The credit risk(+) model with general sector correlations

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

An imprecise fuzzy risk approach for water quality management of a river system

Uncertainty plays an important role in water quality management problems. The major sources of uncertainty in a water quality management problem are the random nature of hydrologic variables and imprecision (fuzziness) associated with goals of the dischargers and pollution control agencies (PCA). Many Waste Load Allocation (WLA)problems are solved by considering these two sources of uncertainty. Apart from randomness and fuzziness, missing data in the time series of a hydrologic variable may result in additional uncertainty due to partial ignorance. These uncertainties render the input parameters as imprecise parameters in water quality decision making. In this paper an Imprecise Fuzzy Waste Load Allocation Model (IFWLAM) is developed for water quality management of a river system subject to uncertainty arising from partial ignorance. In a WLA problem, both randomness and imprecision can be addressed simultaneously by fuzzy risk of low water quality. A methodology is developed for the computation of imprecise fuzzy risk of low water quality, when the parameters are characterized by uncertainty due to partial ignorance. A Monte-Carlo simulation is performed to evaluate the imprecise fuzzy risk of low water quality by considering the input variables as imprecise. Fuzzy multiobjective optimization is used to formulate the multiobjective model. The model developed is based on a fuzzy multiobjective optimization problem with max-min as the operator. This usually does not result in a unique solution but gives multiple solutions. Two optimization models are developed to capture all the decision alternatives or multiple solutions. The objective of the two optimization models is to obtain a range of fractional removal levels for the dischargers, such that the resultant fuzzy risk will be within acceptable limits. Specification of a range for fractional removal levels enhances flexibility in decision making. The methodology is demonstrated with a case study of the Tunga-Bhadra river system in India.

Conformationally Restricted Nucleocyclitols: a Study into their Conformational Preferences and Supramolecular Architecture in the Solid State

With the intent of probing the feasibility of employing annulation as a tactic to engender axial rich conformations in nucleoside analogues, two adenine-derived, ``conformationally restricted'' nucleocylitols, 9 and 10, have been conceptualized as representatives of a hitherto unexplored class of nucleic acid base-cyclitol hybrids. A general synthetic strategy, with an inherent scope for diversification, allowed rapid functionalization of indane and tetralin to furnish 9 and 10 respectively in fair yield. Single-crystal X-ray diffraction analysis revealed that the two nucleocyclitols under study, though homologous, present completely dissimilar modes of molecular packing, marked, in particular, by the nature of involvement of the adenynyl NH2 group in the supramolecular assembly. In addition, the crystal structures of 9 and 10 also exhibit two different conformations of the functionalized cyclohexane ring. Thus, while the six-membered carbocycle in cyclopenta-annulated 9 exists in the expected chair (C) conformation that in cyclohexaannulated 10, which crystallizes as a dihydrate, shows an unusual twist-boat (TB) conformation. From a close analysis of the (HNMR)-H-1 spectroscopic data recorded for 9 and 10 in CD3OD, it was possible to put forth a putative explanation for the uncanny conformational preferences of crystalline 9 and 10.

Positional Preferences of Polypurine/Polypyrimidine Tracts in Saccharomyces cerevisiae Genome: Implications for cis Regulation of Gene Expression

The complete genome of the baker's yeast S. cerevisiae was analyzed for the presence of polypurine/polypyrimidine (poly[pu/py]) repeats and their occurrences were classified on the basis of their location within and outside open reading frames (ORFs). The analysis reveals that such sequence motifs are present abundantly both in coding as well as noncoding regions. Clear positional preferences are seen when these tracts occur in noncoding regions. These motifs appear to occur predominantly at a unit nucleosomal length both upstream and downstream of ORFs. Moreover, there is a biased distribution of polypurines in the coding strands when these motifs occur within open reading frames. The significance of the biased distribution is discussed with reference to the occurrence of these motifs in other known mRNA sequences and expressed sequence tags. A model for cis regulation of gene expression is proposed based on the ability of these motifs to form an intermolecular triple helix structure when present within the coding region and/or to modulate nucleosome positioning via enhanced histone affinity when present outside coding regions.

A Haplotype at the UCP1 Gene Locus Contributes to Genetic Risk for Type 2 Diabetes in Asian Indians (CURES-72)

Background: The gene encoding for uncoupling protein-1 (UCP1) is considered to be a candidate gene for type 2 diabetes because of its role in thermogenesis and energy expenditure. The objective of the study was to examine whether genetic variations in the UCP1 gene are associated with type 2 diabetes and its related traits in Asian Indians. Methods: The study subjects, 810 type 2 diabetic subjects and 990 normal glucose tolerant (NGT) subjects, were chosen from the Chennai Urban Rural Epidemiological Study (CURES), an ongoing population-based study in southern India. The polymorphisms were genotyped using the polymerase chain reaction-restriction fragment length polymorphism (PCR-RFLP) method. Linkage disequilibrium (LD) was estimated from the estimates of haplotypic frequencies. Results: The three polymorphisms, namely -3826A -> G, an A -> C transition in the 5'-untranslated region (UTR) and Met229Leu, were not associated with type 2 diabetes. However, the frequency of the A-C-Met (-3826A -> G-5'UTR A -> C-Met229Leu) haplotype was significantly higher among the type 2 diabetic subjects (2.67%) compared with the NGT subjects (1.45%, P < 0.01). The odds ratio for type 2 diabetes for the individuals carrying the haplotype A-C-Met was 1.82 (95% confidence interval, 1.29-2.78, P = 0.009). Conclusions: The haplotype, A-C-Met, in the UCP1 gene is significantly associated with the increased genetic risk for developing type 2 diabetes in Asian Indians.

Amino acid interaction preferences in proteins

Understanding the key factors that influence the interaction preferences of amino acids in the folding of proteins have remained a challenge. Here we present a knowledge-based approach for determining the effective interactions between amino acids based on amino acid type, their secondary structure, and the contact based environment that they find themselves in the native state structure as measured by their number of neighbors. We find that the optimal information is approximately encoded in a 60 x 60 matrix describing the 20 types of amino acids in three distinct secondary structures (helix, beta strand, and loop). We carry out a clustering scheme to understand the similarity between these interactions and to elucidate a nonredundant set. We demonstrate that the inferred energy parameters can be used for assessing the fit of a given sequence into a putative native state structure.