Validation of Normal Inverse Gaussian Distribution for Synthetic CDO Pricing

How to determine the default loss distribution of the whole credit portfolio is the most critical part for pricing CDOs. This paper follows Kalemanova et al (2007) and assesses the pricing efficiency of both one-factor Gaussian Copula model the Normal Inverse Gaussian (NIG) Copula model during the turbulent market condition by using data in 2008 and 2009. In addition, we test the price impact of the skewed NIG distribution by adjusting the value of the two parameters. The results show that NIG Copula performs much better than Gaussian Copula, and the introduction of the asymmetry factor in NIG distribution can further improve the modeling results

Composition of nuclear matter with light clusters and Bose-Einstein condensation of α\alpha particles

The Bose-Einstein condensation of $\alpha$ partciles in the multicomponent environment of dilute, warm nuclear matter is studied. We consider the cases of matter composed of light clusters with mass numbers $A\leq 4$ and matter that in addition these clusters contains \isotope[56]{Fe} nuclei. We apply the quasiparticle gas model which treats clusters as bound states with infinite life-time and binding energies independent of temperature and density. We show that the $\alpha$ particles can form a condensate at low temperature $T\le 2$ MeV in such matter in the first case. When the \isotope[56]{Fe} nucleus is added to the composition the cluster abundances are strongly modified at low temperatures, with an important implication that the $\alpha$ condensation at these temperatures is suppressed.Comment: 15 pages, 8 figure

What Scale of Audience a Campaign can Reach in What Price on Twitter?

Abstract—Campaigns with commercial and spam purposes have flooded the Twitter community. To understand what scale of audience a campaign could reach, we first perform a measurement study by collecting a dataset of about 10 million tweets via streaming API and one million search tweets for targeting topics, as well as 37,313 user accounts that are suspended by Twitter. From the dataset, we extract a spam campaign and a commercial promotion campaign accompanied by spamming activities. Then, we characterize the way in which a campaign can reach its audience, especially revealing the features that dominate the information diffusion. After identifying the accounts suspended by Twitter, we further inspect to what extent these features can help to weed out spam accounts. Also, the retrospective inspection is useful to uncover the tactics that malicious accounts utilize to avoid being suspended. Using the measurement results, we then develop a theoretical framework based on an epidemic model to investigate the dynamics of spammers and victims whom spammers reach in the spam campaign. With the theoretical framework, we conduct a benefit-cost analysis of the spam campaign, shedding lights on how to restrict the benefit of the spam campaign. I

Protective effect of rhamnopyranosyl vanilloyl isolated from Scrophularia ningpoensis Hemsl (Scrophulariaceae) root against acute liver injury in mice

Purpose: To investigate the protective effect of rhamnopyranosyl vanilloyl (RV) from Scrophularia ningpoensis root against tetrachloromethane (CCl4)-induced acute liver injury (ALI) in mice.Methods: RV was isolated from S. ningpoensis by column chromatography. ALI  model of mice was established by intraperitoneal injection of CCl4. Liver index, liver function indices, as well as serum alanine transaminase (ALT), aspartate  aminotransferase (AST) and total bilirubin (TBIL) were evaluated. Lipid peroxidation (LPO)-related indices, including malonaldehyde (MDA), glutathione (GSH), superoxide dismutase (SOD) and glutathione peroxidase (GSH-Px). Apoptotic proteins (Bcl-2, Bax and caspase-3) in liver tissue were determined by enzyme-linked immunosorbent assay (ELISA) and Western blot.Results: After treatment with RV (10, 20 or 40 mg/kg), liver index (5.65 - 5.21 vs. 6.68 %), ALT (90.18 - 79.68 vs. 112.47 U/L), AST (64.44 - 57.63 vs. 75.41 U/L) and TBIL (2.68 - 1.95 vs. 3.21 U/L) activities, as well as MDA (3.58 - 2.88 vs. 4.13 μmol/g), Bax and caspase-3 levels significantly (p < 0.05 or 0.01) decreased, compared with those in control group. After treatment with RV (10, 20 or 40 mg/kg), GSH (16.58 - 22.14 vs. 12.34 μmol/g), Bcl-2, SOD (86.45 - 107.61 vs. 68.43 U/mg) and GSH-Px (295.64 - 329.47 vs. 268.49 U/mg) levels or activities  significantly (p < 0.05 or 0.01) increased, compared with those in control group.Conclusion: RV has protective effect against CCl4-induced ALI in mice, and the mechanisms involve the inhibition of LPO and apoptosis in liver cells. Thus, RV is a potential drug for the treatment of liver injuryKeywords: Rhamnopyranosyl vanilloyl, Scrophularia ningpoensis, Liver injury,  Protective effect, Lipid peroxidation, Apoptosi