The Determinants of Credit Default Swap Premia

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent with theory and that the estimates are highly significant both statistically and economically. The explanatory power of the theoretical variables for levels of default swap premia is approximately 60%. The explanatory power for the differences in the premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there is only weak evidence for a residual common factor and also suggests that the theoretical variables explain a significant amount of the variation in the data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default swap premia, as predicted by theory. En utilisant une nouvelle base de données de credit default swaps, nous étudions les relations entre les déterminants théoriques du risque de défaut et la prime actuelle du marché en utilisant la régression linéaire. Ces déterminants théoriques sont le niveau d’endettement de la firme, la volatilité et le taux d’intérêt sans risque. Nous trouvons que les coefficients estimés pour ces variables sont en accord avec la théorie et que les estimations sont fortement significatives aussi bien statistiquement qu’économiquement. Le pouvoir explicatif de ces variables théoriques sur le niveau de la prime du default swap est d’environ 60 %. Le pouvoir explicatif sur les différences de prime est de 23 %.La volatilité et le niveau d’endettement en eux-mêmes ont aussi un pouvoir explicatif substantiel pour la prime du credit default swap. Une analyse en composantes principales des résidus et de la prime montre qu’il n’y a pratiquement aucune trace d’un facteur commun résiduel et suggère également que les variables théoriques expliquent une part significative de la variance des données. Nous concluons donc que le niveau d’endettement, la volatilité et le taux sans risque sont d’importants déterminants de la prime des credit default swap, comme prédit par la théorie.credit default swap; credit risk; structural model; leverage; volatility, credit default swap, risque de crédit, modèle structurel niveau d’endettement, volatilité

Flow Cytometry Assay for Quantitation of Therapeutical Anti-D IgG during Process Control in the Pharmaceutical Production

Individuals who do not possess the D antigen in their red blood cells generate Anti-D antibodies against an antigenic challenge. Prophylaxis with Anti-D immunoglobulin prevents sensitization. The determination of adequate doses of Anti-D in plasma and pharmaceutical products is carried out by radio immuno assay (RIA) and enzyme immuno assay (EIA) or hemagglutination. An in house technique was developed for the quantitation of Anti-D antibodies, as an alternative test to the reference method. It was specific and with good recovery and did not present false positives or autoagglutination. The dose-response curve (mean fluorescence intensity (MFI) versus logarithm of concentration (log C)) was linear (correlation coefficient of 0.99). The method was validated following the criteria of the NIBSC (National Institute of Biological Standards and Control) and the European Pharmacopoeia. Flow cytometry allowed obtaining accurate, precise, sensitive and specific determinations at different concentrations in different biological matrices. The method can be used in highly diluted samples, has a strong fluorescence signal, is simple, fast, reliable and of relatively low cost. Flow cytometry is more efficient than hemagglutination and easier than RIA. With similar security and efficiency standards, it is cheaper than EIA an RIA. This method as a more suitable choice

The DDG^G-classifier in the functional setting

The Maximum Depth was the first attempt to use data depths instead of multivariate raw data to construct a classification rule. Recently, the DD-classifier has solved several serious limitations of the Maximum Depth classifier but some issues still remain. This paper is devoted to extending the DD-classifier in the following ways: first, to surpass the limitation of the DD-classifier when more than two groups are involved. Second to apply regular classification methods (like $k$NN, linear or quadratic classifiers, recursive partitioning,...) to DD-plots to obtain useful insights through the diagnostics of these methods. And third, to integrate different sources of information (data depths or multivariate functional data) in a unified way in the classification procedure. Besides, as the DD-classifier trick is especially useful in the functional framework, an enhanced revision of several functional data depths is done in the paper. A simulation study and applications to some classical real datasets are also provided showing the power of the new proposal.Comment: 29 pages, 6 figures, 6 tables, Supplemental R Code and Dat

Variation of input-output properties along the somatodendritic axis of pyramidal neurons

