Structural models of credit with default contagion

Multi-asset credit derivatives trade in huge volumes, yet no models exist that are capable of properly accounting for the spread behaviour of dependent companies. In this thesis we consider new ways of incorporating a richer and more realistic dependence structure into multi-firm models. We focus on the structural framework in which firm value is modelled as a geometric Brownian motion, with default as the first hitting time of an exponential default threshold. Specification of a dependence structure consisting of a common driving influence and firm-specific inter-company ties allows for both default causality and default asymmetry and we incorporate default contagion in the first passage framework for the first time. Building on the work by Zhou (2001a), we propose an analytical model for corporate bond yields in the presence of default contagion and two-firm credit default swap baskets. We derive closed-form solutions for credit spreads, and results clearly highlight the importance of dependence assumptions. Extending this framework numerically, we calculate CDS spreads for baskets of three firms with a wide variety of credit dependence specifications. We examine the impact of firm value correlation and credit contagion for symmetric and asymmetric baskets, and incorporate contagion that has a declining impact over time

Zugzwangs in chess studies

Van der Heijden’s ENDGAME STUDY DATABASE IV, HHDBIV, is the definitive collection of 76,132 chess studies. The zugzwang position or zug, one in which the side to move would prefer not to, is a frequent theme in the literature of chess studies. In this third data-mining of HHDBIV, we report on the occurrence of sub-7-man zugs there as discovered by the use of CQL and Nalimov endgame tables (EGTs). We also mine those Zugzwang Studies in which a zug more significantly appears in both its White-to-move (wtm) and Black-to-move (btm) forms. We provide some illustrative and extreme examples of zugzwangs in studies

Uniqueness in chess studies

Van der Heijden’s ENDGAME STUDY DATABASE IV, HhdbIV, is the definitive collection of 76,132 chess studies. In each one, White is to achieve the stipulated goal, win or draw: study solutions should be essentially unique with minor alternatives at most. In this second note on the mining of the database, we use the definitive Nalimov endgame tables to benchmark White’s moves in sub-7-man chess against this standard of uniqueness. Amongst goal-compatible mainline positions and goal-achieving moves, we identify the occurrence of absolutely unique moves and analyse the frequency and lengths of absolutely-unique-move sequences, AUMSs. We identify the occurrence of equi-optimal moves and suboptimal moves and refer to a defined method for classifying their significance

Pulmonary arterial remodeling revealed by microfocal x-ray tomography

Animal models and micro-CT imaging are useful for understanding the functional consequences of, and identifying the genes involved in, the remodeling of vascular structures that accompanies pulmonary vascular disease. Using a micro-CT scanner to image contrast-enhanced arteries in excised lungs from fawn hooded rats (a strain genetically susceptible to hypoxia induced pulmonary hypertension), we found that portions of the pulmonary arterial tree downstream from a given diameter were morphometrically indistinguishable. This \u27self-consistency\u27 property provided a means for summarizing the pulmonary arterial tree architecture and mechanical properties using a parameter vector obtained from measurements of the contiguous set of vessel segments comprising the longest (principal) pathway and its branches over a range of vascular pressures. This parameter vector was used to characterize the pulmonary vascular remodeling that occurred in rats exposed to a hypoxic (11.5% oxygen) environment and provided the input to a hemodynamic model relating structure to function. The major effect of the remodeling was a longitudinally (pulmonary artery to arterioles) uniform decrease in vessel distensibility that resulted in a 90% increase in arterial resistance. Despite the almost uniform change in vessel distensibility, over 50% of the resistance increase was attributable to vessels with unstressed diameters less than 125 microns

Micro-CT Image-Derived Metrics Quantify Arterial Wall Distensibility Reduction in a Rat Model of Pulmonary Hypertension

We developed methods to quantify arterial structural and mechanical properties in excised rat lungs and applied them to investigate the distensibility decrease accompanying chronic hypoxia-induced pulmonary hypertension. Lungs of control and hypertensive (three weeks 11% O2) animals were excised and a contrast agent introduced before micro-CT imaging with a special purpose scanner. For each lung, four 3D image data sets were obtained, each at a different intra-arterial contrast agent pressure. Vessel segment diameters and lengths were measured at all levels in the arterial tree hierarchy, and these data used to generate features sensitive to distensibility changes. Results indicate that measurements obtained from 3D micro-CT images can be used to quantify vessel biomechanical properties in this rat model of pulmonary hypertension and that distensibility is reduced by exposure to chronic hypoxia. Mechanical properties can be assessed in a localized fashion and quantified in a spatially-resolved way or as a single parameter describing the tree as a whole. Micro-CT is a nondestructive way to rapidly assess structural and mechanical properties of arteries in small animal organs maintained in a physiological state. Quantitative features measured by this method may provide valuable insights into the mechanisms causing the elevated pressures in pulmonary hypertension of differing etiologies and should become increasingly valuable tools in the study of complex phenotypes in small-animal models of important diseases such as hypertension

A spatiotemporal analysis of the impact of lockdown and coronavirus on London’s bicycle hire scheme: from response to recovery to a new normal

