Large portfolio losses: A dynamic contagion model

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality indicators of the firms, deriving moreover the dynamics of a global financial health indicator. We finally describe a suitable version of the "Central Limit Theorem" useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.Comment: Published in at http://dx.doi.org/10.1214/08-AAP544 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

UNDULY ENHANCED RESPONSE TO TOLVAPTAN IN A WOMAN SHOWING SYNDROME OF INAPPROPRIATE ANTIDIURETIC HORMONE SECRETION: AN INVESTIGATION OF POSSIBLE CAUSES

Objective: To investigate possible causes of an excessive response to tolvaptan in a woman with syndrome of inappropriate antidiuretic hormone secretion (SIADH). Methods: A 32-year-old woman was admitted to our cardiologic unit 3 months after delivery for hypertension and severe hyponatremia (120 mEq/L). Two hyponatremic episodes had already been documented in her medical history. SIADH was diagnosed and treatment with tolvaptan, an arginine vasopressin (AVP) antagonist, was instituted. After the first 15-mg dose, excessive polyuria (1 L/ hour) and a rapid increase in serum sodium (13 mEq/L in 8 hours) occurred, so that therapy was stopped and restarted 2 days later at a reduced dose (5 mg). This level was effective and well tolerated. To explore the possible pharmacokinetic and pharmacodynamic mechanisms underlying the patient\u2019s hyperresponsiveness, the following tests were carried out: (1) in vivo phenotyping of CYP3A4 activity, the cytochrome responsible for tolvaptan metabolism, with two probe drugs (omeprazole and dextromethorphan); and (2) search for mutations in genes involved in AVP signaling (AVP, V2R, AQP2, OXT)

Endogenous equilibria in liquid markets with frictions and boundedly rational agents

In this paper we propose a simple binary mean field game, where N agents may decide whether to trade or not a share of a risky asset in a liquid market. The asset's returns are endogenously determined taking into account demand and transaction costs. Agents' utility depends on the aggregate demand, which is determined by all agents' observed and forecasted actions. Agents are boundedly rational in the sense that they can go wrong choosing their optimal strategy. The explicit dependence on past actions generates endogenous dynamics of the system. We, firstly, study under a rather general setting (risk attitudes, pricing rules and noises) the aggregate demand for the asset, the emerging returns and the structure of the equilibria of the asymptotic game. It is shown that multiple Nash equilibria may arise. Stability conditions are characterized, in particular boom and crash cycles are detected. Then we precisely analyze properties of equilibria under significant examples, performing comparative statics exercises and showing the stabilizing property of exogenous transaction costs.Endogenous dynamics; Nash equilibria; Bounded rationality; Transaction costs; Mean field games; Random utility

A Clustering Strategy for Enhanced FL-Based Intrusion Detection in IoT Networks

The Internet of Things (IoT) is growing rapidly and so the need of ensuring protection against cybersecurity attacks to IoT devices. In this scenario, Intrusion Detection Systems (IDSs) play a crucial role and data-driven IDSs based on machine learning (ML) have recently attracted more and more interest by the research community. While conventional ML-based IDSs are based on a centralized architecture where IoT devices share their data with a central server for model training, we propose a novel approach that is based on federated learning (FL). However, conventional FL is ineffective in the considered scenario, due to the high statistical heterogeneity of data collected by IoT devices. To overcome this limitation, we propose a three-tier FL-based architecture where IoT devices are clustered together based on their statistical properties. Clustering decisions are taken by means of a novel entropy-based strategy, which helps improve model training performance. We tested our solution on the CIC-ToN-IoT dataset: our clustering strategy increases intrusion detection performance with respect to a conventional FL approach up to +17% in terms of F1-score, along with a significant reduction of the number of training rounds

Polarization and coherence in mean field games driven by private and social utility

