Trading book and credit risk: How fundamental is the Basel review?

AbstractWithin the new Basel regulatory framework for market risks, non-securitization credit positions in the trading book are subject to a separate default risk charge (formally incremental default risk charge). Banks using the internal model approach are required to use a two-factor model and a 99.9% VaR capital charge. This model prescription is intended to reduce risk-weighted asset variability, a known feature of internal models, and improve their comparability among financial institutions. In this paper, we analyze the theoretical foundations and relevance of these proposals. We investigate the practical implications of the two-factor and correlation calibration constraints through numerical applications. We introduce the Hoeffding decomposition of the aggregate unconditional loss to provide a systematic-idiosyncratic representation. In particular, we examine the impacts of a J-factor correlation structure on risk measures and risk factor contributions for long-only and long-short credit-sensitive portfolios

Méthode d’étude de la retouche des outils sur lames de silex pressigniennes

La transformation des lames et éclats de silex en outils est réalisée par la retouche, selon diverses méthodes et techniques. Nous étudions ici les caractéristiques d’une retouche donnant un fil coupant, apte à servir à la coupe de végétaux non ligneux. Différents paramètres descriptifs et quantifiables ont été testés pour estimer l’intensité de la retouche située sur les bords latéraux des lames et donc leur degré de modification. L’objectif de cette recherche est de développer les moyens de comparer quantitativement les outils en silex à partir de critères mesurables et quantifiables, afin d’évaluer leurs degrés d’usure et de fonctionnement. Pour évaluer le degré de modification du bord des lames, il est nécessaire de connaître leur section initiale avant la modification par retouche. Une méthode mathématique et une méthode géométrique de reconstruction des sections sont proposées et testées pour les lames pressigniennes. Elle permet de calculer le volume de matière enlevé par retouche. L’influence des cycles de retouche successifs sur les transformations morphologiques des outils a été évaluée et quantifiée. Le volume de matière enlevée par retouche est corrélé au nombre de cycles d’affûtages successifs. Ces résultats méthodologiques permettent de classer les séries d’outils archéologiques sur la base de leur évolution morphologique, elle-même issue des usages répétés des outils. Il s’agit en quelque sorte d’une typologie « génétique » qui tient compte de mécanismes techno-fonctionnels. La méthode élaborée a été appliquée à l’étude des « poignards » pressigniens réalisés à partir des grandes lames en silex du Grand-Pressigny (Indre-et-Loire, entre 3 100 et 2 400 avant J.-C. environ). L’étude quantitative et qualitative de la retouche, à différents stades de la vie de ces outils sur lames, devrait permettre une meilleure évaluation de leur diversité morphologique et typologique. Ultérieurement, le classement des outils en fonction de leur degré de transformation morphologique (usure, recyclages) sera spatialisé à l’échelle macro-régionale. Cette spatialisation devrait permettre d’évaluer la valeur économique du silex et des outils exportés, ainsi que les besoins fonctionnels des populations, en fonction de la distance par rapport à la source de matière première et à la zone de production des lames.The production of flint tools with a cutting edge needs specific knowledge for maintaining a working efficiency along cycles of use and resharpening of lateral sides. In order to obtain an accurate description of the resharpening process, we have tested some quantitative parameters. These parameters allow a direct estimation of the resharpened lost volume. The reconstruction of the initial tool’s sections is proposed by a mathematical method and by a geometrical one. This method is here applied to a case study concerning Neolithic “daggers” resulting from successive resharpenings of flint long blades (Grand-Pressigny, Indre-et-Loire, France, around 3100-2400 B.C.). These Neolithic tools have been used for cutting herbacees or grasses. Applying the resharpening method study to theses Neolithic tools allows to better understand their morphological diversity. This kind of approach allows to developp “genetic” classifications. In other words, classifications have been established on mechanisms of morphological transformations, based on functionalities and use-life cycles of tools. This kind of classification will be very usefull to evaluate economic values and rariness of flint and tools, as well as functional needings in cutting-edge, in particular for cereals harvesting and fodder making. Further, for a large scale archaeological study, this classification will be spatialised (by GIS) and modelised in order to quantify recycling frequencies, related to the distance of the Grand-Pressigny flint sources and area production of long-blades

