A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis

We propose a new method for measuring the quality of banks credit portfolios. This method makes use of information impounded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit risk indicator (CRI), which is the perceived share of high risk exposures in a bank's portfolio. We estimate CRIs for the 150 largest U.S. bank holding companies and find that they have strong predictive power for the BHCs' performance during the subprime crisis, even after controlling for a variety of traditional asset quality proxies. Interestingly, we also find that the BHCs' aggregate CRI did not deteriorate since the beginning of the subprime crisis. This suggests that the market was aware of their (average) exposure to high risk credit.credit risk;asset quality;banks;subprime crisis

Defects in SiO2 as the possible origin of near interface traps in the SiC∕SiO2 system: A systematic theoretical study

A systematic study of the level positions of intrinsic and carbon defects in SiO2 is presented, based on density functional calculations with a hybrid functional in an alpha-quartz supercell. The results are analyzed from the point of view of the near interface traps (NIT), observed in both SiC/SiO2 and Si/SiO2 systems, and assumed to have their origins in the oxide. It is shown that the vacancies and the oxygen interstitial can be excluded as the origin of such NIT, while the silicon interstitial and carbon dimers give rise to gap levels in the energy range inferred from experiments. The properties of these defects are discussed in light of the knowledge about the SiC/SiO2 interface

Path integral Monte Carlo calculations of helium and hydrogen-helium plasma thermodynamics and of the deuterium shock Hugoniot

In this work we calculate the thermodynamic properties of hydrogen-helium plasmas with different mass fractions of helium by the direct path integral Monte Carlo method. To avoid unphysical approximations we use the path integral representation of the density matrix. We pay special attention to the region of weak coupling and degeneracy and compare the results of simulation with a model based on the chemical picture. Further with the help of calculated deuterium isochors we compute the shock Hugoniot of deuterium. We analyze our results in comparison with recent experimental and calculated data on the deuterium Hugoniot.Comment: 7 pages, 5 Postscript figures, accepted for publication in J. Phys. A: Math. Ge

Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios, standard tests of performance suffer from the "look-ahead benchmark bias," when they use the assets constituting the benchmarks of reference at the end of the testing period, rather than at the beginning of the period. Here, we report that the "look-ahead benchmark bias" can exhibit a surprisingly large amplitude for portfolios of common stocks (up to 8% annum for the S&P500 taken as the benchmark) -- while most studies have emphasized related survival biases in performance of mutual and hedge funds for which the biases can be expected to be even larger. We use the CRSP database from 1926 to 2006 and analyze the running top 500 US capitalizations to demonstrate that this bias can account for a gross overestimation of performance metrics such as the Sharpe ratio as well as an underestimation of risk, as measured for instance by peak-to-valley drawdowns. We demonstrate the presence of a significant bias in the estimation of the survival and look-ahead biases studied in the literature. A general methodology to test the properties of investment strategies is advanced in terms of random strategies with similar investment constraints.Comment: 16 pages, 1 table, 4 figure

Evaluation of the masking efficacy of caries infiltration in post-orthodontic initial caries lesions: 1-year follow-up.

