, but not Kv1.5 or KChIP2, were observed