Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

A new credit monitoring framework for agents' networks

The purpose of this work is to develop a practicable approach for Telecom firms to manage the credit risk exposition to their commercial agents’ network. Particularly it will try to approach the problem of credit concession to clients’ from a corporation perspective and explore the particular scenario of agents that are part of the commercial chain of the corporation and therefore are not end-users. The agents’ network that served as a model for the presented study is composed by companies that, at the same time, are both clients and suppliers of the Telecommunication Company. In that sense the credit exposition analysis must took into consideration all financial fluxes, both inbound and outbound. The current strain on the Financial Sector in Portugal, and other peripheral European economies, combined with the high leverage situation of most companies, generates an environment prone to credit default risk. Due to these circumstances managing credit risk exposure is becoming increasingly a critical function for every company Financial Department. The approach designed in the current study combined two traditional risk monitoring tools: credit risk scoring and credit limitation policies. The objective was to design a new credit monitoring framework that is more flexible, uses both external and internal relationship history to assess risk and takes into consideration commercial objectives inside the agents’ network. Although not explored at length, the blueprint of a Credit Governance model was created for implementing the new credit monitoring framework inside the telecom firm. The Telecom Company that served as a model for the present work decided to implement the new Credit Monitoring framework after this was presented to its Executive Commission.

Contributo para o estudo da tutela do promitente - comprador

Dissertação de mestrado em Direito Judiciário

Can competition in the credit market be excessive?

We study how market power affects investment and welfare when banks choose between restricting loan sizes and monitoring, in order to alleviate an underlying moral hazard problem. The impact of market power on aggregate welfare is the result of two countervailing effects. An increase in banks' market power results in: (i) higher lending rates, which worsens the borrower's incentive problem and reduces investment by unmonitored firms, (ii) higher monitoring effort, which reduces the proportion of credit-constrained firms. Whenever the second effect dominates, it is optimal to provide banks with some degree of market power.

Memory in contracts: the experience of the EBRD (1991-2003)

The objective of this paper is to identify the role of memory in repeated contracts with moral hazard in financial intermediation. We use the database we have built containing the contracts signed by the European Bank for Reconstruction and Development EBRD between 1991 and 2003. Our framework is a standard setting of repeated moral hazard. After having controlled for the adverse selection component, we are able to prove that client reputation is the discrimination device according to which the bank fixes the amount of credit for the established clients. Our results unambiguously isolate the effect of memory in the bank's lending decisions.

Hawtreyan “Credit Deadlock” or Keynesian “Liquidity Trap”? Lessons for Japan from the Great Depression

This paper outlines the ideas of Ralph Hawtrey and Lauchlin Currie on the need for monetised fiscal deficit spending in 1930s USA to combat the deep depression into which the economy had been allowed to sink. In such exceptional circumstances of “credit deadlock” in which banks were afraid to lend and households and business afraid to borrow, the deadlock could best be broken through the spending of new money into circulation via large fiscal deficits. This complementarity of fiscal and monetary policy was shown to be essential, and as such indicates the potential power of monetary policy – in contrast to the Keynesian “liquidity trap” view that it is powerless This lesson was not learned by the Japanese authorities in their response to the asset price collapse of 1991-92, resulting in a lost decade as ballooning fiscal deficits were neutralised throughout the 1990s by unhelpfully tight monetary policy with the Bank of Japan refusing to monetise the deficits.

Characterization of Endotrypanum Parasites Using Specific Monoclonal Antibodies

A large number of Endotrypanum stocks (representing an heterogeneous population of strains) have been screened against a panel of monoclonal antibodies (MAbs) derived for selected species of Endotrypanum or Leishmania, to see whether this approach could be used to group/differentiate further among these parasites. Using different immunological assay systems, MAbs considered specific for the genus Endotrypanum (E-24, CXXX-3G5-F12) or strain M6159 of E. schaudinni (E-2, CXIV-3C7-F5) reacted variably according to the test used but in the ELISA or immunofluorescence assay both reacted with all the strains tested. Analyses using these MAbs showed antigenic diversity occurring among the Endotrypanum strains, but no qualitative or quantitative reactivity pattern could be consistently related to parasite origin (i.e., host species involved) or geographic area of isolation. Western blot analyses of the parasites showed that these MAbs recognized multiple components. Differences existed either in the epitope density or molecular forms associated with the antigenic determinants and therefore allowed the assignment of the strains to specific antigenic groups. Using immunofluorescence or ELISA assay, clone E-24 produced reaction with L. equatorensis (which is a parasite of sloth and rodent), but not with other trypanosomatids examined. Interestingly, the latter parasite and the Endotrypanum strains cross-reacted with a number of MAbs that were produced against members of the L. major-L. tropica complex