The firing evoked by injection of simulated barrages of EPSCs into the proximal dendrite of layer 5 pyramidal neurons is greater than when comparable inputs are injected into the soma. This boosting is mediated by dendritic Na+ conductances. However, the presence of other active conductances in the dendrites, some of which are nonuniformly distributed, suggests that the degree of boosting may differ along the somatodendritic axis. Here, we injected EPSC barrages at the soma and at the proximal, middle, and distal segments of the apical dendrite and measured boosting of subthreshold and suprathreshold responses. We found that although boosting was maintained throughout the apical dendrite, the degree of boosting changed nonmonotonically with distance from the soma. Boosting dipped in the middle dendritic segments as a result of the deactivation of the hyperpolarization-activated cation current, I-h, but increased in the distal dendrites as a result of the activation of Ca2+ conductances. In the distal dendrites, EPSC barrages evoked repetitive bursts of action potentials, and the bursting pattern changed systematically with the magnitude of the input barrages. The quantitative changes in boosting along the somatodendritic axis suggest that inputs from different classes of presynaptic cells are weighted differently, depending on the location of the synaptic contacts. Moreover, the tight coupling between burst characteristics and stimulus parameters indicate that the distal dendrites can support a coding scheme that is different from that at sites closer to the soma, consistent with the notion of a separate dendritic integration site

Assessment of the potential for modal shift to non-motorised transport in a developing context: case of Lima, Peru

Under the logic of Avoid, Shift, Improve, fostered by donors and NGOs worldwide, cities in the global south are investing emphatically in non-motorised facilities and policies for low-carbon mobility aiming to reduce the adverse environmental impacts of urban mobility. Such is the case of Lima, Peru, our case study. Through the analysis of the potential for integration of non-motorised facilities with current and planned public transport networks, we seek to provide evidence on the planning considerations of non-motorised facilities in Lima with an emphasis on multi-modal travel and integration of non-motorised infrastructure. We develop spatial coverage, capacity and accessibility assessment of the ‘supply side’ of the transport network. In addition, the research studies the local transport system and travel patterns to identify trips with the potential to shift to non-motorised alternatives. Based on these analyses we estimate indicators of potential coverage, changes in mobility patterns and distributional effects of current investments. Our analysis suggests that coverage of high-capacity public transport can potentially increase by up to six times if integrated adequately with cycling facilities. The research provides methodological and empirical contributions to debates related to the capacity of cities in the global south to adopt low-carbon mobility in the foreseeable future

Localization and extinction of bacterial populations under inhomogeneous growth conditions

The transition from localized to systemic spreading of bacteria, viruses and other agents is a fundamental problem that spans medicine, ecology, biology and agriculture science. We have conducted experiments and simulations in a simple one-dimensional system to determine the spreading of bacterial populations that occurs for an inhomogeneous environment under the influence of external convection. Our system consists of a long channel with growth inhibited by uniform UV illumination except in a small ``oasis'', which is shielded from the UV light. To mimic blood flow or other flow past a localized infection, the oasis is moved with a constant velocity through the UV-illuminated ``desert''. The experiments are modeled with a convective reaction-diffusion equation. In both the experiment and model, localized or extinct populations are found to develop, depending on conditions, from an initially localized population. The model also yields states where the population grows everywhere. Further, the model reveals that the transitions between localized, extended, and extinct states are continuous and non-hysteretic. However, it does not capture the oscillations of the localized population that are observed in the experiment.Comment: 11 pages, 7 figure

Phase-dependent exciton transport and energy harvesting from thermal environments

Non-Markovian effects in the evolution of open quantum systems have recently attracted widespread interest, particularly in the context of assessing the efficiency of energy and charge transfer in nanoscale biomolecular networks and quantum technologies. With the aid of many-body simulation methods, we uncover and analyse an ultrafast environmental process that causes energy relaxation in the reduced system to depend explicitly on the phase relation of the initial state preparation. Remarkably, for particular phases and system parameters, the net energy flow is uphill, transiently violating the principle of detailed balance, and implying that energy is spontaneously taken up from the environment. A theoretical analysis reveals that non-secular contributions, significant only within the environmental correlation time, underlie this effect. This suggests that environmental energy harvesting will be observable across a wide range of coupled quantum systems.Comment: 5 + 4 pages, 3 + 2 figures. Comments welcom