We study a mean field game in continuous time over a finite horizon, T, where the state of each agent is binary and where players base their strategic decisions on two, possibly competing, factors: the willingness to align with the majority (conformism) and the aspiration of sticking with the own type (stubbornness). We also consider a quadratic cost related to the rate at which a change in the state happens: changing opinion may be a costly operation. Depending on the parameters of the model, the game may have more than one Nash equilibrium, even though the corresponding N-player game does not. Moreover, it exhibits a very rich phase diagram, where polarized/unpolarized, coherent/incoherent equilibria may coexist, except for T small, where the equilibrium is always unique. We fully describe such phase diagram in closed form and provide a detailed numerical analysis of the N-player counterpart of the mean field game. In this finite dimensional setting, the equilibrium selected by the population of players is always coherent (favoring the subpopulation whose type is aligned with the initial condition), but it does not necessarily minimize the cost functional. Rather, it seems that, among the coherent ones, the equilibrium prevailing is the one that most benefits the underdog subpopulation forced to change opinion

Polarization and coherence in mean field games driven by private and social utility

We study a mean field game in continuous time over a finite horizon, T, where the state of each agent is binary and where players base their strategic decisions on two, possibly competing, factors: the willingness to align with the majority (conformism) and the aspiration of sticking with the own type (stubbornness). We also consider a quadratic cost related to the rate at which a change in the state happens: changing opinion may be a costly operation. Depending on the parameters of the model, the game may have more than one Nash equilibrium, even though the corresponding N-player game does not. Moreover, it exhibits a very rich phase diagram, where polarized/unpolarized, coherent/incoherent equilibria may coexist, except for T small, where the equilibrium is always unique. We fully describe such phase diagram in closed form and provide a detailed numerical analysis of the N-player counterpart of the mean field game. In this finite dimensional setting, the equilibrium selected by the population of players is always coherent (favoring the subpopulation whose type is aligned with the initial condition), but it does not necessarily minimize the cost functional. Rather, it seems that, among the coherent ones, the equilibrium prevailing is the one that most benefits the underdog subpopulation forced to change opinion

ADEGUAMENTO DEL DOSAGGIO DEGLI ANTIBIOTICI NELLE TERAPIE RENALI SOSTITUTIVE: USO DI MODELLI IN VITRO QUALE STRUMENTO PREDITTIVO DELLA FARMACOCINETICA

