Asset correlations and credit portfolio risk: an empirical analysis

In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabilities affecting total credit portfolio risk. Differentiation between industry sectors when using the sector model instead of the market model has only a secondary effect on credit portfolio risk, at least for the underlying credit portfolio. Averaging firm-dependent asset correlations on a sector level can, however, cause a substantial underestimation of the VaR in a portfolio with heterogeneous borrower size. This result holds for the market as well as the sector model. Furthermore, the VaR of the IRB model is more stable over time than the VaR of the market model and the sector model, while its distance from the other two models fluctuates over time. --Asset correlations,sector concentration,credit portfolio risk

Job Displacement, Family Dynamics and Spousal Labor Supply, Discussion Paper Series

We study interdependencies in spousal labor supply and the effectiveness of intrahousehold insurance in a sample of married couples, where the husband loses his job due to a mass layoff or plant closure using data from the Austrian Social Security Database. We show that in our sample of relatively young couples the shock hits households at crucial stages of family formation, which requires careful modeling of the wives' counterfactual lifecycle labor market patterns. In our empirical analysis, we propose three independent control groups of unaffected households to identify the causal effects of husbands' displacement on wives' labor supply. Our empirical results show that husbands suffer large and persistent employment and earnings losses over the first 5 years after displacement. But wives' labor supply increases only moderately and they respond predominantly at the extensive margin. The implied participation elasticity with respect to the husband's earnings shock is very small, about -0:04. While the wives' earnings gains recover only a tiny fraction of the household income loss, public transfers and taxes are a more important insurance at least in the short run. In terms of non-labor market related outcomes, we find a small positive effect on the probability of divorce, but no effect of the husband's job displacement on fertility. The presence and ages of children in the household are crucial determinants of the wife's labor supply response. The most responsive group are mothers, who are planning to return to the labor market after a maternity break, while mothers of very young children or wives without children remain unresponsive. We thus conclude that Austria's strong gender identity norms are an explanation for the limited scope of intra-household insurance

Job Displacement, Family Dynamics, and Spousal Labor Supply, CEPR Discussion Papers, No. 13247

We study the effectiveness of intra-household insurance among married couples when the husband loses his job due to a mass layoff or plant closure. Empirical results based on Austrian administrative data show that husbands suffer persistent employment and earnings losses, while wives' labor supply increases moderately due to extensive margin responses. Wives' earnings gains recover only a tiny fraction of the household income loss and, in the short-term, public transfers and taxes are a more important form of insurance. We show that the presence of children in the household is a crucial determinant of the wives' labor supply response

Successful resection of the recurrence of a cavernous malformation of the optic chiasm

The case of a 33-year-old female who suffered from a recurrence of an intrachiasmatic cavernous malformation is presented. She had already undergone surgery in 1991 and 2001 and was admitted to our hospital with reduced vision in the right eye. After MRI, and diagnosis of recurrence of the cavernoma, a neurosurgical operation was performed using the pterional approach. The intraoperative situation was documented with micro photographs. The postoperative course was uneventful. The female described a minimal improvement of her vision. No postoperative complications were observed. To our knowledge, microsurgically complete extirpation of a recurrence of an intrachiasmatic cavernoma has not yet been reported in the literature

Microstructural Characterization of TiO2-II in the Chicxulub Peak Ring

The peak ring of the approximately 180 kilometer-diameter Chicxulub impact crater on the Yucatan Peninsula, Mexico, was recently drilled during IODP-ICDP (International Ocean Discovery Program-International Continental Scientific Drilling Program) Expedition 364, producing core M0077A. The new core provides insights into the anatomy, composition, tectonic deformation, shock metamorphism, and post-impact overprint of crater-filling impactites and crystalline basement rocks. The basement rocks were shocked to approximately 12.5-17.5 gigapascals, uplifted, and hydrothermally altered. This study presents a combined Raman spectroscopic and electron backscatter diffraction (EBSD) study of TiO2-II, a high-pressure polymorph of TiO2 with an alpha-PbO2 structure (orthorhombic; space group Pbcn; density 4.34 grams per cubic centimeter, in shocked granitoid rock of the Chicxulub peak ring

