A new family of modified Gaussian copulas for market consistent valuation of government guarantees

This paper deals with a copula-based stochastic dependence problem in the context of financial risks. We discuss the financial framework for assessing the theoretical up-front value of government guarantees on bank liabilities. EU States widely use these contracts to improve the financial system’s stability and manage the banking sector in crisis situations; in Italy, they have also been used to address the consequences of the Covid-19 emergency. From a market viewpoint, we deal with a defaultable guarantee contract where the State-guarantor and the bank-borrower are both subject to default risk, and their risks are interconnected. We show that the classical Gaussian copula is not satisfactory for modeling the dependence among the considered risks. Indeed, using the benchmark market model for credit risk portfolio management, we highlight some contradictory results observed for the up-front values of the guarantee when the default intensity of the guarantor is smaller than that of the borrower. Then, we introduce a new family of modified Gaussian copulas that overcomes the limitations of the standard approach, allowing to determine realistic results in terms of the guarantees “mark-to-model” value when the benchmark market model does not work. Numerical simulations validate the theoretical proposal

Catestatin Improves Post-Ischemic Left Ventricular Function and Decreases Ischemia/Reperfusion Injury in Heart

The Chromogranin A (CgA)-derived anti-hypertensive peptide catestatin (CST) antagonizes catecholamine secretion, and is a negative myocardial inotrope acting via a nitric oxide-dependent mechanism. It is not known whether CST contributes to ischemia/reperfusion injury or is a component of a cardioprotective response to limit injury. Here, we tested whether CST by virtue of its negative inotropic activity improves post-ischemic cardiac function and cardiomyocyte survival. Three groups of isolated perfused hearts from adult Wistar rats underwent 30-min ischemia and 120-min reperfusion (I/R, Group 1), or were post-conditioned by brief ischemic episodes (PostC, 5-cycles of 10-s I/R at the beginning of 120-min reperfusion, Group 2), or with exogenous CST (75 nM for 20 min, CST-Post, Group-3) at the onset of reperfusion. Perfusion pressure and left ventricular pressure (LVP) were monitored. Infarct size was evaluated with nitroblue-tetrazolium staining. The CST (5 nM) effects were also tested in simulated ischemia/reperfusion experiments on cardiomyocytes isolated from young-adult rats, evaluating cell survival with propidium iodide labeling. Infarct size was 61 ± 6% of risk area in hearts subjected to I/R only. PostC reduced infarct size to 34 ± 5%. Infarct size in CST-Post was 36 ± 3% of risk area (P < 0.05 respect to I/R). CST-Post reduced post-ischemic rise of diastolic LVP, an index of contracture, and significantly improved post-ischemic recovery of developed LVP. In isolated cardiomyocytes, CST increased the cell viability rate by about 65% after simulated ischemia/reperfusion. These results suggest a novel cardioprotective role for CST, which appears mainly due to a direct reduction of post-ischemic myocardial damages and dysfunction, rather than to an involvement of adrenergic terminals and/or endothelium

Intracoronary microparticles and microvascular obstruction in patients with ST elevation myocardial infarction undergoing primary percutaneous intervention

AimsMicroparticles (MP) are cell-derived fragments known to be increased in the blood of patients with acute coronary syndromes. We aimed to assess, in ST elevation myocardial infarction (STEMI), the systemic and local (in the culprit coronary artery) levels of platelet-derived MP (PMP, CD42+CD31+) and endothelial-derived MP (EMP, CD42-CD31+) and their relation to indexes of microvascular obstruction (MVO).Methods and resultsIn 78 STEMI patients undergoing successful primary percutaneous coronary intervention, blood samples were sequentially drawn from the aorta and the culprit coronary artery for cytofluorimetric MP detection. Thrombolysis in myocardial infarction (TIMI) flow, thrombus score (TS), corrected TIMI frame count (cTFC), myocardial blush grade (MBG), quantitative blush evaluator (QuBE) score, and 90 min ST resolution (\u3a3STR) were calculated. Both PMP and EMP levels were significantly higher in the intracoronary than in the aortic blood samples. Intracoronary PMP and EMP levels were positively related to TS and cTFC and inversely related to MBG and QuBE. Aortic PMP (but not EMP) levels were related to TS and cTFC and, inversely, to QuBE. Intracoronary PMP were independently related to angiographic and electrocardiographic MVO in a multivariate model.ConclusionThe correlations of intracoronary EMP and of both systemic and intracoronary PMP levels with TS support the role of MP as markers of ongoing thrombosis. Moreover, the correlation of intracoronary MP with indexes of microvascular dysfunction suggests, for the first time, a possible direct role of MP in the pathogenesis of MVO