From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds. Inspired by the existence of scaling laws in financial markets by Dacorogna et al. (2001) and Di Matteo et al. (2005) deviating from the Gaussian behavior, we develop a model that quantitatively links those default probabilities to credit spreads (market prices). The main input quantities to this study are merely industry yield data of different times to maturity and expected default frequencies (EDFs) of Moody’s KMV. The empirical results of this paper clearly indicate that the model can be used to calculate approximate credit spreads (market prices) from EDFs, independent of the time to maturity and the industry sector under consideration. Moreover, the model is effective in an out-of-sample setting, it produces consistent results on the European bond market where data are scarce and can be adequately used to approximate credit spreads on the corporate level.

The Midpoint Rule as a Variational--Symplectic Integrator. I. Hamiltonian Systems

Numerical algorithms based on variational and symplectic integrators exhibit special features that make them promising candidates for application to general relativity and other constrained Hamiltonian systems. This paper lays part of the foundation for such applications. The midpoint rule for Hamilton's equations is examined from the perspectives of variational and symplectic integrators. It is shown that the midpoint rule preserves the symplectic form, conserves Noether charges, and exhibits excellent long--term energy behavior. The energy behavior is explained by the result, shown here, that the midpoint rule exactly conserves a phase space function that is close to the Hamiltonian. The presentation includes several examples.Comment: 11 pages, 8 figures, REVTe

Potential Distribution of Six North American Higher-Attine Fungus-Farming Ant (Hymenoptera: Formicidae) Species

Ants are among the most successful insects in Earth’s evolutionary history. However, there is a lack of knowledge regarding range-limiting factors that may influence their distribution. The goal of this study was to describe the environmental factors (climate and soil types) that likely impact the ranges of five out of the eight most abundant Trachymyrmex species and the most abundant Mycetomoellerius species in the United States. Important environmental factors may allow us to better understand each species’ evolutionary history. We generated habitat suitability maps using MaxEnt for each species and identified associated most important environmental variables. We quantified niche overlap between species and evaluated possible congruence in species distribution. In all but one model, climate variables were more important than soil variables. The distribution of M. turrifex (Wheeler, W.M., 1903) was predicted by temperature, specifically annual mean temperature (BIO1), T. arizonensis (Wheeler, W.M., 1907), T. carinatus, and T. smithi Buren, 1944 were predicted by precipitation seasonality (BIO15), T. septentrionalis (McCook, 1881) were predicted by precipitation of coldest quarter (BIO19), and T. desertorum (Wheeler, W.M., 1911) was predicted by annual flood frequency. Out of 15 possible pair-wise comparisons between each species’ distributions, only one was statistically indistinguishable (T. desertorum vs T. septentrionalis). All other species distribution comparisons show significant differences between species. These models support the hypothesis that climate is a limiting factor in each species distribution and that these species have adapted to temperatures and water availability differently

Mental health assessments in refugees and asylum seekers

Background Mental health problems resulting from persecution and forced migration are very common among refugees and asylum seekers and evolve into a major public health challenge in hosting societies. Language barriers often prevent timely access to appropriate health care, leading to chronic trajectories and abortive social integration. Tools for multilingual screening and assessment could be of great benefit for this particularly vulnerable population as well as for policy makers. This study aimed at testing the reliability, feasibility and usability of the Multi-Adaptive Psychological Screening Software (MAPSS), a newly developed Audio Computer-Assisted Self- Interview Software (ACASI) for touchscreen devices, for screening purposes in a clinical setting. Methods In a randomized cross-over design including both MAPSS and paper-pencil clinician-administered interviews, 30 treatment-seeking refugees completed clinical measures and a feasibility questionnaire to rate the user interface of MAPSS. Five professionals performed given tasks in MAPSS and completed usability questionnaires for the administration interface. Results Results showed no differences between the two assessment modalities with regard to symptom scores. The findings suggest good feasibility and usability of MAPSS in traumatized refugees. The administration via MAPSS was significantly shorter than the paper-pencil interview. Conclusion MAPSS may be a cost-effective, flexible and valid alternative to interpreter-based psychometric screening and assessment

Granulysin-Expressing CD4+ T Cells as Candidate Immune Marker for Tuberculosis during Childhood and Adolescence

BACKGROUND: Granulysin produced by cytolytic T cells directly contributes to immune defense against tuberculosis (TB). We investigated granulysin as a candidate immune marker for childhood and adolescent TB. METHODS: Peripheral blood mononuclear cells (PBMC) from children and adolescents (1-17 years) with active TB, latent TB infection (LTBI), nontuberculous mycobacteria (NTM) infection and from uninfected controls were isolated and restimulated in a 7-day restimulation assay. Intracellular staining was then performed to analyze antigen-specific induction of activation markers and cytotoxic proteins, notably, granulysin in CD4(+) CD45RO(+) memory T cells. RESULTS: CD4(+) CD45RO(+) T cells co-expressing granulysin with specificity for Mycobacterium tuberculosis (Mtb) were present in high frequency in TB-experienced children and adolescents. Proliferating memory T cells (CFSE(low)CD4(+)CD45RO(+)) were identified as main source of granulysin and these cells expressed both central and effector memory phenotype. PBMC from study participants after TB drug therapy revealed that granulysin-expressing CD4(+) T cells are long-lived, and express several activation and cytotoxicity markers with a proportion of cells being interferon-gamma-positive. In addition, granulysin-expressing T cell lines showed cytolytic activity against Mtb-infected target cells. CONCLUSIONS: Our data suggest granulysin expression by CD4(+) memory T cells as candidate immune marker for TB infection, notably, in childhood and adolescence

