Large portfolio losses: A dynamic contagion model

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality indicators of the firms, deriving moreover the dynamics of a global financial health indicator. We finally describe a suitable version of the "Central Limit Theorem" useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.Comment: Published in at http://dx.doi.org/10.1214/08-AAP544 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Endogenous equilibria in liquid markets with frictions and boundedly rational agents

In this paper we propose a simple binary mean field game, where N agents may decide whether to trade or not a share of a risky asset in a liquid market. The asset's returns are endogenously determined taking into account demand and transaction costs. Agents' utility depends on the aggregate demand, which is determined by all agents' observed and forecasted actions. Agents are boundedly rational in the sense that they can go wrong choosing their optimal strategy. The explicit dependence on past actions generates endogenous dynamics of the system. We, firstly, study under a rather general setting (risk attitudes, pricing rules and noises) the aggregate demand for the asset, the emerging returns and the structure of the equilibria of the asymptotic game. It is shown that multiple Nash equilibria may arise. Stability conditions are characterized, in particular boom and crash cycles are detected. Then we precisely analyze properties of equilibria under significant examples, performing comparative statics exercises and showing the stabilizing property of exogenous transaction costs.Endogenous dynamics; Nash equilibria; Bounded rationality; Transaction costs; Mean field games; Random utility

Ιστορία της γραφής: για τις μεταμορφώσεις του σλαβικού αλφαβήτου στη Ρωσία

History of Writing: Transformations of the Slavic Alphabet in RussiaAs culture appears to be a set of ideas, values, customs and rules that define the life of a person and society as a whole, the main means for its transmission through time is language, in its oral and written form. The paper presents a brief survey and chronicle of the major changes that the Slavic alphabet has undergone from its genesis to the present day, aiming to reveal certain aspects of the historical / sociocultural interaction as it performs at the institutive level of a writing system.   

Polarization and coherence in mean field games driven by private and social utility

We study a mean field game in continuous time over a finite horizon, T, where the state of each agent is binary and where players base their strategic decisions on two, possibly competing, factors: the willingness to align with the majority (conformism) and the aspiration of sticking with the own type (stubbornness). We also consider a quadratic cost related to the rate at which a change in the state happens: changing opinion may be a costly operation. Depending on the parameters of the model, the game may have more than one Nash equilibrium, even though the corresponding N-player game does not. Moreover, it exhibits a very rich phase diagram, where polarized/unpolarized, coherent/incoherent equilibria may coexist, except for T small, where the equilibrium is always unique. We fully describe such phase diagram in closed form and provide a detailed numerical analysis of the N-player counterpart of the mean field game. In this finite dimensional setting, the equilibrium selected by the population of players is always coherent (favoring the subpopulation whose type is aligned with the initial condition), but it does not necessarily minimize the cost functional. Rather, it seems that, among the coherent ones, the equilibrium prevailing is the one that most benefits the underdog subpopulation forced to change opinion

Polarization and coherence in mean field games driven by private and social utility

We study a mean field game in continuous time over a finite horizon, T, where the state of each agent is binary and where players base their strategic decisions on two, possibly competing, factors: the willingness to align with the majority (conformism) and the aspiration of sticking with the own type (stubbornness). We also consider a quadratic cost related to the rate at which a change in the state happens: changing opinion may be a costly operation. Depending on the parameters of the model, the game may have more than one Nash equilibrium, even though the corresponding N-player game does not. Moreover, it exhibits a very rich phase diagram, where polarized/unpolarized, coherent/incoherent equilibria may coexist, except for T small, where the equilibrium is always unique. We fully describe such phase diagram in closed form and provide a detailed numerical analysis of the N-player counterpart of the mean field game. In this finite dimensional setting, the equilibrium selected by the population of players is always coherent (favoring the subpopulation whose type is aligned with the initial condition), but it does not necessarily minimize the cost functional. Rather, it seems that, among the coherent ones, the equilibrium prevailing is the one that most benefits the underdog subpopulation forced to change opinion

