Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks� capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to data limitations. Using a large database of bankruptcies in Germany we estimate correlations using a simple version of the Basel II factor model. Then we extend the model to an approach with observable risk factors and suggest that this model with default probabilities depending on the state of the economy may be more adequate. Empirical evidence on proxies for the credit cycles is presented for German industry sectors. We find that much of the co-movements can be explained by our variables. Finally, we discuss some implications for forecasts of distributions of potential future defaults of a bank�s portfolio. Ein wichtiges Gebiet im Bereich der empirischen Finanzwirtschaft stellen Korrelationen von Kreditausfällen dar. Sowohl in Kreditportfoliomodellen als auch für die Eigenkapitalanforderungen von Banken im Neuen Basler Akkord sind sie die Haupttreiber von Kreditrisiken. Allerdings sind empirische Ergebnisse über die Größenordnungen von Korrelationen hauptsächlich aufgrund unzureichender Datenlage bislang äußerst selten zu finden. Der vorliegende Beitrag schätzt zunächst mit Hilfe einer einfachen statischen Version des Basel II Faktormodells Ausfallwahrscheinlichkeiten und Korrelationen anhand einer großen Datenbank deutscher Unternehmen. Das einfache Modell wird anschließend um beobachtbare makroökonomische Risikofaktoren erweitert und die Ausfallwahrscheinlichkeiten werden in Abhängigkeit des aktuellen Stands der Konjunktur modelliert. Es stellt sich heraus, dass ein großer Teil der im einfachen Modell vorhandenen Korrelationen durch die Risikofaktoren erklärt werden kann. Schließlich werden für die jeweiligen Modelle Implikationen für Verlustprognosen von Bankenportfolien aufgezeigt

Generation of a functional, soluble tapasin protein from an alternatively spliced mRNA

The loading of newly synthesised MHC class I molecules (MHCI) with peptides requires the involvement of several endoplasmic reticulum (ER)-resident cofactors including calnexin, calreticulin, transporter associated with antigen processing, ERp57 and tapasin. In the absence of tapasin, MHC I complexes are loaded with suboptimal peptides and their recognition by cytotoxic T cells raised to high-affinity, immunodominant peptide epitopes is impaired. Here, we describe the cloning and functional assessment of an alternative spliced form of tapasin. From the EST database, we obtained a partially spliced tapasin cDNA that retained introns 4-6. When transfected into the tapasin-deficient cell line 0.220, the cDNA produced an alternatively spliced tapasin transcript that contained intron 5 (74 bp). This introduced a new stop codon that terminated translation immediately before the putative transmembrane domain and led to a tapasin molecule containing the lumenal domain plus 8 extra novel amino acids at its C-terminus. This molecule promoted peptide loading of HLA-B5 in 0.220 cell line, and restored normal HLA-B5 surface expression. However, the peptides loaded onto HLA-B5 were suboptimal compared to those loaded onto HLA-B5 in the presence of wild-type tapasin

American literary realism

BACKGROUND: Recent evidence suggests that the use of low tidal volume ventilation with the application of positive end-expiratory pressure (PEEP) may benefit patients at risk of respiratory complications during general anaesthesia. However current Australian practice in this area is unknown. METHODS: To describe current practice of intraoperative ventilation with regard to tidal volume and application of PEEP, we performed a multicentre audit in patients undergoing general anaesthesia across eight teaching hospitals in Melbourne, Australia. RESULTS: We obtained information including demographic characteristics, type of surgery, tidal volume and the use of PEEP in a consecutive cohort of 272 patients. The median age was 56 (IQR 42-69) years; 150 (55%) were male. Most common diagnostic groups were general surgery (31%), orthopaedic surgery (20%) and neurosurgery (9.6%). Mean FiO2 was 0.6 (IQR 0.5-0.7). Median tidal volume was 500 ml (IQR 450-550). PEEP was used in 54% of patients with a median value of 5.0 cmH2O (IQR 4.0-5.0) and median tidal volume corrected for predicted body weight was 9.5 ml/kg (IQR 8.5-10.4). Median peak inspiratory pressure was 18 cmH2O (IQR 15-22). In a cohort of patients considered at risk for respiratory complications, the median tidal volume was still 9.8 ml/kg (IQR 8.6-10.7) and PEEP was applied in 66% of patients with a median value of 5 cmH20 (IQR 4-5). On multivariate analyses positive predictors of tidal volume size included male sex (p < 0.01), height (p = 0.04) and weight (p < 0.001). Positive predictors of the use of PEEP included surgery in a tertiary hospital (OR = 3.11; 95% CI: 1.05 to 9.23) and expected prolonged duration of surgery (OR = 2.47; 95% CI: 1.04 to 5.84). CONCLUSION: In mechanically ventilated patients under general anaesthesia, tidal volume was high and PEEP was applied to the majority of patients, but at modest levels. The findings of our study suggest that the control groups of previous randomized controlled trials do not closely reflect the practice of mechanical ventilation in Australia