Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Average fluorescence and dissolved iron and Fe-binding ligand characteristics during POLARSTERN expedition ANT-XXIV/3 in 2008

Organic complexation of dissolved iron (dFe) was investigated in the Atlantic sector of the Southern Ocean in order to understand the distribution of Fe over the whole water column. The total concentration of dissolved organic ligands ([Lt]) measured by voltammetry ranged between 0.54 and 1.84 nEq of M Fe whereas the conditional binding strength (K') ranged between 10**21.4 and 10**22.8. For the first time, trends in Fe-organic complexation were observed in an ocean basin by examining the ratio ([Lt]/[dFe]), defined as the organic ligand concentration divided by the dissolved Fe concentration. The [Lt]/[dFe] ratio indicates the saturation state of the natural ligands with Fe; a ratio near 1 means saturation of the ligands leading to precipitation of Fe. Reversely, high ratios mean Fe depletion and show a high potential for Fe solubilisation. In surface waters where phytoplankton is present low dissolved Fe and high variable ligand concentrations were found. Here the [Lt]/[dFe] ratio was on average 4.4. It was especially high (5.6-26.7) in the HNLC (High Nutrient, Low Chlorophyll) regions, where Fe was depleted. The [Lt]/[dFe] ratio decreased with depth due to increasing dissolved Fe concentrations and became constant below 450 m, indicating a steady state between ligand and Fe. Relatively low [Lt]/[dFe] ratios (between 1.1 and 2.7) existed in deep water north of the Southern Boundary, facilitating Fe precipitation. The [Lt]/[dFe] ratio increased southwards from the Southern Boundary on the Zero Meridian and from east to west in the Weddell Gyre due to changes both in ligand characteristics and in dissolved iron concentration. High [Lt]/[dFe] ratio expresses Fe depletion versus ligand production in the surface. The decrease with depth reflects the increase of [dFe] which favours scavenging and (co-) precipitation, whereas a horizontal increase in the deep waters results from an increasing distance from Fe sources. This increase in the [Lt]/[dFe] ratio at depth shows the very resistant nature of the dissolved organic ligands.

On a parabolic-elliptic chemotactic system with non-constant chemotactic sensitivity

We study a parabolic–elliptic chemotactic system describing the evolution of a population’s density “u” and a chemoattractant’s concentration “v”. The system considers a non-constant chemotactic sensitivity given by “χ(N−u)”, for N≥0, and a source term of logistic type “λu(1−u)”. The existence of global bounded classical solutions is proved for any χ>0, N≥0 and λ≥0. By using a comparison argument we analyze the stability of the constant steady state u=1, v=1, for a range of parameters. – For N>1 and Nλ>2χ, any positive and bounded solution converges to the steady state. – For N≤1 the steady state is locally asymptotically stable and for χN<λ, the steady state is globally asymptotically stable.

Stability Analysis of a Run-of-River Diversion Hydropower Plant With Surge Tank And Spillway in the Head Pond

Run-of-river hydropower plants usually lack significant storage capacity; therefore, the more adequate control strategy would consist of keeping a constant water level at the intake pond in order to harness the maximum amount of energy from the river flow or to reduce the surface flooded in the head pond. In this paper, a standard PI control system of a run-of-river diversion hydropower plant with surge tank and a spillway in the head pond that evacuates part of the river flow plant is studied. A stability analysis based on the Routh-Hurwitz criterion is carried out and a practical criterion for tuning the gains of the PI controller is proposed. Conclusions about the head pond and surge tank areas are drawn from the stability analysis. Finally, this criterion is applied to a real hydropower plant in design state; the importance of considering the spillway dimensions and turbine characteristic curves for adequate tuning of the controller gains is highlighted

Flight dynamics and stability of kites in steady and unsteady wind conditions

The flight dynamics and stability of a kite with a single main line flying in steady and unsteady wind conditions are discussed. A simple dynamic model with five degrees of freedom is derived with the aid of Lagrangian formulation, which explicitly avoids any constraint force in the equations of motion. The longitudinal and lateral–directional modes and stability of the steady flight under constant wind conditions are analyzed by using both numerical and analytical methods. Taking advantage of the appearance of small dimensionless parameters in the model, useful analytical formulas for stable-designed kites are found. Under nonsteady wind-velocity conditions, the equilibrium state disappears and periodic orbits occur. The kite stability and an interesting resonance phenomenon are explored with the aid of a numerical method based on Floquet theory.