The coronavirus pandemic that started in 2019 has had wide-ranging impacts on many aspects of people’s daily lives. At the peak of the outbreak, lockdown measures and social distancing changed the ways in which cities function. In particular, they had profound impacts on urban transportation systems, with public transport being shut down in many cities. Bike share systems (BSS) were widely reported as having experienced an increase in demand during the early stages of the pandemic before returning to pre-pandemic levels. However, the studies published to date focus mainly on the first year of the pandemic, when various waves saw continual relaxing and reintroductions of restrictions. Therefore, they fall short of exploring the role of BSS as we move to the post-pandemic period. To address this gap, this study uses origin-destination (O-D) flow data from London’s Santander Cycle Hire Scheme from 2019–2021 to analyze the changing use of BSS throughout the first two years of the pandemic, from lockdown to recovery. A Gaussian mixture model (GMM) is used to cluster 2019 BSS trips into three distinct clusters based on their duration and distance. The clusters are used as a reference from which to measure spatial and temporal change in 2020 and 2021. In agreement with previous research, BSS usage was found to have declined by nearly 30% during the first lockdown. Usage then saw a sharp increase as restrictions were lifted, characterized by longer, less direct trips throughout the afternoon rather than typical peak commuting trips. Although the aggregate number of BSS trips appeared to return to normal by October 2020, this was against the backdrop of continuing restrictions on international travel and work from home orders. The period between July and December 2021 was the first period that all government restrictions were lifted. During this time, BSS trips reached higher levels than in 2019. Spatio-temporal analysis indicates a shift away from the traditional morning and evening peak to a more diffuse pattern of working hours. The results indicate that the pandemic may have had sustained impacts on travel behavior, leading to a “new normal” that reflects different ways of working

In vivo Detection of Hyperoxia-induced Pulmonary Endothelial Cell Death Using \u3csup\u3e99m\u3c/sup\u3eTc-Duramycin

Introduction 99mTc-duramycin, DU, is a SPECT biomarker of tissue injury identifying cell death. The objective of this study is to investigate the potential of DU imaging to quantify capillary endothelial cell death in rat lung injury resulting from hyperoxia exposure as a model of acute lung injury. Methods Rats were exposed to room air (normoxic) or \u3e 98% O2 for 48 or 60 hours. DU was injected i.v. in anesthetized rats, scintigraphy images were acquired at steady-state, and lung DU uptake was quantified from the images. Post-mortem, the lungs were removed for histological studies. Sequential lung sections were immunostained for caspase activation and endothelial and epithelial cells. Results Lung DU uptake increased significantly (p \u3c 0.001) by 39% and 146% in 48-hr and 60-hr exposed rats, respectively, compared to normoxic rats. There was strong correlation (r2 = 0.82, p = 0.005) between lung DU uptake and the number of cleaved caspase 3 (CC3) positive cells, and endothelial cells accounted for more than 50% of CC3 positive cells in the hyperoxic lungs. Histology revealed preserved lung morphology through 48 hours. By 60 hours there was evidence of edema, and modest neutrophilic infiltrate. Conclusions Rat lung DU uptake in vivo increased after just 48 hours of \u3e 98% O2 exposure, prior to the onset of any substantial evidence of lung injury. These results suggest that apoptotic endothelial cells are the primary contributors to the enhanced DU lung uptake, and support the utility of DU imaging for detecting early endothelial cell death in vivo

Reviews

Reviews of:Holding the line - compulsory arbitration and national employer coordination in AustraliaCurrent approaches to collective bargainingBuilding tomorrow today: African workers in trade unions 1970-1984The new international labour studies: An introductio

Biomarkers for Radiation Pneumonitis Using Noninvasive Molecular Imaging

Our goal is to develop minimally invasive biomarkers for predicting radiation-induced lung injury before symptoms develop. Currently, there are no biomarkers that can predict radiation pneumonitis. Radiation damage to the whole lung is a serious risk in nuclear accidents or in radiologic terrorism. Our previous studies have shown that a single dose of 15 Gy of x-rays to the thorax causes severe pneumonitis in rats by 6–8 wk. We have also developed a mitigator for radiation pneumonitis and fibrosis that can be started as late as 5 wk after radiation. Methods: We used 2 functional SPECT probes in vivo in irradiated rat lungs. Regional pulmonary perfusion was measured by injection of 99mTc-macroaggregated albumin. Perfused volume was determined by comparing the volume of distribution of 99mTc-macroaggregated albumin to the anatomic lung volume obtained by small-animal CT. A second probe, 99mTc-labeled Duramycin, which binds to apoptotic cells, was used to measure pulmonary cell death in the same rat model. Results: The perfused volume of lung was decreased by about 25% at 1, 2, and 3 wk after receipt of 15 Gy, and 99mTc-Duramycin uptake was more than doubled at 2 and 3 wk. There was no change in body weight, breathing rate, or lung histology between irradiated and nonirradiated rats at these times. Pulmonary vascular resistance and vascular permeability measured in isolated perfused lungs ex vivo increased at 2 wk after 15 Gy of irradiation. Conclusion: Our results suggest that SPECT biomarkers have the potential to predict radiation injury to the lungs before substantial functional or histologic damage is observed. Early prediction of radiation pneumonitis in time to initiate mitigation will benefit those exposed to radiation in the context of therapy, accidents, or terrorism