The determinants of YIc's R&D activity

This paper examines the determinants of young innovative companies’ (YICs) R&D activities taking into account the autoregressive nature of innovation. Using a large longitudinal dataset comprising Spanish manufacturing firms over the period 1990-2008, we find that previous R&D experience is a fundamental determinant for mature and young firms, albeit to a smaller extent in the case of the YICs, suggesting that their innovation behaviour is less persistent and more erratic. Moreover, our results suggest that firm and market characteristics play a distinct role in boosting the innovation activity of firms of different age. In particular, while market concentration and the degree of product diversification are found to be important in boosting R&D activities in the sub-sample of mature firms only, YICs’ spending on R&D appears to be more sensitive to demand-pull variables, suggesting the presence of credit constraints. These results have been obtained using a recently proposed dynamic type-2 tobit estimator, which accounts for individual effects and efficiently handles the initial conditions problem.

Genetic epidemiology of fecal egg excretion during Schistosoma mansoni infection in an endemic area in Minas Gerais, Brazil

There is considerable variation in the level of fecal egg excretion during Schistosoma mansoni infections. Within a single endemic area, the distribution of egg counts is typically overdispersed, with the majority of eggs excreted coming from a minority of residents. The purpose of this study was to quantify the influence of genetic factors on patterns of fecal egg excretion in a rural study sample in Brazil. Individual fecal egg excretions, expressed in eggs per gram of feces, were determined by the Kato-Katz method on stool samples collected on three different days. Detailed genealogic information was gathered at the time of sampling, which allowed assignment of 461 individuals to 14 pedigrees containing between 3 and 422 individuals. Using a maximum likelihood variance decomposition approach, we performed quantitative genetic analyses to determine if genetic factors could partially account for the observed pattern of fecal egg excretion. The quantitative genetic analysis indicated that between 21-37% of the variation in S. mansoni egg counts was attributable to additive genetic factors and that shared environment, as assessed by common household, accounted for a further 12-21% of the observed variation. A maximum likelihood heritability (h²) estimate of 0.44 ± 0.14 (mean ± SE) was found for the 9,604 second- and higher-degree pairwise relationships in the study sample, which is consistent with the upper limit (37%) of the genetic factor determined in the variance decomposition analysis. These analyses point to the significant influence of additive host genes on the pattern of S. mansoni fecal egg excretion in this endemic area.

Cytotaxonomy of Simulium cauchense Floch & Abonnenc and Simulium quadrifidum Lutz (Diptera: Simuliidae) in Brazilian Amazonia

Simulium cauchense Floch & Abonnenc and Simulium quadrifidum Lutz are widely distributed in the Amazon region and are morphologically similar at the larval and pupal stages. Chromosomally, these species are readily distinguished by the position of the nucleolar organizer, which is in the short arm of chromosome I in S. cauchense and in the long arm of chromosomes III in S. quadrifidum. They also differ by three fixed inversions. Sex chromosomes are undifferentiated in both species. Chromosomal resolution of the two species allowed us to evaluate four structural features previously used as diagnostic aids at the larval stage. Characters that distinguish larvae of the two species are the number of branches and branching patterns of the dorsal abdominal setae and the dark band on each primary fan. Branching patterns of the gill histoblasts were often diagnostic, with S. quadrifidum exhibiting more proximal branching and S. cauchense more distal branching. Sites where both species occurred sometimes had larvae with one petiole branching proximally and the other distally; in these cases examination of the chromosomes permitted assignment of the specimen to species. Pigmentation patterns of larvae, on the other hand, are highly variable. Color typically is sex linked in both species.

Current cytogenetic map of the common shrew, Sorex araneus L.: localization of 7 genes and 4 microsatellites

Here we present information on the assignment of 7 genes, ACADVL, ADORA3, ATP7A, MTMR4, MYH2, HBB, TSPAN-3, and 4 common shrew microsatellites to chromosomes of the common shrew (Sorex araneus) and on the current status of its cytogenetic map. Comparative mapping data were used for the analysis of evolutionary chromosomal rearrangements in the common shrew genome.