Protein folding kinetics exhibit an Arrhenius temperature dependence when corrected for the temperature dependence of protein stability

The anomalous temperature dependence of protein folding has received considerable attention. Here we show that the temperature dependence of the folding of protein L becomes extremely simple when the effects of temperature on protein stability are corrected for; the logarithm of the folding rate is a linear function of 1/T on constant stability contours in the temperature–denaturant plane. This convincingly demonstrates that the anomalous temperature dependence of folding derives from the temperature dependence of the interactions that stabilize proteins, rather than from the super Arrhenius temperature dependence predicted for the configurational diffusion constant on a rough energy landscape. However, because of the limited temperature range accessible to experiment, the results do not rule out models with higher order temperature dependences. The significance of the slope of the stability-corrected Arrhenius plots is discussed.

Stability of nonrelativistic quantum mechanical matter coupled to the (ultraviolet cutoff) radiation field

We announce a proof of H-stability for the quantized radiation field, with ultraviolet cutoff, coupled to arbitrarily many non-relativistic quantized electrons and static nuclei. Our result holds for arbitrary atomic numbers and fine structure constant. We also announce bounds for the energy of many electrons and nuclei in a classical vector potential and for the eigenvalue sum of a one-electron Pauli Hamiltonian with magnetic field.

Transition-state structure as a unifying basis in protein-folding mechanisms: Contact order, chain topology, stability, and the extended nucleus mechanism

I attempt to reconcile apparently conflicting factors and mechanisms that have been proposed to determine the rate constant for two-state folding of small proteins, on the basis of general features of the structures of transition states. Φ-Value analysis implies a transition state for folding that resembles an expanded and distorted native structure, which is built around an extended nucleus. The nucleus is composed predominantly of elements of partly or well-formed native secondary structure that are stabilized by local and long-range tertiary interactions. These long-range interactions give rise to connecting loops, frequently containing the native loops that are poorly structured. I derive an equation that relates differences in the contact order of a protein to changes in the length of linking loops, which, in turn, is directly related to the unfavorable free energy of the loops in the transition state. Kinetic data on loop extension mutants of CI2 and α-spectrin SH3 domain fit the equation qualitatively. The rate of folding depends primarily on the interactions that directly stabilize the nucleus, especially those in native-like secondary structure and those resulting from the entropy loss from the connecting loops, which vary with contact order. This partitioning of energy accounts for the success of some algorithms that predict folding rates, because they use these principles either explicitly or implicitly. The extended nucleus model thus unifies the observations of rate depending on both stability and topology.

The origins of stability of spontaneous vesicles

Equilibrium unilamellar vesicles are stabilized by one of two distinct mechanisms depending on the value of the bending constant. Helfrich undulations ensure that the interbilayer potential is always repulsive when the bending constant, K, is of order kBT. When K ≫ kBT, unilamellar vesicles are stabilized by the spontaneous curvature that picks out a particular vesicle radius; other radii are disfavored energetically. We present measurements of the bilayer elastic constant and the spontaneous curvature, Ro, for three different systems of equilibrium vesicles by an analysis of the vesicle size distribution determined by cryo-transmission electron microscopy and small-angle neutron scattering. For cetyltrimethylammonium bromide (CTAB)/sodium octyl sulfonate catanionic vesicles, K = .7 kBT, suggesting that the unilamellar vesicles are stabilized by Helfrich-undulation repulsions. However, for CTAB and sodium perfluorooctanoate (FC7) vesicles, K = 6 kBT, suggesting stabilization by the energetic costs of deviations from the spontaneous curvature. Adding electrolyte to the sodium perfluorooctanoate/CTAB vesicles leads to vesicles with two bilayers; the attractive interactions between the bilayers can overcome the cost of small deviations from the spontaneous curvature to form two-layer vesicles, but larger deviations to form three and more layer vesicles are prohibited. Vesicles with a discrete numbers of bilayers at equilibrium are possible only for bilayers with a large bending modulus coupled with a spontaneous curvature.

Stability of Coulomb systems in a magnetic field.

I study N electrons and M protons in a magnetic field. It is shown that the total energy per particle is bounded below by a constant independent of M and N, provided the fine structure constant is small. Here, the total energy includes the energy of the magnetic field.

Quantitative stability of linear infinite inequality systems under block perturbations with applications to convex systems

The original motivation for this paper was to provide an efficient quantitative analysis of convex infinite (or semi-infinite) inequality systems whose decision variables run over general infinite-dimensional (resp. finite-dimensional) Banach spaces and that are indexed by an arbitrary fixed set J. Parameter perturbations on the right-hand side of the inequalities are required to be merely bounded, and thus the natural parameter space is l ∞(J). Our basic strategy consists of linearizing the parameterized convex system via splitting convex inequalities into linear ones by using the Fenchel–Legendre conjugate. This approach yields that arbitrary bounded right-hand side perturbations of the convex system turn on constant-by-blocks perturbations in the linearized system. Based on advanced variational analysis, we derive a precise formula for computing the exact Lipschitzian bound of the feasible solution map of block-perturbed linear systems, which involves only the system’s data, and then show that this exact bound agrees with the coderivative norm of the aforementioned mapping. In this way we extend to the convex setting the results of Cánovas et al. (SIAM J. Optim. 20, 1504–1526, 2009) developed for arbitrary perturbations with no block structure in the linear framework under the boundedness assumption on the system’s coefficients. The latter boundedness assumption is removed in this paper when the decision space is reflexive. The last section provides the aimed application to the convex case.

