Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

La comunicació com a factor de canvi en la societat de la informació : Internet en el context audiovisual de Catalunya. Informe final de recerca

Aquest estudi tracta d'entendre els patrons de transformació actuals relacionats amb els mitjans de comunicació a Catalunya dins d'un context de ràpida expansió de les TIC i una creixent complexitat tecnològica i social. Analitza Internet en els mitjans de comunicació "tradicionals", pel que fa a ús, funció i pràctiques de comunicació, tenint en compte l'impacte de les tendències de digitalització actuals i la convergència en el procés de consum, creació, producció, edició i distribució de contingut.

Increasing returns, imperfect competition and factor prices

We show how, in general equilibrium models featuring increasing returns, imperfectcompetition and endogenous markups, changes in the scale of economic activity affectincome distribution across factors. Whenever final goods are gross-substitutes (gross-complements), a scale expansion raises (lowers) the relative reward of the scarce factoror the factor used intensively in the sector characterized by a higher degree of product differentiation and higher fixed costs. Under very reasonable hypothesis, our theory suggests that scale is skill-biased. This result provides a microfoundation for the secular increase in the relative demand for skilled labor. Moreover, it constitutes an important link among major explanations for the rise in wage inequality: skill-biased technical change, capital-skill complementarities and international trade. We provide new evidence on the mechanism underlying the skill bias of scale.

Growth factor- and cytokine-driven pathways governing liver stemness and differentiation.

Liver is unique in its capacity to regenerate in response to injury or tissue loss. Hepatocytes and other liver cells are able to proliferate and repopulate the liver. However, when this response is impaired, the contribution of hepatic progenitors becomes very relevant. Here, we present an update of recent studies on growth factors and cytokine-driven intracellular pathways that govern liver stem/progenitor cell expansion and differentiation, and the relevance of these signals in liver development, regeneration and carcinogenesis. Tyrosine kinase receptor signaling, in particular, c-Met, epidermal growth factor receptors or fibroblast growth factor receptors, contribute to proliferation, survival and differentiation of liver stem/progenitor cells. Different evidence suggests a dual role for the transforming growth factor (TGF)-β signaling pathway in liver stemness and differentiation. On the one hand, TGF-β mediates progression of differentiation from a progenitor stage, but on the other hand, it contributes to the expansion of liver stem cells. Hedgehog family ligands are necessary to promote hepatoblast proliferation but need to be shut off to permit subsequent hepatoblast differentiation. In the same line, the Wnt family and β-catenin/T-cell factor pathway is clearly involved in the maintenance of liver stemness phenotype, and its repression is necessary for liver differentiation during development. Collectively, data indicate that liver stem/progenitor cells follow their own rules and regulations. The same signals that are essential for their activation, expansion and differentiation are good candidates to contribute, under adequate conditions, to the paradigm of transformation from a pro-regenerative to a pro-tumorigenic role. From a clinical perspective, this is a fundamental issue for liver stem/progenitor cell-based therapies.

Human capital as a factor of growth and employment at the regional level. The case of Spain

We use statistical techniques to quantify the effects of school attainment on individual wages, participation rates and employment probabilities in Spain, and to measure the contribution of education to labour productivity at the regional level. These estimates are then combined with data on private and public expenditure on education and with information on taxes and social benefits to construct measures of the private and social returns to schooling, to explore the effects of public policies on private incentives to invest in human capital, and to analyse the long-term effects of schooling on public finances. The results are used, together with estimates of the returns to alternative assets, to draw some tentative conclusions regarding the adequacy of the aggregate investment patterns observed in the regions of Spain, and to identify changes in the design of national and EU cohesion and growth policies that may help enhance their effectiveness.

Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

Inflation and factor shares

We use results from the literature on the determinants of price-cost margins to derive an equation relating labor's share of national income to the inflation rate (as well as to the output gap, the unemployment rate and the capital stock per worker). The equation is tested with a panel of 15 OECD countries. We obtain a robust positive relationship between inflation and the labor share. Our results suggest that disinflation is not distributively neutral, provide empirical support for the distinct concern about price stability shown by trade unions and employers' organizations, and help explaining the negative impact of inflation on growth.

Factor decomposition of spatial income inequality: a revision

Duro and Esteban (1998) proposed an additive decomposition of Theil populationweighted index by four income multiplicative factors (in spatial contexts). This note makes some additional methodological points: first, it argues that interaction effects are taken into account in the factoral indexes although only in a fairly restrictive way. As a consequence, we suggest to rewrite the decomposition formula as a sum of strict Theil indexes plus the interactive terms; second, it might be instructive to aggregate some of the initial factors; third, this decomposition can be immediately extended to the between- and within-group components.