3D evolution of a filament disappearance event observed by STEREO

A filament disappearance event was observed on 22 May 2008 during our recent campaign JOP 178. The filament, situated in the southern hemisphere, showed sinistral chirality consistent with the hemispheric rule. The event was well observed by several observatories in particular by THEMIS. One day before the disappearance, H$\alpha$ observations showed up and down flows in adjacent locations along the filament, which suggest plasma motions along twisted flux rope. THEMIS and GONG observations show shearing photospheric motions leading to magnetic flux canceling around barbs. STEREO A, B spacecraft with separation angle 52.4 degrees, showed quite different views of this untwisting flux rope in He II 304 \AA\ images. Here, we reconstruct the 3D geometry of the filament during its eruption phase using STEREO EUV He II 304 \AA\ images and find that the filament was highly inclined to the solar normal. The He II 304 \AA\ movies show individual threads, which oscillate and rise to an altitude of about 120 Mm with apparent velocities of about 100 km s$^{-1}$, during the rapid evolution phase. Finally, as the flux rope expands into the corona, the filament disappears by becoming optically thin to undetectable levels. No CME was detected by STEREO, only a faint CME was recorded by LASCO at the beginning of the disappearance phase at 02:00 UT, which could be due to partial filament eruption. Further, STEREO Fe XII 195 \AA\ images showed bright loops beneath the filament prior to the disappearance phase, suggesting magnetic reconnection below the flux rope

The impact of microsurgery, stereotactic radiosurgery and radiotherapy in the treatment of meningiomas depending on different localizations

Scientific background: Meningiomas are the most common benign intracranial neoplasms with a slow growth presented as the intracranial lesion. These tumors are without any symptoms for a long time. At the time of diagnosis it is frequently an asymptomatic tumor. In that case the therapist may well suggest a wait-and-see strategy. The therapy of meningiomas focuses firstly on the microsurgical treatment. Volume reduction can be achieved immediately after treatment. Stereotactic radiosurgery is an important non-invasive treatment option for recurrent tumors or meningiomas with partial resection. The technical equipment for the stereotactic radiosurgery is a cost intensive investment. In this context the high precision of the intervention, presented as a low invasiveness of the treatment, is an important factor. The aim of this assessment is to identify the chances and limitations of the diverse treatment options and to estimate their outcome for different localisations of meningiomas. Methods: In December 2007 a systematic literature search was conducted using the most relevant medical databases. The whole strategy and the used search terms were documented. The literature search was supplemented with an internet and literature based hand search on law, ethics and economics. Primary studies and systematic reviews which report relevant outcomes are included in this analysis. The current assessment is based on the available evidence that was found at the time of the literature search. Results: A total of 31 publications for the medical focus of assessment and three reports from the economical hand search were included. In general, it is not possible to identify neither randomised clinical trials or prospective, contrasting cohort studies nor studies summarising results from such studies. The results presented in the literature published by surgeons strongly vary regarding localisation of meningiomas. Publications not differentiating between the localisation of meningiomas indicate a progression free survival rate of five years in 77 to 97% of the cases after complete surgical resection of the tumor, in 18 to 70% of the cases after subtotal resection and for patients who had undergone surgical resection and a combined radiotherapeutical treatment of their meningiomas a five year progression free survival rate between 82 and 97%. Other treatment options like hormone therapy or treatments to stop tumor growth had been used unsuccessfully so far. Based on the results presented regarding economic evaluation, costs resulting from radiosurgical treatment are lower in contrast to costs resulting from surgical resection. However, it has to be taken into account that costs resulting from radiosurgical treatment strongly depend on the number of patients treated in total with the radiosurgical equipment. Conclusion: Due to the strong dependencies between the results from surgical therapy and the localisation of the tumor, it is only possible to derive recommendations on whether or not to perform the surgical therapy with respect to the localisation of the tumor. Only for patients with tumors with a spinal localisation or WHO Grade I meningiomas with a cortical localisation, primary treatment with by means of microsurgery can be suggested. For all other localisations of the tumor, alternative treatment by radiosurgery should be discussed. From the literature identified, a clear recommendation of one or the other therapy however can not be deduced. Thus, there is a strong need for randomised clinical trials or prospective or contrasting cohort studies, which compare rigorously microsurgery with radiosurgery concerning different localisations of tumors

The impact of microsurgery, stereotactic radiosurgery and radiotherapy in the treatment of meningiomas depending on different localizations

