16 resultados para structural models of credit risk

em CentAUR: Central Archive University of Reading - UK


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The reliable assessment of the quality of protein structural models is fundamental to the progress of structural bioinformatics. The ModFOLD server provides access to two accurate techniques for the global and local prediction of the quality of 3D models of proteins. Firstly ModFOLD, which is a fast Model Quality Assessment Program (MQAP) used for the global assessment of either single or multiple models. Secondly ModFOLDclust, which is a more intensive method that carries out clustering of multiple models and provides per-residue local quality assessment.

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Models of windblown pollen or spore movement are required to predict gene flow from genetically modified (GM) crops and the spread of fungal diseases. We suggest a simple form for a function describing the distance moved by a pollen grain or fungal spore, for use in generic models of dispersal. The function has power-law behaviour over sub-continental distances. We show that air-borne dispersal of rapeseed pollen in two experiments was inconsistent with an exponential model, but was fitted by power-law models, implying a large contribution from distant fields to the catches observed. After allowance for this 'background' by applying Fourier transforms to deconvolve the mixture of distant and local sources, the data were best fit by power-laws with exponents between 1.5 and 2. We also demonstrate that for a simple model of area sources, the median dispersal distance is a function of field radius and that measurement from the source edge can be misleading. Using an inverse-square dispersal distribution deduced from the experimental data and the distribution of rapeseed fields deduced by remote sensing, we successfully predict observed rapeseed pollen density in the city centres of Derby and Leicester (UK).

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The existing literature on lean construction is overwhelmingly prescriptive with little recognition of the social and politicised nature of the diffusion process. The prevailing production-engineering perspective too often assumes that organizations are unitary entities where all parties strive for the common goal of 'improved performance'. An alternative perspective is developed that considers the diffusion of lean construction across contested pluralistic arenas. Different actors mobilize different storylines to suit their own localized political agendas. Multiple storylines of lean construction continuously compete for attention with other management fashions. The conceptualization and enactment of lean construction therefore differs across contexts, often taking on different manifestations from those envisaged. However, such localized enactments of lean construction are patterned and conditioned by pre-existing social and economic structures over which individual managers have limited influence. Taking a broader view, 'leanness' can be conceptualized in terms of a quest for structural flexibility involving restructuring, downsizing and outsourcing. From this perspective, the UK construction industry can be seen to have embarked upon leaner ways of working in the mid-1970s, long before the terminology of lean thinking came into vogue. Semi-structured interviews with construction sector policy-makers provide empirical support for the view that lean construction is a multifaceted concept that defies universal definition.

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Although the use of climate scenarios for impact assessment has grown steadily since the 1990s, uptake of such information for adaptation is lagging by nearly a decade in terms of scientific output. Nonetheless, integration of climate risk information in development planning is now a priority for donor agencies because of the need to prepare for climate change impacts across different sectors and countries. This urgency stems from concerns that progress made against Millennium Development Goals (MDGs) could be threatened by anthropogenic climate change beyond 2015. Up to this time the human signal, though detectable and growing, will be a relatively small component of climate variability and change. This implies the need for a twin-track approach: on the one hand, vulnerability assessments of social and economic strategies for coping with present climate extremes and variability, and, on the other hand, development of climate forecast tools and scenarios to evaluate sector-specific, incremental changes in risk over the next few decades. This review starts by describing the climate outlook for the next couple of decades and the implications for adaptation assessments. We then review ways in which climate risk information is already being used in adaptation assessments and evaluate the strengths and weaknesses of three groups of techniques. Next we identify knowledge gaps and opportunities for improving the production and uptake of climate risk information for the 2020s. We assert that climate change scenarios can meet some, but not all, of the needs of adaptation planning. Even then, the choice of scenario technique must be matched to the intended application, taking into account local constraints of time, resources, human capacity and supporting infrastructure. We also show that much greater attention should be given to improving and critiquing models used for climate impact assessment, as standard practice. Finally, we highlight the over-arching need for the scientific community to provide more information and guidance on adapting to the risks of climate variability and change over nearer time horizons (i.e. the 2020s). Although the focus of the review is on information provision and uptake in developing regions, it is clear that many developed countries are facing the same challenges. Copyright © 2009 Royal Meteorological Society

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By employing Moody’s corporate default and rating transition data spanning the last 90 years we explore how much capital banks should hold against their corporate loan portfolios to withstand historical stress scenarios. Specifically, we will focus on the worst case scenario over the observation period, the Great Depression. We find that migration risk and the length of the investment horizon are critical factors when determining bank capital needs in a crisis. We show that capital may need to rise more than three times when the horizon is increased from 1 year, as required by current and future regulation, to 3 years. Increases are still important but of a lower magnitude when migration risk is introduced in the analysis. Further, we find that the new bank capital requirements under the so-called Basel 3 agreement would enable banks to absorb Great Depression-style losses. But, such losses would dent regulatory capital considerably and far beyond the capital buffers that have been proposed to ensure that banks survive crisis periods without government support.