Il10 Deficiency Rebalances Innate Immunity to Mitigate Alzheimer-Like Pathology

SummaryThe impact of inflammation suppressor pathways on Alzheimer’s disease (AD) evolution remains poorly understood. Human genetic evidence suggests involvement of the cardinal anti-inflammatory cytokine, interleukin-10 (IL10). We crossed the APP/PS1 mouse model of cerebral amyloidosis with a mouse deficient in Il10 (APP/PS1+Il10−/−). Quantitative in silico 3D modeling revealed activated Aβ phagocytic microglia in APP/PS1+Il10−/− mice that restricted cerebral amyloidosis. Genome-wide RNA sequencing of APP/PS1+Il10−/− brains showed selective modulation of innate immune genes that drive neuroinflammation. Il10 deficiency preserved synaptic integrity and mitigated cognitive disturbance in APP/PS1 mice. In vitro knockdown of microglial Il10-Stat3 signaling endorsed Aβ phagocytosis, while exogenous IL-10 had the converse effect. Il10 deficiency also partially overcame inhibition of microglial Aβ uptake by human Apolipoprotein E. Finally, the IL-10 signaling pathway was abnormally elevated in AD patient brains. Our results suggest that “rebalancing” innate immunity by blocking the IL-10 anti-inflammatory response may be therapeutically relevant for AD

Interferon-ß regulates the production of IL-10 by toll-like receptor-activated microglia

Pattern recognition receptors, such as toll-like receptors (TLRs), perceive tissue alterations and initiate local innate immune responses. Microglia, the resident macrophages of the brain, encode TLRs which primary role is to protect the tissue integrity. However, deregulated activation of TLRs in microglia may lead to chronic neurodegeneration. This double role of microglial responses is often reported in immune-driven neurologic diseases, as in multiple sclerosis (MS). Consequently, strategies to manipulate microglia inflammatory responses may help to ameliorate disease progression. In this context, the anti-inflammatory cytokine interleukin (IL)-10 appears as an attractive target. In this study, we investigated how activation of microglia by TLRs with distinct roles in MS impacts on IL-10 production. We found that activation of TLR2, TLR4, and TLR9 induced the production of IL-10 to a greater extent than activation of TLR3. This was surprising as both TLR3 and IL-10 play protective roles in animal models of MS. Interestingly, combination of TLR3 triggering with the other TLRs, enhanced IL-10 through the modulation of its transcription, via interferon (IFN)-beta, but independently of IL-27. Thus, in addition to the modulation of inflammatory responses of the periphery described for the axis TLR3/IFN-beta, we now report a direct modulation of microglial responses. We further show that the presence of IFN-gamma in the microenvironment abrogated the modulation of IL-10 by TLR3, whereas that of IL-17 had no effect. Considering the therapeutic application of IFN-beta in MS, our study bears important implications for the understanding of the cytokine network regulating microglia responses in this setting.Portuguese Foundation for Science and Technology (FCT), Grant/Award Numbers: SFRH/BD/88081/2012 and SFRH/BPD/72710/2010; FEDER - Competitiveness Factors Operational Programme (COMPETE), Grant/Award Numbers: POCI-01-0145-FEDER-007038 and NORTE-01-0145-FEDER-000013; Norte Portugal Regional Operational Programme, PORTUGAL 2020, European Regional Development Fund (ERDF), Grant/Award Number: NORTE 2020; FCT-ANR, Grant/Award Number: FCT-ANR/BIM-MEC/0007/2013; FEDER - Fundo Europeu de Desenvolvimento Regional; COMPETE 2020 - Operacional Programme for Competitiveness and Internationalisation (POCI), Portugal 2020; Institute for Research and Innovation in Health Sciences, Grant/Award Number: POCI-01-0145-FEDER-007274info:eu-repo/semantics/publishedVersio