Alpha-1 antitrypsin deficiency impairs lung antibacterial immunity in mice

Alpha-1 antitrypsin (AAT) is a major inhibitor of serine proteases in mammals. Therefore, its deficiency leads to protease-antiprotease imbalance and a risk for developing lung emphysema. Although therapy with human plasma-purified AAT attenuates AAT deficiency-related emphysema, its impact on lung antibacterial immunity is poorly defined. Here, we examined the effect of AAT therapy on lung protective immunity in AAT-deficient (KO) mice challenged with Streptococcus pneumoniae. AAT-KO mice were highly susceptible to S. pneumoniae, as determined by severe lobar pneumonia and early mortality. Mechanistically, we found that neutrophil-derived elastase (NE) degraded the opsonophagocytically important collectins, surfactant protein A (SP-A) and D (SP-D), which was accompanied by significantly impaired lung bacterial clearance in S. pneumoniae-infected AAT-KO mice. Treatment of S. pneumoniae-infected AAT-KO mice with human AAT protected SP-A and SP-D from NE-mediated degradation and corrected the pulmonary pathology observed in these mice. Likewise, treatment with Sivelestat, a specific inhibitor of NE, also protected collectins from degradation and significantly decreased bacterial loads in S. pneumoniae-infected AAT-KO mice. Our findings show that NE is responsible for the degradation of lung SP-A and SP-D in AAT-KO mice affecting lung protective immunity in AAT deficiency

Bacterial microbiomes from vertically-transmitted fungal inocula of the leaf-cutting ant Atta texana

Microbiome surveys provide clues for the functional roles of symbiotic microbial communities and their hosts. In this study, we elucidated bacterial microbiomes associated with the vertically transmitted fungal inocula (pellets) used by foundress queens of the leaf-cutting ant Atta texana as starter-cultures for new gardens. As reference microbiomes, we also surveyed bacterial microbiomes of foundress queens, gardens and brood of incipient nests. Pseudomonas, Acinetobacter, Propionibacterium and Corynebacterium were consistently present in high abundance in microbiomes. Some pellet and ant samples contained abundant bacteria from an Entomoplasmatales-clade, and a separate PCR-based survey of Entomoplasmatales bacteria in eight attine ant-genera from Brazil placed these bacteria in a monophyletic clade within the bacterial genus Mesoplasma. The attine ant-Mesoplasma association parallels a similar association between a closely related, monophyletic Entomoplasmatales-clade and army ants. Of thirteen A. texana nests surveyed, three nests with exceptionally high Mesoplasma abundance died, whereas the other nests survived. It is unclear whether Mesoplasma was the primary cause of mortality, or Mesoplasma became abundant in moribund nests for non-pathogenic reasons. However, the consistent and geographically widespread presence of Mesoplasma suggests an important functional role in the association with attine ants

Monoculture of Leafcutter Ant Gardens

Background -- Leafcutter ants depend on the cultivation of symbiotic Attamyces fungi for food, which are thought to be grown by the ants in single-strain, clonal monoculture throughout the hundreds to thousands of gardens within a leafcutter nest. Monoculture eliminates cultivar-cultivar competition that would select for competitive fungal traits that are detrimental to the ants, whereas polyculture of several fungi could increase nutritional diversity and disease resistance of genetically variable gardens. Methodology/Principal Findings -- Using three experimental approaches, we assessed cultivar diversity within nests of Atta leafcutter ants, which are most likely among all fungus-growing ants to cultivate distinct cultivar genotypes per nest because of the nests' enormous sizes (up to 5000 gardens) and extended lifespans (10–20 years). In Atta texana and in A. cephalotes, we resampled nests over a 5-year period to test for persistence of resident cultivar genotypes within each nest, and we tested for genetic differences between fungi from different nest sectors accessed through excavation. In A. texana, we also determined the number of Attamyces cells carried as a starter inoculum by a dispersing queens (minimally several thousand Attamyces cells), and we tested for genetic differences between Attamyces carried by sister queens dispersing from the same nest. Except for mutational variation arising during clonal Attamyces propagation, DNA fingerprinting revealed no evidence for fungal polyculture and no genotype turnover during the 5-year surveys. Conclusions/Significance -- Atta leafcutter ants can achieve stable, fungal monoculture over many years. Mutational variation emerging within an Attamyces monoculture could provide genetic diversity for symbiont choice (gardening biases of the ants favoring specific mutational variants), an analog of artificial selection.The research was supported by National Science Foundation awards DEB-0920138, DEB-0639879, and DEB-0110073 to UGM; DEB-0949689 to T.R. Schultz, N. Mehdiabadi, and UGM; and a Fellowship (02/05) from the Conselho Nacional de Desenvolvimento Científico e Tecnológico to AR. The funding agencies had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.Biological Sciences, School o