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The accurate prediction of the biochemical function of a protein is becoming increasingly important, given the unprecedented growth of both structural and sequence databanks. Consequently, computational methods are required to analyse such data in an automated manner to ensure genomes are annotated accurately. Protein structure prediction methods, for example, are capable of generating approximate structural models on a genome-wide scale. However, the detection of functionally important regions in such crude models, as well as structural genomics targets, remains an extremely important problem. The method described in the current study, MetSite, represents a fully automatic approach for the detection of metal-binding residue clusters applicable to protein models of moderate quality. The method involves using sequence profile information in combination with approximate structural data. Several neural network classifiers are shown to be able to distinguish metal sites from non-sites with a mean accuracy of 94.5%. The method was demonstrated to identify metal-binding sites correctly in LiveBench targets where no obvious metal-binding sequence motifs were detectable using InterPro. Accurate detection of metal sites was shown to be feasible for low-resolution predicted structures generated using mGenTHREADER where no side-chain information was available. High-scoring predictions were observed for a recently solved hypothetical protein from Haemophilus influenzae, indicating a putative metal-binding site.

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Protein structure prediction methods aim to predict the structures of proteins from their amino acid sequences, utilizing various computational algorithms. Structural genome annotation is the process of attaching biological information to every protein encoded within a genome via the production of three-dimensional protein models.

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Covered bonds are a promising alternative for prime mortgage securitization. In this paper, we explore risk premia in the covered bond market and particularly investigate whether and how credit risk is priced. In extant literature, yield spreads between high-quality covered bonds and government bonds are often interpreted as pure liquidity premia. In contrast, we show that although liquidity is important, it is not the exclusive risk factor. Using a hand-collected data set of cover pool information, we find that the credit quality of the cover assets is an important determinant of covered bond yield spreads. This effect is particularly strong in times of financial turmoil and has a significant influence on the issuer's refinancing cost.

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Progress in functional neuroimaging of the brain increasingly relies on the integration of data from complementary imaging modalities in order to improve spatiotemporal resolution and interpretability. However, the usefulness of merely statistical combinations is limited, since neural signal sources differ between modalities and are related non-trivially. We demonstrate here that a mean field model of brain activity can simultaneously predict EEG and fMRI BOLD with proper signal generation and expression. Simulations are shown using a realistic head model based on structural MRI, which includes both dense short-range background connectivity and long-range specific connectivity between brain regions. The distribution of modeled neural masses is comparable to the spatial resolution of fMRI BOLD, and the temporal resolution of the modeled dynamics, importantly including activity conduction, matches the fastest known EEG phenomena. The creation of a cortical mean field model with anatomically sound geometry, extensive connectivity, and proper signal expression is an important first step towards the model-based integration of multimodal neuroimages.

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In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector autoregressive model (VAR). We also look at price discovery in the long run with a vector error correction model (VECM). We find that in the short term the option market clearly leads the other markets in the sub-prime crisis (2007-2009). During the less severe sovereign debt crisis (2009-2012) and the pre-crisis period, options are still important but CDSs become more prominent. In the long run, deviations from the equilibrium relationship with the option market still lead to adjustments in the credit spreads observed or implied from other markets. However, options no longer dominate price discovery in any of the periods considered. Our findings have implications for traders, credit risk managers and financial regulators.

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The etiology of colorectal cancer (CRC), a common cause of cancer-related mortality globally, has strong associations with diet. There is considerable epidemiological evidence that fruits and vegetables are associated with reduced risk of CRC. This paper reviews the extensive evidence, both from in vitro studies and animal models, that components of berry fruits can modulate biomarkers of DNA damage and that these effects may be potentially chemoprotective, given the likely role that oxidative damage plays in mutation rate and cancer risk. Human intervention trials with berries are generally consistent in indicating a capacity to significantly decrease oxidative damage to DNA, but represent limited evidence for anticarcinogenicity, relying as they do on surrogate risk markers. To understand the effects of berry consumption on colorectal cancer risk, future studies will need to be well controlled, with defined berry extracts, using suitable and clinically relevant end points and considering the importance of the gut microbiota.

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Background. Current models of concomitant, intermittent strabismus, heterophoria, convergence and accommodation anomalies are either theoretically complex or incomplete. We propose an alternative and more practical way to conceptualize clinical patterns. Methods. In each of three hypothetical scenarios (normal; high AC/A and low CA/C ratios; low AC/A and high CA/C ratios) there can be a disparity-biased or blur-biased “style”, despite identical ratios. We calculated a disparity bias index (DBI) to reflect these biases. We suggest how clinical patterns fit these scenarios and provide early objective data from small illustrative clinical groups. Results. Normal adults and children showed disparity bias (adult DBI 0.43 (95%CI 0.50-0.36), child DBI 0.20 (95%CI 0.31-0.07) (p=0.001). Accommodative esotropes showed less disparity-bias (DBI 0.03). In the high AC/A and low CA/C scenario, early presbyopes had mean DBI of 0.17 (95%CI 0.28-0.06), compared to DBI of -0.31 in convergence excess esotropes. In the low AC/A and high CA/C scenario near exotropes had mean DBI of 0.27, while we predict that non-strabismic, non-amblyopic hyperopes with good vision without spectacles will show lower DBIs. Disparity bias ranged between 1.25 and -1.67. Conclusions. Establishing disparity or blur bias, together with knowing whether convergence to target demand exceeds accommodation or vice versa explains clinical patterns more effectively than AC/A and CA/C ratios alone. Excessive bias or inflexibility in near-cue use increases risk of clinical problems. We suggest clinicians look carefully at details of accommodation and convergence changes induced by lenses, dissociation and prisms and use these to plan treatment in relation to the model.