Forecasting bank loans loss-given-default

With the advent of the new Basel Capital Accord, banking organizations are invited to estimate credit risk capital requirements using an internal ratings based approach. In order to be compliant with this approach, institutions must estimate the expected loss-given-default, the fraction of the credit exposure that is lost if the borrower defaults. This study evaluates the ability of a parametric fractional response regression and a nonparametric regression tree model to forecast bank loan credit losses. The out-of-sample predictive ability of these models is evaluated at several recovery horizons after the default event. The out-of-time predictive ability is also estimated for a recovery horizon of one year. The performance of the models is benchmarked against recovery estimates given by historical averages. The results suggest that regression trees are an interesting alternative to parametric models in modeling and forecasting loss-given-default.Loss-given-default, Forecasting, Bank loans, Fractional response regression, Regression trees

The structure of international stock market returns

The behavior of international stock market returns in terms of their distributional properties, serial dependence, long-memory and conditional volatility is examined. A factor analysis is employed to identify the underlying dimensions of the returns. The analysis reveals the existence of meaningful factors when these are estimated from the empirical properties of a large set of international equity indices. Furthermore, the factor scores discriminate very well the stock markets according to size and level of development.International stock markets; Serial dependence; Long-memory; Conditional volatility; Factor analysis.

Recurrence quantification analysis of global stock markets

This study investigates the presence of deterministic dependencies in international stock markets using recurrence plots and recurrence quantification analysis (RQA). The results are based on a large set of free float-adjusted market capitalization stock indices, covering a period of 15 years. The statistical tests suggest that the dynamics of stock prices in emerging markets is characterized by higher values of RQA measures when compared to their developed counterparts. The behavior of stock markets during critical financial events, such as the burst of the technology bubble, the Asian currency crisis, and the recent subprime mortgage crisis, is analyzed by performing RQA in sliding windows. It is shown that during these events stock markets exhibit a distinctive behavior that is characterized by temporary decreases in the fraction of recurrence points contained in diagonal and vertical structures.Recurrence plot, Recurrence quantification analysis, Nonlinear dynamics, International stock markets

Nonparametric models of financial leverage decisions

This paper investigates the properties of nonparametric decision tree models in the analysis of financial leverage decisions. This approach presents two appealing features: the relationship between leverage ratios and the explanatory variables is not predetermined but is derived according to information provided by the data, and the models respect the bounded and fractional nature of leverage ratios. The analysis shows that tree models suggest relationships between explanatory variables and the relative amount of issued debt that parametric models fail to capture. Furthermore, the significant relationships found by tree models are in most cases in accordance with the effects predicted by the pecking-order theory. The results also show that two-part tree models can accommodate better the distinct effects of explanatory variables on the decision to issue debt and on the amount of debt issued by firms that do resort to debt.Capital structure, Fractional regression, Decision trees, Two-part models

Ornithodoros brasiliensis Aragão (Acari: Argasidae): description of the larva, redescription of male and female, and neotype designation