Scientific background Meningiomas are the most common benign intracranial neoplasms with a slow growth presented as the intracranial lesion. These tumors are without any symptoms for a long time. At the time of diagnosis it is frequently an asymptomatic tumor. In that case the therapist may well suggest a wait-and-see strategy. The therapy of meningiomas focuses firstly on the microsurgical treatment. Volume reduction can be achieved immediately after treatment. Stereotactic radiosurgery is an important non-invasive treatment option for recurrent tumors or meningiomas with partial resection. The technical equipment for the stereotactic r adio surgery is a cost intensive investment. In this context the high precision of the intervention, presented as a low invasiveness of the treatment, is an important factor.The aim of this assessment is to identify the chances and limitations of the diverse treatment options and to estimate their outcome for different localisations of meningiomas. Methods In December 2007 a systematic literature search was conducted using the most relevant medical databases. The whole strategy and the used search terms were documented. The literature search was supplemented with an internet and literature based hand search on law, ethics and economics. Primary studies and systematic reviews which report relevant outcomes are included in this analysis. The current assessment is based on the available evidence that was found at the time of the literature search. Results A total of 31 publications for the medical focus of assessment and three reports from the economical hand search were included. In general, it is not possible to identify neither randomised clinical trials or prospective, contrasting cohort studies nor studies summarising results from such studies. The results presented in the literature published by surgeons strongly vary regarding localisation of meningiomas. Publications not differentiating between the localisation of meningiomas indicate a progression free survival rate of five years in 77 to 97% of the cases after complete surgical resection of the tumor, in 18 to 70% of the cases after subtotal resection and for patients who had undergone surgical resection and a combined radiotherapeutical treatment of their meningiomas a five year progression free survival rate between 82 and 97%. Other treatment options like hormone therapy or treatments to stop tumor growth had been used unsuccessfully so far. Based on the results presented regarding economic evaluation, costs resulting from radiosurgical treatment are lower in contrast to costs resulting from surgical resection. However, it has to be taken into account that costs resulting from radiosurgical treatment strongly depend on the number of patients treated in total with the radiosurgical equipment. Conclusion Due to the strong dependencies between the results from surgical therapy and the localisation of the tumor, it is only possible to derive recommendations on whether or not to perform the surgical therapy with respect to the localisation of the tumor. Only for patients with tumors with a spinal localisation or WHO Grade I meningiomas with a cortical localisation, primary treatment with by means of microsurgery can be suggested. For all other localisations of the tumor, alternative treatment by radiosurgery should be discussed. From the literature identified, a clear recommendation of one or the other therapy however can not be deduced. Thus, there is a strong need for randomised clinical trials or prospective or contrasting cohort studies, which compare rigorously microsurgery with radiosurgery concerning different localisations of tumors.Hintergrund Meningeome sind meistens gutartige, langsam wachsende Tumore, die sich als intrakranielle oder intraspinale Raumforderung äußern. Da Meningeome über lange Zeit symptomlos bleiben, haben sie sich zum Zeitpunkt der Diagnosestellung häufig noch nicht manifestiert. In diesem Fall kann zunächst eine abwartende Haltung des Therapeuten eingenommen werden. Der Fokus der Therapiemaßnahmen stützt sich vor allem auf die chirurgische Entfernung des Tumors, da auf diese Weise eine sofortige Volumenreduktion erzielt werden kann. Eine nichtinvasive Maßnahme, die vor allem zur Nachbehandlung teilresizierter Tumore eingesetzt wird, stellt die stereotaktische Radiochirurgie dar. Für die stereotaktische Radiochirurgie ist eine aufwendige und kostenintensive Gerätetechnik notwendig. Der hohe Grad an Präzision, der durch einen steilen Abfall der Dosiskurven am Tumorrand gekennzeichnet ist, und die geringe Invasivität der Behandlung sind jedoch von zentraler Bedeutung. Das vorliegende Assessment soll die Möglichkeiten und Grenzen der unterschiedlichen Optionen in der Meningeomtherapie aufzeigen und das Outcome der Verfahren in Bezug zu den unterschiedlichen Lokalisationen der Meningeome bewerten. Methodik Die systematische Literatursuche erfolgt im Dezember 2007 in den wichtigsten medizinischen Datenbanken, wobei die in der Suchstrategie verwendeten Stichworte und ihre Verknüpfungen nachvollziehbar dokumentiert werden. Aufgrund der geringen Datenlage wird darüber hinaus für den Bereich der gesundheitsökonomischen Bewertungen eine Handsuche durchgeführt. Das gegenwärtige Assessment beruht somit auf der aktuellsten Evidenz themenbezogener Studien und Übersichtsarbeiten, die zum Zeitpunkt der Literatursuche zur Verfügung steht. Ergebnisse Insgesamt werden 31 Publikationen für die medizinische und drei Arbeiten für die gesundheitsökonomische Bewertung herangezogen. Die Ergebnisse der einzelnen Arbeiten sind stark abhängig von der Lokalisation des Meningeoms. Für die allgemeine Betrachtung der Meningeome werden vor allem Publikationen herangezogen, die ein progressionsfreies Intervall von fünf Jahren bei 77 bis 97% der Fälle nach kompletter chirurgischer Tumorentfernung beschreiben, bei 18 bis 70% nach subtotaler Tumorentfernung und bei 82 bis 97% nach kombinierter chirurgischer sowie strahlentherapeutischer Behandlung. Andere Therapieformen wie Hormontherapie oder Therapieformen, die dem Tumorwachstum entgegenwirken, zeigen bislang keinen durchgreifenden Erfolg. Der Kostenvergleich zwischen der Radiochirurgie mit dem Gamma knife und der mikrochirurgischen Operation fällt, bezogen auf die Daten aus der Literatur, zugunsten der Radiochirurgie aus. Allerdings stehen die Kosten der Radiochirurgie in unmittelbarer Abhängigkeit zur der Anzahl der mit der Intervention therapierten Patienten insgesamt. Schlussfolgerung Aus den vorliegenden Arbeiten kann lediglich zu einzelnen Lokalisationen von Tumoren ein Behandlungsvorschlag abgeleitet werden, da die Evidenzkategorie III nicht überschritten wird. In den meisten Fällen wird es somit eine Einzelfallentscheidung bleiben, die ausgehend von den Beschwerden des Patienten die operative Expertise des Neurochirurgen, die strahlentherapeutischen Möglichkeiten und letztlich den Patientenwunsch einbezieht.Dabei lässt sich eine primär chirurgische Therapie lediglich bei spinalen Tumoren und bei kortikal gelegenen Tumoren der Histologie Grad I vorschlagen. Alle übrigen Lokalisationen sind grundsätzlich auf mehrere Arten therapierbar und die vorliegende Literatur lässt bei dem existierenden Evidenzniveau keine eindeutigen Aussagen für oder gegen eine Therapie zu. Somit besteht die Notwendigkeit randomisiert kontrollierter Studien oder prospektiver Kohortenstudien, die in Abhängigkeit der unterschiedlichen Lokalisationen einen direkten Vergleich zwischen der Mikro- und der Radiochirurgie herstellen