The PrPC Cl fragment derived from the ovine A(136)R(154)R(171) PRNP allele is highly abundant in sheep brain and inhibits fibrillisation of full-length PrPC protein in vitro

AbstractExpression of the cellular prion protein (PrPC) is crucial for the development of prion diseases. Resistance to prion diseases can result from reduced availability of the prion protein or from amino acid changes in the prion protein sequence. We propose here that increased production of a natural PrP α-cleavage fragment, C1, is also associated with resistance to disease. We show, in brain tissue, that ARR homozygous sheep, associated with resistance to disease, produced PrPC comprised of 25% more C1 fragment than PrPC from the disease-susceptible ARQ homozygous and highly susceptible VRQ homozygous animals. Only the C1 fragment derived from the ARR allele inhibits in-vitro fibrillisation of other allelic PrPC variants. We propose that the increased α-cleavage of ovine ARR PrPC contributes to a dominant negative effect of this polymorphism on disease susceptibility. Furthermore, the significant reduction in PrPC β-cleavage product C2 in sheep of the ARR/ARR genotype compared to ARQ/ARQ and VRQ/VRQ genotypes, may add to the complexity of genetic determinants of prion disease susceptibility

The N-Terminal, Polybasic Region Is Critical for Prion Protein Neuroprotective Activity

Several lines of evidence suggest that the normal form of the prion protein, PrPC, exerts a neuroprotective activity against cellular stress or toxicity. One of the clearest examples of such activity is the ability of wild-type PrPC to suppress the spontaneous neurodegenerative phenotype of transgenic mice expressing a deleted form of PrP (Δ32–134, called F35). To define domains of PrP involved in its neuroprotective activity, we have analyzed the ability of several deletion mutants of PrP (Δ23–31, Δ23–111, and Δ23–134) to rescue the phenotype of Tg(F35) mice. Surprisingly, all of these mutants displayed greatly diminished rescue activity, although Δ23–31 PrP partially suppressed neuronal loss when expressed at very high levels. Our results pinpoint the N-terminal, polybasic domain as a critical determinant of PrPC neuroprotective activity, and suggest that identification of molecules interacting with this region will provide important clues regarding the normal function of the protein. Small molecule ligands targeting this region may also represent useful therapeutic agents for treatment of prion diseases

Balancing the immune response in the brain: IL-10 and its regulation

Background: The inflammatory response is critical to fight insults, such as pathogen invasion or tissue damage, but if not resolved often becomes detrimental to the host. A growing body of evidence places non-resolved inflammation at the core of various pathologies, from cancer to neurodegenerative diseases. It is therefore not surprising that the immune system has evolved several regulatory mechanisms to achieve maximum protection in the absence of pathology. Main body: The production of the anti-inflammatory cytokine interleukin (IL)-10 is one of the most important mechanisms evolved by many immune cells to counteract damage driven by excessive inflammation. Innate immune cells of the central nervous system, notably microglia, are no exception and produce IL-10 downstream of pattern recognition receptors activation. However, whereas the molecular mechanisms regulating IL-10 expression by innate and acquired immune cells of the periphery have been extensively addressed, our knowledge on the modulation of IL-10 expression by central nervous cells is much scattered. This review addresses the current understanding on the molecular mechanisms regulating IL-10 expression by innate immune cells of the brain and the implications of IL-10 modulation in neurodegenerative disorders. Conclusion: The regulation of IL-10 production by central nervous cells remains a challenging field. Answering the many remaining outstanding questions will contribute to the design of targeted approaches aiming at controlling deleterious inflammation in the brain.We acknowledge the Portuguese Foundation for Science and Technology (FCT) for providing a PhD grant to DLS (SFRH/BD/88081/2012) and a post-doctoral fellowship to SR (SFRH/BPD/72710/2010). DS, AGC and SR were funded by FEDER through the Competitiveness Factors Operational Programme (COMPETE) and National Funds through FCT under the scope of the project POCI-01-0145-FEDER007038; and by the project NORTE-01-0145-FEDER-000013, supported by Norte Portugal Regional Operational Programme (NORTE 2020), under the PORTUGAL 2020 Partnership Agreement, through the European Regional Development Fund (ERDF). The MS lab was financed by Fundo Europeu de Desenvolvimento Regional (FEDER) funds through the COMPETE 2020—Operacional Programme for Competitiveness and Internationalisation (POCI), Portugal 2020, and by Portuguese funds through FCT in the framework of the project “Institute for Research and Innovation in Health Sciences ” (POCI-01-0145-FEDER-007274). MS is a FCT Associate Investigator. The funding body had no role in the design of the study and collection, analysis, and interpretation of the data and in writing the manuscript