Ornithodoros brasiliensis is an endemic tick from Brazil and is very aggressive to humans, resulting in pain, fever and intense inflammatory response. After more than 50 years without report, this species was recently found in rural areas of São Francisco de Paula municipality, State of Rio Grande do Sul, southern Brazil, from where it was originally described. Herein, we describe the larva and redescribe the adults of O. brasiliensis based on scanning electron microscopy. Since the type was lost we designate the neotype specimen under the number IBSP 10409. In addition, the relationship between O. brasiliensis and other species from the Neotropical region that share the morphological characteristics of Ornithodoros with dorsal humps on tarsi, and also live under the soil and feed on hosts other than bats, are discussed. Molecular analysis inferred from a portion of the 16S rRNA mitochondrial gene is also provided and it placed O. brasiliensis in a cluster supported by a maximal bootstrap value (100%) with Ornithodoros parkeri, Ornithodoros rostratus, and Ornithodoros turicata.Fil: Barros Battesti, Darci M.. Governo do Estado de Sao Paulo. Secretaria da Saude. Instituto Butantan; BrasilFil: Onofrio, Valeria C.. Governo do Estado de Sao Paulo. Secretaria da Saude. Instituto Butantan; BrasilFil: Nieri Bastos, Fernanda A.. Universidade de São Paulo. Faculdade de Medicina Veterinária e Zootecnia. Departamento de Medicina Veterinária Preventiva e Saúde Animal; BrasilFil: Soares, João Fábio. Universidade de São Paulo. Faculdade de Medicina Veterinária e Zootecnia. Departamento de Medicina Veterinária Preventiva e Saúde Animal; BrasilFil: Marcili, Arlei. Universidade de São Paulo. Faculdade de Medicina Veterinária e Zootecnia. Departamento de Medicina Veterinária Preventiva e Saúde Animal; BrasilFil: Famadas, Kátia M.. Universidad Federal Rural de Rio de Janeiro; BrasilFil: Faccini, Joao Luiz H.. Universidad Federal Rural de Rio de Janeiro; BrasilFil: Ramirez, Diego G.. Universidade de São Paulo. Faculdade de Medicina Veterinária e Zootecnia. Departamento de Medicina Veterinária Preventiva e Saúde Animal; BrasilFil: Doyle, Rovaina L.. Instituto de Pesquisas Veterinárias Desidério Finamor; BrasilFil: Martins, João Ricardo. Instituto de Pesquisas Veterinárias Desidério Finamor; BrasilFil: Junior, José R.. Universidade Federal do Rio Grande do Sul; BrasilFil: Guglielmone, Alberto Alejandro. Instituto Nacional de Tecnología Agropecuaria. Centro Regional Santa Fe. Estación Experimental Agropecuaria Rafaela; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Santa Fe; ArgentinaFil: Labruna, Marcelo B.. Universidade de São Paulo. Faculdade de Medicina Veterinária e Zootecnia. Departamento de Medicina Veterinária Preventiva e Saúde Animal; Brasi

Broadened T-cell Repertoire Diversity in ivIg-treated SLE Patients is Also Related to the Individual Status of Regulatory T-cells

Intravenous IgG (ivIg) is a therapeutic alternative for lupus erythematosus, the mechanism of which remains to be fully understood. Here we investigated whether ivIg affects two established sub-phenotypes of SLE, namely relative oligoclonality of circulating T-cells and reduced activity of CD4 + Foxp3+ regulatory T-cells (Tregs) reflected by lower CD25 surface density.Octapharma research funding; Fundação para a Ciência e a Tecnologia postdoctoral fellowships: (SFRH/BPD/20806/2004, SFRH/BPD/34648/2007); FCT Programa Pessoa travel grant

Cell-Free Antigens from Paracoccidioides brasiliensis Drive IL-4 Production and Increase the Severity of Paracoccidioidomycosis

The thermally dimorphic fungus Paracoccidioides brasiliensis (Pb) is the causative agent of paracoccidioidomycosis (PCM), one of the most frequent systemic mycosis that affects the rural population in Latin America. PCM is characterized by a chronic inflammatory granulomatous reaction, which is consequence of a Th1-mediated adaptive immune response. In the present study we investigated the mechanisms involved in the immunoregulation triggered after a prior contact with cell-free antigens (CFA) during a murine model of PCM. The results showed that the inoculation of CFA prior to the infection resulted in disorganized granulomatous lesions and increased fungal replication in the lungs, liver and spleen, that paralleled with the higher levels of IL-4 when compared with the control group. The role of IL-4 in facilitating the fungal growth was demonstrated in IL-4-deficient- and neutralizing anti-IL-4 mAb-treated mice. The injection of CFA did not affect the fungal growth in these mice, which, in fact, exhibited a significant diminished amount of fungus in the tissues and smaller granulomas. Considering that in vivo anti-IL-4-application started one week after the CFA-inoculum, it implicates that IL-4-CFA-induced is responsible by the mediation of the observed unresponsiveness. Further, the characterization of CFA indicated that a proteic fraction is required for triggering the immunosuppressive mechanisms, while glycosylation or glycosphingolipids moieties are not. Taken together, our data suggest that the prior contact with soluble Pb antigens leads to severe PCM in an IL-4 dependent manner

