Dynamic asset (and liability) management under market and credit risk

We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets. We then consider an asset and liability management (ALM) problem and develop a mul- tistage stochastic programming model which focuses on optimum risk decisions. These models exploit the dynamical multiperiod structure of credit risk and provide insight into the corrective recourse decisions whereby issues such as the timing risk of default is appropriately taken into consideration. We also present a index tracking model in which risk is measured (and optimised) by the CVaR of the tracking portfolio in relation to the index. Both in- and out-of-sample (backtesting) experiments are undertaken to validate our approach. In this way we are able to demonstrate the feasibility and flexibility of the chosen framework

The Detrimental Effects of Oxytocin-Induced Conformity on Dishonesty in Competition

Justifications may promote unethical behavior because they constitute a convenient loophole through which people can gain from immoral behavior and preserve a positive self-image at the same time. A justification that is widely used is rooted in conformity: Unethical choices become more permissible because one's peers are expected to make the same unethical choices. In the current study, we tested whether an exogenous alteration of conformity led to a lower inclination to adhere to a widely accepted norm (i.e., honesty) under the pressure of competition. We took advantage of the well-known effects of intranasally applied oxytocin on affiliation, in-group conformity, and in-group favoritism in humans. We found that conformity was enhanced by oxytocin, and this enhancement had a detrimental effect on honesty in a competitive environment but not in a noncompetitive environment. Our findings contribute to recent evidence showing that competition may lead to unethical behavior and erode moral values

Correlation Structures of Correlated Binomial Models and Implied Default Distribution

We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches and some popular probabilistic models, including the Gaussian copula model, Beta binomial distribution model and long-range Ising model. We interpret the differences in their profiles in terms of the correlation structures. The implied default distribution has singular correlation structures, reflecting the credit market implications. We point out two possible origins of the singular behavior.Comment: 16 pages, 7 figure

Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default correlation and non-uniform default probabilities. We obtain the default probability distribution and study the effect of the inhomogeneity on it. The second case corresponds to a portfolio with inhomogeneous default correlation. Assets are categorized in several different sectors and the inter-sector and intra-sector correlations are not the same. We construct the joint default probabilities and obtain the default probability distribution. We show that as the number of assets in each sector decreases, inter-sector correlation becomes more important than intra-sector correlation. We study the maximum values of the inter-sector default correlation. Our generalization method can be applied to any correlated binomial default distribution model which has explicit relations to the conditional default probabilities or conditional default correlations, e.g. Credit Risk${}^{+}$, implied default distributions. We also compare some popular CDO pricing models from the viewpoint of the range of the implied tranche correlation.Comment: 29 pages, 17 figures and 1 tabl

The probiotic Escherichia coli strain Nissle 1917 (EcN) stops acute diarrhoea in infants and toddlers

In most cases, acute diarrhoea will become self-limiting during the first few days after onset. For young children, however, health risks may develop when the disease lasts longer than 3 days. The purpose of the present trial was to determine whether the stool frequency of infants and toddlers suffering from acute diarrhoea could be normalised more quickly by administering the probiotic Escherichia coli Nissle 1917 (EcN) solution than by administering a placebo. The safety of EcN were also assessed. A total of 113 children (aged 2–47 months) with acute diarrhoea (> three watery or loose stools in 24 h) were randomised to either a group receiving the probiotic EcN suspension (n = 55) or a group receiving the placebo suspension (n = 58) in a confirmative, double-blind clinical trial. Depending on the age of patients, 1–3 ml per day of verum suspension (10(8) viable EcN cells per millilitre) or placebo were administered orally. The causes of the diarrhoea were viral rather than bacterial, but they were mainly unspecific infections. The median onset of treatment response (reduction of daily stool frequency to ≤ three watery or loose stools over at least 2 consecutive days) occurred more rapidly in the children receiving the EcN solution (2.5 days) than in those receiving the placebo (4.8 days), a significant difference (2.3 days; p = 0.0007). The number of patients showing a response was clearly higher (p < 0.0001) in the EcN group (52/55; 94.5%) than in the placebo group (39/58; 67.2%). EcN was found to be safe and well-tolerated, and it showed a significant superiority compared to the placebo in the treatment of acute diarrhoea in infants and toddlers. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:http://dx.doi.org/10.1007/s00431-007-0419-x) contains supplementary material, which is available to authorized users

Crossing a topological phase transition with a quantum computer

Quantum computers promise to perform computations beyond the reach of modern computers with profound implications for scientific research. Due to remarkable technological advances, small scale devices are now becoming available for use. One of the most apparent applications for such a device is the study of complex many-body quantum systems, where classical computers are unable to deal with the generic exponential complexity of quantum states. Even zero-temperature equilibrium phases of matter and the transitions between them have yet to be fully classified, with topologically protected phases presenting major difficulties. We construct and measure a continuously parametrized family of states crossing a symmetry protected topological phase transition on the IBM Q quantum computers. We present two complementary methods for measuring string order parameters that reveal the transition, and additionally analyze the effects of noise in the device using simple error models. The simulation that we perform is easily scalable and is a practical demonstration of the utility of near-term quantum computers for the study of quantum phases of matter and their transitions