An in vitro iron superoxide dismutase inhibitor decreases the parasitemia levels of Trypanosoma cruzi in BALB/c mouse model during acute phase.

In order to identify new compounds to treat Chagas disease during the acute phase with higher activity and lower toxicity than the reference drug benznidazole (Bz), two hydroxyphthalazine derivative compounds were prepared and their trypanocidal effects against Trypanosoma cruzi were evaluated by light microscopy through the determination of IC50 values. Cytotoxicity was determined by flow cytometry assays against Vero cells. In vivo assays were performed in BALB/c mice, in which the parasitemia levels were quantified by fresh blood examination; the assignment of a cure was determined by reactivation of blood parasitemia levels after immunosuppression. The mechanism of action was elucidated at metabolic and ultra-structural levels, by (1)H NMR and TEM studies. Finally, as these compounds are potentially capable of causing oxidative damage in the parasites, the study was completed, by assessing their activity as potential iron superoxide dismutase (Fe-SOD) inhibitors. High-selectivity indices observed in vitro were the basis of promoting one of the tested compounds to in vivo assays. The tests on the murine model for the acute phase of Chagas disease showed better parasitemia inhibition values than those found for Bz. Compound 2 induced a remarkable decrease in the reactivation of parasitemia after immunosuppression. Compound 2 turned out to be a great inhibitor of Fe-SOD. The high antiparasitic activity and low toxicity together with the modest costs for the starting materials render this compound an appropriate molecule for the development of an affordable anti-Chagas agent.

A simulation-based algorithm for solving the resource-assignment problem in satellite telecommunication networks

This paper proposes an heuristic for the scheduling of capacity requests and the periodic assignment of radio resources in geostationary (GEO) satellite networks with star topology, using the Demand Assigned Multiple Access (DAMA) protocol in the link layer, and Multi-Frequency Time Division Multiple Access (MF-TDMA) and Adaptive Coding and Modulation (ACM) in the physical layer.

Advantages of extended bottom-up proteomics using sap9 for analysis of monoclonal antibodies.

Despite the recent advances in structural analysis of monoclonal antibodies with bottom-up, middle-down, and top-down mass spectrometry (MS), further improvements in analysis accuracy, depth, and speed are needed. The remaining challenges include quantitatively accurate assignment of post-translational modifications, reduction of artifacts introduced during sample preparation, increased sequence coverage per liquid chromatography (LC) MS experiment, and ability to extend the detailed characterization to simple antibody cocktails and more complex antibody mixtures. Here, we evaluate the recently introduced extended bottom-up proteomics (eBUP) approach based on proteolysis with secreted aspartic protease 9, Sap9, for analysis of monoclonal antibodies. Key findings of the Sap9-based proteomics analysis of a single antibody include: (i) extensive antibody sequence coverage with up to 100% for the light chain and up to 99-100% for the heavy chain in a single LC-MS run; (ii) connectivity of complementarity-determining regions (CDRs) via Sap9-produced large proteolytic peptides (3.4 kDa on average) containing up to two CDRs per peptide; (iii) reduced artifact introduction (e. g., deamidation) during proteolysis with Sap9 compared to conventional bottom-up proteomics workflows. The analysis of a mixture of six antibodies via Sap9-based eBUP produced comparable results. Due to the reasons specified above, Sap9-produced proteolytic peptides improve the identification confidence of antibodies from the mixtures compared to conventional bottom-up proteomics dealing with shorter proteolytic peptides.

Psychiatrie sous double contrainte, enjeux de la planification en santé mentale [Psychiatry under double bind, issue of the planification in mental health]

Given the important modifications of the "Loi sur l'Assurance maladie (LAMal)", this article gives a contribution to the hospital planification by identifying the main factors that have determined the current organisation of the psychiatric care network. We notice a gap between the orientations of these networks and the funding scheme forecast in the framework of the LAMal. In order to preserve the progressions of these last years and to avoid the negative effects of a too restrictive funding act for the assignment of the public psychiatry, the planification must result in a consensus between the state, the insurances and the multiple actors of the mental health. Otherwise, this will be done to the detriment of the activities of secondary prevention, of coordination in the network, of support to the natural helpers, and of intervention to the vulnerable populations.