An analysis of strategic paths through the decomposition of total factor productivity: the case of Spanish savings banks

The Spanish savings banks attracted quite a considerable amount of interest within the scientific arena, especially subsequent to the disappearance of the regulatory constraints during the second decade of the 1980s. Nonetheless, a lack of research identified with respect to mainstream paths given by strategic groups, and the analysis of the total factor productivity. Therefore, on the basis of the resource-based view of the firm and cluster analysis, we make use of changes in structure and performance ratios in order to identify the strategic groups extant in the sector. We attain a threeways division, which we link with different input-output specifications defining strategic paths. Consequently, on the basis of these three dissimilar approaches we compute and decompose a Hicks-Moorsteen total factor productivity index. Obtained results put forward an interesting interpretation under a multi-strategic approach, together with the setbacks of employing cluster analysis within a complex strategic environment. Moreover, we also propose an ex-post method of analysing the outcomes of the decomposed total factor productivity index that could be merged with non-traditional techniques of forming strategic groups, such as cognitive approaches.

On the asymptotic expansion of the colored Jones polynomial for torus knots

In the asymptotic expansion of the hyperbolic specification of the colored Jones polynomial of torus knots, we identify different geometric contributions, in particular Chern-Simons invariant and Reidemeister torsion.

Generalized factor models: a bayesian approach

There is recent interest in the generalization of classical factor models in which the idiosyncratic factors are assumed to be orthogonal and there are identification restrictions on cross-sectional and time dimensions. In this study, we describe and implement a Bayesian approach to generalized factor models. A flexible framework is developed to determine the variations attributed to common and idiosyncratic factors. We also propose a unique methodology to select the (generalized) factor model that best fits a given set of data. Applying the proposed methodology to the simulated data and the foreign exchange rate data, we provide a comparative analysis between the classical and generalized factor models. We find that when there is a shift from classical to generalized, there are significant changes in the estimates of the structures of the covariance and correlation matrices while there are less dramatic changes in the estimates of the factor loadings and the variation attributed to common factors.

Enabling dCache to use preexistent mass storage systems

A mesura que la investigació depèn cada vegada més dels computadors, l'emmagatzematge de dades comença a convertir-se en un recurs escàs per als projectes, i suposa una gran part del cost total. Alguns projectes intenten resoldre aquest problema emprant emmagatzament distribuït. És doncs necessari que alguns centres proveeixin de grans quantitats d'emmagatzematge massiu de baix cost basat en cintes magnètiques. L'inconvenient d'aquesta solució és que el rendiment disminueix, particularment a l'hora de tractar-se de grans quantitats d'arxius petits. El nostre objectiu és crear un híbrid entre un sistema d'alt cost i rendiment basat en discs, i un de baix cost i rendiment basat en cintes. Per això, unirem dCache, un sistema d'emmagatzematge distribuït, amb Castor, un sistema d'emmagatzematge jeràrquic, creant sistemes de fitxers virtuals que contindran grans quantitats d'arxius petits per millorar el rendiment global del sistema.

Regulació del factor de transcripció NFAT5 per les quinases WNK1, SPAK i OSR1 i cerca de quinases activadores de la pròpia WNK1 en resposta a estrés osmòtic

Estudi elaborat a partir d’una estada a la School of Life Sciences de la University of Dundee, Gran Bretanya, entre gener i març del 2007.L'estrès osmòtic causa rà pidament l'activació de la quinasa WNK1, que fosforila i activa a continuació les quinases SPAK i OSR1, que alhora regulen canals i transportadors d’ions preexistents a la membrana cel•lular. El factor de transcripció NFAT5 és el principal regulador de la resposta cel•lular transcripcional secundà ria a hipertonicitat i s’ha descrit que les quinases p38, Fyn, PKA, ERK/MEK i ATM estan involucrades en la seva regulació post-traduccional. No obstant, com que la funció d’aquestes quinases no explica totalment els mecanismes d'activació de NFAT5, s’ha estudiat si l’activitat transcripcional de NFAT5 pot estar regulada per WNK1, SPAK o OSR1. Així doncs, es va observar que l’activitat d’un reporter dependent de NFAT5 no es veu afectada per la presència de cap de les quinases anteriors, en la seva forma wild-type o dominant negatiu. D’altra banda, es va estudiar quin domini de WNK1 és necessari per a que pugui respondre a hipertonicitat i quines quinases poden estar involucrades en la fosforilació de la serina 382 de WNK1. En conclusió, les dades obtingudes apunten que l’activació de WNK1 en resposta a estrès osmòtic requereix la seva fosforilació en la serina 382 per quinases upstream com PAK2 o RSK i que també és necessari un dels seus dominis coiled-coil, almenys els aminoà cids 558 i 561. Aquests processos, però, semblen ser independents de l’activació de NFAT5 en resposta a hipertonicitat.