Les effets de l’éclairage cyclique versus l’éclairage tamisé constant sur la stabilité physiologique et le niveau d’activité motrice de prématurés

Problématique : Les prématurés évoluent dans l’unité néonatale qui présente une intensité lumineuse parfois forte et variable, ce qui a pour effet de provoquer une instabilité physiologique, ainsi qu’une augmentation du niveau d’activité motrice chez ces derniers. Par ailleurs, le contrôle de l’éclairage à l’unité néonatale favorise la stabilité physiologique et réduit le niveau d’activité motrice des prématurés. Deux méthodes de contrôle de l’éclairage ont été étudiées, soit l’éclairage tamisé constant et l’éclairage cyclique. Or, la méthode de contrôle de l’éclairage la plus appropriée au système nerveux immature des prématurés est inconnue et il y a ambivalence en ce qui concerne les résultats des études ayant évalué ces deux modes de contrôle de l’éclairage. But : Le but de cette étude était de mesurer les effets de l’éclairage cyclique versus l’éclairage tamisé constant sur la stabilité physiologique et le niveau d’activité motrice de prématurés nés entre 28 et 32 semaines d’âge gestationnel. Méthode : Un essai clinique randomisé a été réalisé. Les 38 prématurés recrutés dans une unité néonatale de niveaux II et III d’un hôpital universitaire, ont été randomisés dans l’un des deux groupes d’intervention, soit le groupe exposé à l’éclairage tamisé constant ou celui exposé à l’éclairage cyclique. Ces deux types d’éclairage ont été appliqués pendant 24 heures. La stabilité physiologique a été mesurée par le score Stability of the Cardio Respiratory System in Premature Infants (SCRIP) et le niveau d’activité motrice a été mesuré avec un accéléromètre (Actiwatch®). L’intensité lumineuse à laquelle les prématurés ont été exposés a été mesurée de façon continue à l’intérieur de l’incubateur à l’aide d’un photomètre. Résultats : L’analyse des données révèle qu’il n’y aucune différence significative entre les deux groupes d’intervention en ce qui a trait à la stabilité physiologique (valeur-p du score SCRIP de 0,54 à 0,96) et au niveau d’activité motrice (valeur-p de 0,09 à 0,88). Les participants des deux groupes ont manifesté une stabilité physiologique et un niveau d’activité motrice comparables. Conclusion : Des interventions de contrôle de l’éclairage doivent être adoptées à l’unité néonatale, que ce soit des interventions qui permettent la mise en œuvre de l’éclairage cyclique ou de l’éclairage tamisé constant, dans le but de favoriser l’adaptation du prématuré à l’environnement de l’unité néonatale. Des recherches additionnelles sont requises afin d’identifier la méthode de contrôle de l’éclairage (éclairage cyclique ou éclairage tamisé constant) qui doit être implantée à l’unité néonatale.

Les effets de l’éclairage cyclique versus l’éclairage tamisé constant sur la stabilité physiologique et le niveau d’activité motrice de prématurés

Problématique : Les prématurés évoluent dans l’unité néonatale qui présente une intensité lumineuse parfois forte et variable, ce qui a pour effet de provoquer une instabilité physiologique, ainsi qu’une augmentation du niveau d’activité motrice chez ces derniers. Par ailleurs, le contrôle de l’éclairage à l’unité néonatale favorise la stabilité physiologique et réduit le niveau d’activité motrice des prématurés. Deux méthodes de contrôle de l’éclairage ont été étudiées, soit l’éclairage tamisé constant et l’éclairage cyclique. Or, la méthode de contrôle de l’éclairage la plus appropriée au système nerveux immature des prématurés est inconnue et il y a ambivalence en ce qui concerne les résultats des études ayant évalué ces deux modes de contrôle de l’éclairage. But : Le but de cette étude était de mesurer les effets de l’éclairage cyclique versus l’éclairage tamisé constant sur la stabilité physiologique et le niveau d’activité motrice de prématurés nés entre 28 et 32 semaines d’âge gestationnel. Méthode : Un essai clinique randomisé a été réalisé. Les 38 prématurés recrutés dans une unité néonatale de niveaux II et III d’un hôpital universitaire, ont été randomisés dans l’un des deux groupes d’intervention, soit le groupe exposé à l’éclairage tamisé constant ou celui exposé à l’éclairage cyclique. Ces deux types d’éclairage ont été appliqués pendant 24 heures. La stabilité physiologique a été mesurée par le score Stability of the Cardio Respiratory System in Premature Infants (SCRIP) et le niveau d’activité motrice a été mesuré avec un accéléromètre (Actiwatch®). L’intensité lumineuse à laquelle les prématurés ont été exposés a été mesurée de façon continue à l’intérieur de l’incubateur à l’aide d’un photomètre. Résultats : L’analyse des données révèle qu’il n’y aucune différence significative entre les deux groupes d’intervention en ce qui a trait à la stabilité physiologique (valeur-p du score SCRIP de 0,54 à 0,96) et au niveau d’activité motrice (valeur-p de 0,09 à 0,88). Les participants des deux groupes ont manifesté une stabilité physiologique et un niveau d’activité motrice comparables. Conclusion : Des interventions de contrôle de l’éclairage doivent être adoptées à l’unité néonatale, que ce soit des interventions qui permettent la mise en œuvre de l’éclairage cyclique ou de l’éclairage tamisé constant, dans le but de favoriser l’adaptation du prématuré à l’environnement de l’unité néonatale. Des recherches additionnelles sont requises afin d’identifier la méthode de contrôle de l’éclairage (éclairage cyclique ou éclairage tamisé constant) qui doit être implantée à l’unité néonatale.

