Credit Risk and State Space Methods

Lucas, A. [Promotor]Koopman, S.J. [Promotor

Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk

We propose a novel empirical framework to assess the likelihood of joint and conditional failure for Euro area sovereigns. Our model is based on a dynamic skewed-t copulawhich captures all the salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection against sovereign default, as well as dynamicvolatilities and correlations to ensure that failure dependence can increase in times of stress. We apply the framework to Euro area sovereign CDS spreads from 2008 tomid-2011. Our results reveal significant time-variation in risk dependence and considerable spill-over effects in the likelihood of sovereign failures. We also investigatedistress dependence around a key policy announcement by Euro area heads of state on May 9, 2010, and demonstrate the importance of capturing higher-order time-varyingmoments during times of crisis for the correct assessment of interacting risks

Forecasting Cross-Sections of Frailty-Correlated Default

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk factors. All factors are statistically and economically significant and together capture a large part of the time-variation in observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default probabilities by about 10-35 % in terms of Mean Absolute Error, particularly in years of default stress

Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective

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Arrhenius Rate Chemistry-informed Inter-phase Source Terms (ARCIIST)

Currently, in macro-scale hydrocodes designed to simulate explosive material undergoing shock-induced ignition, the state of the art is to use one of numerous reaction burn rate models. These burn models are designed to estimate the bulk chemical reaction rate. Unfortunately, these burn rate models are largely based on empirical data and must be recalibrated for every new material being simulated. We propose that the use of Arrhenius Rate Chemistry-Informed Interphase Source Terms (ARCIIST) in place of empirically derived burn models will improve the accuracy for these computational codes. A reacting chemistry model of this form was developed for the cyclic nitramine RDX by the Naval Research Laboratory (NRL). Initial implementation of ARCIIST has been conducted using the Air Force Research Laboratory’s (AFRL) MPEXS multi-phase continuum hydrocode. In its present form, the bulk reaction rate is based on the destruction rate of RDX from NRL’s chemistry model. Early results using ARCIIST show promise in capturing deflagration to detonation features more accurately in continuum hydrocodes than what was previously achieved using empirically derived burn models

Evidence for Strange Quark Contributions to the Nucleon's Form Factors at Q2Q^2 = 0.108 (GeV/c)2^2

We report on a measurement of the parity violating asymmetry in the elastic scattering of polarized electrons off unpolarized protons with the A4 apparatus at MAMI in Mainz at a four momentum transfer value of $Q^2$ = \Qsquare (GeV/c)$^2$ and at a forward electron scattering angle of 30$^\circ < \theta_e < 40^\circ$. The measured asymmetry is $A_{LR}(\vec{e}p)$ = (\Aphys $\pm$ \Deltastat$_{stat}$ $\pm$ \Deltasyst$_{syst}$) $\times$ 10$^{-6}$. The expectation from the Standard Model assuming no strangeness contribution to the vector current is A$_0$ = (\Azero $\pm$ \DeltaAzero) $\times$ 10$^{-6}$. We have improved the statistical accuracy by a factor of 3 as compared to our previous measurements at a higher $Q^2$. We have extracted the strangeness contribution to the electromagnetic form factors from our data to be $G_E^s$ + \FakGMs $G_M^s$ = \GEsGMs $\pm$ \DeltaGEsGMs at $Q^2$ = \Qsquare (GeV/c)$^2$. As in our previous measurement at higher momentum transfer for $G_E^s$ + 0.230 $G_M^s$, we again find the value for $G_E^s$ + \FakGMs $G_M^s$ to be positive, this time at an improved significance level of 2 $\sigma$.Comment: 4 pages, 3 figure

Measurement of the Transverse Beam Spin Asymmetry in Elastic Electron Proton Scattering and the Inelastic Contribution to the Imaginary Part of the Two-Photon Exchange Amplitude