Baseline characteristics of patients in the reduction of events with darbepoetin alfa in heart failure trial (RED-HF)

<p>Aims: This report describes the baseline characteristics of patients in the Reduction of Events with Darbepoetin alfa in Heart Failure trial (RED-HF) which is testing the hypothesis that anaemia correction with darbepoetin alfa will reduce the composite endpoint of death from any cause or hospital admission for worsening heart failure, and improve other outcomes.</p> <p>Methods and results: Key demographic, clinical, and laboratory findings, along with baseline treatment, are reported and compared with those of patients in other recent clinical trials in heart failure. Compared with other recent trials, RED-HF enrolled more elderly [mean age 70 (SD 11.4) years], female (41%), and black (9%) patients. RED-HF patients more often had diabetes (46%) and renal impairment (72% had an estimated glomerular filtration rate <60 mL/min/1.73 m2). Patients in RED-HF had heart failure of longer duration [5.3 (5.4) years], worse NYHA class (35% II, 63% III, and 2% IV), and more signs of congestion. Mean EF was 30% (6.8%). RED-HF patients were well treated at randomization, and pharmacological therapy at baseline was broadly similar to that of other recent trials, taking account of study-specific inclusion/exclusion criteria. Median (interquartile range) haemoglobin at baseline was 112 (106–117) g/L.</p> <p>Conclusion: The anaemic patients enrolled in RED-HF were older, moderately to markedly symptomatic, and had extensive co-morbidity.</p&gt

Resveratrol regulates neuro-inflammation and induces adaptive immunity in Alzheimer’s disease

BACKGROUND: Treatment of mild-moderate Alzheimer’s disease (AD) subjects (N = 119) for 52 weeks with the SIRT1 activator resveratrol (up to 1 g by mouth twice daily) attenuates progressive declines in CSF Aβ40 levels and activities of daily living (ADL) scores. METHODS: For this retrospective study, we examined banked CSF and plasma samples from a subset of AD subjects with CSF Aβ42 <600 ng/ml (biomarker-confirmed AD) at baseline (N = 19 resveratrol-treated and N = 19 placebo-treated). We utilized multiplex Xmap technology to measure markers of neurodegenerative disease and metalloproteinases (MMPs) in parallel in CSF and plasma samples. RESULTS: Compared to the placebo-treated group, at 52 weeks, resveratrol markedly reduced CSF MMP9 and increased macrophage-derived chemokine (MDC), interleukin (IL)-4, and fibroblast growth factor (FGF)-2. Compared to baseline, resveratrol increased plasma MMP10 and decreased IL-12P40, IL12P70, and RANTES. In this subset analysis, resveratrol treatment attenuated declines in mini-mental status examination (MMSE) scores, change in ADL (ADCS-ADL) scores, and CSF Aβ42 levels during the 52-week trial, but did not alter tau levels. CONCLUSIONS: Collectively, these data suggest that resveratrol decreases CSF MMP9, modulates neuro-inflammation, and induces adaptive immunity. SIRT1 activation may be a viable target for treatment or prevention of neurodegenerative disorders. TRIAL REGISTRATION: ClinicalTrials.gov NCT0150485