An extensive reef system at the Amazon River mouth

Large rivers create major gaps in reef distribution along tropical shelves. The Amazon River represents 20% of the global riverine discharge to the ocean, generating up to a 1.3 x 10(6)-km(2) plume, and extensive muddy bottoms in the equatorial margin of South America. As a result, a wide area of the tropical North Atlantic is heavily affected in terms of salinity, pH, light penetration, and sedimentation. Such unfavorable conditions were thought to imprint a major gap in Western Atlantic reefs. We present an extensive carbonate system off the Amazon mouth, underneath the river plume. Significant carbonate sedimentation occurred during lowstand sea level, and still occurs in the outer shelf, resulting in complex hard-bottom topography. A permanent near-bottom wedge of ocean water, together with the seasonal nature of the plume's eastward retroflection, conditions the existence of this extensive (similar to 9500 km(2)) hard-bottom mosaic. The Amazon reefs transition from accretive to erosional structures and encompass extensive rhodolith beds. Carbonate structures function as a connectivity corridor for wide depth-ranging reef-associated species, being heavily colonized by large sponges and other structure-forming filter feeders that dwell under low light and high levels of particulates. The oxycline between the plume and subplume is associated with chemoautotrophic and anaerobic microbial metabolisms. The system described here provides several insights about the responses of tropical reefs to suboptimal and marginal reef-building conditions, which are accelerating worldwide due to global changes.Conselho Nacional de Desenvolvimento Cientifico e Tecnologico (CNPq)Coordenadoria de Aperfeicoamento de Pessoal de Nivel Superior (CAPES)Fundacao Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro (FAPERS)Fundacao de Amparo a Pesquisa do Estado de Sao Paulo (FAPESP)BrasoilMCTIBrazilian NavyU.S. NSFGordon and Betty Moore Foundation (GBMF)Univ Fed Rio de Janeiro UFRJ, Inst Biol, BR-21941599 Rio De Janeiro, RJ, BrazilUniv Fed Rio de Janeiro, COPPE, Inst Alberto Luiz Coimbra Posgrad & Pesquisa Engn, Lab Sistemas Avancados Gestao Prod, BR-21941972 Rio de Janeiro, RJ, BrazilInst Pesquisas Jardim Bot Rio de Janeiro, BR-22460030 Rio De Janeiro, RJ, BrazilUniv Sao Paulo, Inst Oceanog, BR-05508120 Sao Paulo, SP, BrazilUniv Fed Espirito Santo, Dept Oceanog, BR-29199970 Vitoria, ES, BrazilUniv Estadual Norte Fluminense, Lab Ciencias Ambientais, Ctr Biociencias & Biotecnol, BR-28013602 Campos Dos Goytacazes, RJ, BrazilUniv Fed Fluminense, Inst Geociencias, BR-24210346 Niteroi, RJ, BrazilUniv Fed Fluminense, Inst Biol, BR-24210130 Niteroi, RJ, BrazilUniv Fed Rio de Janeiro, Museo Nacl, BR-20940040 Rio De Janeiro, RJ, BrazilFed Univ Para, Inst Estudos Costeiros, BR-68600000 Braganca, PA, BrazilUniv Fed Sao Paulo, Dept Ciencias Mar, BR-11070100 Santos, SP, BrazilUniv Fed Pernambuco, Dept Oceanog, BR-50670901 Recife, PE, BrazilUniv Georgia, Dept Marine Sci, Athens, GA 30602 USAUniv Fed Paraiba, BR-58297000 Rio Tinto, PB, BrazilUniv Estadual Santa Cruz, Dept Ciencias Biol, BR-45650000 Ilheus, BA, BrazilUniv Fed Sao Paulo, Dept Ciencias Mar, BR-11070100 Santos, SP, BrazilU.S. NSF: OCE-0934095GBMF: 2293GBMF: 2928Web of Scienc

Mitochondrial physiology

As the knowledge base and importance of mitochondrial physiology to evolution, health and disease expands, the necessity for harmonizing the terminology concerning mitochondrial respiratory states and rates has become increasingly apparent. The chemiosmotic theory establishes the mechanism of energy transformation and coupling in oxidative phosphorylation. The unifying concept of the protonmotive force provides the framework for developing a consistent theoretical foundation of mitochondrial physiology and bioenergetics. We follow the latest SI guidelines and those of the International Union of Pure and Applied Chemistry (IUPAC) on terminology in physical chemistry, extended by considerations of open systems and thermodynamics of irreversible processes. The concept-driven constructive terminology incorporates the meaning of each quantity and aligns concepts and symbols with the nomenclature of classical bioenergetics. We endeavour to provide a balanced view of mitochondrial respiratory control and a critical discussion on reporting data of mitochondrial respiration in terms of metabolic flows and fluxes. Uniform standards for evaluation of respiratory states and rates will ultimately contribute to reproducibility between laboratories and thus support the development of data repositories of mitochondrial respiratory function in species, tissues, and cells. Clarity of concept and consistency of nomenclature facilitate effective transdisciplinary communication, education, and ultimately further discovery