We report on a measurement of the asymmetry in the scattering of transversely polarized electrons off unpolarized protons, A$_\perp$, at two Q$^2$ values of \qsquaredaveragedlow (GeV/c)$^2$ and \qsquaredaveragedhighII (GeV/c)$^2$ and a scattering angle of $30^\circ < \theta_e < 40^\circ$. The measured transverse asymmetries are A$_{\perp}$(Q$^2$ = \qsquaredaveragedlow (GeV/c)$^2$) = (\experimentalasymmetry alulowcorr $\pm$ \statisticalerrorlow$_{\rm stat}$ $\pm$ \combinedsyspolerrorlowalucor$_{\rm sys}$) $\times$ 10$^{-6}$ and A$_{\perp}$(Q$^2$ = \qsquaredaveragedhighII (GeV/c)$^2$) = (\experimentalasymme tryaluhighcorr $\pm$ \statisticalerrorhigh$_{\rm stat}$ $\pm$ \combinedsyspolerrorhighalucor$_{\rm sys}$) $\times$ 10$^{-6}$. The first errors denotes the statistical error and the second the systematic uncertainties. A$_\perp$ arises from the imaginary part of the two-photon exchange amplitude and is zero in the one-photon exchange approximation. From comparison with theoretical estimates of A$_\perp$ we conclude that $\pi$N-intermediate states give a substantial contribution to the imaginary part of the two-photon amplitude. The contribution from the ground state proton to the imaginary part of the two-photon exchange can be neglected. There is no obvious reason why this should be different for the real part of the two-photon amplitude, which enters into the radiative corrections for the Rosenbluth separation measurements of the electric form factor of the proton.Comment: 4 figures, submitted to PRL on Oct.

Bacterial isolation in samples of goat milk.

The aim of this study was to monitor the presence of pathogens causing caprine mastitis during three months in a properties situated in the region of the Zona da Mata of Minas Gerais. The presence of isolated microorganisms of goat milk stresses the importance of prophylaxis measures and control of subclinical mastitis in the flock. That?s because the isolated microorganisms exhibit great importance for public health, as they are possible producers of staphylococcal toxin, and therefore, possible causes of food poisoning

ABCB1 (MDR1) polymorphisms and ovarian cancer progression and survival: A comprehensive analysis from the Ovarian Cancer Association Consortium and The Cancer Genome Atlas

&lt;b&gt;Objective&lt;/b&gt; &lt;i&gt;ABCB1&lt;/i&gt; encodes the multi-drug efflux pump P-glycoprotein (P-gp) and has been implicated in multi-drug resistance. We comprehensively evaluated this gene and flanking regions for an association with clinical outcome in epithelial ovarian cancer (EOC).&lt;p&gt;&lt;/p&gt; &lt;b&gt;Methods&lt;/b&gt; The best candidates from fine-mapping analysis of 21 &lt;i&gt;ABCB1&lt;/i&gt; SNPs tagging C1236T (rs1128503), G2677T/A (rs2032582), and C3435T (rs1045642) were analysed in 4616 European invasive EOC patients from thirteen Ovarian Cancer Association Consortium (OCAC) studies and The Cancer Genome Atlas (TCGA). Additionally we analysed 1,562 imputed SNPs around ABCB1 in patients receiving cytoreductive surgery and either ‘standard’ first-line paclitaxel–carboplatin chemotherapy (n = 1158) or any first-line chemotherapy regimen (n = 2867). We also evaluated ABCB1 expression in primary tumours from 143 EOC patients.&lt;p&gt;&lt;/p&gt; &lt;b&gt;Result&lt;/b&gt; Fine-mapping revealed that rs1128503, rs2032582, and rs1045642 were the best candidates in optimally debulked patients. However, we observed no significant association between any SNP and either progression-free survival or overall survival in analysis of data from 14 studies. There was a marginal association between rs1128503 and overall survival in patients with nil residual disease (HR 0.88, 95% CI 0.77–1.01; p = 0.07). In contrast, &lt;i&gt;ABCB1&lt;/i&gt; expression in the primary tumour may confer worse prognosis in patients with sub-optimally debulked tumours.&lt;p&gt;&lt;/p&gt; &lt;b&gt;Conclusion&lt;/b&gt; Our study represents the largest analysis of &lt;i&gt;ABCB1&lt;/i&gt; SNPs and EOC progression and survival to date, but has not identified additional signals, or validated reported associations with progression-free survival for rs1128503, rs2032582, and rs1045642. However, we cannot rule out the possibility of a subtle effect of rs1128503, or other SNPs linked to it, on overall survival.&lt;p&gt;&lt;/p&gt