Essays on collateralized debt obligations and credit default swaps : dynamic correlation modeling, measuring systematic risk, and cross-sectional pricing of common risks

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Circulating lymphocytes reflect the local immune response in patients with colorectal carcinoma

Tumor-infiltrating lymphocytes (TILs) correlate with the number and size of the surrounding lymph nodes in patients with colorectal carcinoma (CRC) and reflect the quality of the antitumor immune response. In this prospective study, we analyzed whether this response correlated with the circulating lymphocytes in peripheral blood (PB). In 47 patients with newly diagnosed CRC, flow cytometry was performed to analyze the B cells, T cells, NK cells, and a variety of their subsets in PB. The results were correlated with TILs in the resected tumor and with the number and size of the surrounding lymph nodes in nodal negative (N- patients (LN5: number of lymph nodes measuring ≥5 mm) and the metastasis-to-lymph node size ratio (MSR) in nodal positive patients (N+). Differences between the number of TILs could be seen between N+ and N- patients, dependent on the LN5 and MSR categories, with higher values in N- cases and in patients with a higher LN5 category or a lower MSR. Additionally, higher values of various circulating lymphocyte subgroups were observed in these patients. For the total PB lymphocytes, CD8 cells, and some of their subgroups, a positive correlation with the TILs was found. This study shows that circulating lymphocytes—in particular, cytotoxic T cells—correlate with the local antitumor immune response displayed by TILs and lymph node activation. Our findings indicate that local and generalized antitumor immune responses are concordant with their different components

A process mining maturity model: Enabling organizations to assess and improve their process mining activities

Organizations employ process mining to discover, check, or enhance process models based on data from information systems to improve business processes. Even though process mining is increasingly relevant in academia and organizations, achieving process mining excellence and generating business value through its application is elusive. Maturity models can help to manage interdisciplinary teams in their efforts to plan, implement, and manage process mining in organizations. However, while numerous maturity models on business process management (BPM) are available, recent calls for process mining maturity models indicate a gap in the current knowledge base. We systematically design and develop a comprehensive process mining maturity model that consists of five factors comprising 23 elements, which organizations need to develop to apply process mining sustainably and successfully. We contribute to the knowledge base by the exaptation of existing BPM maturity models, and validate our model through its application to a real-world scenario

Regulation of the Activity in the p53 Family Depends on the Organization of the Transactivation Domain.

Despite high sequence homology among the p53 family members, the regulation of their transactivation potential is based on strikingly different mechanisms. Previous studies revealed that the activity of TAp63α is regulated via an autoinhibitory mechanism that keeps inactive TAp63α in a dimeric conformation. While all p73 isoforms are constitutive tetramers, their basal activity is much lower compared with tetrameric TAp63. We show that the dimeric state of TAp63α not only reduces DNA binding affinity, but also suppresses interaction with the acetyltransferase p300. Exchange of the transactivation domains is sufficient to transfer the regulatory characteristics between p63 and p73. Structure determination of the transactivation domains of p63 and p73 in complex with the p300 Taz2 domain further revealed that, in contrast to p53 and p73, p63 has a single transactivation domain. Sequences essential for stabilizing the closed dimer of TAp63α have evolved into a second transactivation domain in p73 and p53.The research was funded by the DFG (DO 545/8 and DO 545/13), the Center for Biomolecular Magnetic Resonance (BMRZ), and the Cluster of Excellence Frankfurt (Macromolecular Complexes). M.T. was supported by a fellowship from the Fonds of the Chemical Industry

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

We analyze the pricing of systematic risk factors in credit default swap (CDS) contracts in a two-stage empirical framework. Firstly we estimate contract-specific sensitivities (betas) to several systematic risk factors by time-series regressions using quoted CDS spreads of 339 U.S. entities from January 2004 to December 2010. Secondly, we show that these contract-specific sensitivities are cross-sectionally priced in CDS spreads after controlling for individual risk factors. We find that the credit market climate, the Cross-market Correlation, and the market volatility explain CDS spread changes and that their corresponding sensitivities (betas) are particularly priced in the cross-section. Our basic risk factors explain about 83% (90%) of the CDS spreads prior to (during) the crisis

TruWallet: Trustworthy and Migratable Wallet-Based Web Authentication

Identity theft has fostered to a major security problem on the Internet, in particular stealing passwords for web applications through phishing and malware. We present TruWallet, a wallet-based authentication tool that improves previous solutions for protecting web-based authentication. In contrast to other wallet-based solutions, TruWallet provides (i) strong protection for users' credentials and sensitive data by cryptographically binding them to the user's platform configuration based on Trusted Computing technology, (ii) an automated login procedure where the server is authenticated independently from (SSL) certificates, thus limiting the possibility of attacks based on hijacked certificates and allowing less dependency on the SSL PKI model, and (iii) a secure migration protocol for transferring wallet data to other platforms. Our implementation uses a small virtualization-based security kernel with trusted computing support and works with standard SSL-based authentication solutions for the web, where only minor modifications and extensions are required. It is interoperable so that we can re-use existing operating systems and applications like web browsers