Antimicrobial dosage adjustment for patients with acute or chronic kidney disease undergoing extracorporeal renal replacement therapy is a complex problem frequently under investigated for several drugs. In this setting, the rational approach for appropriate dosage regimen is fundamental, not only to achieve efficacy of pharmacological treatment, but also to avoid toxicity risks. In addition, when an antimicrobial agent is administrated, it has to be taken into account the emergence of resistant pathogen microorganisms. The purpose of this research project was to set up an in vitro models of hemoperfusion (HP) and hemofiltration (HF) techniques in order to investigate antimicrobial removal during extracorporeal circulation. In particular, it focuses on drug adsorption by sorbent or membrane polymers, which is almost unexplored phenomenon reported in literature. The first in vitro model was set up in a direct HP (DHP) mode using a prototype dialysis machine (Bellco, R&D Electronic Division, Mirandola, Italy) with Lixelle S-35 cartridge (Kaneka Corporation, Osaka, Japan). This medical device is a sorbent developed for a selective removal of β2-microglobulin (β2-MG) in dialysis-related amyloidosis (DRA) of chronic kidney disease patients. The aim of the study was to investigate the vancomycin (VAN) and teicoplanin (TEC) adsorption removal by DHP with Lixelle S-35 cartridge. VAN and TEC experiments showed that the cartridge has a high adsorption capacity for both glicopeptides. In the case of TEC, the total mass introduced into the system was adsorbed by Lixelle polymer bed. Considering the high TEC adsorption rate, it was developed and performed an in vitro tool with Lixelle polymer in order to evaluate the possible competitive binding between TEC and β2-MG during adsorption process. Based on these results, TEC and β2-MG did not compete for binding sites of Lixelle polymer. On the contrary, β2-MG seems to enhance the adsorption of TEC. These data suggest that a supplemental dose should be administered in DRA patients when Lixelle S-35 is used for both VAN and TEC. The second in vitro model was configured in DHP as previous system, but it was optimized as close as possible to in vivo conditions. The mock DHP treatments were performed to evaluate gentamicin (GEN) and tobramycin (TOB) adsorption removal by using Bellco prototype dialysis machine with Lixelle S-35 cartridge. XIV GEN was rapidly adsorbed onto polymer bed during experiments without antimicrobial release by the sorbent cartridge. GEN results indicated that a supplemental dose should be taken into account in DRA patients receiving DHP with Lixelle S-35. Conversely, TOB, after its rapid adsorption, was released into the extracorporeal circulation: the redistribution phenomenon occurred. Therapeutic drug monitoring (TDM) should be performed to measure TOB plasma levels before considering an supplemental dose when Lixelle S-35 is used. The antimicrobial adsorption phenomenon could also affect HF treatments and therefore hemofilter membranes. In this direction, it was set up an miniaturized in vitro system with CARPEDIEM dialysis machine (Cardio-Renal Pediatric Dialysis Emergency Machine; Bellco, Mirandola, Italy) using a polysulfone membrane (Medisulfone; Medica, Medolla, Italy). The HF in vitro model was used to study the antimicrobial drug removal of linezolid (LZD) and TOB. LZD HF treatments described a rebound phenomenon of its plasma levels. Indeed, the maximum LZD value adsorbed was observed at the beginning of the experiments, then it was partially released from polysulfone membrane. Although it is still unclear if LZD is completely released from the membrane, the redistribution phenomenon should be considered in patients with acute renal failure (ARF) undergoing continuous HF. The LZD dosage adjustment requires TDM as a tool for defining a potential supplemental dose. On the other side, the TOB adsorption phenomenon can be considered negligible related to the antimicrobial mass removed from the extracorporeal circulation. TOB was primarily cleared by convection during HF experiments. These findings indicate that TOB dose should be adjusted according to the ultrafiltration rate in ARF patients receiving continuous HF. The rationale approaches suggested for antimicrobial dosage the adjustment concern the intimate drug removal of specific extracorporeal techniques investigated by the present research project. In order to prescribe the optimal antimicrobial dosage regimen, clinicians must consider these experimental evidences in a relationship with patient’s pathophysiology which also impacts on pharmacokinetic of drugs

Preventing Trauma and Grief in Emergency and Critical Care Units: A Mixed Methods Study on a Psycho-Educational Defusing Intervention

Emergency and critical care services inevitably expose their staff to potential work stressors and traumatic events, which can cause emotional, behavioral, and physical reactions. The literature presents a wide range of evidence-based knowledge on the effectiveness of interventions to promote mental health after traumatic events. However, little is known about the effectiveness of prevention programs. In this study, we sought to improve the empirical understanding of the potential of a combination of psycho-educational-defusing training for trauma prevention. We employed a mixed methods approach using statistical modeling and content/focus group analysis to describe the sample of investigation and the effectiveness of the prevention training. A retrospective quantitative chart measured and evaluated the psychological state of physicians, nurses, and registered nurses (N = 222). A retrospective qualitative chart examined staff accounts of traumas and their coping strategies via autobiographies (n = 26). Prospective focus groups examined participants of the psycho-educational defusing intervention administered (n = 61). Findings revealed different forms of experiencing grief and trauma. Prospective analysis of the training effectiveness revealed favorable perceptions by participants. Results support the formal implementation of continuous prevention, building relational support, and coping strategies as keys to recovery and preventing traumas

Editorial for the special issue “characterization of nanomaterials: Selected papers from 6th dresden nanoanalysis symposium”

publishe