OBJECTIVES This study aimed to qualitatively and quantitatively assess the masking efficacy and color stability of resin infiltration on post-orthodontic ICL after 1 year. MATERIALS AND METHODS In 17 adolescents, 112 ICL (ICDAS-1: n = 1; ICDAS-2: n = 111) in 112 teeth were treated by resin infiltration (Icon, DMG) 3 to 12 months after bracket removal. The etching procedure was performed up to 3 times. Standardized digital images were taken before treatment (T0), 7 days (T7) and 12 months (T365) after treatment. Outcomes included the evaluation of the color differences between infiltrated and healthy enamel at T0, T7, and T365 by quantitative (colorimetric analysis (ΔE), ICDAS scores) and qualitative methods (5-point Likert scale (deteriorated (1), unchanged (2), improved, but not satisfying (3), improved and no further treatment required (4), completely masked (5)).) Differences between time points were analyzed by using Friedman test (ΔΕ) and chi-square tests (ICDAS). RESULTS The median color difference (25th/75th percentiles) between carious and healthy enamel at baseline (ΔΕ0) was 10.2(7.7/13.6). A significant decrease was observed 7 days after treatment (ΔΕ7 = 3.1(1.8/5.0); p < 0.001; ICDAS; p < 0.001). No significant changes based on ΔΕ (p = 1.000), and ICDAS grade (p = 0.305) were observed between T7 and T365 (ΔΕ12 = 3.4 (1.8/4.9)). Furthermore, at T365 four experienced dentists classified 55% and 39% of the lesions as "improved and no further treatment required" and "completely masked," respectively (Fleiss kappa: T365 = 0.851 (almost perfect)). CONCLUSION Resin infiltration efficaciously masked post-orthodontic ICL 7 days and 12 months after treatment. These results for most of the teeth could not only be observed by quantitative but also by qualitative analysis. CLINICAL RELEVANCE Resin infiltration efficaciously masks post-orthodontic initial carious lesions. The optical improvement can be observed directly after treatment and remains stable for at least 12 months

Theoretical study of the mechanism of dry oxidation of 4H-SiC

Possible defect structures, arising from the interaction of O-2 molecules with an ideal portion of the SiC/SiO2 interface, have been investigated systematically using density functional theory. Based on the calculated total energies and assuming thermal quasiequilibrium during oxidation, the most likely routes leading to complete oxidation have been determined. The defect structures produced along these routes will remain at the interface in significant concentration when stopping the oxidation process. The results obtained for their properties are well supported by experimental findings about the SiC/SiO2 interface. It is found that carbon-carbon bonds can explain most of the observed interface states but not the high density near the conduction band of 4H-SiC

Chondrogenic differentiation of growth factor-stimulated precursor cells in cartilage repair tissue is associated with increased HIF-1α activity

SummaryObjectiveTo investigate the chondrogenic potential of growth factor-stimulated periosteal cells with respect to the activity of Hypoxia-inducible Factor 1α (HIF-1α).MethodsScaffold-bound autologous periosteal cells, which had been activated by Insulin-like Growth Factor 1 (IGF-1) or Bone Morphogenetic Protein 2 (BMP-2) gene transfer using both adeno-associated virus (AAV) and adenoviral (Ad) vectors, were applied to chondral lesions in the knee joints of miniature pigs. Six weeks after transplantation, the repair tissues were investigated for collagen type I and type II content as well as for HIF-1α expression. The functional role of phosphatidylinositol 3-kinase (PI3K)/mammalian target of rapamycin (mTOR) and mitogen-activated protein kinase (MEK)/extracellular signal-regulated kinase (ERK) signaling on BMP-2/IGF-1-induced HIF-1α expression was assessed in vitro by employing specific inhibitors.ResultsUnstimulated periosteal cells formed a fibrous extracellular matrix in the superficial zone and a fibrocartilaginous matrix in deep zones of the repair tissue. This zonal difference was reflected by the absence of HIF-1α staining in superficial areas, but moderate HIF-1α expression in deep zones. In contrast, Ad/AAVBMP-2-stimulated periosteal cells, and to a lesser degree Ad/AAVIGF-1-infected cells, adopted a chondrocyte-like phenotype with strong intracellular HIF-1α staining throughout all zones of the repair tissue and formed a hyaline-like matrix. In vitro, BMP-2 and IGF-1 supplementation increased HIF-1α protein levels in periosteal cells, which was based on posttranscriptional mechanisms rather than de novo mRNA synthesis, involving predominantly the MEK/ERK pathway.ConclusionThis pilot experimental study on a relatively small number of animals indicated that chondrogenesis by precursor cells is facilitated in deeper hypoxic zones of cartilage repair tissue and is stimulated by growth factors which enhance HIF-1α activity