Titanium-in-Quartz Geothermometry of Impactites and Peak-Ring Lithologies from the Chicxulub Impact Crater

Since its development by Wark and Watson (2006), the Ti-in-quartz geothermometer (TitaniQ) has been continuously refined and applied to a variety of lithologies from different crustal settings. Assuming quartz crystallized and incorporated Ti under equilibrium conditions and providing TiO2 activity (alpha (sub TiO2)) is reasonably constrained, crystallization temperatures at typical crustal pressures can be calculated. In turn, when crystallization temperatures are independently constrained, Ti-in-quartz can be used as a geobarometer. Here we explore the application of this technique to impact lithologies. Quartz is ubiquitous in terrestrial impact structures in upper crustal settings and can also form as a post-impact hydrothermal mineral. Together with other geothermometers, such as Ti-in-zircon, Ti-in-quartz can potentially help constrain the temperature-pressure conditions during the formation of the pre-impact target rock at terrestrial impact structures, as well as impact-produced and hydrothermally-altered lithologies. This work presents the first systematic Ti-in-quartz study of impactites and granitoid target rocks from the approximately180-kilometer-diameter, end-Cretaceous Chicxulub crater on the Yucatan Peninsula, Mexico, thereby placing new constraints on the emplacement of felsic plutons within the Maya Block in the Paleozoic, impact melt crystallization at approximately 66 Ma (million years ago), and post-impact hydrothermal overprint inside the Chicxulub crater

An alternative evolutionary strategy to optimize photoreaction quantum yields

Photoisomerization of a protein bound chromophore is the basis of light sensing of many photoreceptors. We tracked Z-to-E photoisomerization of Cph1 phytochrome chromophore PCB in the Pr form in real-time. Two different phycocyanobilin (PCB) ground state geometries with different ring D orientations have been identified. The pre-twisted and hydrogen bonded PCBa geometry exhibits a time constant of 30 ps and a quantum yield of photoproduct formation of 29%, about six times slower and ten times higher than that for the non-hydrogen bonded PCBb geometry. This new mechanism of pre-twisting the chromophore by protein-cofactor interaction optimizes yields of slow photoreactions and provides a scaffold for photoreceptor engineering