Stability of benzylpenicillin during continuous home intravenous therapy

Objectives: The aim of this study was to investigate the temperature profile of home intravenous (iv) antibiotic reservoirs and the stability of 16 megaunits of benzylpenicillin sodium in 120 mL of sodium chloride 0.9% at constant and variable temperatures. Methods: A Tinytag computerized thermometer recorded temperatures every minute in the home iv antibiotic reservoir pouches of nine patients over a 24 h period. Similar bags containing benzylpenicillin sodium (16 megaunits) were maintained either at a constant 36degreesC, 26degreesC or 21-22degreesC or were worn in a pouch by five healthy volunteers for a 24 h period. Other bags were stored at 3-5degreesC for 10 days. The bags were sampled at timed intervals and benzylpenicillin concentrations assayed by HPLC. Results: Median temperatures recorded in the infusion bags worn by the nine patients were in the range 16.7-34.1degreesC. For infusion bags maintained at 36degreesC, 26degreesC and 21-22degreesC, the concentrations of benzylpenicillin dropped below 90% of the initial concentration at a mean time of 5 h 18 min, 12 h 54 min and 13 h 20 min, respectively, whereas for bags worn by the healthy volunteers the mean time for 10% loss of benzylpenicillin was 9 h 20 min. In contrast, at 3-5degreesC, concentrations of benzylpenicillin only dropped below 90% of the initial concentration at 8 days. Conclusions: Significant temperature-dependent degradation of benzylpenicillin occurs during continuous home iv antibiotic programme infusions, which could result in loss of efficacy.

Removal of the N-linked glycan structure from the peanut peroxidase prxPNC2: Influence on protein stability and activity

Lines of transgenic tobacco have been generated that are transformed with either the wild-type peanut peroxidase prxPNC2 cDNA, driven by the CaMV3 5S promoter (designated 35S::prxPNC2-WT) or a mutated PNC2 cDNA in which the asparagine residue (Asn(189)) associated with the point of glycan attachment (Asn(189)) has been replaced with alanine (designated 35S::prxPNC2-M). PCR, using genomic DNA as template, has confirmed the integration of the 35S::prxPNC2-WT and 35::prxPNC2-M constructs into the tobacco genome, and western analysis using anti-PNC2 antibodies has revealed that the prxPNC2-WT protein product (PNC2-WT) accumulates with a molecular mass of 34,670 Da, while the prxPNC2-M protein product (PNC2-M) accumulates with a molecular mass of 32,600 Da. Activity assays have shown that both PNC2-WT and PNC2-M proteins accumulate preferentially in the ionically-bound cell wall fraction, with a significantly higher relative accumulation of the PNC2-WT isoenzyme in the ionically-bound fraction when compared with the PNC2-M isoform. Kinetic analysis of the partially purified PNC2-WT isozyme revealed an affinity constant (apparent K-m) of 11.2 mM for the reductor substrate guaiacol and 1.29 mM for H2O2, while values of 11.9 mM and 1.12 mM were determined for the PNC2-M isozyme. A higher Arrenhius activation energy (E,,) was determined for the PNC2-M isozyme (22.9 kJ mol(-1)), when compared with the PNC2-WT isozyme (17.6 kJ mol(-1)), and enzyme assays have determined that the absence of the glycan influences the thermostability of the PNC2-M isozyme. These results are discussed with respect to the proposed roles of N-linked glycans attached to plant peroxidases. (c) 2005 Elsevier Ltd. All rights reserved.