Herpes simplex virus type 2 infection increases human immunodeficiency virus type 1 entry into human primary macrophages

Epidemiological and clinical data indicate that genital ulcer disease (GUD) pathogens are associated with an increased risk of human immunodeficiency virus type 1 (HIV-1) acquisition and/or transmission. Among them, genital herpes simplex virus type 2 (HSV-2) seems to play a relevant role. Indeed, the ability of HSV-2 to induce massive infiltration at the genital level of cells which are potential targets for HIV-1 infection may represent one of the mechanisms involved in this process. Here we show that infection of human primary macrophages (MDMs) by HSV-2 results in an increase of CCR5 expression levels on cell surface and allows higher efficiency of MDMs to support entry of R5 HIV-1 strains. This finding could strengthen, at the molecular level, the evidence linking HSV-2 infection to an increased susceptibility to HIV-1 acquisition

Climb on the Bandwagon: Consensus and periodicity in a lifetime utility model with strategic interactions

What is the emergent long-run equilibrium of a society where many interacting agents bet on the optimal energy to put in place in order to climb on the Bandwagon? In this paper we study the collective behavior of a large population of agents being either Left or Right: the core idea is that agents benefit from being with the winner party, but, on the other hand, they suffer a cost in changing their status quo. At the microscopic level the model is formulated as a stochastic, symmetric dynamic game with $N$ players. In the macroscopic limit, as N goes to infinity, we obtain a mean field game whose equilibria describe the "rational" collective behavior of the society. It is of particular interest to detect the emerging long-time attractors, e.g. consensus or oscillating behavior. Significantly, we discover that bandwagoning can be persistent at the macro level: endogenously generated periodicity is in fact detected

Anxiety, depression, and glycemic control during Covid-19 pandemic in youths with type 1 diabetes.

Abstract Objectives Our study aims to assess the impact of lockdown during the coronavirus disease 2019 pandemic on glycemic control and psychological well-being in youths with type 1 diabetes. Methods We compared glycemic metrics during lockdown with the same period of 2019. The psychological impact was evaluated with the Test of Anxiety and Depression. Results We analyzed metrics of 117 adolescents (87% on Multiple Daily Injections and 100% were flash glucose monitoring/continuous glucose monitoring users). During the lockdown, we observed an increase of the percentage of time in range (TIR) (p<0.001), with a significant reduction of time in moderate (p=0.002), and severe hypoglycemia (p=0.001), as well as the percentage of time in hyperglycemia (p<0.001). Glucose variability did not differ (p=0.863). The glucose management indicator was lower (p=0.001). 7% of youths reached the threshold-score (≥115) for anxiety and 16% for depression. A higher score was associated with lower TIR [p=0.028, p=0.012]. Conclusions Glycemic control improved during the first lockdown period with respect to the previous year. Symptoms of depression and anxiety were associated with worse glycemic control; future researches are necessary to establish if this improvement is transient and if psychological difficulties will increase during the prolonged pandemic situation

Nintedanib-Containing Dual Conjugates Targeting αVβ6 Integrin and Tyrosine Kinase Receptors as Potential Antifibrotic Agents

αVβ6 Integrin plays a fundamental role in the activation of transforming growth factor-β (TGF-β), the major profibrotic mediator; for this reason, αVβ6 ligands have recently been forwarded to clinical phases for the therapy of fibrotic diseases. Herein, we report the synthesis and in vitro biological evaluation as antifibrotic agents of three new covalent conjugates, constituted by c(AmpLRGDL), an αVβ6 integrin-recognizing small cyclopeptide, and nintedanib, a tyrosine kinase inhibitor approved for idiopathic pulmonary fibrosis (IPF) treatment. One of these conjugates recapitulates optimal in vitro antifibrotic properties of the two active units. The integrin ligand portion within the conjugate plays a role in inhibiting profibrotic stimuli, potentiating the nintedanib effect and favoring the selective uptake of the conjugate in cells overexpressing αVβ6 integrin. These results may open a new perspective on the development of dual conjugates in the targeted therapy of IPF