Closing the loop: Reconnecting human dynamics to Earth System science

International commitment to the appropriately ambitious Paris climate agreement and the United Nations Sustainable Development Goals in 2015 has pulled into the limelight the urgent need for major scientific progress in understanding and modelling the Anthropocene, the tightly intertwined social-environmental planetary system that humanity now inhabits. The Anthropocene qualitatively differs from previous eras in Earth’s history in three key characteristics: (1) There is planetary-scale human agency. (2) There are social and economic networks of teleconnections spanning the globe. (3) It is dominated by planetary-scale social-ecological feedbacks. Bolting together old concepts and methodologies cannot be an adequate approach to describing this new geological era. Instead, we need a new paradigm in Earth System science that is founded equally on a deep understanding of the physical and biological Earth System – and of the economic, social and cultural forces that are now an intrinsic part of it. It is time to close the loop and bring socially mediated dynamics explicitly into theory, analysis and models that let us study the whole Earth System

Unified functional network and nonlinear time series analysis for complex systems science: The pyunicorn package

We introduce the \texttt{pyunicorn} (Pythonic unified complex network and recurrence analysis toolbox) open source software package for applying and combining modern methods of data analysis and modeling from complex network theory and nonlinear time series analysis. \texttt{pyunicorn} is a fully object-oriented and easily parallelizable package written in the language Python. It allows for the construction of functional networks such as climate networks in climatology or functional brain networks in neuroscience representing the structure of statistical interrelationships in large data sets of time series and, subsequently, investigating this structure using advanced methods of complex network theory such as measures and models for spatial networks, networks of interacting networks, node-weighted statistics or network surrogates. Additionally, \texttt{pyunicorn} provides insights into the nonlinear dynamics of complex systems as recorded in uni- and multivariate time series from a non-traditional perspective by means of recurrence quantification analysis (RQA), recurrence networks, visibility graphs and construction of surrogate time series. The range of possible applications of the library is outlined, drawing on several examples mainly from the field of climatology.Comment: 28 pages, 17 figure

Structure of anthra[9,1-cd:10,5-d'd']bis[1,2]-diselenole (TSA) and of its partially oxidized, metallic polyiodide TSA I1.2

Tetraselenaanthracene' (TSA), C 14H6Se4' M r = 490·04, crystallizes in the monoclinic space group P2 1/n with a = 9·318 (3), b = 4·111 (1), c = 16·035 (4) A,&#946; = 90·43 (2)°, V = 614·3 A3, Z = 2, d c = 2·65 Mg m-3• R = 0·030 for 1039 observed reflections. The planar molecules form stacks along b with an interplanar separation of 3·59 A. The normals to the molecular planes are inclined at 29° to the stacking axis. Short intermolecular Se-Se contacts exist between adjacent stacks, the shortest one being 3·467 (1) A. 'Tetraselenaanthracenium iodide' (TSA I 1.2), C14H6I 1.20Se4' Mr = 642·32, is monoclinic, P2 1/c, with a = 18·644 (12), b = 3·856 (2), c = 19·746(12)A,&#946;= 93.36 (5)0,.V= 1417·1A3, dc = 3·01 Mg m-3• R = 0·118 for 1080 observed reflections

Minimally invasive coronary artery bypass grafting versus percutaneous transluminal coronary angioplasty with stenting in isolated high-grade stenosis of the proximal left anterior descending coronary artery: Six months' angiographic and clinical follow-up of a prospective randomized study

AbstractObjective: We sought to compare minimally invasive coronary artery bypass grafting (surgical intervention) with percutaneous transluminal coronary angioplasty with primary stenting (stenting) in patients having an isolated high-grade stenosis (American College of Cardiology/American Heart Association classification type B2 or C) of the proximal left anterior descending coronary artery. At 6 months, both procedures were compared on the basis of quantitative angiography and clinical outcome. Methods: Both treatments were compared in a single-center, prospective, randomized study. The primary end point of this study was quantitative angiographic outcome at 6 months. The secondary end point was 6-month clinical outcome. Statistical analysis was performed in accordance with the intention-to-treat principle. Results: From March 1997 to September 1999, patients with angina pectoris caused by an isolated high-grade stenosis of the proximal left anterior descending coronary artery were randomly assigned to surgical intervention (n = 51) or stenting (n = 51). At 6 months, quantitative coronary angiography showed an anastomotic stenosis rate of 4% after surgical intervention and a restenosis rate of 29% after stenting (P <.001). Periprocedural events did not significantly differ between surgical intervention and stenting. After surgical intervention, 2 patients died; no patients died after stenting. After 6 months, no significant difference was found for major adverse cardiac or cerebral events and need for repeat target vessel revascularization. After 6 months, return of angina pectoris, physical work capacity, and use of antianginal drugs did not significantly differ between treatments. Conclusions: After 6 months, surgical intervention had a significantly better angiographic outcome than stenting in patients with an isolated high-grade stenosis of the proximal left anterior descending coronary artery. Clinical outcome did not significantly differ between treatments.J Thorac Cardiovasc Surg 2002;124:130-