Developing a Framework to Assess Financial Stability: Conference Highlights and Lessons

Central banks are still defining their approach to financial stability and are at an early stage in the development of useful models. The Bank of Canada's 2007 economic conference was organized to stimulate progress in the development of financial-stability frameworks. Among the highlights reported here are the discussions centred around three proposed frameworks: a contingent-claims-analysis framework, a semi-structural framework, and structural financial-stability models. Participants also reported on their experiences with stress-testing under the International Monetary Fund's Financial Sector Assessment Program and discussed the implications for financial stability of linkages among payment, clearing, and settlement systems.

A long-term copper exposure on freshwater ecosystem using lotic mesocosms: Individual and population responses of three-spined sticklebacks (Gasterosteus aculeatus)

Three-spined stickleback (Gasterosteus aculeatus) was used as the highest trophic level predator in an outdoor mesocosm study assessing the effect of environmentally realistic copper concentration (0, 5, 25 and 75 μg L−1) over 18 months of continuous exposure. Condition factor, organosomatic indices (HIS, GSI and SSI) as well as copper bioaccumulation in the liver were measured at 15 days, 2, 4, 6, 10, 14 and 18 months after the beginning of the contamination. Population monitoring was realised after 6 and 18 months of contamination, allowing two reproduction periods to be measured. Results showed that condition factor was affected at medium and high copper concentrations and HSI was sporadically affected in all copper exposure, depending on the sex of the fish. GSI did not show any significant differences and SSI was lowered in the medium and high copper levels. Bioaccumulation was significantly different in males and females and fluctuated with season. A negative correlation was observed between copper bioaccumulation in the liver and fish size and a positive correlation with nominal copper concentration in the water was found. There was a negative correlation between condition factor, organosomatic indices and bioaccumulation in the liver. Population monitoring showed a significantly higher fish mean length after 6 months and a higher abundance after 18 months of exposure at the highest copper level. We conclude that indirect effects such as food and habitat availability or lower predation pressure on eggs and juveniles might have led to higher stickleback population abundances at the highest copper level. This highlights the need to study all the trophic levels when monitoring ecosystem health. Considering the population and the individual responses after 18 months of copper exposure, the NOEC for three-spined sticklebacks was 25 μg L−1 (or 20 μg L−1 if we consider the average effective concentration), with a LOEC of 75 μg L−1 (or 57 μg L−1, AEC)

Comparison principles and applications to mathematical modelling of vegetal meta-communities

This article partakes of the PEGASE project the goal of which is a better understanding of the mechanisms explaining the behaviour of species living in a network of forest patches linked by ecological corridors (hedges for instance). Actually we plan to study the effect of the fragmentation of the habitat on biodiversity. A simple neutral model for the evolution of abundances in a vegetal metacommunity is introduced. Migration between the communities is explicitely modelized in a deterministic way, while the reproduction process is dealt with using Wright-Fisher models, independently within each community. The large population limit of the model is considered. The hydrodynamic limit of this split-step method is proved to be the solution of a partial differential equation with a deterministic part coming from the migration process and a diffusion part due to the Wright-Fisher process. Finally, the diversity of the metacommunity is adressed through one of its indicator, the mean extinction time of a species. At the limit, using classical comparison principles, the exchange process between the communities is proved to slow down extinction. This shows that the existence of corridors seems to be good for the biodiversity

Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. The risk management strategy has two elements: first, until leverage is very high, the firm fully hedges its operating cash how exposure, due to the convexity in its cost of capital. When leverage exceeds a very high threshold, the firm gambles for resurrection and stops hedging. Second, the firm manages its capital structure through dividend distributions and investment. When leverage is very low, the firm fully replaces depreciated assets, fully invests in opportunities if they arise, and distribute dividends to reach its optimal capital structure. As leverage increases, the firm stops paying dividends, while fully investing. After a certain leverage, the firm also reduces investment, until it stop investing completely. The model predictions are consistent with empirical observations

Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. The risk management strategy has two elements: first, until leverage is very high, the firm fully hedges its operating cash how exposure, due to the convexity in its cost of capital. When leverage exceeds a very high threshold, the firm gambles for resurrection and stops hedging. Second, the firm manages its capital structure through dividend distributions and investment. When leverage is very low, the firm fully replaces depreciated assets, fully invests in opportunities if they arise, and distribute dividends to reach its optimal capital structure. As leverage increases, the firm stops paying dividends, while fully investing. After a certain leverage, the firm also reduces investment, until it stop investing completely. The model predictions are consistent with empirical observations

CODA (crossover distribution analyzer): quantitative characterization of crossover position patterns along chromosomes

<p>Abstract</p> <p>Background</p> <p>During meiosis, homologous chromosomes exchange segments via the formation of crossovers. This phenomenon is highly regulated; in particular, crossovers are distributed heterogeneously along the physical map and rarely arise in close proximity, a property referred to as "interference". Crossover positions form patterns that give clues about how crossovers are formed. In several organisms including yeast, tomato, <it>Arabidopsis</it>, and mouse, it is believed that crossovers form via at least two pathways, one interfering, the other not.</p> <p>Results</p> <p>We have developed a software package - "CODA", for CrossOver Distribution Analyzer - which allows one to quantitatively characterize crossover patterns by fitting interference models to experimental data. Two families of interfering models are provided: the "gamma" model and the "beam-film" model. The user can specify single or two-pathways modeling, and the software package infers the model's parameters and their confidence intervals. CODA can handle data produced from measurements on bivalents or gametes, in the form of continuous crossover positions or marker genotyping. We illustrate the possibilities on data from Wheat, corn and mouse.</p> <p>Conclusions</p> <p>CODA extends the kind of crossover data that could be analyzed so far to include gametic data (rather than only bivalents/tetrads) when using two-pathways modeling. It will also enable users to perform analyses based on the beam-film model. CODA implements that model's complex physics and mathematics, and uses a summary statistic to overcomes the lack of a computable likelihood which has hampered its use till now.</p

Utilisation de réseaux en analyse phylogénétique : détection de taxons hybrides et combinaison d'arbres

Thèse numérisée par la Direction des bibliothèques de l'Université de Montréal

Trust Management within Virtual Communities: Adaptive and Socially-Compliant Trust Model

21 pagesRecent years have witnessed increasing interest of people in sharing, collaborating and interacting in many different ways among new social structures called Virtual Communities (VC). They represent aggrega- tions of entities with common interests, goals, practices or values. VCs are particularly complex environments wherein trust became, rapidly, a prerequisite for the decision-making process, and where traditional trust establishment techniques are regularly challenged. In our work we are considering how individual and collective trust policies can be managed, adapted and combined. To this aim, we propose an Adaptive and Socially-Compliant Trust Management System (ASC-TMS) based on multi-agent technologies. In this framework, policies are used as concrete implementations of trust models in order to specify both (i) user-centred (i.e. personal) and community-centred (i.e. collective) trust requirements. Agents are used to manage and combine these different policies in a decentralized and flexible way. We describe the functionalities and the architecture that supports them and discuss also a prototype implementation